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https://github.com/wassname/seq2seq-time.git
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misc
This commit is contained in:
wassname
@@ -6,6 +6,8 @@ outputs/
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*Copy*.ipynb
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*Untitled*.ipynb
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old/
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*.hvz
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*.html
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# Byte-compiled / optimized / DLL files
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__pycache__/
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@@ -1,97 +1,63 @@
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seq2seq-time
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==============================
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Using sequence to sequence interfaces for timeseries regression
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Using sequence to sequence (and normal) interfaces for multivariate timeseries regression.
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Since this is a deep learning approach it's hard to do hyperparameter optimisation for every model, so be aware that these are only indicative number. The most interesting results are which models are robust, and which models fail for certain dataset.
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NOTE: This is a work in progress, with out final numbers...
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<img src="reports/figures/Seq2Seq for regression.png" />
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<table border="1" class="dataframe">
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<thead>
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<tr style="text-align: right;">
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<th></th>
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<th>BaselineLast</th>
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<th>RANP</th>
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<th>LSTM</th>
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<th>LSTMSeq2Seq</th>
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<th>TransformerSeq2Seq</th>
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<th>TransformerProcess</th>
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</tr>
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</thead>
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<tbody>
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<tr>
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<th>IMOSCurrentsVel</th>
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<td>1.63</td>
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<td>23.31</td>
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<td>19.44</td>
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<td>14.52</td>
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<td>46.98</td>
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<td>7.35</td>
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</tr>
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<tr>
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<th>BejingPM25</th>
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<td>1.71</td>
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<td>1.48</td>
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<td>1.41</td>
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<td>1.39</td>
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<td>2.86</td>
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<td>1.44</td>
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</tr>
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<tr>
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<th>GasSensor</th>
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<td>1.88</td>
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<td>-2.24</td>
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<td>16.40</td>
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<td>-1.53</td>
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<td>NaN</td>
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<td>0.63</td>
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</tr>
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<tr>
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<th>AppliancesEnergyPrediction</th>
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<td>1.56</td>
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<td>1.31</td>
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<td>1.94</td>
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<td>1.57</td>
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<td>2.33</td>
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<td>1.08</td>
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</tr>
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<tr>
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<th>MetroInterstateTraffic</th>
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<td>1.76</td>
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<td>-0.27</td>
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<td>-0.17</td>
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<td>-0.25</td>
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<td>4.15</td>
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<td>-0.27</td>
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</tr>
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</tbody>
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</table>
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# Results
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NOTE: Draft numbers
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- [ ] TODO mean over N runs
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- [ ] TODO hyperparameter opt to make sure I'm comparing optimal hidden_size
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| | MetroInterstateTraffic | BejingPM25 | GasSensor | AppliancesEnergyPrediction | IMOSCurrentsVel | mean(e-e_baseline) |
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|:-------------------|-------------------------:|-------------:|------------:|-----------------------------:|------------------:|---------------------:|
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| RANP | -0.43 | 1.35 | -2.31 | 1.6 | 1.39 | -1.1 |
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| LSTMSeq2Seq | -0.01 | 1.28 | -0.82 | 1.67 | 0.93 | -0.81 |
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| Transformer | -0.28 | 1.88 | -2.28 | 2.52 | 1.75 | -0.7 |
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| LSTM | 0.03 | 1.35 | -0.38 | 1.66 | 1.37 | -0.61 |
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| TransformerProcess | -0.36 | 1.49 | -0.84 | 1.65 | 2.39 | -0.55 |
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| InceptionTimeSeq | -0.23 | 1.5 | -0.8 | 2.41 | 2.95 | -0.25 |
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| TransformerSeq2Seq | 0.2 | 1.96 | 0.44 | 1.88 | 2.38 | -0.05 |
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| BaselineMean | 1.43 | 1.59 | 1.54 | 1.42 | 1.1 | 0 |
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| TCNSeq | -0.27 | 2.22 | -0.6 | 5.27 | 0.96 | 0.1 |
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| BaselineLast | 1.75 | 1.59 | 1.87 | 1.57 | 0.93 | 0.12 |
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## Datasets
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To ensure a robust score we use multiple multivariate regression timeseries.
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For more see [notebooks/01.0-mc-datasets.ipynb](notebooks/01.0-mc-datasets.ipynb)
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For more see [notebooks/01.0-mc-datasets.ipynb](notebooks/01.0-mc-datasets.ipynb) or [notebooks/01.0-mc-datasets/index.html](notebooks/01.0-mc-datasets/index.html)
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30 minute, current speed at Two Rocks 200m Mooring. Has tidal periods as extra features.
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Applience energy usage prediction.
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A metal oxide (MOX) gas sensor exposed during 3 weeks to mixtures of carbon monoxide and humid synthetic air in a gas chamber.
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30 minute, current speed at Two Rocks 200m Mooring. Has tidal periods as extra features.
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Hourly PM2.5 data of US Embassy in Beijing. This measures smoke as well as some pollen, fog, and dust particles of a certain size. Weather data from a nearby airport are included.
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A metal oxide (MOX) gas sensor exposed during 3 weeks to mixtures of carbon monoxide and humid synthetic air in a gas chamber.
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Hourly PM2.5 data of US Embassy in Beijing. This measures smoke as well as some pollen, fog, and dust particles of a certain size. Weather data from a nearby airport are included.
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Hourly Minneapolis-St Paul, MN traffic volume for westbound I-94. Includes weather and holiday features from 2012-2018.
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## Project Organization
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------------
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+1173
-1320
File diff suppressed because one or more lines are too long
@@ -14,17 +14,6 @@
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# name: seq2seq-time
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# ---
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# OPTIONAL: Load the "autoreload" extension so that code can change. But blacklist large modules
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# %load_ext autoreload
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# %autoreload 2
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# %aimport -pandas
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# %aimport -torch
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# %aimport -numpy
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# %aimport -matplotlib
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# %aimport -dask
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# %aimport -tqdm
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# %matplotlib inline
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# +
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import xarray as xr
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import pandas as pd
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@@ -34,17 +23,11 @@ import matplotlib.pyplot as plt
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from pathlib import Path
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from tqdm.auto import tqdm
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from IPython.display import display, HTML
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# -
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import warnings
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warnings.simplefilter('once')
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warnings.simplefilter(action='ignore', category=FutureWarning)
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warnings.simplefilter(action='ignore', category=DeprecationWarning)
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# +
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import holoviews as hv
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from holoviews import opts
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from holoviews.operation.datashader import datashade, dynspread
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hv.extension('bokeh', inline=True)
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hv.extension('bokeh')
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from seq2seq_time.visualization.hv_ggplot import ggplot_theme
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hv.renderer('bokeh').theme = ggplot_theme
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hv.archive.auto()
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@@ -59,15 +42,10 @@ hv.archive.auto()
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# ## Parameters
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# +
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# # device = "cuda" if torch.cuda.is_available() else "cpu"
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# print(f'using {device}')
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window_past = 48*2
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window_future = 48
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batch_size = 4
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datasets_root = Path('../data/processed/')
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# -
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# ## Plot helpers
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@@ -89,12 +67,12 @@ def plot_batch_y(ds, i):
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p *= hv.VLine(now).relabel('now').opts(color='red')
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return p
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def plot_batches_y(dataset, window_past=window_past, window_future=window_future):
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def plot_batches_y(dataset, window_past=window_past, window_future=window_future, n = 4):
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ds_name = type(dataset).__name__
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opts=dict(width=200, height=100, xaxis=None, yaxis=None)
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ds_train, ds_val, ds_test = d.to_datasets(window_past=window_past,
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window_future=window_future)
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n = 4
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max_i = min(len(ds_train), len(ds_val), len(ds_test))
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ii = list(np.linspace(0, max_i-10, n-1).astype(int)) + [-1]
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l = hv.Layout()
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@@ -110,66 +88,63 @@ def plot_batches_y(dataset, window_past=window_past, window_future=window_future
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for dataset in datasets:
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d = dataset(datasets_root)
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display(HTML(f"<h3>{dataset.__name__}</h3>"))
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print(d.__doc__)
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print(f'{len(d)} rows at freq{d.df.index.freq.freqstr}')
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print('columns_forecast', d.columns_forecast)
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print('columns_past', d.columns_past)
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print('columns_target', d.columns_target)
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print
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print('Description:', d.__doc__)
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print(f'Stats:\n\t{len(d)} rows at freq: "{d.df.index.freq.freqstr}"')
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print('\tcolumns_forecast:', d.columns_forecast)
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print('\tcolumns_past:', d.columns_past)
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print('\tcolumns_target:', d.columns_target)
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with pd.option_context("display.max_rows", 4, "display.max_columns", 20):
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display(d.df)
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display(plot_batches_y(d, n=2).opts(title=''))
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# View train, test, val splits
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l = hv.Layout()
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for dataset in datasets:
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d = dataset(datasets_root)
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p = dynspread(
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datashade(hv.Scatter(d.df_train[d.columns_target[0]]),
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cmap='red'))
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p *= dynspread(
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datashade(hv.Scatter(d.df_val[d.columns_target[0]]),
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cmap='green'))
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p *= dynspread(
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datashade(hv.Scatter(d.df_test[d.columns_target[0]]),
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cmap='blue'))
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p = p.opts(title=f"{dataset.__name__}, n={len(d)}, freq={d.df.index.freq.freqstr}")
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display(p)
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# View train, test, val splits
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# View with x and y col
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for dataset in datasets:
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ds_name = type(dataset).__name__
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d = dataset(datasets_root)
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print(d)
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display(plot_batches_y(d))
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ds_train, ds_val, ds_test = d.to_datasets(window_past=window_past,
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window_future=window_future)
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display(plot_batch_y(ds_train, 10))
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# +
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# def plot_batch_x(ds, i):
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# """Plot input features"""
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# x_past, y_past, x_future, y_future = ds.get_rows(i)
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# x = pd.concat([x_past, x_future])
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# p = hv.NdOverlay({
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# col: hv.Curve(x[col]) for col in x.columns
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# }, kdims='column')
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# now = y_past.index[-1]
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# p *= hv.VLine(now).relabel('now').opts(color='red')
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# return p
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# def plot_batches_x(d):
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# """Plot input features for multiple batch"""
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# ds_train, ds_val, ds_test = d.to_datasets(window_past=window_past,
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# window_future=window_future)
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# l = plot_batch_x(ds_train, 10) + plot_batch_x(ds_val, 10) + plot_batch_x(ds_test, 10)
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# l = l.cols(1).opts(shared_axes=False, title=f'{type(d).__name__}')
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# return l
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# # View train, test, val splits
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# for dataset in datasets:
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# ds_name = type(dataset).__name__
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# d = dataset(datasets_root)
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# print(d)
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# display(plot_batches_y(d))
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# +
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# ds_train, ds_val, ds_test = d.to_datasets(window_past=window_past,
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# window_future=window_future)
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def plot_batch_x(ds, i):
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"""Plot input features"""
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x_past, y_past, x_future, y_future = ds.get_rows(i)
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x = pd.concat([x_past, x_future])
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p = hv.NdOverlay({
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col: hv.Curve(x[col]) for col in x.columns
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}, kdims='column')
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now = y_past.index[-1]
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p *= hv.VLine(now).relabel('now').opts(color='red')
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return p
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def plot_batches_x(d):
|
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"""Plot input features for multiple batch"""
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ds_train, ds_val, ds_test = d.to_datasets(window_past=window_past,
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window_future=window_future)
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l = plot_batch_x(ds_train, 10) + plot_batch_x(ds_val, 10) + plot_batch_x(ds_test, 10)
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l = l.cols(1).opts(shared_axes=False, title=f'{type(d).__name__}')
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return l
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# -
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# +
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# # View input columns
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@@ -181,6 +156,25 @@ for dataset in datasets:
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hv.archive.export()
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hv.archive.last_export_status()
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||||
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||||
|
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# +
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||||
hv.archive.auto(enabled=False) # We can't capture dynamic plots
|
||||
# View train, test, val splits
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|
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for dataset in datasets:
|
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d = dataset(datasets_root)
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p = hv.Layout()
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p += dynspread(
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datashade(hv.Scatter(d.df_train[d.columns_target[0]]),
|
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cmap='red'))
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p *= dynspread(
|
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datashade(hv.Scatter(d.df_val[d.columns_target[0]]),
|
||||
cmap='green'))
|
||||
p *= dynspread(
|
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datashade(hv.Scatter(d.df_test[d.columns_target[0]]),
|
||||
cmap='blue'))
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p = p.opts(title=f"{dataset.__name__}, n={len(d)}, freq={d.df.index.freq.freqstr}")
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display(p)
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# -
|
||||
|
||||
|
||||
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File diff suppressed because one or more lines are too long
@@ -1,600 +0,0 @@
|
||||
# -*- coding: utf-8 -*-
|
||||
# ---
|
||||
# jupyter:
|
||||
# jupytext:
|
||||
# formats: ipynb,py:light
|
||||
# text_representation:
|
||||
# extension: .py
|
||||
# format_name: light
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||||
# format_version: '1.5'
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||||
# jupytext_version: 1.6.0
|
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# kernelspec:
|
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# display_name: seq2seq-time
|
||||
# language: python
|
||||
# name: seq2seq-time
|
||||
# ---
|
||||
|
||||
# # Sequence to Sequence Models for Timeseries Regression
|
||||
#
|
||||
#
|
||||
# In this notebook we are going to tackle a harder problem:
|
||||
# - predicting the future on a timeseries
|
||||
# - by outputing sequence of predictions
|
||||
# - with rough uncertainty (uncalibrated)
|
||||
# - using forecasted information (like weather report, week, or cycle of the moon)
|
||||
#
|
||||
# Not many papers benchmark movels for multivariate regression, much less seq prediction with uncertainty. So this notebook will try a range of models on a range of dataset.
|
||||
#
|
||||
# We do this using a sequence to sqequence interface
|
||||
#
|
||||
# <img src="../reports/figures/Seq2Seq for regression.png" />
|
||||
#
|
||||
|
||||
# - [ ] tensorboard / wandb
|
||||
# - [ ] show test train
|
||||
# - [ ] val
|
||||
# - [ ] don't overfit
|
||||
# - [ ] TCN
|
||||
# - [ ] make overlap between past and future
|
||||
|
||||
# OPTIONAL: Load the "autoreload" extension so that code can change. But blacklist large modules
|
||||
# %load_ext autoreload
|
||||
# %autoreload 2
|
||||
# %aimport -pandas
|
||||
# %aimport -torch
|
||||
# %aimport -numpy
|
||||
# %aimport -matplotlib
|
||||
# %aimport -dask
|
||||
# %aimport -tqdm
|
||||
# %matplotlib inline
|
||||
|
||||
import warnings
|
||||
warnings.simplefilter('once')
|
||||
warnings.simplefilter(action='ignore', category=FutureWarning)
|
||||
warnings.simplefilter(action='ignore', category=DeprecationWarning)
|
||||
|
||||
# +
|
||||
# Imports
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||||
import torch
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from torch import nn, optim
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||||
from torch.nn import functional as F
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||||
from torch.autograd import Variable
|
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import torch
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import torch.utils.data
|
||||
|
||||
import xarray as xr
|
||||
import pandas as pd
|
||||
import numpy as np
|
||||
import matplotlib.pyplot as plt
|
||||
|
||||
from pathlib import Path
|
||||
from tqdm.auto import tqdm
|
||||
|
||||
import pytorch_lightning as pl
|
||||
# +
|
||||
import holoviews as hv
|
||||
from holoviews import opts
|
||||
from holoviews.operation.datashader import datashade, dynspread
|
||||
hv.extension('bokeh', inline=True)
|
||||
from seq2seq_time.visualization.hv_ggplot import ggplot_theme
|
||||
hv.renderer('bokeh').theme = ggplot_theme
|
||||
|
||||
# holoview datashader timeseries options
|
||||
# %opts RGB [width=800 height=200 show_grid=True active_tools=["xwheel_zoom"] default_tools=["xpan","xwheel_zoom", "reset", "hover"] toolbar="right"]
|
||||
# %opts Curve [width=800 height=200 show_grid=True active_tools=["xwheel_zoom"] default_tools=["xpan","xwheel_zoom", "reset", "hover"] toolbar="right"]
|
||||
# %opts Scatter [width=800 height=200 show_grid=True active_tools=["xwheel_zoom"] default_tools=["xpan","xwheel_zoom", "reset", "hover"] toolbar="right"]
|
||||
# %opts Layout [width=800 height=200]
|
||||
# -
|
||||
|
||||
|
||||
from seq2seq_time.data.dataset import Seq2SeqDataSet, Seq2SeqDataSets
|
||||
from seq2seq_time.predict import predict, predict_multi
|
||||
from seq2seq_time.util import dset_to_nc
|
||||
|
||||
# ## Parameters
|
||||
|
||||
# +
|
||||
device = "cuda" if torch.cuda.is_available() else "cpu"
|
||||
print(f'using {device}')
|
||||
|
||||
window_past = 48*2
|
||||
window_future = 48
|
||||
batch_size = 16
|
||||
num_workers = 4
|
||||
datasets_root = Path('../data/processed/')
|
||||
window_past
|
||||
|
||||
|
||||
# -
|
||||
|
||||
# ## Plot helpers
|
||||
|
||||
# +
|
||||
def hv_plot_std(d: xr.Dataset):
|
||||
xf = d.t_target
|
||||
yp = d.y_pred
|
||||
s = d.y_pred_std
|
||||
return hv.Spread((xf, yp, s * 2),
|
||||
label='2*std').opts(alpha=0.5, line_width=0)
|
||||
|
||||
def hv_plot_pred(d: xr.Dataset):
|
||||
# Get arrays
|
||||
xf = d.t_target
|
||||
yp = d.y_pred
|
||||
s = d.y_pred_std
|
||||
return hv.Curve({'x': xf, 'y': yp})
|
||||
|
||||
def hv_plot_true(d: xr.Dataset):
|
||||
"""Plot a prediction into the future, at a single point in time."""
|
||||
|
||||
# Plot true
|
||||
x = np.concatenate([d.t_past, d.t_target])
|
||||
yt = np.concatenate([d.y_past, d.y_true])
|
||||
p = hv.Scatter({
|
||||
'x': x,
|
||||
'y': yt
|
||||
}, label='true').opts(color='black')
|
||||
|
||||
|
||||
|
||||
now=pd.Timestamp(d.t_source.squeeze().values)
|
||||
|
||||
p = p.opts(
|
||||
ylabel=str(ds_preds.attrs['targets']),
|
||||
xlabel=f'{now}'
|
||||
)
|
||||
|
||||
|
||||
# plot a red line for now
|
||||
p *= hv.VLine(now, label='now').opts(color='red', framewise=True)
|
||||
|
||||
return p
|
||||
|
||||
def hv_plot_prediction(d):
|
||||
p = hv_plot_true(d)
|
||||
p *= hv_plot_pred(d)
|
||||
p *= hv_plot_std(d)
|
||||
return p
|
||||
|
||||
|
||||
# +
|
||||
def plot_performance(ds_preds, full=False):
|
||||
"""Multiple plots using xr_preds"""
|
||||
p = hv_plot_prediction(ds_preds.isel(t_source=10))
|
||||
display(p)
|
||||
|
||||
n = len(ds_preds.t_source)
|
||||
d_ahead = ds_preds.mean(['t_source'])['nll'].groupby('t_ahead_hours').mean()
|
||||
nll_vs_tahead = (hv.Curve(
|
||||
(d_ahead.t_ahead_hours,
|
||||
d_ahead)).redim(x='hours ahead',
|
||||
y='nll').opts(
|
||||
title=f'NLL vs time ahead (no. samples={n})'))
|
||||
display(nll_vs_tahead)
|
||||
|
||||
# Make a plot of the NLL over time. Does this solution get worse with time?
|
||||
if full:
|
||||
d_source = ds_preds.mean(['t_ahead'])['nll'].groupby('t_source').mean()
|
||||
nll_vs_time = (hv.Curve(d_source).opts(
|
||||
title='Error vs time of prediction'))
|
||||
display(nll_vs_time)
|
||||
|
||||
# A scatter plot is easy with xarray
|
||||
if full:
|
||||
tlim = (ds_preds.y_true.min().item(), ds_preds.y_true.max().item())
|
||||
true_vs_pred = datashade(hv.Scatter(
|
||||
(ds_preds.y_true,
|
||||
ds_preds.y_pred))).redim(x='true', y='pred').opts(width=400,
|
||||
height=400,
|
||||
xlim=tlim,
|
||||
ylim=tlim,
|
||||
title='Scatter plot')
|
||||
true_vs_pred = dynspread(true_vs_pred)
|
||||
true_vs_pred
|
||||
display(true_vs_pred)
|
||||
|
||||
def plot_hist(trainer):
|
||||
try:
|
||||
df_hist = pd.read_csv(trainer.logger.experiment.metrics_file_path)
|
||||
df_hist['epoch'] = df_hist['epoch'].ffill()
|
||||
|
||||
df_histe = df_hist.set_index('epoch').groupby('epoch').mean()
|
||||
if len(df_histe)>1:
|
||||
p = hv.Curve(df_histe, kdims=['epoch'], vdims=['loss/train']).relabel('train')
|
||||
p *= hv.Curve(df_histe, kdims=['epoch'], vdims=['loss/val']).relabel('val')
|
||||
display(p.opts(ylabel='loss'))
|
||||
return df_histe
|
||||
except Exception as e:
|
||||
print(e)
|
||||
pass
|
||||
|
||||
|
||||
# +
|
||||
def df_bold_min(data):
|
||||
'''
|
||||
highlight the maximum in a Series or DataFrame
|
||||
|
||||
|
||||
Usage:
|
||||
`df.style.apply(df_bold_min)`
|
||||
'''
|
||||
attr = 'font-weight: bold'
|
||||
#remove % and cast to float
|
||||
data = data.replace('%','', regex=True).astype(float)
|
||||
if data.ndim == 1: # Series from .apply(axis=0) or axis=1
|
||||
is_min = data == data.min()
|
||||
return [attr if v else '' for v in is_min]
|
||||
else: # from .apply(axis=None)
|
||||
is_min = data == data.min().min()
|
||||
return pd.DataFrame(np.where(is_min, attr, ''),
|
||||
index=data.index, columns=data.columns)
|
||||
|
||||
def format_results(results, metric=None):
|
||||
df_results = pd.concat({k:pd.DataFrame(v) for k,v in results.items()}).T
|
||||
if metric:
|
||||
return df_results.xs(metric, axis=1, level=1).rename_axis(columns=metric)
|
||||
return df_results
|
||||
|
||||
def display_results(results, metric='nll', strformat="{:.2f}"):
|
||||
df_results = format_results(results, metric=metric)
|
||||
|
||||
# display metric
|
||||
display(df_results
|
||||
.style.format(strformat)
|
||||
.apply(df_bold_min)
|
||||
)
|
||||
# -
|
||||
|
||||
|
||||
|
||||
# ## Datasets
|
||||
|
||||
# +
|
||||
from seq2seq_time.data.data import IMOSCurrentsVel, AppliancesEnergyPrediction, BejingPM25, GasSensor, MetroInterstateTraffic
|
||||
|
||||
datasets = [BejingPM25, GasSensor, AppliancesEnergyPrediction, MetroInterstateTraffic, IMOSCurrentsVel]
|
||||
datasets
|
||||
# -
|
||||
|
||||
|
||||
|
||||
# View train, test, val splits
|
||||
l = hv.Layout()
|
||||
for dataset in datasets:
|
||||
d = dataset(datasets_root)
|
||||
|
||||
p = dynspread(
|
||||
datashade(hv.Scatter(d.df_train[d.columns_target[0]]),
|
||||
cmap='red'))
|
||||
p *= dynspread(
|
||||
datashade(hv.Scatter(d.df_val[d.columns_target[0]]),
|
||||
cmap='green'))
|
||||
p *= dynspread(
|
||||
datashade(hv.Scatter(d.df_test[d.columns_target[0]]),
|
||||
cmap='blue'))
|
||||
p = p.opts(title=f"{dataset}")
|
||||
display(p)
|
||||
|
||||
# ## Lightning
|
||||
|
||||
# +
|
||||
import pytorch_lightning as pl
|
||||
|
||||
class PL_MODEL(pl.LightningModule):
|
||||
def __init__(self, model, lr=3e-4, patience=None, weight_decay=0):
|
||||
super().__init__()
|
||||
self._model = model
|
||||
self.lr = lr
|
||||
self.patience = patience
|
||||
self.weight_decay = weight_decay
|
||||
|
||||
def forward(self, x_past, y_past, x_future, y_future=None):
|
||||
"""Eval/Predict"""
|
||||
y_dist, extra = self._model(x_past, y_past, x_future, y_future)
|
||||
assert torch.isfinite(y_dist.loc).all(), 'output should be finite'
|
||||
return y_dist, extra
|
||||
|
||||
def training_step(self, batch, batch_idx, phase='train'):
|
||||
x_past, y_past, x_future, y_future = batch
|
||||
y_dist, extra = self.forward(*batch)
|
||||
loss = -y_dist.log_prob(y_future).mean()
|
||||
assert torch.isfinite(loss).all(), 'loss should be finite'
|
||||
self.log_dict({f'loss/{phase}':loss})
|
||||
if ('loss' in extra) and (phase=='train'):
|
||||
# some models have a special loss
|
||||
loss = extra['loss']
|
||||
self.log_dict({f'model_loss/{phase}':loss})
|
||||
return loss
|
||||
|
||||
def validation_step(self, batch, batch_idx):
|
||||
return self.training_step(batch, batch_idx, phase='val')
|
||||
|
||||
def configure_optimizers(self):
|
||||
optim = torch.optim.AdamW(self.parameters(), lr=self.lr, weight_decay=self.weight_decay)
|
||||
scheduler = torch.optim.lr_scheduler.ReduceLROnPlateau(
|
||||
optim,
|
||||
patience=self.patience,
|
||||
verbose=True,
|
||||
min_lr=1e-7,
|
||||
) if self.patience else None
|
||||
return {'optimizer': optim, 'lr_scheduler': scheduler, 'monitor': 'loss/val'}
|
||||
|
||||
|
||||
# -
|
||||
|
||||
# # Run
|
||||
from torch.utils.data import DataLoader
|
||||
from pytorch_lightning.loggers import CSVLogger
|
||||
from pytorch_lightning.callbacks.early_stopping import EarlyStopping
|
||||
|
||||
|
||||
# # Models
|
||||
|
||||
# +
|
||||
|
||||
from seq2seq_time.models.lstm_seq2seq import LSTMSeq2Seq
|
||||
from seq2seq_time.models.lstm_seq import LSTMSeq
|
||||
from seq2seq_time.models.lstm import LSTM
|
||||
from seq2seq_time.models.baseline import BaselineLast
|
||||
from seq2seq_time.models.transformer import Transformer
|
||||
from seq2seq_time.models.transformer_autor import TransformerAutoR
|
||||
from seq2seq_time.models.transformer_seq2seq import TransformerSeq2Seq
|
||||
from seq2seq_time.models.transformer_seq import TransformerSeq
|
||||
from seq2seq_time.models.neural_process import RANP
|
||||
from seq2seq_time.models.transformer_process import TransformerProcess
|
||||
from seq2seq_time.models.tcn import TCNSeq2Seq
|
||||
# ## Plots
|
||||
|
||||
|
||||
# +
|
||||
import gc
|
||||
|
||||
def free_mem():
|
||||
gc.collect()
|
||||
torch.cuda.empty_cache()
|
||||
gc.collect()
|
||||
|
||||
|
||||
# +
|
||||
hidden_size = 16
|
||||
dropout=0.0
|
||||
layers=8
|
||||
nhead=2
|
||||
|
||||
models = [
|
||||
lambda xs, ys: BaselineLast(),
|
||||
# lambda xs, ys: TransformerAutoR(xs,
|
||||
# ys, hidden_out_size=hidden_size),
|
||||
lambda xs, ys: RANP(xs,
|
||||
ys, hidden_dim=hidden_size, dropout=dropout,
|
||||
latent_dim=hidden_size//4, n_decoder_layers=layers),
|
||||
# lambda xs, ys: LSTM(xs,
|
||||
# ys,
|
||||
# hidden_size=hidden_size,
|
||||
# lstm_layers=layers,
|
||||
# lstm_dropout=dropout),
|
||||
# lambda xs, ys: LSTMSeq2Seq(xs,
|
||||
# ys,
|
||||
# hidden_size=hidden_size,
|
||||
# lstm_layers=layers,
|
||||
# lstm_dropout=dropout),
|
||||
# lambda xs, ys: TransformerSeq2Seq(xs,
|
||||
# ys,
|
||||
# hidden_size=hidden_size,
|
||||
# nhead=nhead,
|
||||
# nlayers=layers,
|
||||
# attention_dropout=dropout),
|
||||
lambda xs, ys: Transformer(xs,
|
||||
ys,
|
||||
attention_dropout=dropout,
|
||||
nhead=nhead,
|
||||
nlayers=layers,
|
||||
hidden_size=hidden_size),
|
||||
# lambda xs, ys:TransformerProcess(xs,
|
||||
# ys, hidden_size=hidden_size,
|
||||
# latent_dim=hidden_size//4, dropout=dropout,
|
||||
# nlayers=layers,)
|
||||
lambda xs, ys:TCNSeq2Seq(xs, ys, hidden_size=hidden_size, nlayers=layers, dropout=dropout)
|
||||
]
|
||||
# models
|
||||
# -
|
||||
|
||||
|
||||
|
||||
# +
|
||||
# Summarize each models shape and weights
|
||||
Dataset = datasets[0]
|
||||
dataset = Dataset(datasets_root)
|
||||
ds_train, ds_val, ds_test = dataset.to_datasets(window_past=window_past,
|
||||
window_future=window_future)
|
||||
dl_val = DataLoader(ds_val, batch_size=batch_size)
|
||||
x_past, y_past, x_future, y_future = next(iter(dl_val))
|
||||
xs = x_past.shape[-1]
|
||||
ys = y_future.shape[-1]
|
||||
|
||||
from seq2seq_time.torchsummaryX import summary
|
||||
sizes=[]
|
||||
for m_fn in models:
|
||||
pt_model = m_fn(xs, ys)
|
||||
model_name = type(pt_model).__name__
|
||||
with torch.no_grad():
|
||||
df_summary, df_total = summary(pt_model, x_past, y_past, x_future, y_future, print_summary=False)
|
||||
sizes.append(df_total.rename(columns={'Totals':model_name}))
|
||||
df_model_sizes = pd.concat(sizes, 1)
|
||||
df_model_sizes.style.format(pd.io.formats.format.EngFormatter(use_eng_prefix=True))
|
||||
# -
|
||||
# ## Train
|
||||
|
||||
from collections import defaultdict
|
||||
results = defaultdict(dict)
|
||||
|
||||
|
||||
|
||||
|
||||
from seq2seq_time.metrics import rmse, smape
|
||||
|
||||
# +
|
||||
for Dataset in datasets:
|
||||
dataset_name = Dataset.__name__
|
||||
dataset = Dataset(datasets_root)
|
||||
ds_train, ds_val, ds_test = dataset.to_datasets(window_past=window_past,
|
||||
window_future=window_future)
|
||||
|
||||
# Init data
|
||||
x_past, y_past, x_future, y_future = ds_train.get_rows(10)
|
||||
xs = x_past.shape[-1]
|
||||
ys = y_future.shape[-1]
|
||||
|
||||
# Loaders
|
||||
dl_train = DataLoader(ds_train,
|
||||
batch_size=batch_size,
|
||||
shuffle=True,
|
||||
pin_memory=num_workers == 0,
|
||||
num_workers=num_workers)
|
||||
dl_val = DataLoader(ds_val,
|
||||
shuffle=True,
|
||||
batch_size=batch_size,
|
||||
num_workers=num_workers)
|
||||
|
||||
for m_fn in models:
|
||||
try:
|
||||
free_mem()
|
||||
pt_model = m_fn(xs, ys)
|
||||
model_name = type(pt_model).__name__
|
||||
print(dataset_name, model_name)
|
||||
|
||||
# Wrap in lightning
|
||||
patience = 5
|
||||
model = PL_MODEL(pt_model,
|
||||
lr=3e-4, patience=patience,
|
||||
# weight_decay=4e-5
|
||||
).to(device)
|
||||
|
||||
# Trainer
|
||||
trainer = pl.Trainer(
|
||||
gpus=1,
|
||||
min_epochs=2,
|
||||
max_epochs=300,
|
||||
amp_level='O1',
|
||||
precision=16,
|
||||
|
||||
limit_train_batches=1200,
|
||||
limit_val_batches=250,
|
||||
logger=CSVLogger("../outputs", name=f'{dataset_name}_{model_name}'),
|
||||
callbacks=[
|
||||
EarlyStopping(monitor='loss/val', patience=patience * 2),
|
||||
],
|
||||
)
|
||||
|
||||
# Train
|
||||
trainer.fit(model, dl_train, dl_val)
|
||||
|
||||
ds_preds = predict(model.to(device),
|
||||
ds_test,
|
||||
batch_size * 2,
|
||||
device=device,
|
||||
scaler=dataset.output_scaler)
|
||||
|
||||
print(dataset_name, model_name)
|
||||
print(f'mean_NLL {ds_preds.nll.mean().item():2.2f}')
|
||||
loss = ds_preds.nll.mean().item()
|
||||
|
||||
# Performance TODO tensorboard, wandb
|
||||
print(plot_hist(trainer))
|
||||
plot_performance(ds_preds)
|
||||
|
||||
metrics = dict(
|
||||
rmse=rmse(ds_preds.y_true, ds_preds.y_pred).item(),
|
||||
smape=smape(ds_preds.y_true, ds_preds.y_pred).item(),
|
||||
nll=ds_preds.nll.mean().item()
|
||||
)
|
||||
results[dataset_name][model_name] = metrics
|
||||
display_results(results, 'nll')
|
||||
|
||||
dset_to_nc(ds_preds, Path(trainer.logger.experiment.log_dir)/'ds_preds.nc')
|
||||
model.cpu()
|
||||
except Exception as e:
|
||||
logging.exception('failed to run model')
|
||||
|
||||
df_results = pd.concat({k:pd.DataFrame(v) for k,v in results.items()})
|
||||
display(df_results)
|
||||
# -
|
||||
# # Leaderboard
|
||||
|
||||
print(f'Negative Log-Likelihood (NLL).\nover {window_future} steps')
|
||||
df_results = pd.concat({k:pd.DataFrame(v) for k,v in results.items()})
|
||||
display_results(results, 'nll')
|
||||
|
||||
# # Plots
|
||||
|
||||
# +
|
||||
|
||||
# Load saved preds
|
||||
ds_predss = defaultdict(dict)
|
||||
for Dataset in datasets:
|
||||
dataset_name = Dataset.__name__
|
||||
for m_fn in models:
|
||||
pt_model = m_fn(xs, ys)
|
||||
model_name = type(pt_model).__name__
|
||||
|
||||
checkpoint_name = f"{dataset_name}_{model_name}"
|
||||
save_dir = Path(f"../outputs")/checkpoint_name
|
||||
fs = sorted(save_dir.glob("**/ds_preds.nc"))
|
||||
if len(fs)>0:
|
||||
ds_preds = xr.open_dataset(fs[-1])
|
||||
ds_predss[dataset_name][model_name] = ds_preds
|
||||
# -
|
||||
|
||||
data_i = 100
|
||||
|
||||
# Plot mean of predictions
|
||||
n = hv.Layout()
|
||||
for dataset in ds_predss.keys():
|
||||
d = next(iter(ds_predss[dataset].values())).isel(t_source=data_i)
|
||||
p = hv_plot_true(d)
|
||||
for model in results[dataset].keys():
|
||||
ds_preds = ds_predss[dataset][model]
|
||||
d = ds_preds.isel(t_source=data_i)
|
||||
p *= hv_plot_pred(d).relabel(label=f"{model}")
|
||||
n += p.opts(title=dataset, legend_position='top_left')
|
||||
n.cols(1).opts(shared_axes=False)
|
||||
|
||||
dataset='BejingPM25'
|
||||
n = hv.Layout()
|
||||
for i, model in enumerate(ds_predss[dataset].keys()):
|
||||
ds_preds = ds_predss[dataset][model]
|
||||
d = ds_preds.isel(t_source=data_i)
|
||||
p = hv_plot_true(d)
|
||||
p *= hv_plot_pred(d).relabel('pred')
|
||||
p *= hv_plot_std(d)
|
||||
n += p.opts(title=f'{dataset} {model}', legend_position='top_left')
|
||||
n.cols(1)
|
||||
|
||||
plot_performance(ds_preds, full=True)
|
||||
|
||||
|
||||
def plot_at_i(data_i):
|
||||
d = ds_preds.isel(t_source=data_i)
|
||||
return hv_plot_prediction(d).relabel(label=f"{model}")
|
||||
dmap = hv.DynamicMap(plot_at_i, kdims=['t_source'])
|
||||
t = ds_preds.t_source.values
|
||||
dmap = dmap.redim.values(t_source=range(len(t)))
|
||||
dmap.opts(framewise=True)
|
||||
|
||||
# Plot series of predictions
|
||||
t_ahead_i=6
|
||||
d = ds_preds.isel(t_ahead=t_ahead_i)
|
||||
p = datashade(hv.Scatter({
|
||||
'x': d.t_target,
|
||||
'y': d.y_true
|
||||
}, label='true').opts(color='black'), cmap='black')
|
||||
p *= datashade(hv.Curve({'x': d.t_target, 'y':d.y_pred}), cmap='blue')
|
||||
p.opts(title=f'ahead by {d.freq} * {t_ahead_i}')
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
+242
-133
@@ -30,12 +30,11 @@
|
||||
# <img src="../reports/figures/Seq2Seq for regression.png" />
|
||||
#
|
||||
|
||||
# - [ ] tensorboard / wandb
|
||||
# - [ ] show test train
|
||||
# - [ ] val
|
||||
# - [ ] don't overfit
|
||||
# - [ ] TCN
|
||||
# - [ ] make overlap between past and future
|
||||
# - bejing data has a problem
|
||||
# - Current?
|
||||
# - [ ] make overlap between past and future?
|
||||
# - [ ] do n=5 runs
|
||||
|
||||
# OPTIONAL: Load the "autoreload" extension so that code can change. But blacklist large modules
|
||||
# %load_ext autoreload
|
||||
@@ -86,6 +85,7 @@ from seq2seq_time.data.dataset import Seq2SeqDataSet, Seq2SeqDataSets
|
||||
from seq2seq_time.predict import predict, predict_multi
|
||||
from seq2seq_time.util import dset_to_nc
|
||||
|
||||
# +
|
||||
import logging
|
||||
import warnings
|
||||
import seq2seq_time.silence
|
||||
@@ -95,6 +95,10 @@ warnings.simplefilter(action='ignore', category=DeprecationWarning)
|
||||
warnings.filterwarnings('ignore', 'Consider increasing the value of the `num_workers` argument', UserWarning)
|
||||
warnings.filterwarnings('ignore', 'Your val_dataloader has `shuffle=True`', UserWarning)
|
||||
|
||||
from pytorch_lightning import _logger as log
|
||||
log.setLevel(logging.WARN)
|
||||
# -
|
||||
|
||||
# ## Parameters
|
||||
|
||||
# +
|
||||
@@ -196,13 +200,20 @@ def plot_performance(ds_preds, full=False):
|
||||
true_vs_pred
|
||||
display(true_vs_pred)
|
||||
|
||||
def read_hist(trainer: pl.Trainer):
|
||||
metrics_file_path = Path(trainer.logger.experiment[-1].log_dir)/'..'/'metrics.csv'
|
||||
try:
|
||||
df_hist = pd.read_csv(metrics_file_path)
|
||||
df_hist['epoch'] = df_hist['epoch'].ffill()
|
||||
df_histe = df_hist.set_index('epoch').groupby('epoch').mean()
|
||||
return df_histe
|
||||
except Exception as e:
|
||||
print(e)
|
||||
|
||||
def plot_hist(trainer: pl.Trainer):
|
||||
"""If you used a CSVLogger you can load and plot history here"""
|
||||
try:
|
||||
df_hist = pd.read_csv(trainer.logger.experiment.metrics_file_path)
|
||||
df_hist['epoch'] = df_hist['epoch'].ffill()
|
||||
|
||||
df_histe = df_hist.set_index('epoch').groupby('epoch').mean()
|
||||
df_histe = read_hist(trainer)
|
||||
if len(df_histe)>1:
|
||||
p = hv.Curve(df_histe, kdims=['epoch'], vdims=['loss/train']).relabel('train')
|
||||
p *= hv.Curve(df_histe, kdims=['epoch'], vdims=['loss/val']).relabel('val')
|
||||
@@ -235,14 +246,17 @@ def df_bold_min(data):
|
||||
return pd.DataFrame(np.where(is_min, attr, ''),
|
||||
index=data.index, columns=data.columns)
|
||||
|
||||
def format_results(results, metric=None):
|
||||
def format_results(results, metric=None, sort=True):
|
||||
df_results = pd.concat({k:pd.DataFrame(v) for k,v in results.items()}).T
|
||||
if metric:
|
||||
return df_results.xs(metric, axis=1, level=1).rename_axis(columns=metric)
|
||||
df_results = df_results.xs(metric, axis=1, level=1).rename_axis(columns=metric)
|
||||
if sort is True:
|
||||
df_results['mean(e-e_baseline)'] = (df_results - df_results.T.BaselineMean).mean(1)
|
||||
df_results = df_results.sort_values('mean(e-e_baseline)')
|
||||
return df_results
|
||||
|
||||
def display_results(results, metric='nll', strformat="{:.2f}"):
|
||||
df_results = format_results(results, metric=metric)
|
||||
def display_results(results, metric='nll', strformat="{:.2f}", sort=True):
|
||||
df_results = format_results(results, metric=metric, sort=sort)
|
||||
|
||||
# display metric
|
||||
display(df_results
|
||||
@@ -259,27 +273,29 @@ def display_results(results, metric='nll', strformat="{:.2f}"):
|
||||
# Some such as MetroInterstateTraffic are easier, some are periodic such as BejingPM25, some are conditional on inputs such as GasSensor, and some are noisy and periodic like IMOSCurrentsVel
|
||||
|
||||
from seq2seq_time.data.data import IMOSCurrentsVel, AppliancesEnergyPrediction, BejingPM25, GasSensor, MetroInterstateTraffic
|
||||
datasets = [MetroInterstateTraffic, BejingPM25, GasSensor, AppliancesEnergyPrediction, IMOSCurrentsVel]
|
||||
datasets = [GasSensor, IMOSCurrentsVel, AppliancesEnergyPrediction, BejingPM25, MetroInterstateTraffic]
|
||||
datasets
|
||||
|
||||
|
||||
|
||||
# View train, test, val splits
|
||||
l = hv.Layout()
|
||||
for dataset in datasets:
|
||||
d = dataset(datasets_root)
|
||||
# +
|
||||
# # View train, test, val splits
|
||||
# l = hv.Layout()
|
||||
# for dataset in datasets:
|
||||
# d = dataset(datasets_root)
|
||||
|
||||
p = dynspread(
|
||||
datashade(hv.Scatter(d.df_train[d.columns_target[0]]),
|
||||
cmap='red'))
|
||||
p *= dynspread(
|
||||
datashade(hv.Scatter(d.df_val[d.columns_target[0]]),
|
||||
cmap='green'))
|
||||
p *= dynspread(
|
||||
datashade(hv.Scatter(d.df_test[d.columns_target[0]]),
|
||||
cmap='blue'))
|
||||
p = p.opts(title=f"{dataset.__name__}, n={len(d)}, freq={d.df.index.freq.freqstr}")
|
||||
display(p)
|
||||
# p = dynspread(
|
||||
# datashade(hv.Scatter(d.df_train[d.columns_target[0]]),
|
||||
# cmap='red'))
|
||||
# p *= dynspread(
|
||||
# datashade(hv.Scatter(d.df_val[d.columns_target[0]]),
|
||||
# cmap='green'))
|
||||
# p *= dynspread(
|
||||
# datashade(hv.Scatter(d.df_test[d.columns_target[0]]),
|
||||
# cmap='blue'))
|
||||
# p = p.opts(title=f"{dataset.__name__}, n={len(d)}, freq={d.df.index.freq.freqstr}")
|
||||
# display(p)
|
||||
# -
|
||||
|
||||
# ## Lightning
|
||||
#
|
||||
@@ -329,8 +345,9 @@ class PL_MODEL(pl.LightningModule):
|
||||
# -
|
||||
|
||||
from torch.utils.data import DataLoader
|
||||
from pytorch_lightning.loggers import CSVLogger
|
||||
from pytorch_lightning.loggers import CSVLogger, WandbLogger, TensorBoardLogger, TestTubeLogger
|
||||
from pytorch_lightning.callbacks.early_stopping import EarlyStopping
|
||||
from pytorch_lightning.callbacks import LearningRateMonitor
|
||||
|
||||
|
||||
# ## Models
|
||||
@@ -352,58 +369,65 @@ def free_mem():
|
||||
gc.collect()
|
||||
torch.cuda.empty_cache()
|
||||
gc.collect()
|
||||
# -
|
||||
|
||||
|
||||
|
||||
# +
|
||||
hidden_size = 16
|
||||
# PARAMS: model
|
||||
## Some datasets are easier, so we will vary the hidden size to predict overfitting
|
||||
hidden_size={'IMOSCurrentsVel': 6, #?
|
||||
'AppliancesEnergyPrediction': 6, # ?
|
||||
'BejingPM25': 8, # OK
|
||||
'GasSensor': 8, # OK
|
||||
'MetroInterstateTraffic': 16 # OK
|
||||
}
|
||||
dropout=0.0
|
||||
layers=6
|
||||
nhead=2
|
||||
|
||||
models = [
|
||||
lambda xs, ys: BaselineLast(),
|
||||
lambda xs, ys: BaselineMean(),
|
||||
lambda xs, ys: Transformer(xs,
|
||||
# lambda xs, ys: BaselineLast(),
|
||||
lambda xs, ys, hidden_size: BaselineMean(),
|
||||
lambda xs, ys, hidden_size: Transformer(xs,
|
||||
ys,
|
||||
attention_dropout=dropout,
|
||||
nhead=nhead*2,
|
||||
nlayers=layers,
|
||||
hidden_size=hidden_size),
|
||||
|
||||
lambda xs, ys:TransformerProcess(xs,
|
||||
lambda xs, ys, hidden_size:TransformerProcess(xs,
|
||||
ys, hidden_size=hidden_size, nhead=nhead,
|
||||
latent_dim=hidden_size//2, dropout=dropout,
|
||||
nlayers=layers),
|
||||
lambda xs, ys:TCNSeq(xs, ys, hidden_size=hidden_size*2, nlayers=layers, dropout=dropout, kernel_size=2),
|
||||
lambda xs, ys: RANP(xs,
|
||||
lambda xs, ys, hidden_size:TCNSeq(xs, ys, hidden_size=hidden_size, nlayers=layers, dropout=dropout, kernel_size=2),
|
||||
lambda xs, ys, hidden_size: RANP(xs,
|
||||
ys, hidden_dim=hidden_size, dropout=dropout,
|
||||
latent_dim=hidden_size//2, n_decoder_layers=layers),
|
||||
lambda xs, ys: TransformerSeq2Seq(xs,
|
||||
lambda xs, ys, hidden_size: TransformerSeq2Seq(xs,
|
||||
ys,
|
||||
hidden_size=hidden_size,
|
||||
nhead=nhead,
|
||||
nlayers=layers,
|
||||
attention_dropout=dropout
|
||||
),
|
||||
lambda xs, ys: LSTM(xs,
|
||||
lambda xs, ys, hidden_size: LSTM(xs,
|
||||
ys,
|
||||
hidden_size=hidden_size*2,
|
||||
lstm_layers=layers,
|
||||
hidden_size=hidden_size,
|
||||
lstm_layers=layers//2,
|
||||
lstm_dropout=dropout),
|
||||
|
||||
|
||||
|
||||
lambda xs, ys: LSTMSeq2Seq(xs,
|
||||
lambda xs, ys, hidden_size: LSTMSeq2Seq(xs,
|
||||
ys,
|
||||
hidden_size=hidden_size,
|
||||
lstm_layers=layers,
|
||||
lstm_dropout=dropout),
|
||||
lambda xs, ys: CrossAttention(xs,
|
||||
lambda xs, ys, hidden_size: CrossAttention(xs,
|
||||
ys,
|
||||
hidden_size=hidden_size,),
|
||||
lambda xs, ys: InceptionTimeSeq(xs,
|
||||
lambda xs, ys, hidden_size: InceptionTimeSeq(xs,
|
||||
ys,
|
||||
layers=layers,
|
||||
kernel_size=96,
|
||||
layers=layers//2,
|
||||
hidden_size=hidden_size,
|
||||
bottleneck=hidden_size//4)
|
||||
|
||||
@@ -430,28 +454,36 @@ ys = y_future.shape[-1]
|
||||
# summary of each model
|
||||
sizes=[]
|
||||
for m_fn in models:
|
||||
pt_model = m_fn(xs, ys).eval().to(device)
|
||||
pt_model = m_fn(xs, ys, 16).eval().to(device)
|
||||
model_name = type(pt_model).__name__
|
||||
with torch.no_grad():
|
||||
df_summary, df_total = summary(pt_model, x_past, y_past, x_future, y_future, print_summary=False)
|
||||
sizes.append(df_total.rename(columns={'Totals':model_name}))
|
||||
df_model_sizes = pd.concat(sizes, 1).T
|
||||
df_model_sizes.style.format(pd.io.formats.format.EngFormatter(use_eng_prefix=True))
|
||||
|
||||
# Human readable numbers
|
||||
fmt=pd.io.formats.format.EngFormatter(use_eng_prefix=True)
|
||||
df_model_sizes_hr = df_model_sizes.apply(lambda x:x.apply(fmt))
|
||||
|
||||
df_model_sizes_hr.to_markdown(open(f'../outputs/{timestamp}_models.md', 'w'))
|
||||
df_model_sizes_hr
|
||||
# -
|
||||
|
||||
|
||||
|
||||
# ## Train
|
||||
|
||||
from collections import defaultdict
|
||||
from seq2seq_time.metrics import rmse, smape
|
||||
results = defaultdict(dict)
|
||||
|
||||
|
||||
max_iters=20000
|
||||
|
||||
|
||||
tensorboard_dir = Path(f"../outputs/{timestamp}").resolve()
|
||||
print(f'For tensorboard run:\ntensorboard --logdir="{tensorboard_dir}"')
|
||||
|
||||
# +
|
||||
for Dataset in datasets:
|
||||
|
||||
results = defaultdict(dict)
|
||||
for Dataset in tqdm(datasets, desc='datasets'):
|
||||
dataset_name = Dataset.__name__
|
||||
dataset = Dataset(datasets_root)
|
||||
ds_train, ds_val, ds_test = dataset.to_datasets(window_past=window_past,
|
||||
@@ -473,34 +505,45 @@ for Dataset in datasets:
|
||||
batch_size=batch_size,
|
||||
num_workers=num_workers)
|
||||
|
||||
for m_fn in models:
|
||||
for m_fn in tqdm(models, desc=f'models ({dataset_name})'):
|
||||
try:
|
||||
free_mem()
|
||||
pt_model = m_fn(xs, ys)
|
||||
pt_model = m_fn(xs, ys, hidden_size[dataset_name])
|
||||
model_name = type(pt_model).__name__
|
||||
print(dataset_name, model_name)
|
||||
print(timestamp, dataset_name, model_name)
|
||||
|
||||
# Wrap in lightning
|
||||
patience = 2
|
||||
model = PL_MODEL(pt_model,
|
||||
lr=1e-3, patience=patience,
|
||||
lr=3e-4, patience=patience,
|
||||
# weight_decay=4e-5
|
||||
).to(device)
|
||||
|
||||
# Trainer
|
||||
save_dir = f"../outputs/{timestamp}/{dataset_name}"
|
||||
name =f'{model_name}'
|
||||
trainer = pl.Trainer(
|
||||
gpus=1,
|
||||
# Training length
|
||||
min_epochs=2,
|
||||
max_epochs=100,
|
||||
amp_level='O1',
|
||||
precision=16,
|
||||
gradient_clip_val=20,
|
||||
terminate_on_nan=True,
|
||||
limit_train_batches=max_iters//batch_size,
|
||||
limit_val_batches=max_iters//batch_size//5,
|
||||
logger=CSVLogger("../outputs", name=f'{timestamp}_{dataset_name}_{model_name}'),
|
||||
# Misc
|
||||
gradient_clip_val=20,
|
||||
terminate_on_nan=True,
|
||||
# GPU
|
||||
gpus=1,
|
||||
amp_level='O1',
|
||||
precision=16,
|
||||
# Logging
|
||||
default_root_dir=save_dir,
|
||||
logger=[
|
||||
TestTubeLogger(name=name, save_dir=save_dir)
|
||||
],
|
||||
# Callbacks
|
||||
callbacks=[
|
||||
EarlyStopping(monitor='loss/val', patience=patience * 2),
|
||||
LearningRateMonitor(logging_interval='epoch')
|
||||
],
|
||||
)
|
||||
|
||||
@@ -513,12 +556,7 @@ for Dataset in datasets:
|
||||
device=device,
|
||||
scaler=dataset.output_scaler)
|
||||
|
||||
# print(dataset_name, model_name)
|
||||
# print(f'mean_NLL {ds_preds.nll.mean().item():2.2f}')
|
||||
# loss = ds_preds.nll.mean().item()
|
||||
|
||||
# print(plot_hist(trainer))
|
||||
# plot_performance(ds_preds)
|
||||
# display(read_hist(trainer))
|
||||
|
||||
metrics = dict(
|
||||
rmse=rmse(ds_preds.y_true, ds_preds.y_pred).item(),
|
||||
@@ -526,9 +564,10 @@ for Dataset in datasets:
|
||||
nll=ds_preds.nll.mean().item()
|
||||
)
|
||||
results[dataset_name][model_name] = metrics
|
||||
display_results(results, 'nll')
|
||||
display_results(results, 'nll', sort=False)
|
||||
|
||||
dset_to_nc(ds_preds, Path(trainer.logger.experiment.log_dir)/'ds_preds.nc')
|
||||
pred_path = Path(trainer.logger.experiment[-1].log_dir)/'..'/'ds_preds.nc'
|
||||
dset_to_nc(ds_preds, pred_path)
|
||||
model.cpu()
|
||||
except Exception as e:
|
||||
logging.exception('failed to run model')
|
||||
@@ -536,15 +575,28 @@ for Dataset in datasets:
|
||||
df_results = pd.concat({k:pd.DataFrame(v) for k,v in results.items()})
|
||||
display(df_results)
|
||||
# -
|
||||
|
||||
|
||||
# # Leaderboard
|
||||
|
||||
print(f'Negative Log-Likelihood (NLL).\nover {window_future} steps')
|
||||
df_results = pd.concat({k:pd.DataFrame(v) for k,v in results.items()})
|
||||
display_results(results, 'nll')
|
||||
|
||||
|
||||
def results_html(results, metric='nll', strformat="{:.2f}"):
|
||||
df_results = format_results(results, metric=metric)
|
||||
f = f'../outputs/{timestamp}_leaderboard.html'
|
||||
print('saved to', f)
|
||||
df_results.to_html(f, float_format=lambda n:strformat.format(n))
|
||||
|
||||
f = f'../outputs/{timestamp}_leaderboard.md'
|
||||
print(f)
|
||||
df_results.round(2).to_markdown(open(f, 'w'))
|
||||
results_html(results, 'nll')
|
||||
|
||||
# # Plots
|
||||
#
|
||||
# - TODO make legends smaller
|
||||
# - TODO either many batches, or plot of X steps ahead
|
||||
|
||||
# +
|
||||
|
||||
@@ -553,32 +605,35 @@ ds_predss = defaultdict(dict)
|
||||
for Dataset in datasets:
|
||||
dataset_name = Dataset.__name__
|
||||
for m_fn in models:
|
||||
pt_model = m_fn(xs, ys)
|
||||
pt_model = m_fn(xs, ys, hidden_size[dataset_name])
|
||||
model_name = type(pt_model).__name__
|
||||
save_dir = Path(f"../outputs")/timestamp/dataset_name/model_name
|
||||
|
||||
checkpoint_name = f"{timestamp}_{dataset_name}_{model_name}"
|
||||
save_dir = Path(f"../outputs")/checkpoint_name
|
||||
# Get latest checkpoint
|
||||
fs = sorted(save_dir.glob("**/ds_preds.nc"))
|
||||
if len(fs)>0:
|
||||
ds_preds = xr.open_dataset(fs[-1])
|
||||
ds_predss[dataset_name][model_name] = ds_preds
|
||||
# -
|
||||
|
||||
data_i = 100
|
||||
data_i = 300
|
||||
|
||||
# Plot mean of predictions
|
||||
n = hv.Layout()
|
||||
for dataset in ds_predss.keys():
|
||||
d = next(iter(ds_predss[dataset].values())).isel(t_source=data_i)
|
||||
p = hv_plot_true(d)
|
||||
for model in results[dataset].keys():
|
||||
for model in ds_predss[dataset].keys():
|
||||
ds_preds = ds_predss[dataset][model]
|
||||
d = ds_preds.isel(t_source=data_i)
|
||||
p *= hv_plot_pred(d).relabel(label=f"{model}")
|
||||
n += p.opts(title=dataset, legend_position='top_left')
|
||||
n.cols(1).opts(shared_axes=False)
|
||||
|
||||
dataset='BejingPM25'
|
||||
1/0
|
||||
|
||||
dataset='IMOSCurrentsVel'
|
||||
data_i=844
|
||||
n = hv.Layout()
|
||||
for i, model in enumerate(ds_predss[dataset].keys()):
|
||||
ds_preds = ds_predss[dataset][model]
|
||||
@@ -589,68 +644,122 @@ for i, model in enumerate(ds_predss[dataset].keys()):
|
||||
n += p.opts(title=f'{dataset} {model}', legend_position='top_left')
|
||||
n.cols(1)
|
||||
|
||||
plot_performance(ds_preds, full=True)
|
||||
|
||||
|
||||
def plot_at_i(data_i):
|
||||
d = ds_preds.isel(t_source=data_i)
|
||||
return hv_plot_prediction(d).relabel(label=f"{model}")
|
||||
dmap = hv.DynamicMap(plot_at_i, kdims=['t_source'])
|
||||
t = ds_preds.t_source.values
|
||||
dmap = dmap.redim.values(t_source=range(len(t)))
|
||||
dmap.opts(framewise=True)
|
||||
|
||||
# Plot series of predictions
|
||||
t_ahead_i=6
|
||||
d = ds_preds.isel(t_ahead=t_ahead_i)
|
||||
p = datashade(hv.Scatter({
|
||||
'x': d.t_target,
|
||||
'y': d.y_true
|
||||
}, label='true').opts(color='black'), cmap='black')
|
||||
p *= datashade(hv.Curve({'x': d.t_target, 'y':d.y_pred}), cmap='blue')
|
||||
p.opts(title=f'ahead by {d.freq} * {t_ahead_i}')
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
# # DEBUG
|
||||
|
||||
# +
|
||||
# # Summarize each models weights, and sanity check them
|
||||
# dataset = datasets[0](datasets_root)
|
||||
# ds_train, ds_val, ds_test = dataset.to_datasets(window_past=window_past,
|
||||
# window_future=window_future)
|
||||
# dl_val = DataLoader(ds_val, batch_size=batch_size)
|
||||
# x_past, y_past, x_future, y_future = next(iter(dl_val))
|
||||
# xs = x_past.shape[-1]
|
||||
# ys = y_future.shape[-1]
|
||||
# plot_performance(ds_preds, full=True)
|
||||
|
||||
# for m_fn in models:
|
||||
# +
|
||||
def plot_at_i(time_i, dataset, model):
|
||||
d = ds_predss[dataset][model].isel(t_source=time_i)
|
||||
return hv_plot_prediction(d).relabel(label=f"{model}")
|
||||
|
||||
# pt_model = m_fn(xs, ys)
|
||||
dmap = hv.DynamicMap(plot_at_i, kdims=['t_source', 'dataset', 'model'])
|
||||
t = ds_preds.t_source.values
|
||||
models = list(next(iter(ds_predss.values())).keys())
|
||||
dmap = dmap.redim.values(
|
||||
t_source=range(len(t)),
|
||||
dataset=list(ds_predss.keys()),
|
||||
model=models,
|
||||
)
|
||||
dmap.opts(framewise=True)
|
||||
# -
|
||||
|
||||
# # Wrap in lightning
|
||||
# model = PL_MODEL(pt_model)
|
||||
1/0
|
||||
|
||||
# # Trainer
|
||||
# free_mem()
|
||||
# trainer = pl.Trainer(
|
||||
# gpus=1,
|
||||
# fast_dev_run=True,
|
||||
# gradient_clip_val=4,
|
||||
# progress_bar_refresh_rate=0,
|
||||
# )
|
||||
|
||||
# # Train
|
||||
# trainer.fit(model, dl_val)
|
||||
# +
|
||||
# Explore predictions with dynamic map
|
||||
|
||||
def plot_predictions_ahead(dataset='IMOSCurrentsVel', t_ahead_i=6, start=0, window_steps=1800):
|
||||
d = next(iter(ds_predss[dataset].values())).isel(t_ahead=t_ahead_i).isel(t_source=slice(start, start+window_steps))
|
||||
|
||||
p = hv.Scatter({
|
||||
'x': d.t_target,
|
||||
'y': d.y_true
|
||||
}, label='true').opts(color='black', framewise=True)
|
||||
for model in results[dataset].keys():
|
||||
ds_preds = ds_predss[dataset][model]
|
||||
d = ds_preds.isel(t_ahead=t_ahead_i).isel(t_source=slice(start, start+window_steps))
|
||||
p *= hv.Curve({'x': d.t_target, 'y':d.y_pred}, label=model).relabel(label=f"{model}")
|
||||
|
||||
p = p.opts(title=f"Dataset: {dataset}, {d.freq}*{t_ahead_i} ahead", height=250, legend_position='top', ylabel=d.targets)
|
||||
return p.opts(framewise=True)
|
||||
|
||||
dmap = hv.DynamicMap(plot_predictions_ahead, kdims=['dataset', 't_ahead_i', 'start', 'window_steps'])
|
||||
dmap = dmap.redim.values(dataset=list(ds_predss.keys()))
|
||||
dmap = dmap.redim.range(t_ahead_i=(0, window_future), start=(0, 5000), window_steps=(10, 5000))
|
||||
dmap = dmap.redim.default(t_ahead_i=10, window_steps=800)
|
||||
dmap
|
||||
# -
|
||||
|
||||
|
||||
1/0
|
||||
|
||||
|
||||
# +
|
||||
# Explore predictions with dynamic map
|
||||
|
||||
def plot_predictions_ahead(dataset='IMOSCurrentsVel', model='', t_ahead_i=6, start=0, window_steps=1800):
|
||||
d = next(iter(ds_predss[dataset].values())).isel(t_ahead=t_ahead_i).isel(t_source=slice(start, start+window_steps))
|
||||
|
||||
p = hv.Scatter({
|
||||
'x': d.t_target,
|
||||
'y': d.y_true
|
||||
}, label='true').opts(color='black', framewise=True)
|
||||
|
||||
ds_preds = ds_predss[dataset][model]
|
||||
d = ds_preds.isel(t_ahead=t_ahead_i).isel(t_source=slice(start, start+window_steps))
|
||||
x = d.t_target
|
||||
y = d.y_pred
|
||||
s = d.y_pred_std
|
||||
p *= hv.Curve({'x': x, 'y':y}, label=model).relabel(label=f"{model}")
|
||||
p *= hv.Spread((x, y, s * 2),
|
||||
label='2*std').opts(alpha=0.5, line_width=0)
|
||||
|
||||
p = p.opts(title=f"Dataset: {dataset}, model={model}, {d.freq}*{t_ahead_i} ahead", height=250, legend_position='top', ylabel=d.targets)
|
||||
return p.opts(framewise=True)
|
||||
|
||||
dmap = hv.DynamicMap(plot_predictions_ahead, kdims=['dataset', 'model', 't_ahead_i', 'start', 'window_steps'])
|
||||
dmap = dmap.redim.values(dataset=list(ds_predss.keys()), model=models)
|
||||
dmap = dmap.redim.range(t_ahead_i=(0, window_future), start=(0, 5000), window_steps=(10, 5000))
|
||||
dmap = dmap.redim.default(t_ahead_i=10, window_steps=1000)
|
||||
dmap
|
||||
# -
|
||||
|
||||
|
||||
|
||||
# +
|
||||
# Explore predictions with dynamic map
|
||||
|
||||
def plot_predictions_ahead(dataset='IMOSCurrentsVel', t_ahead_i=6, start=0, window_steps=1800):
|
||||
ds_preds = ds_predss[dataset]
|
||||
l = hv.Layout()
|
||||
for model in ds_preds.keys():
|
||||
d = ds_preds[model].isel(t_ahead=t_ahead_i).isel(t_source=slice(start, start+window_steps))
|
||||
x = d.t_target
|
||||
y = d.y_pred
|
||||
s = d.y_pred_std
|
||||
|
||||
p = hv.Scatter({
|
||||
'x': d.t_target,
|
||||
'y': d.y_true
|
||||
}).opts(color='black')
|
||||
p *= hv.Curve({'x': x, 'y':y})
|
||||
p *= hv.Spread((x, y, s * 2)).opts(alpha=0.5, line_width=0)
|
||||
l += p.opts(title=f"Dataset: {dataset}, model={model}, {d.freq}*{t_ahead_i} ahead", height=250, legend_position='top', ylabel=d.targets)
|
||||
return l.cols(1)
|
||||
|
||||
dmap = hv.DynamicMap(plot_predictions_ahead, kdims=['dataset', 't_ahead_i', 'start', 'window_steps'])
|
||||
dmap = dmap.redim.values(dataset=list(ds_predss.keys()))
|
||||
dmap = dmap.redim.range(t_ahead_i=(0, window_future), start=(0, 5000), window_steps=(10, 5000))
|
||||
dmap = dmap.redim.default(t_ahead_i=10, window_steps=400)
|
||||
dmap
|
||||
# -
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
@@ -8,10 +8,9 @@ class CrossAttention(nn.Module):
|
||||
"""
|
||||
A single transformer, using cross attention, like in the determistic encoder in attentive neural processes.
|
||||
"""
|
||||
def __init__(self, x_dim, y_dim, attention_dropout=0, nhead=8, nlayers=8, hidden_size=32, nan_value=0, min_std=0.01):
|
||||
def __init__(self, x_dim, y_dim, attention_dropout=0, nhead=8, nlayers=8, hidden_size=32, min_std=0.01):
|
||||
super().__init__()
|
||||
self._min_std = min_std
|
||||
self.nan_value = nan_value
|
||||
enc_x_dim = x_dim + y_dim
|
||||
|
||||
self.v_encoder = nn.Linear(enc_x_dim, hidden_size)
|
||||
@@ -59,10 +58,10 @@ class CrossAttention(nn.Module):
|
||||
q = self.q_encoder(future_x).permute(1, 0, 2)
|
||||
v = self.v_encoder(context).permute(1, 0, 2)
|
||||
|
||||
# Self attention with causal mask
|
||||
v = self.self_attn_v(v, v, v, attn_mask=past_causal_mask)[0]
|
||||
q = self.self_attn_q(q, q, q, attn_mask=future_causal_mask)[0]
|
||||
k = self.self_attn_k(k, k, k, attn_mask=past_causal_mask)[0]
|
||||
# # Self attention with causal mask
|
||||
# v = self.self_attn_v(v, v, v, attn_mask=past_causal_mask)[0]
|
||||
# q = self.self_attn_q(q, q, q, attn_mask=future_causal_mask)[0]
|
||||
# k = self.self_attn_k(k, k, k, attn_mask=past_causal_mask)[0]
|
||||
|
||||
# Cross attention
|
||||
h = self.cross_attn(query=q, key=k, value=v)[0]
|
||||
|
||||
Reference in New Issue
Block a user