Source code for gluonts.model.r_forecast._predictor
# Copyright 2018 Amazon.com, 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
#
# http://www.apache.org/licenses/LICENSE-2.0
#
# or in the "license" file accompanying this file. This file is distributed
# on an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either
# express or implied. See the License for the specific language governing
# permissions and limitations under the License.
# Standard library imports
import os
from typing import Dict, Iterator, Optional
# Third-party imports
import numpy as np
import pandas as pd
# First-party imports
from gluonts.core.component import validated
from gluonts.support.pandas import forecast_start
from gluonts.dataset.common import Dataset
from gluonts.evaluation import get_seasonality
from gluonts.model.forecast import SampleForecast
from gluonts.model.predictor import RepresentablePredictor
USAGE_MESSAGE = """
The RForecastPredictor is a thin wrapper for calling the R forecast package.
In order to use it you need to install R and run
pip install 'rpy2>=2.9.*,<3.*'
R -e 'install.packages(c("forecast", "nnfor"), repos="https://cloud.r-project.org")'
"""
[docs]class RForecastPredictor(RepresentablePredictor):
"""
Wrapper for calling the `R forecast package
<http://pkg.robjhyndman.com/forecast/>`_.
The `RForecastPredictor` is a thin wrapper for calling the R forecast
package. In order to use it you need to install R and run::
pip install 'rpy2>=2.9.*,<3.*'
R -e 'install.packages(c("forecast", "nnfor"), repos="https://cloud.r-project.org")'
Parameters
----------
freq
The granularity of the time series (e.g. '1H')
prediction_length
Number of time points to be predicted.
method
The method from rforecast to be used one of
"ets", "arima", "tbats", "croston", "mlp".
period
The period to be used (this is called `frequency` in the R forecast
package), result to a tentative reasonable default if not specified
(for instance 24 for hourly freq '1H')
trunc_length
Maximum history length to feed to the model (some models become slow
with very long series).
params
Parameters to be used when calling the forecast method default.
Note that currently only `output_type = 'samples'` is supported.
"""
@validated()
def __init__(
self,
freq: str,
prediction_length: int,
method_name: str = "ets",
period: int = None,
trunc_length: Optional[int] = None,
params: Optional[Dict] = None,
) -> None:
super().__init__(freq=freq, prediction_length=prediction_length)
try:
from rpy2 import robjects, rinterface
import rpy2.robjects.packages as rpackages
from rpy2.rinterface import RRuntimeError
except ImportError as e:
raise ImportError(str(e) + USAGE_MESSAGE) from e
self._robjects = robjects
self._rinterface = rinterface
self._rinterface.initr()
self._rpackages = rpackages
this_dir = os.path.dirname(os.path.realpath(__file__))
this_dir = this_dir.replace("\\", "/") # for windows
r_files = [
n[:-2] for n in os.listdir(f"{this_dir}/R/") if n[-2:] == ".R"
]
for n in r_files:
try:
robjects.r(f'source("{this_dir}/R/{n}.R")')
except RRuntimeError as er:
raise RRuntimeError(str(er) + USAGE_MESSAGE) from er
supported_methods = ["ets", "arima", "tbats", "croston", "mlp"]
assert (
method_name in supported_methods
), f"method {method_name} is not supported please use one of {supported_methods}"
self.method_name = method_name
self._stats_pkg = rpackages.importr("stats")
self._r_method = robjects.r[method_name]
self.prediction_length = prediction_length
self.freq = freq
self.period = period if period is not None else get_seasonality(freq)
self.trunc_length = trunc_length
self.params = {
"prediction_length": self.prediction_length,
"output_types": ["samples"],
"frequency": self.period,
}
if params is not None:
self.params.update(params)
def _unlist(self, l):
if type(l).__name__.endswith("Vector"):
return [self._unlist(x) for x in l]
else:
return l
def _run_r_forecast(self, d, params, save_info):
buf = []
def save_to_buf(x):
buf.append(x)
def dont_save(x):
pass
f = save_to_buf if save_info else dont_save
# save output from the R console in buf
self._rinterface.set_writeconsole_regular(f)
self._rinterface.set_writeconsole_warnerror(f)
make_ts = self._stats_pkg.ts
r_params = self._robjects.vectors.ListVector(params)
vec = self._robjects.FloatVector(d["target"])
ts = make_ts(vec, frequency=self.period)
forecast = self._r_method(ts, r_params)
forecast_dict = dict(
zip(forecast.names, map(self._unlist, list(forecast)))
)
# FOR NOW ONLY SAMPLES...
# if "quantiles" in forecast_dict:
# forecast_dict["quantiles"] = dict(zip(params["quantiles"], forecast_dict["quantiles"]))
self._rinterface.set_writeconsole_regular(
self._rinterface.consolePrint
)
self._rinterface.set_writeconsole_warnerror(
self._rinterface.consolePrint
)
return forecast_dict, buf
[docs] def predict(
self,
dataset: Dataset,
num_samples: int = 100,
save_info: bool = False,
**kwargs,
) -> Iterator[SampleForecast]:
for entry in dataset:
if isinstance(entry, dict):
data = entry
else:
data = entry.data
if self.trunc_length:
data = data[-self.trunc_length :]
params = self.params.copy()
params["num_samples"] = num_samples
forecast_dict, console_output = self._run_r_forecast(
data, params, save_info=save_info
)
samples = np.array(forecast_dict["samples"])
expected_shape = (params["num_samples"], self.prediction_length)
assert (
samples.shape == expected_shape
), f"Expected shape {expected_shape} but found {samples.shape}"
info = (
{"console_output": "\n".join(console_output)}
if save_info
else None
)
yield SampleForecast(
samples, forecast_start(data), self.freq, info=info
)