Source code for gluonts.model.wavenet._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
import logging
import re
from typing import Dict, List, Optional

# Third-party imports
import mxnet as mx
import numpy as np

# First-party imports
from gluonts import transform
from gluonts.core.component import validated
from gluonts.dataset.common import Dataset, DataEntry
from gluonts.dataset.field_names import FieldName
from gluonts.dataset.loader import TrainDataLoader, ValidationDataLoader
from gluonts.model.estimator import GluonEstimator
from gluonts.model.predictor import Predictor, RepresentableBlockPredictor
from gluonts.model.wavenet._network import WaveNet, WaveNetSampler
from import (
from gluonts.time_feature import time_features_from_frequency_str
from gluonts.trainer import Trainer
from gluonts.transform import (

class QuantizeScaled(SimpleTransformation):
    Rescale and quantize the target variable.

      past_target and future_target fields.

    The mean absolute value of the past_target is used to rescale past_target and future_target.
    Then the bin_edges are used to quantize the rescaled target.

    The calculated scale is included as a new field "scale"

    def __init__(
        bin_edges: List[float],
        past_target: str,
        future_target: str,
        scale: str = "scale",
        self.bin_edges = np.array(bin_edges)
        self.future_target = future_target
        self.past_target = past_target
        self.scale = scale

    def transform(self, data: DataEntry) -> DataEntry:
        p = data[self.past_target]
        m = np.mean(np.abs(p))
        scale = m if m > 0 else 1.0
        data[self.future_target] = np.digitize(
            data[self.future_target] / scale, bins=self.bin_edges, right=False
        data[self.past_target] = np.digitize(
            data[self.past_target] / scale, bins=self.bin_edges, right=False
        data[self.scale] = np.array([scale])
        return data

def _get_seasonality(freq: str, seasonality_dict: Dict) -> int:
    match = re.match(r"(\d*)(\w+)", freq)
    assert match, "Cannot match freq regex"
    multiple, base_freq = match.groups()
    multiple = int(multiple) if multiple else 1
    seasonality = seasonality_dict[base_freq]
    if seasonality % multiple != 0:
            f"multiple {multiple} does not divide base seasonality {seasonality}."
            f"Falling back to seasonality 1"
        return 1
    return seasonality // multiple

[docs]class WaveNetEstimator(GluonEstimator): """ Model with Wavenet architecture and quantized target. Parameters ---------- freq Frequency of the data to train on and predict prediction_length Length of the prediction horizon trainer Trainer object to be used (default: Trainer()) cardinality Number of values of the each categorical feature (default: [1]) embedding_dimension Dimension of the embeddings for categorical features (the same dimension is used for all embeddings, default: 5) num_bins Number of bins used for quantization of signal (default: 1024) hybridize_prediction_net Boolean (default: False) n_residue Number of residual channels in wavenet architecture (default: 24) n_skip Number of skip channels in wavenet architecture (default: 32) dilation_depth Number of dilation layers in wavenet architecture. If set to None (default), dialation_depth is set such that the receptive length is at least as long as typical seasonality for the frequency and at least 2 * prediction_length. n_stacks Number of dilation stacks in wavenet architecture (default: 1) temperature Temparature used for sampling from softmax distribution. For temperature = 1.0 (default) sampling is according to estimated probability. act_type Activation type used after before output layer (default: "elu"). Can be any of 'elu', 'relu', 'sigmoid', 'tanh', 'softrelu', 'softsign'. 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: 200) """ @validated() def __init__( self, freq: str, prediction_length: int, trainer: Trainer = Trainer( learning_rate=0.01, epochs=200, num_batches_per_epoch=50, hybridize=False, ), cardinality: List[int] = [1], seasonality: Optional[int] = None, embedding_dimension: int = 5, num_bins: int = 1024, hybridize_prediction_net: bool = False, n_residue=24, n_skip=32, dilation_depth: Optional[int] = None, n_stacks: int = 1, train_window_length: Optional[int] = None, temperature: float = 1.0, act_type: str = "elu", num_parallel_samples: int = 200, ) -> None: """ Model with Wavenet architecture and quantized target. :param freq: :param prediction_length: :param trainer: :param num_eval_samples: :param cardinality: :param embedding_dimension: :param num_bins: Number of bins used for quantization of signal :param hybridize_prediction_net: :param n_residue: Number of residual channels in wavenet architecture :param n_skip: Number of skip channels in wavenet architecture :param dilation_depth: number of dilation layers in wavenet architecture. If set to None, dialation_depth is set such that the receptive length is at least as long as 2 * seasonality for the frequency and at least 2 * prediction_length. :param n_stacks: Number of dilation stacks in wavenet architecture :param train_window_length: Length of windows used for training. This should be longer than context + prediction length. Larger values result in more efficient reuse of computations for convolutions. :param temperature: Temparature used for sampling from softmax distribution. For temperature = 1.0 sampling is according to estimated probability. :param act_type: Activation type used after before output layer. Can be any of 'elu', 'relu', 'sigmoid', 'tanh', 'softrelu', 'softsign' """ super().__init__(trainer=trainer) self.freq = freq self.prediction_length = prediction_length self.cardinality = cardinality self.embedding_dimension = embedding_dimension self.num_bins = num_bins self.hybridize_prediction_net = hybridize_prediction_net self.n_residue = n_residue self.n_skip = n_skip self.n_stacks = n_stacks self.train_window_length = ( train_window_length if train_window_length is not None else prediction_length ) self.temperature = temperature self.act_type = act_type self.num_parallel_samples = num_parallel_samples seasonality = ( _get_seasonality( self.freq, { "H": 7 * 24, "D": 7, "W": 52, "M": 12, "B": 7 * 5, "min": 24 * 60, }, ) if seasonality is None else seasonality ) goal_receptive_length = max( 2 * seasonality, 2 * self.prediction_length ) if dilation_depth is None: d = 1 while ( WaveNet.get_receptive_field( dilation_depth=d, n_stacks=n_stacks ) < goal_receptive_length ): d += 1 self.dilation_depth = d else: self.dilation_depth = dilation_depth self.context_length = WaveNet.get_receptive_field( dilation_depth=self.dilation_depth, n_stacks=n_stacks ) self.logger = logging.getLogger(__name__) f"Using dilation depth {self.dilation_depth} and receptive field length {self.context_length}" )
[docs] def train( self, training_data: Dataset, validation_data: Optional[Dataset] = None ) -> Predictor: has_negative_data = any(np.any(d["target"] < 0) for d in training_data) low = -10.0 if has_negative_data else 0 high = 10.0 bin_centers = np.linspace(low, high, self.num_bins) bin_edges = np.concatenate( [[-1e20], (bin_centers[1:] + bin_centers[:-1]) / 2.0, [1e20]] ) f"using training windows of length = {self.train_window_length}" ) transformation = self.create_transformation( bin_edges, pred_length=self.train_window_length ) transformation.estimate(iter(training_data)) training_data_loader = TrainDataLoader( dataset=training_data, transform=transformation, batch_size=self.trainer.batch_size, num_batches_per_epoch=self.trainer.num_batches_per_epoch, ctx=self.trainer.ctx, ) validation_data_loader = None if validation_data is not None: validation_data_loader = ValidationDataLoader( dataset=validation_data, transform=transformation, batch_size=self.trainer.batch_size, ctx=self.trainer.ctx, dtype=self.dtype, ) # ensure that the training network is created within the same MXNet # context as the one that will be used during training with self.trainer.ctx: params = self._get_wavenet_args(bin_centers) params.update(pred_length=self.train_window_length) trained_net = WaveNet(**params) self.trainer( net=trained_net, input_names=get_hybrid_forward_input_names(trained_net), train_iter=training_data_loader, validation_iter=validation_data_loader, ) # ensure that the prediction network is created within the same MXNet # context as the one that was used during training with self.trainer.ctx: return self.create_predictor( transformation, trained_net, bin_centers )
[docs] def create_transformation( self, bin_edges: np.ndarray, pred_length: int ) -> transform.Transformation: return Chain( [ AsNumpyArray(field=FieldName.TARGET, expected_ndim=1), AddObservedValuesIndicator( target_field=FieldName.TARGET, output_field=FieldName.OBSERVED_VALUES, ), AddTimeFeatures( start_field=FieldName.START, target_field=FieldName.TARGET, output_field=FieldName.FEAT_TIME, time_features=time_features_from_frequency_str(self.freq), pred_length=self.prediction_length, ), AddAgeFeature( target_field=FieldName.TARGET, output_field=FieldName.FEAT_AGE, pred_length=self.prediction_length, ), VstackFeatures( output_field=FieldName.FEAT_TIME, input_fields=[FieldName.FEAT_TIME, FieldName.FEAT_AGE], ), SetFieldIfNotPresent( field=FieldName.FEAT_STATIC_CAT, value=[0.0] ), AsNumpyArray(field=FieldName.FEAT_STATIC_CAT, expected_ndim=1), InstanceSplitter( target_field=FieldName.TARGET, is_pad_field=FieldName.IS_PAD, start_field=FieldName.START, forecast_start_field=FieldName.FORECAST_START, train_sampler=ExpectedNumInstanceSampler(num_instances=1), past_length=self.context_length, future_length=pred_length, output_NTC=False, time_series_fields=[ FieldName.FEAT_TIME, FieldName.OBSERVED_VALUES, ], ), QuantizeScaled( bin_edges=bin_edges.tolist(), future_target="future_target", past_target="past_target", ), ] )
def _get_wavenet_args(self, bin_centers): return dict( n_residue=self.n_residue, n_skip=self.n_skip, dilation_depth=self.dilation_depth, n_stacks=self.n_stacks, act_type=self.act_type, cardinality=self.cardinality, embedding_dimension=self.embedding_dimension, bin_values=bin_centers.tolist(), pred_length=self.prediction_length, )
[docs] def create_predictor( self, transformation: transform.Transformation, trained_network: mx.gluon.HybridBlock, bin_values: np.ndarray, ) -> Predictor: prediction_network = WaveNetSampler( num_samples=self.num_parallel_samples, temperature=self.temperature, **self._get_wavenet_args(bin_values), ) # The lookup layer is specific to the sampling network here # we make sure it is initialized. prediction_network.initialize() copy_parameters( net_source=trained_network, net_dest=prediction_network, allow_missing=True, ) 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, )