def var_predict(df, n_forwards=(1, 3), n_lags=4, test_ratio=0.2):
n_sample, n_output = df.shape
n_test = int(round(n_sample * test_ratio))
n_train = n_sample - n_test
df_train, df_test = df[:n_train], df[n_train:]
scaler = StandardScaler(mean=df_train.values.mean(),
std=df_train.values.std())
data = scaler.transform(df_train.values)
var_model = VAR(data)
var_result = var_model.fit(n_lags)
max_n_forwards = np.max(n_forwards)
# Do forecasting.
result = np.zeros(shape=(len(n_forwards), n_test, n_output))
start = n_train - n_lags - max_n_forwards + 1
for input_ind in range(start, n_sample - n_lags):
prediction = var_result.forecast(
scaler.transform(df.values[input_ind:input_ind + n_lags]),
max_n_forwards)
for i, n_forward in enumerate(n_forwards):
result_ind = input_ind - n_train + n_lags + n_forward - 1
if 0 <= result_ind < n_test:
result[i, result_ind, :] = prediction[n_forward - 1, :]
df_predicts = []
for i, n_forward in enumerate(n_forwards):
df_predict = pd.DataFrame(scaler.inverse_transform(result[i]),
index=df_test.index,
columns=df_test.columns)
df_predicts.append(df_predict)
df_predict.to_csv("./df_predict.csv", sep=',', index=False)
df_test.to_csv("./df_test.csv", sep=',', index=False)
return df_predicts, df_test
def var_predict(df, n_forwards=(1, 3), n_lags=4, test_ratio=0.2):
"""
Multivariate time series forecasting using Vector Auto-Regressive Model.
:param df: pandas.DataFrame, index: time, columns: sensor id, content: data.
:param n_forwards: a tuple of horizons.
:param n_lags: the order of the VAR model.
:param test_ratio:
:return: [list of prediction in different horizon], dt_test
"""
n_sample, n_output = df.shape
n_test = int(round(n_sample * test_ratio))
n_train = n_sample - n_test
df_train, df_test = df[:n_train], df[n_train:]
scaler = StandardScaler(mean=df_train.values.mean(), std=df_train.values.std())
data = scaler.transform(df_train.values)
var_model = VAR(data)
var_result = var_model.fit(n_lags)
max_n_forwards = np.max(n_forwards)
# Do forecasting.
result = np.zeros(shape=(len(n_forwards), n_test, n_output))
start = n_train - n_lags - max_n_forwards + 1
for input_ind in range(start, n_sample - n_lags):
prediction = var_result.forecast(scaler.transform(df.values[input_ind: input_ind + n_lags]), max_n_forwards)
for i, n_forward in enumerate(n_forwards):
result_ind = input_ind - n_train + n_lags + n_forward - 1
if 0 <= result_ind < n_test:
result[i, result_ind, :] = prediction[n_forward - 1, :]
df_predicts = []
for i, n_forward in enumerate(n_forwards):
df_predict = pd.DataFrame(scaler.inverse_transform(result[i]), index=df_test.index, columns=df_test.columns)
df_predicts.append(df_predict)
return df_predicts, df_test
def test_transform_df(self):
df = pd.DataFrame([[35., 0.], [0., 17.5], [70., 35.]])
expected_result = np.array([[0., -1.], [-1, -0.5], [1., 0.]])
scaler = StandardScaler(mean=35., std=35.)
result = scaler.transform(df)
self.assertTrue(np.array_equal(expected_result, result.values))
def test_transform(self):
data = np.array([[35., 0.], [0., 17.5], [70., 35.]])
expected_result = np.array([[0., -1.], [-1, -0.5], [1., 0.]])
scaler = StandardScaler(mean=35., std=35.)
result = scaler.transform(data)
self.assertTrue(np.array_equal(expected_result, result))
def setup_dataloader(
arr3d,
seq_len,
horizon,
length_dict,
train_batch_size,
val_batch_size,
test_batch_size,
scale,
features,
logger,
seq_sampling,
):
train_length = length_dict['train_length']
val_length = length_dict['val_length']
test_length = length_dict['test_length']
test_arr3d = arr3d[-test_length:]
val_arr3d = arr3d[train_length:train_length +
val_length] if val_length > 0 else test_arr3d
train_arr3d = arr3d[:train_length]
train_arr2d = train_arr3d[:, :, 0]
val_arr2d = val_arr3d[:, :, 0]
test_arr2d = test_arr3d[:, :, 0]
train_z_arr3d = train_arr3d.copy()
val_z_arr3d = val_arr3d.copy()
test_z_arr3d = test_arr3d.copy()
scaler = StandardScaler(mean=train_arr2d.mean(),
std=train_arr2d.std(),
scale=scale)
train_z_arr3d[:, :, 0] = scaler.transform(train_arr2d)
val_z_arr3d[:, :, 0] = scaler.transform(val_arr2d)
test_z_arr3d[:, :, 0] = scaler.transform(test_arr2d)
dataloaders = {}
dataloaders['test_loader'] = \
SpatioTemporalDataLoader(test_z_arr3d, test_batch_size, seq_len, horizon, shuffle=False,
features=features, seq_sampling=seq_sampling)
assert dataloaders[
'test_loader'].num_batch > 0, 'num_batch for test dataset should be > 0'
dataloaders['val_loader'] = \
SpatioTemporalDataLoader(val_z_arr3d, val_batch_size, seq_len, horizon, shuffle=False,
features=features, seq_sampling=seq_sampling)
dataloaders['train_loader'] = \
SpatioTemporalDataLoader(train_z_arr3d, train_batch_size, seq_len, horizon, shuffle=True,
features=features, seq_sampling=seq_sampling)
dataloaders['scaler'] = scaler
logger.info('[train] | # timesteps: {:06d} | # samples: {:06d} | # batches: {:06d}'.\
format(train_length, dataloaders['train_loader'].size, dataloaders['train_loader'].num_batch))
logger.info('[validation] | # timesteps: {:06d} | # samples: {:06d} | # batches: {:06d}'.\
format(val_length, dataloaders['val_loader'].size, dataloaders['val_loader'].num_batch))
logger.info('[test] | # timesteps: {:06d} | # samples: {:06d} | # batches: {:06d}'.\
format(test_length, dataloaders['test_loader'].size, dataloaders['test_loader'].num_batch))
return dataloaders