###############################################################################
TimeseriesData = preprocess_data.PickleDataLoad(data_type=args.data,
filename=args.filename,
augment_test_data=False)
train_dataset = TimeseriesData.batchify(
args, TimeseriesData.trainData[:TimeseriesData.length], bsz=1)
test_dataset = TimeseriesData.batchify(args, TimeseriesData.testData, bsz=1)
###############################################################################
# Build the model
###############################################################################
nfeatures = TimeseriesData.trainData.size(-1)
model = model.RNNPredictor(rnn_type=args.model,
enc_inp_size=nfeatures,
rnn_inp_size=args.emsize,
rnn_hid_size=args.nhid,
dec_out_size=nfeatures,
nlayers=args.nlayers,
res_connection=args.res_connection).to(args.device)
model.load_state_dict(checkpoint['state_dict'])
#del checkpoint
scores, predicted_scores, precisions, recalls, f_betas = list(), list(), list(
), list(), list()
targets, mean_predictions, oneStep_predictions, Nstep_predictions = list(
), list(), list(), list()
try:
# For each channel in the dataset
for channel_idx in range(nfeatures):
''' 1. Load mean and covariance if they are pre-calculated, if not calculate them. '''
# Mean and covariance are calculated on train dataset.
def main():
"""Run inference."""
from model import model
parser = argparse.ArgumentParser(
description='PyTorch RNN Anomaly Detection Model')
parser.add_argument('--prediction_window_size',
type=int,
default=10,
help='prediction_window_size')
parser.add_argument(
'--data',
type=str,
default='ecg',
help=
'type of the dataset (ecg, gesture, power_demand, space_shuttle, respiration, nyc_taxi'
)
parser.add_argument('--filename',
type=str,
default='chfdb_chf13_45590.pkl',
help='filename of the dataset')
parser.add_argument('--save_fig',
action='store_true',
help='save results as figures')
parser.add_argument(
'--compensate',
action='store_true',
help='compensate anomaly score using anomaly score esimation')
parser.add_argument('--beta',
type=float,
default=1.0,
help='beta value for f-beta score')
parser.add_argument('--device',
type=str,
default='cuda',
help='cuda or cpu')
args_ = parser.parse_args()
print('-' * 89)
print("=> loading checkpoint ")
if args_.device == 'cpu':
checkpoint = torch.load(str(
Path('save', args_.data, 'checkpoint',
args_.filename).with_suffix('.pth')),
map_location=torch.device('cpu'))
else:
checkpoint = torch.load(
str(
Path('save', args_.data, 'checkpoint',
args_.filename).with_suffix('.pth')))
args = checkpoint['args']
args.prediction_window_size = args_.prediction_window_size
args.beta = args_.beta
args.save_fig = args_.save_fig
args.compensate = args_.compensate
args.device = args_.device
print("=> loaded checkpoint")
# Set the random seed manually for reproducibility.
torch.manual_seed(args.seed)
torch.cuda.manual_seed(args.seed)
###############################################################################
# Load data
###############################################################################
TimeseriesData = preprocess_data.PickleDataLoad(data_type=args.data,
filename=args.filename,
augment_test_data=False)
train_dataset = TimeseriesData.batchify(
args, TimeseriesData.trainData[:TimeseriesData.length], bsz=1)
test_dataset = TimeseriesData.batchify(args,
TimeseriesData.testData,
bsz=1)
###############################################################################
# Build the model
###############################################################################
nfeatures = TimeseriesData.trainData.size(-1)
model = model.RNNPredictor(rnn_type=args.model,
enc_inp_size=nfeatures,
rnn_inp_size=args.emsize,
rnn_hid_size=args.nhid,
dec_out_size=nfeatures,
nlayers=args.nlayers,
res_connection=args.res_connection).to(
args.device)
model.load_state_dict(checkpoint['state_dict'])
scores, predicted_scores, precisions, recalls, f_betas = list(), list(
), list(), list(), list()
targets, mean_predictions, oneStep_predictions, Nstep_predictions = list(
), list(), list(), list()
try:
# For each channel in the dataset
for channel_idx in range(nfeatures):
''' 1. Load mean and covariance if they are pre-calculated, if not calculate them. '''
# Mean and covariance are calculated on train dataset.
if 'means' in checkpoint.keys() and 'covs' in checkpoint.keys():
print('=> loading pre-calculated mean and covariance')
mean, cov = checkpoint['means'][channel_idx], checkpoint[
'covs'][channel_idx]
else:
print('=> calculating mean and covariance')
mean, cov = fit_norm_distribution_param(
args, model, train_dataset, channel_idx=channel_idx)
''' 2. Train anomaly score predictor using support vector regression (SVR). (Optional) '''
# An anomaly score predictor is trained
# given hidden layer output and the corresponding anomaly score on train dataset.
# Predicted anomaly scores on test dataset can be used for the baseline of the adaptive threshold.
if args.compensate:
print('=> training an SVR as anomaly score predictor')
train_score, _, _, hiddens, _ = anomalyScore(
args,
model,
train_dataset,
mean,
cov,
channel_idx=channel_idx)
score_predictor = GridSearchCV(SVR(),
cv=5,
param_grid={
"C": [1e0, 1e1, 1e2],
"gamma":
np.logspace(-1, 1, 3)
})
score_predictor.fit(
torch.cat(hiddens, dim=0).numpy(),
train_score.cpu().numpy())
else:
score_predictor = None
''' 3. Calculate anomaly scores'''
# Anomaly scores are calculated on the test dataset
# given the mean and the covariance calculated on the train dataset
print('=> calculating anomaly scores')
score, sorted_prediction, sorted_error, _, predicted_score = anomalyScore(
args,
model,
test_dataset,
mean,
cov,
score_predictor=score_predictor,
channel_idx=channel_idx)
''' 4. Evaluate the result '''
# The obtained anomaly scores are evaluated by measuring precision, recall, and f_beta scores
# The precision, recall, f_beta scores are are calculated repeatedly,
# sampling the threshold from 1 to the maximum anomaly score value, either equidistantly or logarithmically.
print('=> calculating precision, recall, and f_beta')
precision, recall, f_beta = get_precision_recall(
args,
score,
num_samples=1000,
beta=args.beta,
label=TimeseriesData.testLabel.to(args.device))
print('data: ', args.data, ' filename: ', args.filename,
' f-beta (no compensation): ',
f_beta.max().item(), ' beta: ', args.beta)
if args.compensate:
precision, recall, f_beta = get_precision_recall(
args,
score,
num_samples=1000,
beta=args.beta,
label=TimeseriesData.testLabel.to(args.device),
predicted_score=predicted_score)
print('data: ', args.data, ' filename: ', args.filename,
' f-beta (compensation): ',
f_beta.max().item(), ' beta: ', args.beta)
target = preprocess_data.reconstruct(
test_dataset.cpu()[:, 0, channel_idx],
TimeseriesData.mean[channel_idx],
TimeseriesData.std[channel_idx]).numpy()
mean_prediction = preprocess_data.reconstruct(
sorted_prediction.mean(dim=1).cpu(),
TimeseriesData.mean[channel_idx],
TimeseriesData.std[channel_idx]).numpy()
oneStep_prediction = preprocess_data.reconstruct(
sorted_prediction[:,
-1].cpu(), TimeseriesData.mean[channel_idx],
TimeseriesData.std[channel_idx]).numpy()
Nstep_prediction = preprocess_data.reconstruct(
sorted_prediction[:,
0].cpu(), TimeseriesData.mean[channel_idx],
TimeseriesData.std[channel_idx]).numpy()
sorted_errors_mean = sorted_error.abs().mean(dim=1).cpu()
sorted_errors_mean *= TimeseriesData.std[channel_idx]
sorted_errors_mean = sorted_errors_mean.numpy()
score = score.cpu()
scores.append(score), targets.append(
target), predicted_scores.append(predicted_score)
mean_predictions.append(
mean_prediction), oneStep_predictions.append(
oneStep_prediction)
Nstep_predictions.append(Nstep_prediction)
precisions.append(precision), recalls.append(
recall), f_betas.append(f_beta)
if args.save_fig:
save_dir = Path(
'result', args.data,
args.filename).with_suffix('').joinpath('fig_detection')
save_dir.mkdir(parents=True, exist_ok=True)
plt.plot(precision.cpu().numpy(), label='precision')
plt.plot(recall.cpu().numpy(), label='recall')
plt.plot(f_beta.cpu().numpy(), label='f1')
plt.legend()
plt.xlabel('Threshold (log scale)')
plt.ylabel('Value')
plt.title('Anomaly Detection on ' + args.data + ' Dataset',
fontsize=18,
fontweight='bold')
plt.savefig(
str(
save_dir.joinpath('fig_f_beta_channel' +
str(channel_idx)).with_suffix(
'.png')))
plt.close()
fig, ax1 = plt.subplots(figsize=(15, 5))
ax1.plot(target,
label='Target',
color='black',
marker='.',
linestyle='--',
markersize=1,
linewidth=0.5)
ax1.plot(mean_prediction,
label='Mean predictions',
color='purple',
marker='.',
linestyle='--',
markersize=1,
linewidth=0.5)
ax1.plot(oneStep_prediction,
label='1-step predictions',
color='green',
marker='.',
linestyle='--',
markersize=1,
linewidth=0.5)
ax1.plot(Nstep_prediction,
label=str(args.prediction_window_size) +
'-step predictions',
color='blue',
marker='.',
linestyle='--',
markersize=1,
linewidth=0.5)
ax1.plot(sorted_errors_mean,
label='Absolute mean prediction errors',
color='orange',
marker='.',
linestyle='--',
markersize=1,
linewidth=1.0)
ax1.legend(loc='upper left')
ax1.set_ylabel('Value', fontsize=15)
ax1.set_xlabel('Index', fontsize=15)
ax2 = ax1.twinx()
ax2.plot(
score.numpy().reshape(-1, 1),
label=
'Anomaly scores from \nmultivariate normal distribution',
color='red',
marker='.',
linestyle='--',
markersize=1,
linewidth=1)
if args.compensate:
ax2.plot(predicted_score,
label='Predicted anomaly scores from SVR',
color='cyan',
marker='.',
linestyle='--',
markersize=1,
linewidth=1)
ax2.legend(loc='upper right')
ax2.set_ylabel('anomaly score', fontsize=15)
plt.title('Anomaly Detection on ' + args.data + ' Dataset',
fontsize=18,
fontweight='bold')
plt.tight_layout()
plt.xlim([0, len(test_dataset)])
plt.savefig(
str(
save_dir.joinpath('fig_scores_channel' +
str(channel_idx)).with_suffix(
'.png')))
plt.close()
except KeyboardInterrupt:
print('-' * 89)
print('Exiting from training early')
print('=> saving the results as pickle extensions')
save_dir = Path('result', args.data, args.filename).with_suffix('')
save_dir.mkdir(parents=True, exist_ok=True)
pickle.dump(targets, open(str(save_dir.joinpath('target.pkl')), 'wb'))
pickle.dump(mean_predictions,
open(str(save_dir.joinpath('mean_predictions.pkl')), 'wb'))
pickle.dump(oneStep_predictions,
open(str(save_dir.joinpath('oneStep_predictions.pkl')), 'wb'))
pickle.dump(Nstep_predictions,
open(str(save_dir.joinpath('Nstep_predictions.pkl')), 'wb'))
pickle.dump(scores, open(str(save_dir.joinpath('score.pkl')), 'wb'))
pickle.dump(predicted_scores,
open(str(save_dir.joinpath('predicted_scores.pkl')), 'wb'))
pickle.dump(precisions, open(str(save_dir.joinpath('precision.pkl')),
'wb'))
pickle.dump(recalls, open(str(save_dir.joinpath('recall.pkl')), 'wb'))
pickle.dump(f_betas, open(str(save_dir.joinpath('f_beta.pkl')), 'wb'))
print('-' * 89)
augment_test_data=args.augment)
train_dataset = TimeseriesData.batchify(args, TimeseriesData.trainData,
args.batch_size)
test_dataset = TimeseriesData.batchify(args, TimeseriesData.testData,
args.eval_batch_size)
gen_dataset = TimeseriesData.batchify(args, TimeseriesData.testData, 1)
###############################################################################
# Build the model
###############################################################################
feature_dim = TimeseriesData.trainData.size(1)
model = model.RNNPredictor(rnn_type=args.model,
enc_inp_size=feature_dim,
rnn_inp_size=args.emsize,
rnn_hid_size=args.nhid,
dec_out_size=feature_dim,
nlayers=args.nlayers,
dropout=args.dropout,
tie_weights=args.tied,
res_connection=args.res_connection).to(args.device)
optimizer = optim.Adam(model.parameters(),
lr=args.lr,
weight_decay=args.weight_decay)
criterion = nn.MSELoss()
###############################################################################
# Training code
###############################################################################
def get_batch(args, source, i):
seq_len = min(args.bptt, len(source) - 1 - i)
if args.cuda:
batched_data = batched_data.cuda()
return batched_data
train_dataset = batchify(TimeseriesData.trainData, 1)[:10000]
test_dataset = batchify(TimeseriesData.testData, 1)
###############################################################################
# Build the model
###############################################################################
model = model.RNNPredictor(rnn_type = args.model, enc_inp_size=3, rnn_inp_size = args.emsize, rnn_hid_size = args.nhid,
dec_out_size=3,
nlayers = args.nlayers,)
if args.cuda:
model.cuda()
optimizer = optim.Adam(model.parameters(), lr= 0.0001)
criterion = nn.MSELoss()
###############################################################################
# Training code
###############################################################################
def fit_norm_distribution_param(args, model, train_dataset, endPoint=10000):
# Turn on evaluation mode which disables dropout.
model.eval()
pasthidden = model.init_hidden(1)
def main():
"""Run training"""
from model import model
parser = argparse.ArgumentParser(
description='PyTorch RNN Prediction Model on Time-series Dataset')
parser.add_argument(
'--data',
type=str,
default='ecg',
help=
'type of the dataset (ecg, gesture, power_demand, space_shuttle, respiration, nyc_taxi'
)
parser.add_argument('--filename',
type=str,
default='chfdb_chf13_45590.pkl',
help='filename of the dataset')
parser.add_argument(
'--model',
type=str,
default='LSTM',
help='type of recurrent net (RNN_TANH, RNN_RELU, LSTM, GRU, SRU)')
parser.add_argument('--augment', type=bool, default=True, help='augment')
parser.add_argument('--emsize',
type=int,
default=32,
help='size of rnn input features')
parser.add_argument('--nhid',
type=int,
default=32,
help='number of hidden units per layer')
parser.add_argument('--nlayers',
type=int,
default=2,
help='number of layers')
parser.add_argument('--res_connection',
action='store_true',
help='residual connection')
parser.add_argument('--lr',
type=float,
default=0.0002,
help='initial learning rate')
parser.add_argument('--weight_decay',
type=float,
default=1e-4,
help='weight decay')
parser.add_argument('--clip',
type=float,
default=10,
help='gradient clipping')
parser.add_argument('--epochs',
type=int,
default=400,
help='upper epoch limit')
parser.add_argument('--batch_size',
type=int,
default=64,
metavar='N',
help='batch size')
parser.add_argument('--eval_batch_size',
type=int,
default=64,
metavar='N',
help='eval_batch size')
parser.add_argument('--bptt', type=int, default=50, help='sequence length')
parser.add_argument('--teacher_forcing_ratio',
type=float,
default=0.7,
help='teacher forcing ratio (deprecated)')
parser.add_argument('--dropout',
type=float,
default=0.2,
help='dropout applied to layers (0 = no dropout)')
parser.add_argument(
'--tied',
action='store_true',
help='tie the word embedding and softmax weights (deprecated)')
parser.add_argument('--seed', type=int, default=1111, help='random seed')
parser.add_argument('--device',
type=str,
default='cuda',
help='cuda or cpu')
parser.add_argument('--log_interval',
type=int,
default=10,
metavar='N',
help='report interval')
parser.add_argument('--save_interval',
type=int,
default=10,
metavar='N',
help='save interval')
parser.add_argument('--save_fig', action='store_true', help='save figure')
parser.add_argument(
'--resume',
'-r',
help=
'use checkpoint model parameters as initial parameters (default: False)',
action="store_true")
parser.add_argument(
'--pretrained',
'-p',
help=
'use checkpoint model parameters and do not train anymore (default: False)',
action="store_true")
parser.add_argument('--prediction_window_size',
type=int,
default=10,
help='prediction_window_size')
args = parser.parse_args()
# Set the random seed manually for reproducibility.
torch.manual_seed(args.seed)
torch.cuda.manual_seed(args.seed)
###############################################################################
# Load data
###############################################################################
TimeseriesData = preprocess_data.PickleDataLoad(
data_type=args.data,
filename=args.filename,
augment_test_data=args.augment)
train_dataset = TimeseriesData.batchify(args, TimeseriesData.trainData,
args.batch_size)
test_dataset = TimeseriesData.batchify(args, TimeseriesData.testData,
args.eval_batch_size)
gen_dataset = TimeseriesData.batchify(args, TimeseriesData.testData, 1)
###############################################################################
# Build the model
###############################################################################
feature_dim = TimeseriesData.trainData.size(1)
model = model.RNNPredictor(rnn_type=args.model,
enc_inp_size=feature_dim,
rnn_inp_size=args.emsize,
rnn_hid_size=args.nhid,
dec_out_size=feature_dim,
nlayers=args.nlayers,
dropout=args.dropout,
tie_weights=args.tied,
res_connection=args.res_connection).to(
args.device)
optimizer = optim.Adam(model.parameters(),
lr=args.lr,
weight_decay=args.weight_decay)
criterion = nn.MSELoss()
###############################################################################
# Training code
###############################################################################
def get_batch(args, source, i):
seq_len = min(args.bptt, len(source) - 1 - i)
data = source[i:i + seq_len] # [ seq_len * batch_size * feature_size ]
target = source[i + 1:i + 1 +
seq_len] # [ (seq_len x batch_size x feature_size) ]
return data, target
def generate_output(args,
epoch,
model,
gen_dataset,
disp_uncertainty=True,
startPoint=500,
endPoint=3500):
if args.save_fig:
# Turn on evaluation mode which disables dropout.
model.eval()
hidden = model.init_hidden(1)
outSeq = []
upperlim95 = []
lowerlim95 = []
with torch.no_grad():
for i in range(endPoint):
if i >= startPoint:
# if disp_uncertainty and epoch > 40:
# outs = []
# model.train()
# for i in range(20):
# out_, hidden_ = model.forward(out+0.01*Variable(torch.randn(out.size())).cuda(),hidden,noise=True)
# outs.append(out_)
# model.eval()
# outs = torch.cat(outs,dim=0)
# out_mean = torch.mean(outs,dim=0) # [bsz * feature_dim]
# out_std = torch.std(outs,dim=0) # [bsz * feature_dim]
# upperlim95.append(out_mean + 2.58*out_std/np.sqrt(20))
# lowerlim95.append(out_mean - 2.58*out_std/np.sqrt(20))
out, hidden = model.forward(out, hidden)
#print(out_mean,out)
else:
out, hidden = model.forward(
gen_dataset[i].unsqueeze(0), hidden)
outSeq.append(out.data.cpu()[0][0].unsqueeze(0))
outSeq = torch.cat(outSeq, dim=0) # [seqLength * feature_dim]
target = preprocess_data.reconstruct(gen_dataset.cpu(),
TimeseriesData.mean,
TimeseriesData.std)
outSeq = preprocess_data.reconstruct(outSeq, TimeseriesData.mean,
TimeseriesData.std)
# if epoch>40:
# upperlim95 = torch.cat(upperlim95, dim=0)
# lowerlim95 = torch.cat(lowerlim95, dim=0)
# upperlim95 = preprocess_data.reconstruct(upperlim95.data.cpu().numpy(),TimeseriesData.mean,TimeseriesData.std)
# lowerlim95 = preprocess_data.reconstruct(lowerlim95.data.cpu().numpy(),TimeseriesData.mean,TimeseriesData.std)
plt.figure(figsize=(15, 5))
for i in range(target.size(-1)):
plt.plot(target[:, :, i].numpy(),
label='Target' + str(i),
color='black',
marker='.',
linestyle='--',
markersize=1,
linewidth=0.5)
plt.plot(range(startPoint),
outSeq[:startPoint, i].numpy(),
label='1-step predictions for target' + str(i),
color='green',
marker='.',
linestyle='--',
markersize=1.5,
linewidth=1)
# if epoch>40:
# plt.plot(range(startPoint, endPoint), upperlim95[:,i].numpy(), label='upperlim'+str(i),
# color='skyblue', marker='.', linestyle='--', markersize=1.5, linewidth=1)
# plt.plot(range(startPoint, endPoint), lowerlim95[:,i].numpy(), label='lowerlim'+str(i),
# color='skyblue', marker='.', linestyle='--', markersize=1.5, linewidth=1)
plt.plot(range(startPoint, endPoint),
outSeq[startPoint:, i].numpy(),
label='Recursive predictions for target' + str(i),
color='blue',
marker='.',
linestyle='--',
markersize=1.5,
linewidth=1)
plt.xlim([startPoint - 500, endPoint])
plt.xlabel('Index', fontsize=15)
plt.ylabel('Value', fontsize=15)
plt.title('Time-series Prediction on ' + args.data + ' Dataset',
fontsize=18,
fontweight='bold')
plt.legend()
plt.tight_layout()
plt.text(startPoint - 500 + 10,
target.min(),
'Epoch: ' + str(epoch),
fontsize=15)
save_dir = Path(
'result', args.data,
args.filename).with_suffix('').joinpath('fig_prediction')
save_dir.mkdir(parents=True, exist_ok=True)
plt.savefig(
save_dir.joinpath('fig_epoch' +
str(epoch)).with_suffix('.png'))
#plt.show()
plt.close()
return outSeq
else:
pass
def evaluate_1step_pred(args, model, test_dataset):
# Turn on evaluation mode which disables dropout.
model.eval()
total_loss = 0
with torch.no_grad():
hidden = model.init_hidden(args.eval_batch_size)
for nbatch, i in enumerate(
range(0,
test_dataset.size(0) - 1, args.bptt)):
inputSeq, targetSeq = get_batch(args, test_dataset, i)
outSeq, hidden = model.forward(inputSeq, hidden)
loss = criterion(outSeq.view(args.batch_size, -1),
targetSeq.view(args.batch_size, -1))
hidden = model.repackage_hidden(hidden)
total_loss += loss.item()
return total_loss / nbatch
def train(args, model, train_dataset, epoch):
with torch.enable_grad():
# Turn on training mode which enables dropout.
model.train()
total_loss = 0
start_time = time.time()
hidden = model.init_hidden(args.batch_size)
for batch, i in enumerate(
range(0,
train_dataset.size(0) - 1, args.bptt)):
inputSeq, targetSeq = get_batch(args, train_dataset, i)
# inputSeq: [ seq_len * batch_size * feature_size ]
# targetSeq: [ seq_len * batch_size * feature_size ]
# Starting each batch, we detach the hidden state from how it was previously produced.
# If we didn't, the model would try backpropagating all the way to start of the dataset.
hidden = model.repackage_hidden(hidden)
hidden_ = model.repackage_hidden(hidden)
optimizer.zero_grad()
'''Loss1: Free running loss'''
outVal = inputSeq[0].unsqueeze(0)
outVals = []
hids1 = []
for i in range(inputSeq.size(0)):
outVal, hidden_, hid = model.forward(outVal,
hidden_,
return_hiddens=True)
outVals.append(outVal)
hids1.append(hid)
outSeq1 = torch.cat(outVals, dim=0)
hids1 = torch.cat(hids1, dim=0)
loss1 = criterion(
outSeq1.contiguous().view(args.batch_size, -1),
targetSeq.contiguous().view(args.batch_size, -1))
'''Loss2: Teacher forcing loss'''
outSeq2, hidden, hids2 = model.forward(inputSeq,
hidden,
return_hiddens=True)
loss2 = criterion(
outSeq2.contiguous().view(args.batch_size, -1),
targetSeq.contiguous().view(args.batch_size, -1))
'''Loss3: Simplified Professor forcing loss'''
loss3 = criterion(hids1.view(args.batch_size, -1),
hids2.view(args.batch_size, -1).detach())
'''Total loss = Loss1+Loss2+Loss3'''
loss = loss1 + loss2 + loss3
loss.backward()
# `clip_grad_norm` helps prevent the exploding gradient problem in RNNs / LSTMs.
torch.nn.utils.clip_grad_norm_(model.parameters(), args.clip)
optimizer.step()
total_loss += loss.item()
if batch % args.log_interval == 0 and batch > 0:
cur_loss = total_loss / args.log_interval
elapsed = time.time() - start_time
print(
'| epoch {:3d} | {:5d}/{:5d} batches | ms/batch {:5.4f} | '
'loss {:5.2f} '.format(
epoch, batch,
len(train_dataset) // args.bptt,
elapsed * 1000 / args.log_interval, cur_loss))
total_loss = 0
start_time = time.time()
def evaluate(args, model, test_dataset):
# Turn on evaluation mode which disables dropout.
model.eval()
with torch.no_grad():
total_loss = 0
hidden = model.init_hidden(args.eval_batch_size)
nbatch = 1
for nbatch, i in enumerate(
range(0,
test_dataset.size(0) - 1, args.bptt)):
inputSeq, targetSeq = get_batch(args, test_dataset, i)
# inputSeq: [ seq_len * batch_size * feature_size ]
# targetSeq: [ seq_len * batch_size * feature_size ]
hidden_ = model.repackage_hidden(hidden)
'''Loss1: Free running loss'''
outVal = inputSeq[0].unsqueeze(0)
outVals = []
hids1 = []
for i in range(inputSeq.size(0)):
outVal, hidden_, hid = model.forward(outVal,
hidden_,
return_hiddens=True)
outVals.append(outVal)
hids1.append(hid)
outSeq1 = torch.cat(outVals, dim=0)
hids1 = torch.cat(hids1, dim=0)
loss1 = criterion(
outSeq1.contiguous().view(args.batch_size, -1),
targetSeq.contiguous().view(args.batch_size, -1))
'''Loss2: Teacher forcing loss'''
outSeq2, hidden, hids2 = model.forward(inputSeq,
hidden,
return_hiddens=True)
loss2 = criterion(
outSeq2.contiguous().view(args.batch_size, -1),
targetSeq.contiguous().view(args.batch_size, -1))
'''Loss3: Simplified Professor forcing loss'''
loss3 = criterion(hids1.view(args.batch_size, -1),
hids2.view(args.batch_size, -1).detach())
'''Total loss = Loss1+Loss2+Loss3'''
loss = loss1 + loss2 + loss3
total_loss += loss.item()
return total_loss / (nbatch + 1)
# Loop over epochs.
if args.resume or args.pretrained:
print("=> loading checkpoint ")
checkpoint = torch.load(
Path('save', args.data, 'checkpoint',
args.filename).with_suffix('.pth'))
args, start_epoch, best_val_loss = model.load_checkpoint(
args, checkpoint, feature_dim)
optimizer.load_state_dict((checkpoint['optimizer']))
del checkpoint
epoch = start_epoch
print("=> loaded checkpoint")
else:
epoch = 1
start_epoch = 1
best_val_loss = float('inf')
print("=> Start training from scratch")
print('-' * 89)
print(args)
print('-' * 89)
if not args.pretrained:
# At any point you can hit Ctrl + C to break out of training early.
try:
for epoch in range(start_epoch, args.epochs + 1):
epoch_start_time = time.time()
train(args, model, train_dataset, epoch)
val_loss = evaluate(args, model, test_dataset)
print('-' * 89)
print(
'| end of epoch {:3d} | time: {:5.2f}s | valid loss {:5.4f} | '
.format(epoch, (time.time() - epoch_start_time), val_loss))
print('-' * 89)
generate_output(args,
epoch,
model,
gen_dataset,
startPoint=1500)
if epoch % args.save_interval == 0:
# Save the model if the validation loss is the best we've seen so far.
is_best = val_loss < best_val_loss
best_val_loss = min(val_loss, best_val_loss)
model_dictionary = {
'epoch': epoch,
'best_loss': best_val_loss,
'state_dict': model.state_dict(),
'optimizer': optimizer.state_dict(),
'args': args
}
model.save_checkpoint(model_dictionary, is_best)
except KeyboardInterrupt:
print('-' * 89)
print('Exiting from training early')
# Calculate mean and covariance for each channel's prediction errors, and save them with the trained model
print('=> calculating mean and covariance')
means, covs = list(), list()
train_dataset = TimeseriesData.batchify(args,
TimeseriesData.trainData,
bsz=1)
for channel_idx in range(model.enc_input_size):
mean, cov = fit_norm_distribution_param(
args, model, train_dataset[:TimeseriesData.length], channel_idx)
means.append(mean), covs.append(cov)
model_dictionary = {
'epoch': max(epoch, start_epoch),
'best_loss': best_val_loss,
'state_dict': model.state_dict(),
'optimizer': optimizer.state_dict(),
'args': args,
'means': means,
'covs': covs
}
model.save_checkpoint(model_dictionary, True)
print('-' * 89)
# Load data
###############################################################################
TimeseriesData = preprocess_data.DataLoad(args.data)
train_dataset = preprocess_data.batchify(args, TimeseriesData.trainData,
args.batch_size)
test_dataset = preprocess_data.batchify(args, TimeseriesData.testData,
args.eval_batch_size)
gen_dataset = preprocess_data.batchify(args, TimeseriesData.testData, 1)
###############################################################################
# Build the model
###############################################################################
model = model.RNNPredictor(rnn_type=args.model,
enc_inp_size=3,
rnn_inp_size=args.emsize,
rnn_hid_size=args.nhid,
dec_out_size=3,
nlayers=args.nlayers,
dropout=args.dropout,
tie_weights=args.tied)
print(list(model.parameters()))
if args.cuda:
model.cuda()
optimizer = optim.Adam(model.parameters(), lr=args.lr)
criterion = nn.MSELoss()
###############################################################################
# Training code
###############################################################################
def get_batch(source, i, evaluation=False):
seq_len = min(args.bptt, len(source) - 1 - i)
