from abc import ABC, abstractmethod from typing import Any, Callable, Iterator, List, Optional import numpy as np import torch import torch.nn as nn from pts.dataset import InferenceDataLoader, DataEntry, FieldName from pts.modules import DistributionOutput from .forecast import Forecast, DistributionForecast, QuantileForecast, SampleForecast OutputTransform = Callable[[DataEntry, np.ndarray], np.ndarray] def _extract_instances(x: Any) -> Any: """ Helper function to extract individual instances from batched mxnet results. For a tensor `a` _extract_instances(a) -> [a[0], a[1], ...] For (nested) tuples of tensors `(a, (b, c))` _extract_instances((a, (b, c)) -> [(a[0], (b[0], c[0])), (a[1], (b[1], c[1])), ...] """ if isinstance(x, (np.ndarray, torch.Tensor)): for i in range(x.shape[0]): # yield x[i: i + 1] yield x[i] elif isinstance(x, tuple): for m in zip(*[_extract_instances(y) for y in x]): yield tuple([r for r in m]) elif isinstance(x, list): for m in zip(*[_extract_instances(y) for y in x]): yield [r for r in m] elif x is None: while True: yield None else: assert False class ForecastGenerator(ABC): """ Classes used to bring the output of a network into a class. """ @abstractmethod def __call__( self, inference_data_loader: InferenceDataLoader, prediction_net: nn.Module, input_names: List[str], freq: str, output_transform: Optional[OutputTransform], num_samples: Optional[int], **kwargs ) -> Iterator[Forecast]: pass class DistributionForecastGenerator(ForecastGenerator): def __init__(self, distr_output: DistributionOutput) -> None: self.distr_output = distr_output def __call__( self, inference_data_loader: InferenceDataLoader, prediction_net: nn.Module, input_names: List[str], freq: str, output_transform: Optional[OutputTransform], num_samples: Optional[int], **kwargs ) -> Iterator[DistributionForecast]: for batch in inference_data_loader: inputs = [batch[k] for k in input_names] outputs = prediction_net(*inputs) if output_transform is not None: outputs = output_transform(batch, outputs) distributions = [ self.distr_output.distribution(*u) for u in _extract_instances(outputs) ] i = -1 for i, distr in enumerate(distributions): yield DistributionForecast( distr, start_date=batch["forecast_start"][i], freq=freq, item_id=batch[FieldName.ITEM_ID][i] if FieldName.ITEM_ID in batch else None, info=batch["info"][i] if "info" in batch else None, ) assert i + 1 == len(batch["forecast_start"]) class QuantileForecastGenerator(ForecastGenerator): def __init__(self, quantiles: List[str]) -> None: self.quantiles = quantiles def __call__( self, inference_data_loader: InferenceDataLoader, prediction_net: nn.Module, input_names: List[str], freq: str, output_transform: Optional[OutputTransform], num_samples: Optional[int], **kwargs ) -> Iterator[Forecast]: for batch in inference_data_loader: inputs = [batch[k] for k in input_names] outputs = prediction_net(*inputs).cpu().numpy() if output_transform is not None: outputs = output_transform(batch, outputs) i = -1 for i, output in enumerate(outputs): yield QuantileForecast( output, start_date=batch["forecast_start"][i], freq=freq, item_id=batch[FieldName.ITEM_ID][i] if FieldName.ITEM_ID in batch else None, info=batch["info"][i] if "info" in batch else None, forecast_keys=self.quantiles, ) assert i + 1 == len(batch["forecast_start"]) class SampleForecastGenerator(ForecastGenerator): def __call__( self, inference_data_loader: InferenceDataLoader, prediction_net: nn.Module, input_names: List[str], freq: str, output_transform: Optional[OutputTransform], num_samples: Optional[int], **kwargs ) -> Iterator[Forecast]: for batch in inference_data_loader: inputs = [batch[k] for k in input_names] outputs = prediction_net(*inputs).cpu().numpy() if output_transform is not None: outputs = output_transform(batch, outputs) if num_samples: num_collected_samples = outputs[0].shape[0] collected_samples = [outputs] while num_collected_samples < num_samples: outputs = prediction_net(*inputs).cpu().numpy() if output_transform is not None: outputs = output_transform(batch, outputs) collected_samples.append(outputs) num_collected_samples += outputs[0].shape[0] outputs = [ np.concatenate(s)[:num_samples] for s in zip(*collected_samples) ] assert len(outputs[0]) == num_samples i = -1 for i, output in enumerate(outputs): yield SampleForecast( output, start_date=batch["forecast_start"][i], freq=freq, item_id=batch[FieldName.ITEM_ID][i] if FieldName.ITEM_ID in batch else None, info=batch["info"][i] if "info" in batch else None, ) assert i + 1 == len(batch["forecast_start"])