High Order NSFTS refactoring
This commit is contained in:
Petrônio Cândido
parent
bc6a632a6d
commit
4552bb6bab
@ -55,7 +55,6 @@ class FuzzySet(FS.FuzzySet):
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inc = t
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else:
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l = len(self.location)
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inc = sum([self.location[k](t + self.location_roots[k], self.location_params[k]) for k in np.arange(0, l)])
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if self.mf == Membership.gaussmf:
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@ -1,7 +1,8 @@
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import numpy as np
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from pyFTS.common import FuzzySet, FLR, fts, tree
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from pyFTS.common import FuzzySet, FLR, fts
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from pyFTS.models import hofts
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from pyFTS.models.nonstationary import common, flrg
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from pyFTS.models.nonstationary import common, flrg, nsfts
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from itertools import product
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class HighOrderNonStationaryFLRG(flrg.NonStationaryFLRG):
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@ -11,67 +12,121 @@ class HighOrderNonStationaryFLRG(flrg.NonStationaryFLRG):
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self.LHS = []
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self.RHS = {}
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self.count = 0.0
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self.strlhs = ""
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self.w = None
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def append_rhs(self, c, **kwargs):
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if c.name not in self.RHS:
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self.RHS[c.name] = c
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def append_rhs(self, fset, **kwargs):
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count = kwargs.get('count',1.0)
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if fset not in self.RHS:
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self.RHS[fset] = count
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else:
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self.RHS[fset] += count
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self.count += count
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def append_lhs(self, c):
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self.LHS.append(c)
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def weights(self):
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if self.w is None:
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self.w = np.array([self.RHS[c] / self.count for c in self.RHS.keys()])
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return self.w
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def get_midpoint(self, sets, perturb):
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mp = np.array([sets[c].get_midpoint(perturb) for c in self.RHS.keys()])
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midpoint = mp.dot(self.weights())
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return midpoint
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def get_lower(self, sets, perturb):
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lw = np.array([sets[s].get_lower(perturb) for s in self.RHS.keys()])
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lower = lw.dot(self.weights())
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return lower
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def get_upper(self, sets, perturb):
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up = np.array([sets[s].get_upper(perturb) for s in self.RHS.keys()])
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upper = up.dot(self.weights())
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return upper
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def __str__(self):
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tmp = ""
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for c in sorted(self.RHS):
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if len(tmp) > 0:
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tmp = tmp + ","
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tmp = tmp + c
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return self.get_key() + " -> " + tmp
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_str = ""
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for k in self.RHS.keys():
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_str += ", " if len(_str) > 0 else ""
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_str += k + " (" + str(round(self.RHS[k] / self.count, 3)) + ")"
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return self.get_key() + " -> " + _str
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def __len__(self):
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return len(self.RHS)
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class HighOrderNonStationaryFTS(hofts.HighOrderFTS):
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class HighOrderNonStationaryFTS(nsfts.NonStationaryFTS):
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"""NonStationaryFTS Fuzzy Time Series"""
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def __init__(self, name, **kwargs):
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super(HighOrderNonStationaryFTS, self).__init__("HONSFTS " + name, **kwargs)
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def __init__(self, **kwargs):
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super(HighOrderNonStationaryFTS, self).__init__(**kwargs)
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self.name = "High Order Non Stationary FTS"
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self.shortname = "HONSFTS"
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self.detail = ""
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self.flrgs = {}
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self.is_high_order = True
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self.order = kwargs.get("order",2)
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self.configure_lags(**kwargs)
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def configure_lags(self, **kwargs):
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if "order" in kwargs:
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self.order = kwargs.get("order", self.min_order)
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if "lags" in kwargs:
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self.lags = kwargs.get("lags", None)
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if self.lags is not None:
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self.max_lag = max(self.lags)
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else:
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self.max_lag = self.order
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self.lags = np.arange(1, self.order + 1)
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def train(self, data, **kwargs):
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self.generate_flrg(data)
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if self.method == 'conditional':
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self.forecasts = self.forecast(data, no_update=True)
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self.residuals = np.array(data[self.order:]) - np.array(self.forecasts)
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self.variance_residual = np.var(self.residuals) # np.max(self.residuals
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self.mean_residual = np.mean(self.residuals)
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self.residuals = self.residuals[-self.memory_window:].tolist()
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self.forecasts = self.forecasts[-self.memory_window:]
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self.inputs = np.array(data[-self.memory_window:]).tolist()
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def generate_flrg(self, data, **kwargs):
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l = len(data)
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window_size = kwargs.get("window_size", 1)
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for k in np.arange(self.order, l):
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if self.dump: print("FLR: " + str(k))
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sample = data[k - self.order: k]
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disp = common.window_index(k, window_size)
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rhs = [self.sets[key] for key in self.partitioner.ordered_sets
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if self.sets[key].membership(data[k], disp) > 0.0]
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rhs = [key for key in self.partitioner.ordered_sets
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if self.partitioner.sets[key].membership(data[k], [0,1]) > 0.0]
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if len(rhs) == 0:
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rhs = [common.check_bounds(data[k], self.partitioner, disp)]
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rhs = [common.check_bounds(data[k], self.partitioner, [0,1]).name]
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lags = {}
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lags = []
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for o in np.arange(0, self.order):
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tdisp = common.window_index(k - (self.order - o), window_size)
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lhs = [self.sets[key] for key in self.partitioner.ordered_sets
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if self.sets[key].membership(sample[o], tdisp) > 0.0]
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tdisp = [0,1]
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lhs = [key for key in self.partitioner.ordered_sets
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if self.partitioner.sets[key].membership(sample[o], tdisp) > 0.0]
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if len(lhs) == 0:
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lhs = [common.check_bounds(sample[o], self.partitioner, tdisp)]
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lhs = [common.check_bounds(sample[o], self.partitioner, tdisp).name]
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lags[o] = lhs
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root = tree.FLRGTreeNode(None)
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tree.build_tree_without_order(root, lags, 0)
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lags.append(lhs)
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# Trace the possible paths
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for p in root.paths():
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for path in product(*lags):
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flrg = HighOrderNonStationaryFLRG(self.order)
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path = list(reversed(list(filter(None.__ne__, p))))
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for c, e in enumerate(path, start=0):
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flrg.append_lhs(e)
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@ -82,67 +137,45 @@ class HighOrderNonStationaryFTS(hofts.HighOrderFTS):
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for st in rhs:
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self.flrgs[flrg.get_key()].append_rhs(st)
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# flrgs = sorted(flrgs, key=lambda flrg: flrg.get_midpoint(0, window_size=1))
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def train(self, data, **kwargs):
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if kwargs.get('order', None) is not None:
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self.order = kwargs.get('order', 1)
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if kwargs.get('sets', None) is not None:
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self.sets = kwargs.get('sets', None)
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window_size = kwargs.get('parameters', 1)
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self.generate_flrg(data, window_size=window_size)
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def _affected_flrgs(self, sample, k, time_displacement, window_size):
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# print("input: " + str(ndata[k]))
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def _affected_flrgs(self, sample, perturb):
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affected_flrgs = []
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affected_flrgs_memberships = []
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lags = {}
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lags = []
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for ct, dat in enumerate(sample):
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tdisp = common.window_index((k + time_displacement) - (self.order - ct), window_size)
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affected_sets = [[ct, self.partitioner.sets[key].membership(dat, perturb[ct])]
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for ct, key in enumerate(self.partitioner.ordered_sets)
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if self.partitioner.sets[key].membership(dat, perturb[ct]) > 0.0]
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sel = [ct for ct, key in enumerate(self.partitioner.ordered_sets)
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if self.sets[key].membership(dat, tdisp) > 0.0]
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if len(affected_sets) == 0:
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if len(sel) == 0:
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sel.append(common.check_bounds_index(dat, self.partitioner, tdisp))
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if dat < self.partitioner.lower_set().get_lower(perturb[0]):
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affected_sets.append([0, 1])
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elif dat > self.partitioner.upper_set().get_upper(perturb[-1]):
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affected_sets.append([self.partitioner.partitions - 1, 1])
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lags[ct] = sel
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lags.append([a[0] for a in affected_sets])
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# Build the tree with all possible paths
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root = tree.FLRGTreeNode(None)
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# Trace the possible paths
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for path in product(*lags):
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tree.build_tree_without_order(root, lags, 0)
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# Trace the possible paths and build the PFLRG's
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for p in root.paths():
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path = list(reversed(list(filter(None.__ne__, p))))
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flrg = HighOrderNonStationaryFLRG(self.order)
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for kk in path:
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flrg.append_lhs(self.sets[self.partitioner.ordered_sets[kk]])
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flrg.append_lhs(self.partitioner.ordered_sets[kk])
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affected_flrgs.append(flrg)
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# affected_flrgs_memberships.append_rhs(flrg.get_membership(sample, disp))
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# print(flrg.get_key())
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# the FLRG is here because of the bounds verification
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mv = []
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for ct, dat in enumerate(sample):
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td = common.window_index((k + time_displacement) - (self.order - ct), window_size)
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tmp = flrg.LHS[ct].membership(dat, td)
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fset = self.partitioner.sets[flrg.LHS[ct]]
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ix = self.partitioner.ordered_sets.index(flrg.LHS[ct])
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tmp = fset.membership(dat, perturb[ix])
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mv.append(tmp)
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# print(mv)
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affected_flrgs_memberships.append(np.prod(mv))
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@ -150,100 +183,67 @@ class HighOrderNonStationaryFTS(hofts.HighOrderFTS):
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def forecast(self, ndata, **kwargs):
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explain = kwargs.get('explain', False)
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fuzzyfied = kwargs.get('fuzzyfied', False)
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time_displacement = kwargs.get("time_displacement", 0)
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window_size = kwargs.get("window_size", 1)
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l = len(ndata)
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no_update = kwargs.get("no_update", False)
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mode = kwargs.get('mode', 'mean')
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ret = []
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for k in np.arange(self.order, l+1):
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l = len(ndata) if not explain else self.max_lag + 1
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sample = ndata[k - self.order: k]
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if l < self.max_lag:
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return ndata
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elif l == self.max_lag:
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l += 1
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affected_flrgs, affected_flrgs_memberships = self._affected_flrgs(sample, k,
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time_displacement, window_size)
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for k in np.arange(self.max_lag, l):
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#print([str(k) for k in affected_flrgs])
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#print(affected_flrgs_memberships)
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sample = ndata[k - self.max_lag: k]
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if self.method == 'unconditional':
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perturb = common.window_index(k + time_displacement, window_size)
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elif self.method == 'conditional':
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if no_update:
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perturb = [[0, 1] for k in np.arange(self.partitioner.partitions)]
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else:
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perturb = self.conditional_perturbation_factors(sample[0])
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affected_flrgs, affected_flrgs_memberships = self._affected_flrgs(sample, perturb)
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tmp = []
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tdisp = common.window_index(k + time_displacement, window_size)
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perturb2 = perturb[0]
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if len(affected_flrgs) == 0:
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tmp.append(common.check_bounds(sample[-1], self.sets, tdisp))
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tmp.append(common.check_bounds(sample[-1], self.partitioner.sets, perturb2))
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elif len(affected_flrgs) == 1:
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flrg = affected_flrgs[0]
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if flrg.get_key() in self.flrgs:
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tmp.append(self.flrgs[flrg.get_key()].get_midpoint(tdisp))
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tmp.append(self.flrgs[flrg.get_key()].get_midpoint(self.partitioner.sets, perturb2))
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else:
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tmp.append(flrg.LHS[-1].get_midpoint(tdisp))
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fset = self.partitioner.sets[flrg.LHS[-1]]
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ix = self.partitioner.ordered_sets.index(flrg.LHS[-1])
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tmp.append(fset.get_midpoint(perturb[ix]))
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else:
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for ct, aset in enumerate(affected_flrgs):
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if aset.get_key() in self.flrgs:
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tmp.append(self.flrgs[aset.get_key()].get_midpoint(tdisp) *
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tmp.append(self.flrgs[aset.get_key()].get_midpoint(self.partitioner.sets, perturb2) *
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affected_flrgs_memberships[ct])
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else:
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tmp.append(aset.LHS[-1].get_midpoint(tdisp)*
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affected_flrgs_memberships[ct])
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fset = self.partitioner.sets[aset.LHS[-1]]
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ix = self.partitioner.ordered_sets.index(aset.LHS[-1])
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tmp.append(fset.get_midpoint(perturb[ix])*affected_flrgs_memberships[ct])
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pto = sum(tmp)
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#print(pto)
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ret.append(pto)
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return ret
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def forecast_interval(self, ndata, **kwargs):
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time_displacement = kwargs.get("time_displacement", 0)
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window_size = kwargs.get("window_size", 1)
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l = len(ndata)
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ret = []
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for k in np.arange(self.order, l + 1):
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sample = ndata[k - self.order: k]
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affected_flrgs, affected_flrgs_memberships = self._affected_flrgs(sample, k,
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time_displacement, window_size)
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# print([str(k) for k in affected_flrgs])
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# print(affected_flrgs_memberships)
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upper = []
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lower = []
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tdisp = common.window_index(k + time_displacement, window_size)
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if len(affected_flrgs) == 0:
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aset = common.check_bounds(sample[-1], self.sets, tdisp)
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lower.append(aset.get_lower(tdisp))
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upper.append(aset.get_upper(tdisp))
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elif len(affected_flrgs) == 1:
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_flrg = affected_flrgs[0]
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if _flrg.get_key() in self.flrgs:
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lower.append(self.flrgs[_flrg.get_key()].get_lower(tdisp))
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upper.append(self.flrgs[_flrg.get_key()].get_upper(tdisp))
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else:
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lower.append(_flrg.LHS[-1].get_lower(tdisp))
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upper.append(_flrg.LHS[-1].get_upper(tdisp))
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else:
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for ct, aset in enumerate(affected_flrgs):
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if aset.get_key() in self.flrgs:
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lower.append(self.flrgs[aset.get_key()].get_lower(tdisp) *
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affected_flrgs_memberships[ct])
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upper.append(self.flrgs[aset.get_key()].get_upper(tdisp) *
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affected_flrgs_memberships[ct])
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else:
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lower.append(aset.LHS[-1].get_lower(tdisp) *
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affected_flrgs_memberships[ct])
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upper.append(aset.LHS[-1].get_upper(tdisp) *
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affected_flrgs_memberships[ct])
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ret.append([sum(lower), sum(upper)])
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return ret
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@ -120,6 +120,7 @@ class SimpleNonStationaryPartitioner(partitioner.Partitioner):
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func=part.membership_function, names=part.setnames,
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prefix=part.prefix, transformation=part.transformation,
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indexer=part.indexer)#, preprocess=False)
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self.partitions = part.partitions
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for key in part.sets.keys():
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set = part.sets[key]
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@ -12,155 +12,26 @@ from pyFTS.data import TAIEX, NASDAQ, SP500, artificial, mackey_glass
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#mackey_glass.get_data()
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datasets = {
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"TAIEX": TAIEX.get_data()[:4000],
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"SP500": SP500.get_data()[10000:14000],
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"NASDAQ": NASDAQ.get_data()[:4000],
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# Incremental Mean and Incremental Variance
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"IMIV": artificial.generate_gaussian_linear(1,0.2,0.2,0.05,it=100, num=40),
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# Incremental Mean and Incremental Variance, lower bound equals to 0
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"IMIV0": artificial.generate_gaussian_linear(1,0.2,0.,0.05, vmin=0,it=100, num=40),
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# Constant Mean and Incremental Variance
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"CMIV": artificial.generate_gaussian_linear(5,0.1,0,0.02,it=100, num=40),
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# Incremental Mean and Constant Variance
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"IMCV": artificial.generate_gaussian_linear(1,0.6,0.1,0,it=100, num=40)
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}
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dataset = TAIEX.get_data()
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train_split = 2000
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train_split = 1000
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test_length = 200
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from pyFTS.common import Transformations
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tdiff = Transformations.Differential(1)
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boxcox = Transformations.BoxCox(0)
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transformations = {
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'None': None,
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'Differential(1)': tdiff,
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'BoxCox(0)': boxcox
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}
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from pyFTS.partitioners import Grid, Util as pUtil
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from pyFTS.benchmarks import benchmarks as bchmk
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from pyFTS.models import chen, hofts, pwfts, hwang
|
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partitions = {'CMIV': {'BoxCox(0)': 36, 'Differential(1)': 11, 'None': 8},
|
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'IMCV': {'BoxCox(0)': 36, 'Differential(1)': 20, 'None': 16},
|
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'IMIV': {'BoxCox(0)': 39, 'Differential(1)': 12, 'None': 6},
|
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'IMIV0': {'BoxCox(0)': 39, 'Differential(1)': 12, 'None': 3},
|
||||
'NASDAQ': {'BoxCox(0)': 39, 'Differential(1)': 13, 'None': 36},
|
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'SP500': {'BoxCox(0)': 33, 'Differential(1)': 7, 'None': 33},
|
||||
'TAIEX': {'BoxCox(0)': 39, 'Differential(1)': 31, 'None': 33}}
|
||||
train = dataset[:1000]
|
||||
test = dataset[1000:]
|
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|
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from pyFTS.models.nonstationary import partitioners as nspart, cvfts, util as nsUtil
|
||||
'''
|
||||
#fs = nspart.simplenonstationary_gridpartitioner_builder(data=datasets['SP500'][:300],
|
||||
# npart=partitions['SP500']['None'],
|
||||
# transformation=None)
|
||||
fs = Grid.GridPartitioner(data=datasets['SP500'][:300],
|
||||
npart=15,
|
||||
transformation=None)
|
||||
fig, axes = plt.subplots(nrows=1, ncols=1, figsize=[15, 5])
|
||||
|
||||
fs.plot(axes)
|
||||
|
||||
from pyFTS.common import Util
|
||||
|
||||
Util.show_and_save_image(fig, "fig2.png", True)
|
||||
|
||||
#nsUtil.plot_sets(fs)
|
||||
|
||||
|
||||
'''
|
||||
def model_details(ds, tf, train_split, test_split):
|
||||
data = datasets[ds]
|
||||
train = data[:train_split]
|
||||
test = data[train_split:test_split]
|
||||
transformation = transformations[tf]
|
||||
fs = nspart.simplenonstationary_gridpartitioner_builder(data=train, npart=15, #partitions[ds][tf],
|
||||
transformation=transformation)
|
||||
model = nsfts.NonStationaryFTS(partitioner=fs)
|
||||
model.fit(train)
|
||||
print(model)
|
||||
forecasts = model.predict(test)
|
||||
residuals = np.array(test[1:]) - np.array(forecasts[:-1])
|
||||
|
||||
fig, axes = plt.subplots(nrows=3, ncols=1, figsize=[15, 10])
|
||||
|
||||
axes[0].plot(test[1:], label="Original")
|
||||
axes[0].plot(forecasts[:-1], label="Forecasts")
|
||||
axes[0].set_ylabel("Univ. of Discourse")
|
||||
|
||||
#axes[1].set_title("Residuals")
|
||||
axes[1].plot(residuals)
|
||||
axes[1].set_ylabel("Error")
|
||||
handles0, labels0 = axes[0].get_legend_handles_labels()
|
||||
lgd = axes[0].legend(handles0, labels0, loc=2)
|
||||
|
||||
nsUtil.plot_sets_conditional(model, test, step=10, size=[10, 7],
|
||||
save=True,file="fig.png", axes=axes[2], fig=fig)
|
||||
|
||||
model_details('SP500','None',200,400)
|
||||
#'''
|
||||
print("ts")
|
||||
'''
|
||||
tag = 'benchmarks'
|
||||
|
||||
|
||||
for ds in datasets.keys():
|
||||
dataset = datasets[ds]
|
||||
|
||||
for tf in transformations.keys():
|
||||
transformation = transformations[tf]
|
||||
|
||||
partitioning = partitions[ds][tf]
|
||||
|
||||
bchmk.sliding_window_benchmarks(dataset, 3000, train=0.1, inc=0.1,
|
||||
#methods=[
|
||||
# hwang.HighOrderFTS,
|
||||
# hofts.HighOrderFTS,
|
||||
# pwfts.ProbabilisticWeightedFTS],
|
||||
#orders = [3],
|
||||
benchmark_models=False,
|
||||
transformations=[transformation],
|
||||
partitions=[partitioning],
|
||||
progress=False, type='point',
|
||||
file="nsfts_benchmarks.db", dataset=ds, tag=tag)
|
||||
|
||||
train_split = 200
|
||||
test_split = 2000
|
||||
for ds in datasets.keys():
|
||||
dataset = datasets[ds]
|
||||
|
||||
print(ds)
|
||||
|
||||
for tf in ['None']: #transformations.keys():
|
||||
transformation = transformations[tf]
|
||||
train = dataset[:train_split]
|
||||
test = dataset[train_split:test_split]
|
||||
|
||||
fs = nspart.simplenonstationary_gridpartitioner_builder(data=train,
|
||||
npart=partitions[ds][tf],
|
||||
transformation=transformation)
|
||||
from pyFTS.models.nonstationary import partitioners as nspart, nsfts, honsfts
|
||||
fs = nspart.simplenonstationary_gridpartitioner_builder(data=train,npart=35,transformation=None)
|
||||
print(fs)
|
||||
#cvfts1 = cvfts.ConditionalVarianceFTS(partitioner=fs)
|
||||
model = nsfts.NonStationaryFTS(partitioner=fs)
|
||||
model = honsfts.HighOrderNonStationaryFTS(partitioner=fs, order=2)
|
||||
#model = nsfts.NonStationaryFTS(partitioner=fs)
|
||||
model.fit(train)
|
||||
print(model)
|
||||
|
||||
forecasts = model.predict(test)
|
||||
|
||||
#print(forecasts)
|
||||
|
||||
partitioning = partitions[ds][tf]
|
||||
|
||||
bchmk.sliding_window_benchmarks(dataset, 2000, train=0.2, inc=0.2,
|
||||
benchmark_models=False,
|
||||
methods=[cvfts.ConditionalVarianceFTS],
|
||||
partitioners_methods=[nspart.simplenonstationary_gridpartitioner_builder],
|
||||
transformations=[transformation],
|
||||
partitions=[partitioning],
|
||||
progress=False, type='point',
|
||||
file="nsfts_benchmarks.db", dataset=ds, tag=tag)
|
||||
'''
|
||||
print(forecasts)
|
||||
Loading…
Reference in New Issue
Block a user