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formatting
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@@ -42,26 +42,20 @@ class DeepARNetwork(nn.Module):
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self.lags_seq = lags_seq
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self.distr_output = distr_output
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rnn = {"LSTM": nn.LSTM, "GRU": nn.GRU}[
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self.cell_type
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]
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self.rnn = rnn(
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input_size=1,
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hidden_size=num_cells,
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num_layers=num_layers,
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dropout=dropout_rate,
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batch_first=True
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)
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rnn = {"LSTM": nn.LSTM, "GRU": nn.GRU}[self.cell_type]
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self.rnn = rnn(input_size=1,
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hidden_size=num_cells,
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num_layers=num_layers,
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dropout=dropout_rate,
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batch_first=True)
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# TODO
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# self.target_shape = distr_output.event_shape
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self.proj_distr_args = distr_output.get_args_proj()
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self.embedder = FeatureEmbedder(
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cardinalities=cardinality,
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embedding_dims=embedding_dimension
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)
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self.embedder = FeatureEmbedder(cardinalities=cardinality,
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embedding_dims=embedding_dimension)
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if scaling:
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self.scaler = MeanScaler(keepdim=True)
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@@ -70,10 +64,10 @@ class DeepARNetwork(nn.Module):
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@staticmethod
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def get_lagged_subsequences(
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sequence: torch.Tensor,
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sequence_length: int,
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indices: List[int],
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subsequences_length: int = 1,
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sequence: torch.Tensor,
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sequence_length: int,
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indices: List[int],
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subsequences_length: int = 1,
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) -> torch.Tensor:
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"""
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Returns lagged subsequences of a given sequence.
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@@ -97,17 +91,14 @@ class DeepARNetwork(nn.Module):
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"""
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assert max(indices) + subsequences_length <= sequence_length, (
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f"lags cannot go further than history length, found lag {max(indices)} "
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f"while history length is only {sequence_length}"
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)
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f"while history length is only {sequence_length}")
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assert all(lag_index >= 0 for lag_index in indices)
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lagged_values = []
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for lag_index in indices:
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begin_index = -lag_index - subsequences_length
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end_index = -lag_index if lag_index > 0 else None
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lagged_values.append(
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sequence[:,begin_index:end_index,...]
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)
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lagged_values.append(sequence[:, begin_index:end_index, ...])
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return torch.stack(lagged_values, dim=-1)
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