Source code for gluonts.mx.representation.discrete_pit

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# Standard library imports
from typing import List, Optional, Tuple, Union

import mxnet as mx
import numpy as np
from mxnet.gluon import nn

# First-party imports
from gluonts.core.component import get_mxnet_context, validated
from gluonts.dataset.common import Dataset
from gluonts.model.common import Tensor

from .representation import Representation

# LearnedBinning = Union[GlobalRelativeBinning, LocalAbsoluteBinning]


[docs]class DiscretePIT(Representation): """ A class representing a discrete probability integral transform of a given quantile-based learned binning. Note that this representation is intended to be applied on top of a quantile-based binning representation. Parameters ---------- num_bins Number of bins used by the data on which this representation is applied. mlp_tranf Whether we want to post-process the pit-transformed valued using a MLP which can learn an appropriate binning, which would ensure that pit models have the same expressiveness as standard quantile binning with embedding. (default: False) embedding_size The desired layer output size if mlp_tranf=True. By default, the following heuristic is used: https://developers.googleblog.com/2017/11/introducing-tensorflow-feature-columns.html (default: round(num_bins**(1/4))) """ @validated() def __init__( self, num_bins: int, mlp_transf: bool = False, embedding_size: Optional[int] = None, *args, **kwargs, ): super().__init__(*args, **kwargs) self.num_bins = num_bins self.mlp_transf = mlp_transf if embedding_size is None: self.embedding_size = round(self.num_bins ** (1 / 4)) else: self.embedding_size = embedding_size if mlp_transf: self.mlp = nn.HybridSequential() self.mlp.add( nn.Dense(units=self.num_bins, activation="relu", flatten=False) ) self.mlp.add(nn.Dense(units=self.embedding_size, flatten=False)) else: self.mlp = None # noinspection PyMethodOverriding
[docs] def hybrid_forward( self, F, data: Tensor, observed_indicator: Tensor, scale: Optional[Tensor], rep_params: List[Tensor], **kwargs, ) -> Tuple[Tensor, Tensor, List[Tensor]]: data = data / self.num_bins if self.mlp_transf: data = F.expand_dims(data, axis=-1) data = self.mlp(data) return data, scale, rep_params
[docs] def post_transform( self, F, samples: Tensor, scale: Tensor, rep_params: List[Tensor] ) -> Tensor: samples = samples * F.full(1, self.num_bins) samples = F.Custom( samples, F.arange(self.num_bins), op_type="digitize" ) return samples