Source code for pytorch_forecasting.models.mlp

"""
Simple models based on fully connected networks
"""


from typing import Dict, List, Tuple, Union

import numpy as np
import torch
from torch import nn

from pytorch_forecasting.data import TimeSeriesDataSet
from pytorch_forecasting.metrics import MAE, MAPE, MASE, RMSE, SMAPE, MultiHorizonMetric, QuantileLoss
from pytorch_forecasting.models.base_model import BaseModelWithCovariates
from pytorch_forecasting.models.mlp.submodules import FullyConnectedModule
from pytorch_forecasting.models.nn.embeddings import MultiEmbedding


[docs]class DecoderMLP(BaseModelWithCovariates): """ MLP on the decoder. MLP that predicts output only based on information available in the decoder. """ def __init__( self, activation_class: str = "ReLU", hidden_size: int = 300, n_hidden_layers: int = 3, dropout: float = 0.1, norm: bool = True, static_categoricals: List[str] = [], static_reals: List[str] = [], time_varying_categoricals_encoder: List[str] = [], time_varying_categoricals_decoder: List[str] = [], categorical_groups: Dict[str, List[str]] = {}, time_varying_reals_encoder: List[str] = [], time_varying_reals_decoder: List[str] = [], embedding_sizes: Dict[str, Tuple[int, int]] = {}, embedding_paddings: List[str] = [], embedding_labels: Dict[str, np.ndarray] = {}, x_reals: List[str] = [], x_categoricals: List[str] = [], output_size: Union[int, List[int]] = 1, target: Union[str, List[str]] = None, loss: MultiHorizonMetric = None, logging_metrics: nn.ModuleList = None, **kwargs, ): """ Args: activation_class (str, optional): PyTorch activation class. Defaults to "ReLU". hidden_size (int, optional): hidden recurrent size - the most important hyperparameter along with ``n_hidden_layers``. Defaults to 10. n_hidden_layers (int, optional): Number of hidden layers - important hyperparameter. Defaults to 2. dropout (float, optional): Dropout. Defaults to 0.1. norm (bool, optional): if to use normalization in the MLP. Defaults to True. static_categoricals: integer of positions of static categorical variables static_reals: integer of positions of static continuous variables time_varying_categoricals_encoder: integer of positions of categorical variables for encoder time_varying_categoricals_decoder: integer of positions of categorical variables for decoder time_varying_reals_encoder: integer of positions of continuous variables for encoder time_varying_reals_decoder: integer of positions of continuous variables for decoder categorical_groups: dictionary where values are list of categorical variables that are forming together a new categorical variable which is the key in the dictionary x_reals: order of continuous variables in tensor passed to forward function x_categoricals: order of categorical variables in tensor passed to forward function embedding_sizes: dictionary mapping (string) indices to tuple of number of categorical classes and embedding size embedding_paddings: list of indices for embeddings which transform the zero's embedding to a zero vector embedding_labels: dictionary mapping (string) indices to list of categorical labels output_size (Union[int, List[int]], optional): number of outputs (e.g. number of quantiles for QuantileLoss and one target or list of output sizes). target (str, optional): Target variable or list of target variables. Defaults to None. loss (MultiHorizonMetric, optional): loss: loss function taking prediction and targets. Defaults to QuantileLoss. logging_metrics (nn.ModuleList, optional): Metrics to log during training. Defaults to nn.ModuleList([SMAPE(), MAE(), RMSE(), MAPE(), MASE()]). """ if loss is None: loss = QuantileLoss() if logging_metrics is None: logging_metrics = nn.ModuleList([SMAPE(), MAE(), RMSE(), MAPE(), MASE()]) self.save_hyperparameters() # store loss function separately as it is a module super().__init__(loss=loss, logging_metrics=logging_metrics, **kwargs) self.input_embeddings = MultiEmbedding( embedding_sizes={ name: val for name, val in embedding_sizes.items() if name in self.decoder_variables + self.static_variables }, embedding_paddings=embedding_paddings, categorical_groups=categorical_groups, x_categoricals=x_categoricals, ) # define network if isinstance(self.hparams.output_size, int): mlp_output_size = self.hparams.output_size else: mlp_output_size = sum(self.hparams.output_size) cont_size = len(self.decoder_reals_positions) cat_size = sum([emb.embedding_dim for emb in self.input_embeddings.values()]) input_size = cont_size + cat_size self.mlp = FullyConnectedModule( dropout=dropout, norm=self.hparams.norm, activation_class=getattr(nn, self.hparams.activation_class), input_size=input_size, output_size=mlp_output_size, hidden_size=self.hparams.hidden_size, n_hidden_layers=self.hparams.n_hidden_layers, ) @property def decoder_reals_positions(self) -> List[int]: return [ self.hparams.x_reals.index(name) for name in self.reals if name in self.decoder_variables + self.static_variables ]
[docs] def forward(self, x: Dict[str, torch.Tensor], n_samples: int = None) -> Dict[str, torch.Tensor]: """ Forward network """ # x is a batch generated based on the TimeSeriesDataset batch_size = x["decoder_lengths"].size(0) embeddings = self.input_embeddings(x["decoder_cat"]) # returns dictionary with embedding tensors network_input = torch.cat( [x["decoder_cont"][..., self.decoder_reals_positions]] + list(embeddings.values()), dim=-1, ) prediction = self.mlp(network_input.view(-1, self.mlp.input_size)).view( batch_size, network_input.size(1), self.mlp.output_size ) # cut prediction into pieces for multiple targets if self.n_targets > 1: prediction = torch.split(prediction, self.hparams.output_size, dim=-1) # We need to return a dictionary that at least contains the prediction # The parameter can be directly forwarded from the input. prediction = self.transform_output(prediction, target_scale=x["target_scale"]) return self.to_network_output(prediction=prediction)
@classmethod def from_dataset(cls, dataset: TimeSeriesDataSet, **kwargs): new_kwargs = cls.deduce_default_output_parameters(dataset, kwargs, QuantileLoss()) kwargs.update(new_kwargs) return super().from_dataset(dataset, **kwargs)