Source code for gluonts.torch.model.simple_feedforward.lightning_module

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# Licensed under the Apache License, Version 2.0 (the "License").
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# A copy of the License is located at
#
#     http://www.apache.org/licenses/LICENSE-2.0
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# or in the "license" file accompanying this file. This file is distributed
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import pytorch_lightning as pl
import torch

from gluonts.torch.modules.loss import DistributionLoss, NegativeLogLikelihood

from .module import SimpleFeedForwardModel


class SimpleFeedForwardLightningModule(pl.LightningModule):
    """
    A ``pl.LightningModule`` class that can be used to train a
    ``SimpleFeedForwardModel`` with PyTorch Lightning.

    This is a thin layer around a (wrapped) ``SimpleFeedForwardModel`` object,
    that exposes the methods to evaluate training and validation loss.

    Parameters
    ----------
    model
        ``SimpleFeedForwardModel`` to be trained.
    loss
        Loss function to be used for training,
        default: ``NegativeLogLikelihood()``.
    lr
        Learning rate, default: ``1e-3``.
    weight_decay
        Weight decay regularization parameter, default: ``1e-8``.
    """

    def __init__(
        self,
        model: SimpleFeedForwardModel,
        loss: DistributionLoss = NegativeLogLikelihood(),
        lr: float = 1e-3,
        weight_decay: float = 1e-8,
    ):
        super().__init__()
        self.save_hyperparameters()
        self.model = model
        self.loss = loss
        self.lr = lr
        self.weight_decay = weight_decay

    def _compute_loss(self, batch):
        context = batch["past_target"]
        target = batch["future_target"]
        observed_target = batch["future_observed_values"]

        assert context.shape[-1] == self.model.context_length
        assert target.shape[-1] == self.model.prediction_length

        distr_args, loc, scale = self.model(context)
        distr = self.model.distr_output.distribution(distr_args, loc, scale)

        return (
            self.loss(distr, target) * observed_target
        ).sum() / torch.maximum(torch.tensor(1.0), observed_target.sum())

    def training_step(self, batch, batch_idx: int):  # type: ignore
        """
        Execute training step.
        """
        train_loss = self._compute_loss(batch)
        self.log(
            "train_loss",
            train_loss,
            on_epoch=True,
            on_step=False,
            prog_bar=True,
        )
        return train_loss

    def validation_step(self, batch, batch_idx: int):  # type: ignore
        """
        Execute validation step.
        """
        val_loss = self._compute_loss(batch)
        self.log(
            "val_loss", val_loss, on_epoch=True, on_step=False, prog_bar=True
        )
        return val_loss

    def configure_optimizers(self):
        """
        Returns the optimizer to use.
        """
        return torch.optim.Adam(
            self.model.parameters(),
            lr=self.lr,
            weight_decay=self.weight_decay,
        )