def test_evaluate_predict_future_more_1(self):
target_col = "values"
metrics = ["mse", "r2"]
future_seq_len = np.random.randint(2, 6)
train_df, test_df, tsp, test_sample_num = self.get_input_tsp(
future_seq_len, target_col)
pipeline = tsp.fit(train_df, test_df)
mse, rs = pipeline.evaluate(test_df, metrics=metrics)
assert len(mse) == future_seq_len
assert len(rs) == future_seq_len
y_pred = pipeline.predict(test_df)
assert y_pred.shape == (test_sample_num - default_past_seq_len + 1,
future_seq_len + 1)
y_pred_df = pipeline.predict(test_df[:-future_seq_len])
columns = [
"{}_{}".format(target_col, i) for i in range(future_seq_len)
]
y_pred_value = y_pred_df[columns].values
y_df = test_df[default_past_seq_len:]
y_value = TimeSequenceFeatureTransformer()._roll_test(
y_df[target_col], future_seq_len)
mse_pred_eval, rs_pred_eval = [
Evaluator.evaluate(m, y_value, y_pred_value) for m in metrics
]
mse_eval, rs_eval = pipeline.evaluate(test_df, metrics)
assert_array_almost_equal(mse_pred_eval, mse_eval, decimal=2)
assert_array_almost_equal(rs_pred_eval, rs_eval, decimal=2)
def evaluate_with_onnx(self,
data,
metrics=['mse'],
multioutput="uniform_average",
batch_size=32):
'''
Evaluate the time series pipeline with onnx.
:param data: data can be a TSDataset or data creator(will be supported).
The TSDataset should follow the same operations as the training
TSDataset used in AutoTSEstimator.fit.
:param metrics: list. The evaluation metric name to optimize. e.g. ["mse"]
:param multioutput: Defines aggregating of multiple output values.
String in ['raw_values', 'uniform_average']. The value defaults to
'uniform_average'.
:param batch_size: predict batch_size, the process will cost more time
if batch_size is small while cost less memory. The param is only
effective when data is a TSDataset. The values defaults to 32.
'''
# predict with onnx
x, y = self._tsdataset_to_numpy(data, is_predict=False)
yhat = self._best_model.predict_with_onnx(x, batch_size=batch_size)
yhat = self._tsdataset_unscale(yhat)
# unscale
y = self._tsdataset_unscale(y)
# evaluate
eval_result = [
Evaluator.evaluate(m,
y_true=y,
y_pred=yhat,
multioutput=multioutput) for m in metrics
]
return eval_result
def evaluate(self, target, data=None, metrics=['mse']):
"""
Evaluate on the prediction results. We predict horizon time-points ahead the input data
in fit_eval before evaluation, where the horizon length equals the second dimension size of
target.
:param data: Prophet predicts the horizon steps foreward from the training data.
So data should be None as it is not used.
:param target: target for evaluation. A dataframe with 2 columns, where column 'ds'
indicating date and column 'y' indicating target.
:param metrics: a list of metrics in string format
:return: a list of metric evaluation results
"""
if data is not None:
raise ValueError("We don't support input data currently")
if target is None:
raise ValueError("Input invalid target of None")
if self.model is None:
raise Exception(
"Needs to call fit_eval or restore first before calling evaluate"
)
target_pred = self.model.predict(target)
return [
Evaluator.evaluate(m, target.y.values, target_pred.yhat.values)
for m in metrics
]
def evaluate(self, df, metric=['mse']):
"""
Evaluate on x, y
:param x: input
:param y: target
:param metric: a list of metrics in string format
:return: a list of metric evaluation results
"""
if isinstance(metric, str):
metric = [metric]
x, y = self._process_data(df, mode="val")
y_pred = self.model.predict(x)
y_unscale, y_pred_unscale = self.ft.post_processing(df,
y_pred,
is_train=True)
if len(y_pred.shape) > 1 and y_pred.shape[1] == 1:
multioutput = 'uniform_average'
else:
multioutput = 'raw_values'
return [
Evaluator.evaluate(m,
y_unscale,
y_pred_unscale,
multioutput=multioutput) for m in metric
]
def evaluate(self, x, y, metrics=['mse']):
"""
Evaluate on the prediction results and y. We predict horizon time-points ahead the input x
in fit_eval before evaluation, where the horizon length equals the second dimension size of
y.
:param x: We don't support input x currently.
:param y: target. We interpret the second dimension of y as the horizon length for
evaluation.
:param metrics: a list of metrics in string format
:return: a list of metric evaluation results
"""
if x is None:
raise ValueError("Input invalid x of None")
if y is None:
raise ValueError("Input invalid y of None")
if self.model is None:
raise Exception(
"Needs to call fit_eval or restore first before calling predict"
)
if isinstance(y, pd.DataFrame):
y = y.values
self.model.n_jobs = self.n_jobs
y_pred = self.predict(x)
result_list = []
for metric in metrics:
if callable(metric):
result_list.append(metric(y, y_pred))
else:
result_list.append(Evaluator.evaluate(metric, y, y_pred))
return result_list
def evaluate(self, x, y, metric=['mse']):
"""
Evaluate on x, y
:param x: input
:param y: target
:param metric: a list of metrics in string format
:return: a list of metric evaluation results
"""
y_pred = self.predict(x)
# y = np.squeeze(y, axis=2)
if self.target_col_num == 1:
return [Evaluator.evaluate(m, y, y_pred) for m in metric]
else:
return [np.array([Evaluator.evaluate(m, y[:, i, :], y_pred[:, i, :])
for i in range(self.future_seq_len)])
for m in metric]
def evaluate(self, x, y, metrics=['mse'], multioutput="raw_values", batch_size=32):
# reshape 1dim input
x = self._reshape_input(x)
y = self._reshape_input(y)
yhat = self.predict(x, batch_size=batch_size)
eval_result = [Evaluator.evaluate(m, y_true=y, y_pred=yhat, multioutput=multioutput)
for m in metrics]
return eval_result
def evaluate(self, x, y, metrics=['mse']):
"""
Evaluate on x, y
:param x: input
:param y: target
:param metrics: a list of metrics in string format
:return: a list of metric evaluation results
"""
y_pred = self.predict(x)
return [Evaluator.evaluate(m, y, y_pred) for m in metrics]
def evaluate(self,
x=None,
y=None,
metrics=None,
target_covariates=None,
target_dti=None,
num_workers=None):
"""
Evaluate on the prediction results and y. We predict horizon time-points ahead the input x
in fit_eval before evaluation, where the horizon length equals the second dimension size of
y.
:param x: We don't support input x currently.
:param y: target. We interpret the second dimension of y as the horizon length for
evaluation.
:param metrics: a list of metrics in string format
:param target_covariates: covariates corresponding to target_value.
2-D ndarray or None.
The shape of ndarray should be (r, horizon), where r is the number of covariates.
Global covariates for all time series. If None, only default time coveriates will be
used while use_time is True. If not, the time coveriates used is the stack of input
covariates and default time coveriates.
:param target_dti: dti corresponding to target_value.
DatetimeIndex or None.
If None, use default fixed frequency DatetimeIndex generated with the last date of x in
fit and freq.
:param num_workers: the number of workers to use in evaluate. It defaults to 1.
:return: a list of metric evaluation results
"""
if x is not None:
raise ValueError("We don't support input x directly.")
if y is None:
raise ValueError("Input invalid y of None")
if self.model is None:
raise Exception(
"Needs to call fit_eval or restore first before calling predict"
)
if len(y.shape) == 1:
y = np.expand_dims(y, axis=1)
horizon = 1
else:
horizon = y.shape[1]
result = self.predict(x=None,
horizon=horizon,
future_covariates=target_covariates,
future_dti=target_dti,
num_workers=num_workers)
if y.shape[1] == 1:
multioutput = 'uniform_average'
else:
multioutput = 'raw_values'
return [
Evaluator.evaluate(m, y, result, multioutput=multioutput)
for m in metrics
]
def evaluate(self, x, y, metrics=['mse']):
"""
Evaluate on x, y
:param x: input
:param y: target
:param metric: a list of metrics in string format
:return: a list of metric evaluation results
"""
y_pred = self.predict(x)
if y_pred.shape[1] == 1:
multioutput = 'uniform_average'
else:
multioutput = 'raw_values'
# y = np.squeeze(y, axis=2)
return [Evaluator.evaluate(m, y, y_pred, multioutput=multioutput) for m in metrics]
def _validate(self, validation_loader, metric_name, metric_func=None):
if not metric_name:
assert metric_func, "You must input valid metric_func or metric_name"
metric_name = metric_func.__name__
self.model.eval()
with torch.no_grad():
yhat_list = []
y_list = []
for x_valid_batch, y_valid_batch in validation_loader:
yhat_list.append(self.model(x_valid_batch).numpy())
y_list.append(y_valid_batch.numpy())
yhat = np.concatenate(yhat_list, axis=0)
y = np.concatenate(y_list, axis=0)
# val_loss = self.criterion(yhat, y)
if metric_func:
eval_result = metric_func(y, yhat)
else:
eval_result = Evaluator.evaluate(metric=metric_name,
y_true=y, y_pred=yhat,
multioutput='uniform_average')
return {metric_name: eval_result}
def evaluate(self, target, x=None, metrics=['mse'], rolling=False):
"""
Evaluate on the prediction results and y. We predict horizon time-points ahead the input x
in fit_eval before evaluation, where the horizon length equals the second dimension size of
y.
:param target: target for evaluation.
:param x: ARIMA predicts the horizon steps foreward from the training data.
So x should be None as it is not used.
:param metrics: a list of metrics in string format
:param rolling: whether to use rolling prediction
:return: a list of metric evaluation results
"""
if x is not None:
raise ValueError("We don't support input x currently")
if target is None:
raise ValueError("Input invalid target of None")
if self.model is None:
raise Exception("Needs to call fit_eval or restore first before calling evaluate")
forecasts = self.predict(horizon=len(target), rolling=rolling)
return [Evaluator.evaluate(m, target, forecasts) for m in metrics]
def train_example(args):
auto_est = AutoEstimator.from_torch(
model_creator=model_creator,
optimizer="Adam",
loss="BCELoss",
logs_dir="/tmp/zoo_automl_logs",
resources_per_trial={"cpu": args.cpus_per_trial},
name="test_fit")
train_data, val_data = get_train_val_data()
auto_est.fit(data=train_data,
epochs=args.epochs,
validation_data=val_data,
metric="accuracy",
n_sampling=args.trials,
search_space=create_linear_search_space())
# Choose the best model
best_model = auto_est.get_best_model()
y_hat = best_model(torch.from_numpy(val_data[0]).float()).detach().numpy()
from zoo.orca.automl.metrics import Evaluator
accuracy = Evaluator.evaluate(metric="accuracy",
y_true=val_data[1],
y_pred=y_hat)
print("Evaluate: accuracy is", accuracy)
else:
recipe = XgbRegressorGridRandomRecipe(num_rand_samples=num_rand_samples,
n_estimators=list(n_estimators_range),
max_depth=list(max_depth_range),
)
search_alg = None
scheduler = None
scheduler_params = None
auto_xgb_clf = AutoXGBClassifier(cpus_per_trial=4, name="auto_xgb_classifier", **config)
import time
start = time.time()
auto_xgb_clf.fit(data=(X_train, y_train),
validation_data=(X_val, y_val),
metric="error",
metric_mode="min",
n_sampling=recipe.num_samples,
search_space=recipe.search_space(),
search_alg=search_alg,
search_alg_params=None,
scheduler=scheduler,
scheduler_params=scheduler_params)
end = time.time()
print("elapse: ", (end-start), "s")
best_model = auto_xgb_clf.get_best_model()
y_hat = best_model.predict(X_val)
from zoo.orca.automl.metrics import Evaluator
accuracy = Evaluator.evaluate(metric="accuracy", y_true=y_val, y_pred=y_hat)
print("Evaluate: accuracy is", accuracy)
logger.info('Stopping context for yarn cluster and init context on local.')
stop_orca_context()
import ray
ray.init(num_cpus=args.num_predict_cores)
logger.info('Start prediction.')
yhat = model.predict(horizon=horizon,
num_workers=args.num_predict_workers
if args.predict_local else args.num_workers)
logger.info("Prediction ends")
yhat = yhat["prediction"]
target_value = dict({"y": target_data})
# evaluate with prediction results
from zoo.orca.automl.metrics import Evaluator
evaluate_mse = Evaluator.evaluate("mse", target_data, yhat)
# You can also evaluate directly without prediction results.
mse, smape = model.evaluate(target_value=target_value, metric=['mse', 'smape'],
num_workers=args.num_predict_workers if args.predict_local
else args.num_workers)
print(f"Evaluation results:\nmse: {mse}, \nsmape: {smape}")
logger.info("Evaluation ends")
# incremental fitting
logger.info("Start fit incremental")
model.fit_incremental({'y': target_data})
logger.info("Start evaluation after fit incremental")
incr_target_value = dict({"y": incr_target_data})
mse, smape = model.evaluate(target_value=incr_target_value, metric=['mse', 'smape'],
num_workers=args.num_predict_workers
min_child_weight=min_child_weight)
search_alg = None
search_alg_params = None
scheduler = None
scheduler_params = None
auto_xgb_reg = AutoXGBRegressor(
cpus_per_trial=2,
name="auto_xgb_regressor",
**config)
auto_xgb_reg.fit(data=(X_train, y_train),
validation_data=(X_val, y_val),
metric="rmse",
n_sampling=recipe.num_samples,
search_space=recipe.search_space(),
search_alg=search_alg,
search_alg_params=None,
scheduler=scheduler,
scheduler_params=scheduler_params)
print("Training completed.")
best_model = auto_xgb_reg.get_best_model()
y_hat = best_model.predict(X_val)
from zoo.orca.automl.metrics import Evaluator
rmse = Evaluator.evaluate(metric="rmse", y_true=y_val, y_pred=y_hat)
print(f"Evaluate: the square root of mean square error is {rmse:.2f}")
ray_ctx.stop()
sc.stop()
name="auto_lstm")
auto_lstm.fit(
data=get_data_creator(tsdata_train),
epochs=args.epoch,
batch_size=hp.choice([32, 64]),
validation_data=get_data_creator(tsdata_valid),
n_sampling=args.n_sampling,
)
best_model = auto_lstm.get_best_model()
best_config = auto_lstm.get_best_config()
x, y = tsdata_test\
.roll(lookback=best_config["past_seq_len"],
horizon=best_config["future_seq_len"])\
.to_numpy()
yhat = best_model(torch.from_numpy(x).float()).detach().numpy()
y_unscale = tsdata_test.unscale_numpy(y)
yhat_unscale = tsdata_test.unscale_numpy(np.expand_dims(yhat, axis=1))
result = [
Evaluator.evaluate(m,
y_true=y_unscale,
y_pred=yhat_unscale,
multioutput="uniform_average")
for m in ['rmse', 'smape']
]
print(f'rmse is {result[0]}, sampe is {result[1]}')
print(f'The hyperparameters of the model are {best_config}')
stop_orca_context()
forecaster = Seq2SeqForecaster(past_seq_len=100,
future_seq_len=10,
input_feature_num=x_train.shape[-1],
output_feature_num=2,
metrics=['mse'],
distributed=True,
workers_per_node=args.workers_per_node,
seed=0)
forecaster.fit(
(x_train, y_train),
epochs=args.epochs,
batch_size=512 //
(1 if not forecaster.distributed else args.workers_per_node))
yhat = forecaster.predict(x_test)
unscale_yhat = tsdata_test.unscale_numpy(yhat)
unscale_y_test = tsdata_test.unscale_numpy(y_test)
rmse, smape = [
Evaluator.evaluate(m,
y_true=unscale_y_test,
y_pred=unscale_yhat,
multioutput='raw_values')
for m in ['rmse', 'smape']
]
print(f'rmse is: {np.mean(rmse)}')
print(f'smape is: {np.mean(smape):.4f}')
stop_orca_context()
auto_lstm = AutoLSTM(input_feature_num=1,
output_target_num=1,
past_seq_len=20,
hidden_dim=hp.grid_search([32, 64]),
layer_num=hp.randint(1, 3),
lr=hp.choice([0.01, 0.03, 0.1]),
dropout=hp.uniform(0.1, 0.2),
optimizer='Adam',
loss=torch.nn.MSELoss(),
metric="mse")
x_train, y_train = tsdata_train.roll(lookback=20, horizon=1).to_numpy()
x_val, y_val = tsdata_test.roll(lookback=20, horizon=1).to_numpy()
x_test, y_test = tsdata_test.roll(lookback=20, horizon=1).to_numpy()
auto_lstm.fit(data=(x_train, y_train),
epochs=args.epochs,
validation_data=(x_val, y_val))
yhat = auto_lstm.predict(x_test)
unscale_y_test = tsdata_test.unscale_numpy(y_test)
unscale_yhat = tsdata_test.unscale_numpy(yhat)
rmse, smape = [Evaluator.evaluate(m, y_true=unscale_y_test,
y_pred=unscale_yhat) for m in ['rmse', 'smape']]
print(f'rmse is {np.mean(rmse)}')
print(f'sampe is {np.mean(smape)}')
stop_orca_context()