Source code for zoo.chronos.model.forecast.mtnet_forecaster

# Copyright 2018 Analytics Zoo Authors.
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# See the License for the specific language governing permissions and
# limitations under the License.

from zoo.chronos.model.MTNet_keras import MTNetKeras as MTNetKerasModel
from zoo.chronos.model.forecast.tfpark_forecaster import TFParkForecaster

[docs]class MTNetForecaster(TFParkForecaster): """ Example: >>> #The dataset is split into x_train, x_val, x_test, y_train, y_val, y_test >>> model = MTNetForecaster(target_dim=1, feature_dim=x_train.shape[-1], long_series_num=6, series_length=2 ) >>> x_train_long, x_train_short = model.preprocess_input(x_train) >>> x_val_long, x_val_short = model.preprocess_input(x_val) >>> x_test_long, x_test_short = model.preprocess_input(x_test) >>>[x_train_long, x_train_short], y_train, validation_data=([x_val_long, x_val_short], y_val), batch_size=32, distributed=False) >>> predict_result = [x_test_long, x_test_short] """ def __init__(self, target_dim=1, feature_dim=1, long_series_num=1, series_length=1, ar_window_size=1, cnn_height=1, cnn_hid_size=32, rnn_hid_sizes=[16, 32], lr=0.001, loss="mae", cnn_dropout=0.2, rnn_dropout=0.2, metric="mean_squared_error", uncertainty: bool = False, ): """ Build a MTNet Forecast Model. :param target_dim: the dimension of model output :param feature_dim: the dimension of input feature :param long_series_num: the number of series for the long-term memory series :param series_length: the series size for long-term and short-term memory series :param ar_window_size: the auto regression window size in MTNet :param cnn_hid_size: the hidden layer unit for cnn in encoder :param rnn_hid_sizes: the hidden layers unit for rnn in encoder :param cnn_height: cnn filter height in MTNet :param metric: the metric for validation and evaluation :param uncertainty: whether to enable calculation of uncertainty :param lr: learning rate :param loss: the target function you want to optimize on :param cnn_dropout: the dropout possibility for cnn in encoder :param rnn_dropout: the dropout possibility for rnn in encoder """ self.check_optional_config = False = uncertainty self.model_config = { "feature_num": feature_dim, "output_dim": target_dim, "metrics": [metric], "mc": uncertainty, "time_step": series_length, "long_num": long_series_num, "ar_window": ar_window_size, "cnn_height": cnn_height, "past_seq_len": (long_series_num + 1) * series_length, "cnn_hid_size": cnn_hid_size, "rnn_hid_sizes": rnn_hid_sizes, "lr": lr, "cnn_dropout": cnn_dropout, "rnn_dropout": rnn_dropout, "loss": loss } self._internal = None super().__init__() def _build(self): """ build a MTNet model in tf.keras :return: a tf.keras MTNet model """ # TODO change this function call after MTNet fixes self.internal = MTNetKerasModel( check_optional_config=self.check_optional_config) self.internal.apply_config(config=self.model_config) return
[docs] def preprocess_input(self, x): """ The original rolled features needs an extra step to process. This should be called before train_x, validation_x, and test_x :param x: the original samples from rolling :return: a tuple (long_term_x, short_term_x) which are long term and short term history respectively """ return self.internal._reshape_input_x(x)