Source code for gluonts.model.rotbaum._predictor

# 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.

import concurrent.futures
import logging
from itertools import chain
from typing import Iterator, List, Optional

import numpy as np
import pandas as pd

from gluonts.core.component import validated
from gluonts.dataset.common import Dataset
from gluonts.model.forecast import Forecast
from gluonts.model.forecast_generator import log_once
from gluonts.model.predictor import RepresentablePredictor
from import forecast_start

from ._model import QRF, QRX, QuantileReg
from ._preprocess import Cardinality, PreprocessOnlyLagFeatures

logger = logging.getLogger(__name__)

class RotbaumForecast(Forecast):
    Implements the quantile function in Forecast for TreePredictor,
    as well as a new estimate_dists function for estimating a sampling of the
    conditional distribution of the value of each of the steps in the
    forecast horizon (independently).

    def __init__(
        models: List,
        featurized_data: List,
        start_date: pd.Timestamp,
        prediction_length: int,
        self.models = models
        self.featurized_data = featurized_data
        self.start_date = start_date
        self.freq = freq
        self.prediction_length = prediction_length
        self.item_id = None
        self.lead_time = None

    def quantile(self, q: float) -> np.array:
        Returns np.array, where the i^th entry is the estimate of the q
        quantile of the conditional distribution of the value of the i^th
        step in the forecast horizon.
        assert 0 <= q <= 1
        return np.array(
                    model.predict(self.featurized_data, q)
                    for model in self.models

    def estimate_dists(self) -> np.array:
        Returns np.array, where the i^th entry is an estimated sampling from
        the conditional distribution of the value of the i^th step in the
        forecast horizon.
        return np.array(
                    for model in self.models

[docs]class TreePredictor(RepresentablePredictor): """ A predictor that uses a QRX model for each of the steps in the forecast horizon. (In other words, there's a total of prediction_length many models being trained. In particular, this predictor does not learn a multivariate distribution.) The list of these models is saved under self.model_list. """ @validated() def __init__( self, freq: str, prediction_length: int, n_ignore_last: int = 0, lead_time: int = 0, max_n_datapts: int = 1000000, clump_size: int = 100, # Used only for "QRX" method. context_length: Optional[int] = None, use_feat_static_real: bool = False, use_feat_dynamic_real: bool = False, use_feat_dynamic_cat: bool = False, cardinality: Cardinality = "auto", one_hot_encode: bool = False, model_params: Optional[dict] = None, max_workers: Optional[int] = None, method: str = "QRX", quantiles=None, # Used only for "QuantileRegression" method. model=None, ) -> None: assert method in [ "QRX", "QuantileRegression", "QRF", ], "method has to be either 'QRX', 'QuantileRegression', or 'QRF'" self.method = method self.lead_time = lead_time self.context_length = ( context_length if context_length is not None else prediction_length ) self.preprocess_object = PreprocessOnlyLagFeatures( self.context_length, forecast_horizon=prediction_length, stratify_targets=False, n_ignore_last=n_ignore_last, max_n_datapts=max_n_datapts, use_feat_static_real=use_feat_static_real, use_feat_dynamic_real=use_feat_dynamic_real, use_feat_dynamic_cat=use_feat_dynamic_cat, cardinality=cardinality, one_hot_encode=one_hot_encode, ) assert ( context_length is None or context_length > 0 ), "The value of `context_length` should be > 0" assert ( prediction_length > 0 or use_feat_dynamic_cat or use_feat_dynamic_real or use_feat_static_real or cardinality != "ignore" # TODO: Figure out how to include 'auto' with no feat_static_cat in this check ), ( "The value of `prediction_length` should be > 0 or there should be features for model training and " "prediction " ) self.model_params = model_params if model_params else {} self.prediction_length = prediction_length self.freq = freq self.max_workers = max_workers self.clump_size = clump_size self.quantiles = quantiles self.model = model self.model_list = None "If using the Evaluator class with a TreePredictor, set num_workers=0." )
[docs] def train(self, training_data): assert training_data assert self.freq is not None if next(iter(training_data))["start"].freq is not None: assert self.freq == next(iter(training_data))["start"].freq self.preprocess_object.preprocess_from_list( ts_list=list(training_data), change_internal_variables=True ) feature_data, target_data = ( self.preprocess_object.feature_data, self.preprocess_object.target_data, ) n_models = self.prediction_length"Length of forecast horizon: {n_models}") if self.method == "QuantileRegression": self.model_list = [ QuantileReg(params=self.model_params, quantiles=self.quantiles) for _ in range(n_models) ] elif self.method == "QRF": self.model_list = [ QRF(params=self.model_params) for _ in range(n_models) ] elif self.method == "QRX": self.model_list = [ QRX( xgboost_params=self.model_params, clump_size=self.clump_size, model=self.model, ) for _ in range(n_models) ] with concurrent.futures.ThreadPoolExecutor( max_workers=self.max_workers ) as executor: for n_step, model in enumerate(self.model_list): f"Training model for step no. {n_step + 1} in the forecast" f" horizon" ) executor.submit(, feature_data, np.array(target_data)[:, n_step] ) return self
[docs] def predict( self, dataset: Dataset, num_samples: Optional[int] = None ) -> Iterator[Forecast]: """ Returns a dictionary taking each quantile to a list of floats, which are the predictions for that quantile as you run over (time_steps, time_series) lexicographically. So: first it would give the quantile prediction for the first time step for all time series, then the second time step for all time series ˜˜ , and so forth. """ context_length = self.preprocess_object.context_window_size if num_samples: log_once( "Forecast is not sample based. Ignoring parameter `num_samples` from predict method." ) for ts in dataset: featurized_data = self.preprocess_object.make_features( ts, starting_index=len(ts["target"]) - context_length ) yield RotbaumForecast( self.model_list, [featurized_data], start_date=forecast_start(ts), prediction_length=self.prediction_length, freq=self.freq, )