Source code for gluonts.model.gp_forecaster._estimator

# Copyright 2018, Inc. or its affiliates. All Rights Reserved.
# Licensed under the Apache License, Version 2.0 (the "License").
# You may not use this file except in compliance with the License.
# A copy of the License is located at
# or in the "license" file accompanying this file. This file is distributed
# express or implied. See the License for the specific language governing
# permissions and limitations under the License.

# Standard library imports
from typing import List, Optional

# Third-party imports
import numpy as np
from mxnet.gluon import HybridBlock

# First-party imports
from gluonts.core.component import DType, validated
from gluonts.dataset.field_names import FieldName
from gluonts.kernels import KernelOutput, RBFKernelOutput
from gluonts.model.estimator import GluonEstimator
from gluonts.model.predictor import Predictor, RepresentableBlockPredictor
from import copy_parameters
from gluonts.time_feature import TimeFeature, time_features_from_frequency_str
from gluonts.trainer import Trainer
from gluonts.transform import (

# Relative imports
from ._network import (

[docs]class GaussianProcessEstimator(GluonEstimator): r""" GaussianProcessEstimator shows how to build a local time series model using Gaussian Processes (GP). Each time series has a GP with its own hyper-parameters. For the radial basis function (RBF) Kernel, the learnable hyper-parameters are the amplitude and lengthscale. The periodic kernel has those hyper-parameters with an additional learnable frequency parameter. The RBFKernel is the default, but either kernel can be used by inputting the desired KernelOutput object. The noise sigma in the model is another learnable hyper-parameter for both kernels. These parameters are fit using an Embedding of the integer time series indices (each time series has its set of hyper-parameter that is static in time). The observations are the time series values. In this model, the time features are hour of the day and day of the week. Parameters ---------- freq Time series frequency. prediction_length Prediction length. cardinality Number of time series. trainer Trainer instance to be used for model training (default: Trainer()). context_length Training length (default: None, in which case context_length = prediction_length). kernel_output KernelOutput instance to determine which kernel subclass to be instantiated (default: RBFKernelOutput()). params_scaling Determines whether or not to scale the model parameters (default: True). float_type Determines whether to use single or double precision (default: np.float64). max_iter_jitter Maximum number of iterations for jitter to iteratively make the matrix positive definite (default: 10). jitter_method Iteratively jitter method or use eigenvalue decomposition depending on problem size (default: "iter"). sample_noise Boolean to determine whether to add :math:`\sigma^2I` to the predictive covariance matrix (default: True). time_features Time features to use as inputs of the model (default: None, in which case these are automatically determined based on the frequency). num_parallel_samples Number of evaluation samples per time series to increase parallelism during inference. This is a model optimization that does not affect the accuracy (default: 100). """ @validated() def __init__( self, freq: str, prediction_length: int, cardinality: int, trainer: Trainer = Trainer(), context_length: Optional[int] = None, kernel_output: KernelOutput = RBFKernelOutput(), params_scaling: bool = True, dtype: DType = np.float64, max_iter_jitter: int = 10, jitter_method: str = "iter", sample_noise: bool = True, time_features: Optional[List[TimeFeature]] = None, num_parallel_samples: int = 100, ) -> None: self.float_type = dtype super().__init__(trainer=trainer, dtype=self.float_type) assert ( prediction_length > 0 ), "The value of `prediction_length` should be > 0" assert cardinality > 0, "The value of `cardinality` should be > 0" assert ( context_length is None or context_length > 0 ), "The value of `context_length` should be > 0" assert ( num_parallel_samples > 0 ), "The value of `num_parallel_samples` should be > 0" self.freq = freq self.prediction_length = prediction_length self.context_length = ( context_length if context_length is not None else prediction_length ) self.cardinality = cardinality self.kernel_output = kernel_output self.params_scaling = params_scaling self.max_iter_jitter = max_iter_jitter self.jitter_method = jitter_method self.sample_noise = sample_noise self.time_features = ( time_features if time_features is not None else time_features_from_frequency_str(self.freq) ) self.num_parallel_samples = num_parallel_samples
[docs] def create_transformation(self) -> Transformation: return Chain( [ AsNumpyArray(field=FieldName.TARGET, expected_ndim=1), AddTimeFeatures( start_field=FieldName.START, target_field=FieldName.TARGET, output_field=FieldName.FEAT_TIME, time_features=self.time_features, pred_length=self.prediction_length, ), SetFieldIfNotPresent( field=FieldName.FEAT_STATIC_CAT, value=[0.0] ), AsNumpyArray(field=FieldName.FEAT_STATIC_CAT, expected_ndim=1), CanonicalInstanceSplitter( target_field=FieldName.TARGET, is_pad_field=FieldName.IS_PAD, start_field=FieldName.START, forecast_start_field=FieldName.FORECAST_START, instance_sampler=TestSplitSampler(), time_series_fields=[FieldName.FEAT_TIME], instance_length=self.context_length, use_prediction_features=True, prediction_length=self.prediction_length, ), ] )
[docs] def create_training_network(self) -> HybridBlock: return GaussianProcessTrainingNetwork( prediction_length=self.prediction_length, context_length=self.context_length, cardinality=self.cardinality, kernel_output=self.kernel_output, params_scaling=self.params_scaling, ctx=self.trainer.ctx, float_type=self.float_type, max_iter_jitter=self.max_iter_jitter, jitter_method=self.jitter_method, )
[docs] def create_predictor( self, transformation: Transformation, trained_network: HybridBlock ) -> Predictor: prediction_network = GaussianProcessPredictionNetwork( prediction_length=self.prediction_length, context_length=self.context_length, cardinality=self.cardinality, num_parallel_samples=self.num_parallel_samples, params=trained_network.collect_params(), kernel_output=self.kernel_output, params_scaling=self.params_scaling, ctx=self.trainer.ctx, float_type=self.float_type, max_iter_jitter=self.max_iter_jitter, jitter_method=self.jitter_method, sample_noise=self.sample_noise, ) copy_parameters( net_source=trained_network, net_dest=prediction_network ) return RepresentableBlockPredictor( input_transform=transformation, prediction_net=prediction_network, batch_size=self.trainer.batch_size, freq=self.freq, prediction_length=self.prediction_length, ctx=self.trainer.ctx, dtype=self.float_type, )