Improvement on FCM GA including both average and standard deviation on the learning optimization objective

pyFTS/common/Util.py

@@ -6,6 +6,7 @@ import time
 import matplotlib.pyplot as plt
 import dill
 import numpy as np
+import pandas as pd
 import matplotlib.cm as cmx
 import matplotlib.colors as pltcolors
 from pyFTS.probabilistic import ProbabilityDistribution
@@ -340,7 +341,10 @@ def sliding_window(data, windowsize, train=0.8, inc=0.1, **kwargs):
     :param inc: percentual of data used for slide the window
     :return: window count, training set, test set
     """
-    l = len(data)
+
+    multivariate = True if isinstance(data, pd.DataFrame) else False
+
+    l = len(data) if not multivariate else len(data.index)
     ttrain = int(round(windowsize * train, 0))
     ic = int(round(windowsize * inc, 0))
 
@@ -357,7 +361,10 @@ def sliding_window(data, windowsize, train=0.8, inc=0.1, **kwargs):
             _end = l
         else:
             _end = count + windowsize
-        yield (count,  data[count : count + ttrain], data[count + ttrain : _end]  )
+        if multivariate:
+            yield (count, data.iloc[count: count + ttrain], data.iloc[count + ttrain: _end])
+        else:
+            yield (count,  data[count : count + ttrain], data[count + ttrain : _end]  )
 
 
 def persist_obj(obj, file):

pyFTS/fcm/GA.py

@@ -125,9 +125,10 @@ def evaluate(dataset, individual, **kwargs):
         errors.append(rmse)
 
     _rmse = np.nanmean(errors)
+    _std = np.nanstd(errors)
 
     #print("EVALUATION {}".format(individual))
-    return {'rmse': _rmse}
+    return {'rmse': .6 * _rmse + .4 * _std}
 
 
 

pyFTS/tests/multivariate.py

@@ -6,193 +6,144 @@ from pyFTS.data import Enrollments, TAIEX, SONDA
 from pyFTS.partitioners import Grid, Simple, Entropy
 from pyFTS.common import Util
 
-from pyspark import SparkConf
+from pyFTS.models.multivariate import mvfts, wmvfts, cmvfts, grid, granular
-from pyspark import SparkContext
-
-import os
-# make sure pyspark tells workers to use python3 not 2 if both are installed
-os.environ['PYSPARK_PYTHON'] = '/usr/bin/python3'
-os.environ['PYSPARK_DRIVER_PYTHON'] = '/usr/bin/python3'
-#'''
-
-
-from pyFTS.models.multivariate import common, variable, wmvfts
-from pyFTS.models.seasonal import partitioner as seasonal
-from pyFTS.models.seasonal.common import DateTime
-from pyFTS.partitioners import Grid
-
-import matplotlib.pyplot as plt
-
-'''
-#fig, ax = plt.subplots(nrows=3, ncols=1, figsize=[15,5])
-
-
-sp = {'seasonality': DateTime.day_of_year , 'names': ['Jan','Feb','Mar','Apr','May','Jun','Jul', 'Aug','Sep','Oct','Nov','Dec']}
-
-vmonth = variable.Variable("Month", data_label="datahora", partitioner=seasonal.TimeGridPartitioner, npart=12, alpha_cut=.25,
-                           data=train, partitioner_specific=sp)
-
-#vmonth.partitioner.plot(ax[0])
-
-sp = {'seasonality': DateTime.minute_of_day, 'names': [str(k) for k in range(0,24)]}
-
-vhour = variable.Variable("Hour", data_label="datahora", partitioner=seasonal.TimeGridPartitioner, npart=24, alpha_cut=.2,
-                          data=train, partitioner_specific=sp)
-
-#vhour.partitioner.plot(ax[1])
-
-
-vavg = variable.Variable("Radiation", data_label="glo_avg", alias='R',
-                         partitioner=Grid.GridPartitioner, npart=35, alpha_cut=.3,
-                         data=train)
-
-#vavg.partitioner.plot(ax[2])
-
-#plt.tight_layout()
-
-#Util.show_and_save_image(fig, 'variables', True)
-
-model = wmvfts.WeightedMVFTS(explanatory_variables=[vmonth,vhour,vavg], target_variable=vavg)
-
-
-_s1 = time.time()
-model.fit(train)
-#model.fit(data, distributed='spark', url='spark://192.168.0.106:7077', num_batches=4)
-_s2 = time.time()
-
-print(_s2-_s1)
-
-Util.persist_obj(model, 'sonda_wmvfts')
-'''
-
-#model = Util.load_obj('sonda_wmvfts')
-
-'''
 from pyFTS.benchmarks import Measures
+from pyFTS.common import Util as cUtil
 
-_s1 = time.time()
-print(Measures.get_point_statistics(test, model))
-_s2 = time.time()
-
-print(_s2-_s1)
-'''
-
-#print(len(model))
-
-
-#
-
-#model.fit(data, distributed='dispy', nodes=['192.168.0.110'])
-#'''
-
-'''
-from pyFTS.models.multivariate import common, variable, mvfts, wmvfts, cmvfts, grid
 from pyFTS.models.seasonal import partitioner as seasonal
 from pyFTS.models.seasonal.common import DateTime
 
-dataset = pd.read_csv('/home/petronio/Downloads/gefcom12.csv')
-dataset = dataset.dropna()
-
-train_mv = dataset.iloc[:15000]
-test_mv = dataset.iloc[15000:]
 
 from pyFTS.models.multivariate import common, variable, mvfts
-from pyFTS.models.seasonal import partitioner as seasonal
+from pyFTS.partitioners import Grid
-from pyFTS.models.seasonal.common import DateTime
+from pyFTS.common import Membership
 
 
-sp = {'seasonality': DateTime.minute_of_day, 'names': [str(k) for k in range(0,24)]}
+import os
+
+'''
+from pyFTS.data import lorentz
+df = lorentz.get_dataframe(iterations=5000)
+
+train = df.iloc[:4000]
+#test = df.iloc[4000:]
+
+npart=120
+
+
+import sys
+
+
+vx = variable.Variable("x", data_label="x", alias='x', partitioner=Grid.GridPartitioner,
+                       partitioner_specific={'mf': Membership.gaussmf}, npart=npart, data=train)
+vy = variable.Variable("y", data_label="y", alias='y', partitioner=Grid.GridPartitioner,
+                       partitioner_specific={'mf': Membership.gaussmf}, npart=int(npart*1.5), data=train)
+vz = variable.Variable("z", data_label="z", alias='z', partitioner=Grid.GridPartitioner,
+                       partitioner_specific={'mf': Membership.gaussmf}, npart=int(npart*1.2), data=train)
+
+
+
+rows = []
+
+for ct, train, test in cUtil.sliding_window(df, windowsize=4100, train=.97, inc=.05):
+    print('Window {}'.format(ct))
+    for order in [1, 2, 3]:
+        for knn in [1, 2, 3]:
+            model = granular.GranularWMVFTS(explanatory_variables=[vx, vy, vz], target_variable=vx, order=order,
+                                            knn=knn)
+
+            model.fit(train)
+
+            forecasts1 = model.predict(test, type='multivariate')
+            forecasts2 = model.predict(test, type='multivariate', steps_ahead=100)
+
+            for var in ['x', 'y', 'z']:
+                row = [order, knn, var, len(model)]
+                for horizon in [1, 25, 50, 75, 100]:
+                    if horizon == 1:
+                        row.append( Measures.mape(test[var].values[model.order:model.order+10],
+                                             forecasts1[var].values[:10]))
+                    else:
+                        row.append( Measures.mape(test[var].values[:horizon],
+                                                           forecasts2[var].values[:horizon]))
+
+                print(row)
+                rows.append(row)
+                
+columns = ['Order', 'knn', 'var', 'Rules']
+for horizon in [1, 25, 50, 75, 100]:
+    columns.append('h{}'.format(horizon))
+final = pd.DataFrame(rows, columns=columns)
+
+final.to_csv('gmvfts_lorentz1.csv',sep=';',index=False)
+'''
+
+import pandas as pd
+df = pd.read_csv('https://query.data.world/s/ftb7bzgobr6bsg6bsuxuqowja6ew4r')
+
+#df.dropna()
+
+mload = np.nanmean(df["load"].values)
+df['load'] = np.where(pd.isna(df["load"]), mload, df["load"])
+
+mtemp = np.nanmean(df["temperature"].values)
+df['temperature'] = np.where(pd.isna(df["temperature"]), mtemp, df["temperature"])
+
+df['date'] = pd.to_datetime(df['date'], format='%Y-%m-%d %H:%M:%S')
+
+df['hour'] = np.float64(df['date'].apply(lambda x: x.strftime('%H')))
+df['weekday'] = np.float64(df['date'].apply(lambda x: x.strftime('%w')))
+df['month'] = np.float64(df['date'].apply(lambda x: x.strftime('%m')))
+
+train_mv = df.iloc[:31000]
+test_mv = df.iloc[:31000:]
+
+sp = {'seasonality': DateTime.minute_of_day, 'names': [str(k)+'hs' for k in range(0,24)]}
 
 vhour = variable.Variable("Hour", data_label="date", partitioner=seasonal.TimeGridPartitioner, npart=24,
-                          data=train_mv, partitioner_specific=sp)
+                          data=train_mv, partitioner_specific=sp, alpha_cut=.3)
-
-sp = {'seasonality': DateTime.day_of_week, 'names': ['mon','tue','wed','tur','fri','sat','sun']}
-
-vday = variable.Variable("DayOfWeek", data_label="date", partitioner=seasonal.TimeGridPartitioner, npart=7,
-                          data=train_mv, partitioner_specific=sp)
-
-#sp = {'seasonality': DateTime.day_of_month, 'names': ['jan','feb','mar','apr','may','jun','jul','aug','sep','oct','nov','dec']}
-
-sp = {'seasonality': DateTime.quarter}
-
-vmonth = variable.Variable("Month", data_label="date", partitioner=seasonal.TimeGridPartitioner, npart=4,
-                          data=train_mv, partitioner_specific=sp)
 
+vtemp = variable.Variable("Temperature", data_label="temperature", alias='temp',
+                         partitioner=Grid.GridPartitioner, npart=15, func=Membership.gaussmf,
+                         data=train_mv, alpha_cut=.3)
 
 vload = variable.Variable("Load", data_label="load", alias='load',
-                         partitioner=Grid.GridPartitioner, npart=20,
+                         partitioner=Grid.GridPartitioner, npart=20, func=Membership.gaussmf,
-                         data=train_mv)
+                         data=train_mv, alpha_cut=.3)
-
-vtemp = variable.Variable("Temperature", data_label="temperature", alias='temperature',
-                         partitioner=Grid.GridPartitioner, npart=20,
-                         data=train_mv)
-
-from pyFTS.models.multivariate import mvfts, wmvfts, cmvfts, grid
-
-from pyFTS.models.multivariate import mvfts, wmvfts, cmvfts, grid
-
-mtemp = wmvfts.WeightedMVFTS(explanatory_variables=[vhour, vmonth, vtemp], target_variable=vtemp)
-mtemp.fit(train_mv)
-
-Util.persist_obj(mtemp, 'mtemp')
-
-from pyFTS.models import hofts
-
-#mtemp = hofts.WeightedHighOrderFTS(order=2, partitioner=vtemp.partitioner)
-#mtemp.fit(train_mv['temperature'].values)
-
-from pyFTS.models.multivariate import mvfts, wmvfts, cmvfts, grid
-
-mload = wmvfts.WeightedMVFTS(explanatory_variables=[vtemp, vload], target_variable=vload)
-mload.fit(train_mv)
-
-Util.persist_obj(mload, 'mload')
 
+rows = []
 
 time_generator = lambda x : pd.to_datetime(x) + pd.to_timedelta(1, unit='h')
 
+for ct, train, test in cUtil.sliding_window(df, windowsize=32000, train=.98, inc=.05):
+    print('Window {}'.format(ct))
+    for order in [1, 2, 3]:
+        for knn in [1, 2, 3]:
+            model = granular.GranularWMVFTS(explanatory_variables=[vhour, vtemp, vload], target_variable=vload,
+                                            order=order, knn=knn)
 
-forecasts = mload.predict(test_mv.iloc[:1], steps_ahead=48, generators={'date': time_generator,
+            model.fit(train)
-                                                                        'temperature': mtemp})
 
-'''
+            forecasts1 = model.predict(test, type='multivariate')
+            forecasts2 = model.predict(test, type='multivariate', generators={'date': time_generator},
+                                       steps_ahead=100)
 
+            for var in ['temperature','load']:
+                row = [order, knn, var, len(model)]
+                for horizon in [1, 25, 50, 75, 100]:
+                    if horizon == 1:
+                        row.append(Measures.mape(test[var].values[model.order:model.order + 10],
+                                                 forecasts1[var].values[:10]))
+                    else:
+                        row.append(Measures.mape(test[var].values[:horizon],
+                                                 forecasts2[var].values[:horizon]))
 
-data = pd.read_csv('https://query.data.world/s/6xfb5useuotbbgpsnm5b2l3wzhvw2i', sep=';')
+                print(row)
+                rows.append(row)
 
-train = data.iloc[:9000]
+columns = ['Order', 'knn', 'var', 'Rules']
-test = data.iloc[9000:9200]
+for horizon in [1, 25, 50, 75, 100]:
+    columns.append('h{}'.format(horizon))
+final = pd.DataFrame(rows, columns=columns)
 
-from pyFTS.models.multivariate import common, variable, mvfts
+final.to_csv('gmvfts_gefcom12.csv', sep=';', index=False)
-from pyFTS.models.seasonal import partitioner as seasonal
-from pyFTS.models.seasonal.common import DateTime
-from pyFTS.partitioners import Grid
-
-sp = {'seasonality': DateTime.day_of_year , 'names': ['Jan','Fev','Mar','Abr','Mai','Jun','Jul', 'Ago','Set','Out','Nov','Dez']}
-
-vmonth = variable.Variable("Month", data_label="data", partitioner=seasonal.TimeGridPartitioner, npart=12,
-                           data=train, partitioner_specific=sp, alpha_cut=.5)
-
-sp = {'seasonality': DateTime.minute_of_day, 'names': [str(k) for k in range(0,24)]}
-
-vhour = variable.Variable("Hour", data_label="data", partitioner=seasonal.TimeGridPartitioner, npart=24,
-                          data=train, partitioner_specific=sp, alpha_cut=.5)
-
-#print(vhour.partitioner)
-
-#print(vmonth.partitioner.fuzzyfy(180))
-
-vavg = variable.Variable("Radiation", data_label="glo_avg", alias='rad',
-                         partitioner=Grid.GridPartitioner, npart=25, alpha_cut=.3,
-                         data=train)
-
-from pyFTS.models.multivariate import mvfts, wmvfts, cmvfts, grid, granular
-
-model = granular.GranularWMVFTS(explanatory_variables=[vmonth, vhour, vavg], target_variable=vavg,
-                              order=2, knn=7)
-
-model.fit(train)
-
-print(model)
-
-#model.predict(test)