def _test_pass_to_next(self, read_offset, step, correct_offset):
stub_model = StubTimeSeriesModel(correct_offset=correct_offset)
data = self._make_test_data(
length=100 + read_offset, cut_start=None, cut_end=None, offset=100.,
step=step)
init_input_fn = input_pipeline.WholeDatasetInputFn(
input_pipeline.NumpyReader(
{k: v[:-read_offset] for k, v in data.items()}))
result_input_fn = input_pipeline.WholeDatasetInputFn(
input_pipeline.NumpyReader(
{k: v[read_offset:] for k, v in data.items()}))
chainer = state_management.ChainingStateManager(
state_saving_interval=1)
stub_model.initialize_graph()
chainer.initialize_graph(model=stub_model)
init_model_outputs = chainer.define_loss(
model=stub_model, features=init_input_fn()[0],
mode=estimator_lib.ModeKeys.TRAIN)
result_model_outputs = chainer.define_loss(
model=stub_model, features=result_input_fn()[0],
mode=estimator_lib.ModeKeys.TRAIN)
with self.test_session() as session:
variables.global_variables_initializer().run()
coordinator = coordinator_lib.Coordinator()
queue_runner_impl.start_queue_runners(session, coord=coordinator)
init_model_outputs.loss.eval()
returned_loss = result_model_outputs.loss.eval()
coordinator.request_stop()
coordinator.join()
return returned_loss
def test_exogenous_input(self):
"""Test that no errors are raised when using exogenous features."""
dtype = dtypes.float64
times = [1, 2, 3, 4, 5, 6]
values = [[0.01], [5.10], [5.21], [0.30], [5.41], [0.50]]
feature_a = [["off"], ["on"], ["on"], ["off"], ["on"], ["off"]]
sparse_column_a = feature_column.sparse_column_with_keys(
column_name="feature_a", keys=["on", "off"])
one_hot_a = layers.one_hot_column(sparse_id_column=sparse_column_a)
regressor = estimators.StructuralEnsembleRegressor(
periodicities=[],
num_features=1,
moving_average_order=0,
exogenous_feature_columns=[one_hot_a],
dtype=dtype)
features = {TrainEvalFeatures.TIMES: times,
TrainEvalFeatures.VALUES: values,
"feature_a": feature_a}
train_input_fn = input_pipeline.RandomWindowInputFn(
input_pipeline.NumpyReader(features),
window_size=6, batch_size=1)
regressor.train(input_fn=train_input_fn, steps=1)
eval_input_fn = input_pipeline.WholeDatasetInputFn(
input_pipeline.NumpyReader(features))
evaluation = regressor.evaluate(input_fn=eval_input_fn, steps=1)
predict_input_fn = input_pipeline.predict_continuation_input_fn(
evaluation, times=[[7, 8, 9]],
exogenous_features={"feature_a": [[["on"], ["off"], ["on"]]]})
regressor.predict(input_fn=predict_input_fn)
def test_ar_lstm_regressor(self):
dtype = dtypes.float32
model_dir = tempfile.mkdtemp(dir=self.get_temp_dir())
exogenous_feature_columns = (
feature_column.numeric_column("exogenous"),
)
estimator = estimators.LSTMAutoRegressor(
periodicities=10,
input_window_size=10,
output_window_size=6,
model_dir=model_dir,
num_features=1,
extra_feature_columns=exogenous_feature_columns,
num_units=10,
config=_SeedRunConfig())
times = numpy.arange(20, dtype=numpy.int64)
values = numpy.arange(20, dtype=dtype.as_numpy_dtype)
exogenous = numpy.arange(20, dtype=dtype.as_numpy_dtype)
features = {
feature_keys.TrainEvalFeatures.TIMES: times,
feature_keys.TrainEvalFeatures.VALUES: values,
"exogenous": exogenous
}
train_input_fn = input_pipeline.RandomWindowInputFn(
input_pipeline.NumpyReader(features), shuffle_seed=2, num_threads=1,
batch_size=16, window_size=16)
eval_input_fn = input_pipeline.RandomWindowInputFn(
input_pipeline.NumpyReader(features), shuffle_seed=3, num_threads=1,
batch_size=16, window_size=16)
estimator.train(input_fn=train_input_fn, steps=1)
evaluation = estimator.evaluate(
input_fn=eval_input_fn, steps=1)
self.assertAllEqual(evaluation["loss"], evaluation["average_loss"])
self.assertAllEqual([], evaluation["loss"].shape)
def _test_initialization(self, warmup_iterations, batch_size):
stub_model = StubTimeSeriesModel()
data = self._make_test_data(length=20,
cut_start=None,
cut_end=None,
offset=0.)
if batch_size == -1:
input_fn = test_utils.AllWindowInputFn(
input_pipeline.NumpyReader(data), window_size=10)
else:
input_fn = input_pipeline.RandomWindowInputFn(
input_pipeline.NumpyReader(data),
window_size=10,
batch_size=batch_size)
chainer = state_management.ChainingStateManager(
state_saving_interval=1)
features, _ = input_fn()
stub_model.initialize_graph()
chainer.initialize_graph(model=stub_model)
model_outputs = chainer.define_loss(model=stub_model,
features=features,
mode=estimator_lib.ModeKeys.TRAIN)
with self.cached_session() as session:
variables.global_variables_initializer().run()
coordinator = coordinator_lib.Coordinator()
queue_runner_impl.start_queue_runners(session, coord=coordinator)
for _ in range(warmup_iterations):
# Warm up saved state
model_outputs.loss.eval()
outputs = model_outputs.loss.eval()
coordinator.request_stop()
coordinator.join()
return outputs
def dry_run_train_helper(
self, sample_every, period, num_samples, model_type, model_args,
num_features=1):
numpy.random.seed(1)
dtype = dtypes.float32
features = self.simple_data(
sample_every, dtype=dtype, period=period, num_samples=num_samples,
num_features=num_features)
model = model_type(
configuration=(
state_space_model.StateSpaceModelConfiguration(
num_features=num_features,
dtype=dtype,
covariance_prior_fn=lambda _: 0.)),
**model_args)
class _RunConfig(estimator_lib.RunConfig):
@property
def tf_random_seed(self):
return 4
estimator = estimators.StateSpaceRegressor(model, config=_RunConfig())
train_input_fn = input_pipeline.RandomWindowInputFn(
input_pipeline.NumpyReader(features), num_threads=1, shuffle_seed=1,
batch_size=16, window_size=16)
eval_input_fn = input_pipeline.WholeDatasetInputFn(
input_pipeline.NumpyReader(features))
estimator.train(input_fn=train_input_fn, max_steps=1)
first_evaluation = estimator.evaluate(input_fn=eval_input_fn, steps=1)
estimator.train(input_fn=train_input_fn, max_steps=3)
second_evaluation = estimator.evaluate(input_fn=eval_input_fn, steps=1)
self.assertLess(second_evaluation["loss"], first_evaluation["loss"])
def test_numpy_withbatch(self):
data_nobatch = _make_numpy_time_series(num_features=4, num_samples=100)
data = {feature_name: feature_value[None]
for feature_name, feature_value in data_nobatch.items()}
time_series_reader = input_pipeline.NumpyReader(data)
self._whole_dataset_input_fn_test_template(
time_series_reader=time_series_reader, num_features=4, num_samples=100)
def test_numpy_discard_out_of_order_window_equal(self):
data = _make_numpy_time_series(num_features=1, num_samples=3)
time_series_reader = input_pipeline.NumpyReader(data)
self._random_window_input_fn_test_template(
time_series_reader=time_series_reader,
num_features=1, window_size=3, batch_size=5,
discard_out_of_order=True)
def _test_missing_values(self, cut_start, cut_end, offset):
stub_model = StubTimeSeriesModel()
data = self._make_test_data(length=100,
cut_start=cut_start,
cut_end=cut_end,
offset=offset)
input_fn = test_utils.AllWindowInputFn(
input_pipeline.NumpyReader(data), window_size=10)
chainer = state_management.ChainingStateManager(
state_saving_interval=1)
features, _ = input_fn()
stub_model.initialize_graph()
chainer.initialize_graph(model=stub_model)
model_outputs = chainer.define_loss(model=stub_model,
features=features,
mode=estimator_lib.ModeKeys.TRAIN)
with self.cached_session() as session:
variables.global_variables_initializer().run()
coordinator = coordinator_lib.Coordinator()
queue_runner_impl.start_queue_runners(session, coord=coordinator)
for _ in range(10):
model_outputs.loss.eval()
returned_loss = model_outputs.loss.eval()
coordinator.request_stop()
coordinator.join()
return returned_loss
def test_numpy(self):
data = _make_numpy_time_series(num_features=4, num_samples=100)
time_series_reader = input_pipeline.NumpyReader(data)
self._whole_dataset_input_fn_test_template(
time_series_reader=time_series_reader,
num_features=4,
num_samples=100)
def _gap_test_template(self, times, values):
random_model = RandomStateSpaceModel(
state_dimension=1,
state_noise_dimension=1,
configuration=state_space_model.StateSpaceModelConfiguration(
num_features=1))
random_model.initialize_graph()
input_fn = input_pipeline.WholeDatasetInputFn(
input_pipeline.NumpyReader({
feature_keys.TrainEvalFeatures.TIMES:
times,
feature_keys.TrainEvalFeatures.VALUES:
values
}))
features, _ = input_fn()
times = features[feature_keys.TrainEvalFeatures.TIMES]
values = features[feature_keys.TrainEvalFeatures.VALUES]
model_outputs = random_model.get_batch_loss(
features={
feature_keys.TrainEvalFeatures.TIMES: times,
feature_keys.TrainEvalFeatures.VALUES: values
},
mode=None,
state=math_utils.replicate_state(
start_state=random_model.get_start_state(),
batch_size=array_ops.shape(times)[0]))
with self.test_session() as session:
variables.global_variables_initializer().run()
coordinator = coordinator_lib.Coordinator()
queue_runner_impl.start_queue_runners(session, coord=coordinator)
model_outputs.loss.eval()
coordinator.request_stop()
coordinator.join()
def test_multivariate(self):
dtype = dtypes.float32
num_features = 3
covariance = numpy.eye(num_features)
# A single off-diagonal has a non-zero value in the true transition
# noise covariance.
covariance[-1, 0] = 1.
covariance[0, -1] = 1.
dataset_size = 100
values = numpy.cumsum(numpy.random.multivariate_normal(
mean=numpy.zeros(num_features), cov=covariance, size=dataset_size),
axis=0)
times = numpy.arange(dataset_size)
model = MultivariateLevelModel(
configuration=state_space_model.StateSpaceModelConfiguration(
num_features=num_features,
dtype=dtype,
use_observation_noise=False,
transition_covariance_initial_log_scale_bias=5.))
estimator = estimators.StateSpaceRegressor(
model=model,
optimizer=gradient_descent.GradientDescentOptimizer(0.1))
data = {
feature_keys.TrainEvalFeatures.TIMES: times,
feature_keys.TrainEvalFeatures.VALUES: values
}
train_input_fn = input_pipeline.RandomWindowInputFn(
input_pipeline.NumpyReader(data), batch_size=16, window_size=16)
estimator.train(input_fn=train_input_fn, steps=1)
for component in model._ensemble_members:
# Check that input statistics propagated to component models
self.assertTrue(component._input_statistics)
def chained_model_outputs(original_model, data):
input_fn = test_utils.AllWindowInputFn(
input_pipeline.NumpyReader(data), window_size=chunk_size)
state_manager = state_management.ChainingStateManager(
state_saving_interval=1)
features, _ = input_fn()
state_manager.initialize_graph(original_model)
model_outputs = state_manager.define_loss(
model=original_model,
features=features,
mode=estimator_lib.ModeKeys.TRAIN)
def _eval_outputs(session):
for _ in range(50):
# Warm up saved state
model_outputs.loss.eval()
(posterior_mean, posterior_var,
priors_from_time) = model_outputs.end_state
posteriors = ((posterior_mean, ), (posterior_var, ),
priors_from_time)
outputs = (model_outputs.loss, posteriors,
model_outputs.predictions)
chunked_outputs_evaled = session.run(outputs)
return chunked_outputs_evaled
return _eval_outputs
def test_numpy_nobatch_nofeatures(self):
data = _make_numpy_time_series(num_features=1, num_samples=100)
data[TrainEvalFeatures.VALUES] = data[TrainEvalFeatures.VALUES][:, 0]
time_series_reader = input_pipeline.NumpyReader(data)
self._whole_dataset_input_fn_test_template(
time_series_reader=time_series_reader,
num_features=1,
num_samples=100)
def test_numpy_discard_out_of_order_window_too_large(self):
data = _make_numpy_time_series(num_features=1, num_samples=2)
time_series_reader = input_pipeline.NumpyReader(data)
with self.assertRaisesRegexp(ValueError, "only 2 records were available"):
self._random_window_input_fn_test_template(
time_series_reader=time_series_reader,
num_features=1, window_size=3, batch_size=5,
discard_out_of_order=True)
def test_numpy(self):
data = _make_numpy_time_series(num_features=2, num_samples=31)
time_series_reader = input_pipeline.NumpyReader(data)
self._all_window_input_fn_test_template(
time_series_reader=time_series_reader,
original_numpy_features=data,
num_samples=31,
window_size=5)
def _equivalent_to_single_model_test_template(self, model_generator):
with self.test_session() as session:
random_model = RandomStateSpaceModel(
state_dimension=5,
state_noise_dimension=4,
configuration=state_space_model.StateSpaceModelConfiguration(
dtype=dtypes.float64, num_features=1))
random_model.initialize_graph()
series_length = 10
model_data = random_model.generate(
number_of_series=1,
series_length=series_length,
model_parameters=random_model.random_model_parameters())
input_fn = input_pipeline.WholeDatasetInputFn(
input_pipeline.NumpyReader(model_data))
features, _ = input_fn()
model_outputs = random_model.get_batch_loss(
features=features,
mode=None,
state=math_utils.replicate_state(
start_state=random_model.get_start_state(),
batch_size=array_ops.shape(
features[feature_keys.TrainEvalFeatures.TIMES])[0]))
variables.global_variables_initializer().run()
compare_outputs_evaled_fn = model_generator(
random_model, model_data)
coordinator = coordinator_lib.Coordinator()
queue_runner_impl.start_queue_runners(session, coord=coordinator)
compare_outputs_evaled = compare_outputs_evaled_fn(session)
model_outputs_evaled = session.run(
(model_outputs.end_state, model_outputs.predictions))
coordinator.request_stop()
coordinator.join()
model_posteriors, model_predictions = model_outputs_evaled
(_, compare_posteriors,
compare_predictions) = compare_outputs_evaled
(model_posterior_mean, model_posterior_var,
model_from_time) = model_posteriors
(compare_posterior_mean, compare_posterior_var,
compare_from_time) = compare_posteriors
self.assertAllClose(model_posterior_mean,
compare_posterior_mean[0])
self.assertAllClose(model_posterior_var, compare_posterior_var[0])
self.assertAllClose(model_from_time, compare_from_time)
self.assertEqual(sorted(model_predictions.keys()),
sorted(compare_predictions.keys()))
for prediction_name in model_predictions:
if prediction_name == "loss":
# Chunking means that losses will be different; skip testing them.
continue
# Compare the last chunk to their corresponding un-chunked model
# predictions
last_prediction_chunk = compare_predictions[prediction_name][
-1]
comparison_values = last_prediction_chunk.shape[0]
model_prediction = (
model_predictions[prediction_name][0, -comparison_values:])
self.assertAllClose(model_prediction, last_prediction_chunk)
def test_structural_ensemble_numpy_input(self):
numpy_data = {"times": numpy.arange(50),
"values": numpy.random.normal(size=[50])}
estimators.StructuralEnsembleRegressor(
num_features=1, periodicities=[], model_dir=self.get_temp_dir(),
config=_SeedRunConfig()).train(
input_pipeline.WholeDatasetInputFn(
input_pipeline.NumpyReader(numpy_data)),
steps=1)
def test_long_eval(self):
g = ops.Graph()
with g.as_default():
model = ar_model.ARModel(periodicities=2,
num_features=1,
num_time_buckets=10,
input_window_size=2,
output_window_size=1)
raw_features = {
TrainEvalFeatures.TIMES: [[1, 3, 5, 7, 11]],
TrainEvalFeatures.VALUES: [[[1.], [2.], [3.], [4.], [5.]]]
}
chunked_features, _ = test_utils.AllWindowInputFn(
time_series_reader=input_pipeline.NumpyReader(raw_features),
window_size=3)()
model.initialize_graph()
with variable_scope.variable_scope("armodel") as scope:
raw_evaluation = model.define_loss(
raw_features, mode=estimator_lib.ModeKeys.EVAL)
with variable_scope.variable_scope(scope, reuse=True):
chunked_evaluation = model.define_loss(
chunked_features, mode=estimator_lib.ModeKeys.EVAL)
with session.Session() as sess:
coordinator = coordinator_lib.Coordinator()
queue_runner_impl.start_queue_runners(sess, coord=coordinator)
variables.global_variables_initializer().run()
raw_evaluation_evaled, chunked_evaluation_evaled = sess.run(
[raw_evaluation, chunked_evaluation])
self.assertAllClose(chunked_evaluation_evaled.loss,
raw_evaluation_evaled.loss)
last_chunk_evaluation_state = [
state[-1, None]
for state in chunked_evaluation_evaled.end_state
]
for last_chunk_state_member, raw_state_member in zip(
last_chunk_evaluation_state,
raw_evaluation_evaled.end_state):
self.assertAllClose(last_chunk_state_member,
raw_state_member)
self.assertAllEqual([[5, 7, 11]],
raw_evaluation_evaled.prediction_times)
for feature_name in raw_evaluation.predictions:
self.assertAllEqual(
[
1, 3, 1
], # batch, window, num_features. The window size has 2
# cut off for the first input_window.
raw_evaluation_evaled.predictions[feature_name].shape)
self.assertAllClose(
np.reshape(
chunked_evaluation_evaled.
predictions[feature_name], [-1]),
np.reshape(
raw_evaluation_evaled.predictions[feature_name],
[-1]))
coordinator.request_stop()
coordinator.join()
def test_loop_unrolling(self):
"""Tests running/restoring from a checkpoint with static unrolling."""
model = TimeDependentStateSpaceModel(
# Unroll during training, but not evaluation
static_unrolling_window_size_threshold=2)
estimator = estimators.StateSpaceRegressor(model=model)
times = numpy.arange(100)
values = numpy.arange(100)
dataset = {
feature_keys.TrainEvalFeatures.TIMES: times,
feature_keys.TrainEvalFeatures.VALUES: values
}
train_input_fn = input_pipeline.RandomWindowInputFn(
input_pipeline.NumpyReader(dataset), batch_size=16, window_size=2)
eval_input_fn = input_pipeline.WholeDatasetInputFn(
input_pipeline.NumpyReader(dataset))
estimator.train(input_fn=train_input_fn, max_steps=1)
estimator.evaluate(input_fn=eval_input_fn, steps=1)
def _input_statistics_test_template(
self, stat_object, num_features, dtype, give_full_data,
warmup_iterations=0, rtol=1e-6, data_length=500, chunk_size=4):
graph = ops.Graph()
with graph.as_default():
numpy_dtype = dtype.as_numpy_dtype
values = (
(numpy.arange(data_length, dtype=numpy_dtype)[..., None]
+ numpy.arange(num_features, dtype=numpy_dtype)[None, ...])[None])
times = 2 * (numpy.arange(data_length)[None]) - 3
if give_full_data:
stat_object.set_data((times, values))
features = {TrainEvalFeatures.TIMES: times,
TrainEvalFeatures.VALUES: values}
input_fn = input_pipeline.RandomWindowInputFn(
batch_size=16, window_size=chunk_size,
time_series_reader=input_pipeline.NumpyReader(features))
statistics = stat_object.initialize_graph(
features=input_fn()[0])
with self.session(graph=graph) as session:
variables.global_variables_initializer().run()
coordinator = coordinator_lib.Coordinator()
queue_runner_impl.start_queue_runners(session, coord=coordinator)
for _ in range(warmup_iterations):
# A control dependency should ensure that, for queue-based statistics,
# a use of any statistic is preceded by an update of all adaptive
# statistics.
statistics.total_observation_count.eval()
self.assertAllClose(
range(num_features) + numpy.mean(numpy.arange(chunk_size))[None],
statistics.series_start_moments.mean.eval(),
rtol=rtol)
self.assertAllClose(
numpy.tile(numpy.var(numpy.arange(chunk_size))[None],
[num_features]),
statistics.series_start_moments.variance.eval(),
rtol=rtol)
self.assertAllClose(
numpy.mean(values[0], axis=0),
statistics.overall_feature_moments.mean.eval(),
rtol=rtol)
self.assertAllClose(
numpy.var(values[0], axis=0),
statistics.overall_feature_moments.variance.eval(),
rtol=rtol)
self.assertAllClose(
-3,
statistics.start_time.eval(),
rtol=rtol)
self.assertAllClose(
data_length,
statistics.total_observation_count.eval(),
rtol=rtol)
coordinator.request_stop()
coordinator.join()
def test_no_periodicity(self):
"""Test that no errors are raised when periodicites is None."""
dtype = dtypes.float64
times = [1, 2, 3, 4, 5, 6]
values = [[0.01], [5.10], [5.21], [0.30], [5.41], [0.50]]
regressor = estimators.StructuralEnsembleRegressor(
periodicities=None,
num_features=1,
moving_average_order=0,
dtype=dtype)
features = {TrainEvalFeatures.TIMES: times,
TrainEvalFeatures.VALUES: values}
train_input_fn = input_pipeline.RandomWindowInputFn(
input_pipeline.NumpyReader(features),
window_size=6, batch_size=1)
regressor.train(input_fn=train_input_fn, steps=1)
eval_input_fn = input_pipeline.WholeDatasetInputFn(
input_pipeline.NumpyReader(features))
evaluation = regressor.evaluate(input_fn=eval_input_fn, steps=1)
predict_input_fn = input_pipeline.predict_continuation_input_fn(
evaluation, times=[[7, 8, 9]])
regressor.predict(input_fn=predict_input_fn)
def _time_dependency_test_template(self, model_type):
"""Test that a time-dependent observation model influences predictions."""
model = model_type()
estimator = estimators.StateSpaceRegressor(
model=model, optimizer=gradient_descent.GradientDescentOptimizer(0.1))
values = numpy.reshape([1., 2., 3., 4.],
newshape=[1, 4, 1])
input_fn = input_pipeline.WholeDatasetInputFn(
input_pipeline.NumpyReader({
feature_keys.TrainEvalFeatures.TIMES: [[0, 1, 2, 3]],
feature_keys.TrainEvalFeatures.VALUES: values
}))
estimator.train(input_fn=input_fn, max_steps=1)
predicted_values = estimator.evaluate(input_fn=input_fn, steps=1)["mean"]
# Throw out the first value so we don't test the prior
self.assertAllEqual(values[1:], predicted_values[1:])
def test_exact_posterior_recovery_no_transition_noise(self):
with self.test_session() as session:
stub_model, data, true_params = self._get_single_model()
input_fn = input_pipeline.WholeDatasetInputFn(
input_pipeline.NumpyReader(data))
features, _ = input_fn()
model_outputs = stub_model.get_batch_loss(
features=features,
mode=None,
state=math_utils.replicate_state(
start_state=stub_model.get_start_state(),
batch_size=array_ops.shape(
features[feature_keys.TrainEvalFeatures.TIMES])[0]))
variables.global_variables_initializer().run()
coordinator = coordinator_lib.Coordinator()
queue_runner_impl.start_queue_runners(session, coord=coordinator)
posterior_mean, posterior_var, posterior_times = session.run(
# Feed the true model parameters so that this test doesn't depend on
# the generated parameters being close to the variable initializations
# (an alternative would be training steps to fit the noise values,
# which would be slow).
model_outputs.end_state,
feed_dict=true_params)
coordinator.request_stop()
coordinator.join()
self.assertAllClose(numpy.zeros([1, 4, 4]),
posterior_var,
atol=1e-2)
self.assertAllClose(numpy.dot(
numpy.linalg.matrix_power(
stub_model.transition,
data[feature_keys.TrainEvalFeatures.TIMES].shape[1]),
true_params[stub_model.prior_state_mean]),
posterior_mean[0],
rtol=1e-1)
self.assertAllClose(
math_utils.batch_end_time(
features[feature_keys.TrainEvalFeatures.TIMES]).eval(),
posterior_times)
def test_state_override(self):
test_start_state = (numpy.array([[2, 3, 4]]), (numpy.array([2]),
numpy.array([[3., 5.]])))
data = {
feature_keys.FilteringFeatures.TIMES: numpy.arange(5),
feature_keys.FilteringFeatures.VALUES: numpy.zeros(shape=[5, 3])
}
features, _ = input_pipeline.WholeDatasetInputFn(
input_pipeline.NumpyReader(data))()
features[feature_keys.FilteringFeatures.STATE_TUPLE] = test_start_state
stub_model = _StateOverrideModel()
chainer = state_management.ChainingStateManager()
stub_model.initialize_graph()
chainer.initialize_graph(model=stub_model)
model_outputs = chainer.define_loss(
model=stub_model, features=features, mode=estimator_lib.ModeKeys.EVAL)
with train.MonitoredSession() as session:
end_state = session.run(model_outputs.end_state)
nest.assert_same_structure(test_start_state, end_state)
for expected, received in zip(
nest.flatten(test_start_state), nest.flatten(end_state)):
self.assertAllEqual(expected, received)
def test_chained_exact_posterior_recovery_no_transition_noise(self):
with self.test_session() as session:
stub_model, data, true_params = self._get_single_model()
chunk_size = 10
input_fn = test_utils.AllWindowInputFn(
input_pipeline.NumpyReader(data), window_size=chunk_size)
features, _ = input_fn()
state_manager = state_management.ChainingStateManager(
state_saving_interval=1)
state_manager.initialize_graph(stub_model)
model_outputs = state_manager.define_loss(
model=stub_model,
features=features,
mode=estimator_lib.ModeKeys.TRAIN)
variables.global_variables_initializer().run()
coordinator = coordinator_lib.Coordinator()
queue_runner_impl.start_queue_runners(session, coord=coordinator)
for _ in range(
data[feature_keys.TrainEvalFeatures.TIMES].shape[1] //
chunk_size):
model_outputs.loss.eval()
posterior_mean, posterior_var, posterior_times = session.run(
model_outputs.end_state, feed_dict=true_params)
coordinator.request_stop()
coordinator.join()
self.assertAllClose(numpy.zeros([1, 4, 4]),
posterior_var,
atol=1e-2)
self.assertAllClose(numpy.dot(
numpy.linalg.matrix_power(
stub_model.transition,
data[feature_keys.TrainEvalFeatures.TIMES].shape[1]),
true_params[stub_model.prior_state_mean]),
posterior_mean[0],
rtol=1e-1)
self.assertAllClose(
data[feature_keys.TrainEvalFeatures.TIMES][:, -1],
posterior_times)
def _fit_restore_fit_test_template(self, estimator_fn, dtype):
"""Tests restoring previously fit models."""
model_dir = tempfile.mkdtemp(dir=self.get_temp_dir())
exogenous_feature_columns = (
feature_column.numeric_column("exogenous"), )
first_estimator = estimator_fn(model_dir, exogenous_feature_columns)
times = numpy.arange(20, dtype=numpy.int64)
values = numpy.arange(20, dtype=dtype.as_numpy_dtype)
exogenous = numpy.arange(20, dtype=dtype.as_numpy_dtype)
features = {
feature_keys.TrainEvalFeatures.TIMES: times,
feature_keys.TrainEvalFeatures.VALUES: values,
"exogenous": exogenous
}
train_input_fn = input_pipeline.RandomWindowInputFn(
input_pipeline.NumpyReader(features),
shuffle_seed=2,
num_threads=1,
batch_size=16,
window_size=16)
eval_input_fn = input_pipeline.RandomWindowInputFn(
input_pipeline.NumpyReader(features),
shuffle_seed=3,
num_threads=1,
batch_size=16,
window_size=16)
first_estimator.train(input_fn=train_input_fn, steps=5)
first_loss_before_fit = first_estimator.evaluate(
input_fn=eval_input_fn, steps=1)["loss"]
first_estimator.train(input_fn=train_input_fn, steps=50)
first_loss_after_fit = first_estimator.evaluate(input_fn=eval_input_fn,
steps=1)["loss"]
self.assertLess(first_loss_after_fit, first_loss_before_fit)
second_estimator = estimator_fn(model_dir, exogenous_feature_columns)
second_estimator.train(input_fn=train_input_fn, steps=2)
whole_dataset_input_fn = input_pipeline.WholeDatasetInputFn(
input_pipeline.NumpyReader(features))
whole_dataset_evaluation = second_estimator.evaluate(
input_fn=whole_dataset_input_fn, steps=1)
exogenous_values_ten_steps = {
"exogenous":
numpy.arange(10, dtype=dtype.as_numpy_dtype)[None, :, None]
}
predict_input_fn = input_pipeline.predict_continuation_input_fn(
evaluation=whole_dataset_evaluation,
exogenous_features=exogenous_values_ten_steps,
steps=10)
# Also tests that limit_epochs in predict_continuation_input_fn prevents
# infinite iteration
(estimator_predictions, ) = list(
second_estimator.predict(input_fn=predict_input_fn))
self.assertAllEqual([10, 1], estimator_predictions["mean"].shape)
input_receiver_fn = first_estimator.build_raw_serving_input_receiver_fn(
)
export_location = first_estimator.export_savedmodel(
self.get_temp_dir(), input_receiver_fn)
with ops.Graph().as_default():
with session.Session() as sess:
signatures = loader.load(sess, [tag_constants.SERVING],
export_location)
# Test that prediction and filtering can continue from evaluation output
saved_prediction = saved_model_utils.predict_continuation(
continue_from=whole_dataset_evaluation,
steps=10,
exogenous_features=exogenous_values_ten_steps,
signatures=signatures,
session=sess)
# Saved model predictions should be the same as Estimator predictions
# starting from the same evaluation.
for prediction_key, prediction_value in estimator_predictions.items(
):
self.assertAllClose(
prediction_value,
numpy.squeeze(saved_prediction[prediction_key],
axis=0))
first_filtering = saved_model_utils.filter_continuation(
continue_from=whole_dataset_evaluation,
features={
feature_keys.FilteringFeatures.TIMES:
times[None, -1] + 2,
feature_keys.FilteringFeatures.VALUES:
values[None, -1] + 2.,
"exogenous": values[None, -1, None] + 12.
},
signatures=signatures,
session=sess)
# Test that prediction and filtering can continue from filtering output
second_saved_prediction = saved_model_utils.predict_continuation(
continue_from=first_filtering,
steps=1,
exogenous_features={
"exogenous":
numpy.arange(1, dtype=dtype.as_numpy_dtype)[None, :,
None]
},
signatures=signatures,
session=sess)
self.assertEqual(
times[-1] + 3,
numpy.squeeze(second_saved_prediction[
feature_keys.PredictionResults.TIMES]))
saved_model_utils.filter_continuation(
continue_from=first_filtering,
features={
feature_keys.FilteringFeatures.TIMES: times[-1] + 3,
feature_keys.FilteringFeatures.VALUES: values[-1] + 3.,
"exogenous": values[-1, None] + 13.
},
signatures=signatures,
session=sess)
# Test cold starting
six.assertCountEqual(
self, [
feature_keys.FilteringFeatures.TIMES,
feature_keys.FilteringFeatures.VALUES, "exogenous"
],
signatures.signature_def[feature_keys.SavedModelLabels.
COLD_START_FILTER].inputs.keys())
batch_numpy_times = numpy.tile(
numpy.arange(30, dtype=numpy.int64)[None, :], (10, 1))
batch_numpy_values = numpy.ones([10, 30, 1])
state = saved_model_utils.cold_start_filter(
signatures=signatures,
session=sess,
features={
feature_keys.FilteringFeatures.TIMES:
batch_numpy_times,
feature_keys.FilteringFeatures.VALUES:
batch_numpy_values,
"exogenous": 10. + batch_numpy_values
})
predict_times = numpy.tile(
numpy.arange(30, 45, dtype=numpy.int64)[None, :], (10, 1))
predictions = saved_model_utils.predict_continuation(
continue_from=state,
times=predict_times,
exogenous_features={
"exogenous":
numpy.tile(
numpy.arange(15, dtype=dtype.as_numpy_dtype),
(10, ))[None, :, None]
},
signatures=signatures,
session=sess)
self.assertAllEqual([10, 15, 1], predictions["mean"].shape)
def train_helper(self, input_window_size, loss,
max_loss=None, train_steps=200,
anomaly_prob=0.01,
anomaly_distribution=None,
multiple_periods=False):
np.random.seed(3)
data_noise_stddev = 0.2
if max_loss is None:
if loss == ARModel.NORMAL_LIKELIHOOD_LOSS:
max_loss = 1.0
else:
max_loss = 0.05 / (data_noise_stddev ** 2)
train_data, test_data = self.create_data(
noise_stddev=data_noise_stddev,
anomaly_prob=anomaly_prob,
multiple_periods=multiple_periods)
output_window_size = 10
window_size = input_window_size + output_window_size
class _RunConfig(estimator_lib.RunConfig):
@property
def tf_random_seed(self):
return 3
estimator = ARRegressor(
periodicities=self.period,
anomaly_prior_probability=0.01 if anomaly_distribution else None,
anomaly_distribution=anomaly_distribution,
num_features=2,
output_window_size=output_window_size,
num_time_buckets=20,
input_window_size=input_window_size,
hidden_layer_sizes=[16],
loss=loss,
config=_RunConfig())
train_input_fn = input_pipeline.RandomWindowInputFn(
time_series_reader=input_pipeline.NumpyReader(train_data),
window_size=window_size,
batch_size=64,
num_threads=1,
shuffle_seed=2)
test_input_fn = test_utils.AllWindowInputFn(
time_series_reader=input_pipeline.NumpyReader(test_data),
window_size=window_size)
# Test training
estimator.train(
input_fn=train_input_fn,
steps=train_steps)
test_evaluation = estimator.evaluate(input_fn=test_input_fn, steps=1)
test_loss = test_evaluation["loss"]
logging.info("Final test loss: %f", test_loss)
self.assertLess(test_loss, max_loss)
if loss == ARModel.SQUARED_LOSS:
# Test that the evaluation loss is reported without input scaling.
self.assertAllClose(
test_loss,
np.mean((test_evaluation["mean"] - test_evaluation["observed"]) ** 2))
# Test predict
train_data_times = train_data[TrainEvalFeatures.TIMES]
train_data_values = train_data[TrainEvalFeatures.VALUES]
test_data_times = test_data[TrainEvalFeatures.TIMES]
test_data_values = test_data[TrainEvalFeatures.VALUES]
predict_times = np.expand_dims(np.concatenate(
[train_data_times[input_window_size:], test_data_times]), 0)
predict_true_values = np.expand_dims(np.concatenate(
[train_data_values[input_window_size:], test_data_values]), 0)
state_times = np.expand_dims(train_data_times[:input_window_size], 0)
state_values = np.expand_dims(
train_data_values[:input_window_size, :], 0)
state_exogenous = state_times[:, :, None][:, :, :0]
def prediction_input_fn():
return ({
PredictionFeatures.TIMES: training.limit_epochs(
predict_times, num_epochs=1),
PredictionFeatures.STATE_TUPLE: (state_times,
state_values,
state_exogenous)
}, {})
(predictions,) = tuple(estimator.predict(input_fn=prediction_input_fn))
predicted_mean = predictions["mean"][:, 0]
true_values = predict_true_values[0, :, 0]
if loss == ARModel.NORMAL_LIKELIHOOD_LOSS:
variances = predictions["covariance"][:, 0]
standard_deviations = np.sqrt(variances)
# Note that we may get tighter bounds with more training steps.
errors = np.abs(predicted_mean - true_values) > 4 * standard_deviations
fraction_errors = np.mean(errors)
logging.info("Fraction errors: %f", fraction_errors)
def test_one_shot_prediction_head_export(self, estimator_factory):
def _new_temp_dir():
return os.path.join(test.get_temp_dir(), str(ops.uid()))
model_dir = _new_temp_dir()
categorical_column = feature_column.categorical_column_with_hash_bucket(
key="categorical_exogenous_feature", hash_bucket_size=16)
exogenous_feature_columns = [
feature_column.numeric_column("2d_exogenous_feature", shape=(2, )),
feature_column.embedding_column(
categorical_column=categorical_column, dimension=10)
]
estimator = estimator_factory(
model_dir=model_dir,
exogenous_feature_columns=exogenous_feature_columns,
head_type=ts_head_lib.OneShotPredictionHead)
train_features = {
feature_keys.TrainEvalFeatures.TIMES:
numpy.arange(20, dtype=numpy.int64),
feature_keys.TrainEvalFeatures.VALUES:
numpy.tile(numpy.arange(20, dtype=numpy.float32)[:, None], [1, 5]),
"2d_exogenous_feature":
numpy.ones([20, 2]),
"categorical_exogenous_feature":
numpy.array(["strkey"] * 20)[:, None]
}
train_input_fn = input_pipeline.RandomWindowInputFn(
input_pipeline.NumpyReader(train_features),
shuffle_seed=2,
num_threads=1,
batch_size=16,
window_size=16)
estimator.train(input_fn=train_input_fn, steps=5)
result = estimator.evaluate(input_fn=train_input_fn, steps=1)
self.assertIn("average_loss", result)
self.assertNotIn(feature_keys.State.STATE_TUPLE, result)
input_receiver_fn = estimator.build_raw_serving_input_receiver_fn()
export_location = estimator.export_savedmodel(_new_temp_dir(),
input_receiver_fn)
graph = ops.Graph()
with graph.as_default():
with session_lib.Session() as session:
signatures = loader.load(session, [tag_constants.SERVING],
export_location)
self.assertEqual([feature_keys.SavedModelLabels.PREDICT],
list(signatures.signature_def.keys()))
predict_signature = signatures.signature_def[
feature_keys.SavedModelLabels.PREDICT]
six.assertCountEqual(self, [
feature_keys.FilteringFeatures.TIMES,
feature_keys.FilteringFeatures.VALUES,
"2d_exogenous_feature", "categorical_exogenous_feature"
], predict_signature.inputs.keys())
features = {
feature_keys.TrainEvalFeatures.TIMES:
numpy.tile(
numpy.arange(35, dtype=numpy.int64)[None, :], [2, 1]),
feature_keys.TrainEvalFeatures.VALUES:
numpy.tile(
numpy.arange(20, dtype=numpy.float32)[None, :, None],
[2, 1, 5]),
"2d_exogenous_feature":
numpy.ones([2, 35, 2]),
"categorical_exogenous_feature":
numpy.tile(
numpy.array(["strkey"] * 35)[None, :, None], [2, 1, 1])
}
feeds = {
graph.as_graph_element(input_value.name):
features[input_key]
for input_key, input_value in
predict_signature.inputs.items()
}
fetches = {
output_key: graph.as_graph_element(output_value.name)
for output_key, output_value in
predict_signature.outputs.items()
}
output = session.run(fetches, feed_dict=feeds)
self.assertEqual((2, 15, 5), output["mean"].shape)
# Build a parsing input function, then make a tf.Example for it to parse.
export_location = estimator.export_savedmodel(
_new_temp_dir(),
estimator.build_one_shot_parsing_serving_input_receiver_fn(
filtering_length=20, prediction_length=15))
graph = ops.Graph()
with graph.as_default():
with session_lib.Session() as session:
example = example_pb2.Example()
times = example.features.feature[
feature_keys.TrainEvalFeatures.TIMES]
values = example.features.feature[
feature_keys.TrainEvalFeatures.VALUES]
times.int64_list.value.extend(range(35))
for i in range(20):
values.float_list.value.extend([
float(i) * 2. + feature_number
for feature_number in range(5)
])
real_feature = example.features.feature["2d_exogenous_feature"]
categortical_feature = example.features.feature[
"categorical_exogenous_feature"]
for i in range(35):
real_feature.float_list.value.extend([1, 1])
categortical_feature.bytes_list.value.append(b"strkey")
# Serialize the tf.Example for feeding to the Session
examples = [example.SerializeToString()] * 2
signatures = loader.load(session, [tag_constants.SERVING],
export_location)
predict_signature = signatures.signature_def[
feature_keys.SavedModelLabels.PREDICT]
((_, input_value), ) = predict_signature.inputs.items()
feeds = {graph.as_graph_element(input_value.name): examples}
fetches = {
output_key: graph.as_graph_element(output_value.name)
for output_key, output_value in
predict_signature.outputs.items()
}
output = session.run(fetches, feed_dict=feeds)
self.assertEqual((2, 15, 5), output["mean"].shape)
def test_one_shot_prediction_head_export(self):
model_dir = self.get_temp_dir()
categorical_column = feature_column.categorical_column_with_hash_bucket(
key="categorical_exogenous_feature", hash_bucket_size=16)
exogenous_feature_columns = [
feature_column.numeric_column("2d_exogenous_feature", shape=(2, )),
feature_column.embedding_column(
categorical_column=categorical_column, dimension=10)
]
estimator = ts_estimators.TimeSeriesRegressor(
model=lstm_example._LSTMModel(
num_features=5,
num_units=128,
exogenous_feature_columns=exogenous_feature_columns),
optimizer=adam.AdamOptimizer(0.001),
config=estimator_lib.RunConfig(tf_random_seed=4),
state_manager=state_management.ChainingStateManager(),
head_type=ts_head_lib.OneShotPredictionHead,
model_dir=model_dir)
train_features = {
feature_keys.TrainEvalFeatures.TIMES:
numpy.arange(20, dtype=numpy.int64),
feature_keys.TrainEvalFeatures.VALUES:
numpy.tile(numpy.arange(20, dtype=numpy.float32)[:, None], [1, 5]),
"2d_exogenous_feature":
numpy.ones([20, 2]),
"categorical_exogenous_feature":
numpy.array(["strkey"] * 20)[:, None]
}
train_input_fn = input_pipeline.RandomWindowInputFn(
input_pipeline.NumpyReader(train_features),
shuffle_seed=2,
num_threads=1,
batch_size=16,
window_size=16)
estimator.train(input_fn=train_input_fn, steps=5)
input_receiver_fn = estimator.build_raw_serving_input_receiver_fn()
export_location = estimator.export_savedmodel(self.get_temp_dir(),
input_receiver_fn)
graph = ops.Graph()
with graph.as_default():
with session_lib.Session() as session:
signatures = loader.load(session, [tag_constants.SERVING],
export_location)
self.assertEqual([feature_keys.SavedModelLabels.PREDICT],
list(signatures.signature_def.keys()))
predict_signature = signatures.signature_def[
feature_keys.SavedModelLabels.PREDICT]
six.assertCountEqual(self, [
feature_keys.FilteringFeatures.TIMES,
feature_keys.FilteringFeatures.VALUES,
"2d_exogenous_feature", "categorical_exogenous_feature"
], predict_signature.inputs.keys())
features = {
feature_keys.TrainEvalFeatures.TIMES:
numpy.tile(
numpy.arange(35, dtype=numpy.int64)[None, :], [2, 1]),
feature_keys.TrainEvalFeatures.VALUES:
numpy.tile(
numpy.arange(20, dtype=numpy.float32)[None, :, None],
[2, 1, 5]),
"2d_exogenous_feature":
numpy.ones([2, 35, 2]),
"categorical_exogenous_feature":
numpy.tile(
numpy.array(["strkey"] * 35)[None, :, None], [2, 1, 1])
}
feeds = {
graph.as_graph_element(input_value.name):
features[input_key]
for input_key, input_value in
predict_signature.inputs.items()
}
fetches = {
output_key: graph.as_graph_element(output_value.name)
for output_key, output_value in
predict_signature.outputs.items()
}
output = session.run(fetches, feed_dict=feeds)
self.assertAllEqual((2, 15, 5), output["mean"].shape)
def test_savedmodel_state_override(self):
random_model = RandomStateSpaceModel(
state_dimension=5,
state_noise_dimension=4,
configuration=state_space_model.StateSpaceModelConfiguration(
exogenous_feature_columns=[
layers.real_valued_column("exogenous")
],
dtype=dtypes.float64,
num_features=1))
estimator = estimators.StateSpaceRegressor(
model=random_model,
optimizer=gradient_descent.GradientDescentOptimizer(0.1))
combined_input_fn = input_pipeline.WholeDatasetInputFn(
input_pipeline.NumpyReader({
feature_keys.FilteringFeatures.TIMES: [1, 2, 3, 4],
feature_keys.FilteringFeatures.VALUES: [1., 2., 3., 4.],
"exogenous": [-1., -2., -3., -4.]
}))
estimator.train(combined_input_fn, steps=1)
export_location = estimator.export_savedmodel(
self.get_temp_dir(),
estimator.build_raw_serving_input_receiver_fn(
exogenous_features={
"exogenous": numpy.zeros((0, 0), dtype=numpy.float32)
}))
with ops.Graph().as_default() as graph:
random_model.initialize_graph()
with self.test_session(graph=graph) as session:
variables.global_variables_initializer().run()
evaled_start_state = session.run(
random_model.get_start_state())
evaled_start_state = [
state_element[None, ...] for state_element in evaled_start_state
]
with ops.Graph().as_default() as graph:
with self.test_session(graph=graph) as session:
signatures = loader.load(session, [tag_constants.SERVING],
export_location)
first_split_filtering = saved_model_utils.filter_continuation(
continue_from={
feature_keys.FilteringResults.STATE_TUPLE:
evaled_start_state
},
signatures=signatures,
session=session,
features={
feature_keys.FilteringFeatures.TIMES: [1, 2],
feature_keys.FilteringFeatures.VALUES: [1., 2.],
"exogenous": [-1., -2.]
})
second_split_filtering = saved_model_utils.filter_continuation(
continue_from=first_split_filtering,
signatures=signatures,
session=session,
features={
feature_keys.FilteringFeatures.TIMES: [3, 4],
feature_keys.FilteringFeatures.VALUES: [3., 4.],
"exogenous": [-3., -4.]
})
combined_filtering = saved_model_utils.filter_continuation(
continue_from={
feature_keys.FilteringResults.STATE_TUPLE:
evaled_start_state
},
signatures=signatures,
session=session,
features={
feature_keys.FilteringFeatures.TIMES: [1, 2, 3, 4],
feature_keys.FilteringFeatures.VALUES:
[1., 2., 3., 4.],
"exogenous": [-1., -2., -3., -4.]
})
split_predict = saved_model_utils.predict_continuation(
continue_from=second_split_filtering,
signatures=signatures,
session=session,
steps=1,
exogenous_features={"exogenous": [[-5.]]})
combined_predict = saved_model_utils.predict_continuation(
continue_from=combined_filtering,
signatures=signatures,
session=session,
steps=1,
exogenous_features={"exogenous": [[-5.]]})
for state_key, combined_state_value in combined_filtering.items():
if state_key == feature_keys.FilteringResults.TIMES:
continue
self.assertAllClose(combined_state_value,
second_split_filtering[state_key])
for prediction_key, combined_value in combined_predict.items():
self.assertAllClose(combined_value, split_predict[prediction_key])