diff --git a/pyFTS/benchmarks/BSTS.py b/pyFTS/benchmarks/BSTS.py index e2b012f..11c8838 100644 --- a/pyFTS/benchmarks/BSTS.py +++ b/pyFTS/benchmarks/BSTS.py @@ -72,6 +72,9 @@ class ARIMA(fts.FTS): def forecast(self, ndata, **kwargs): raise NotImplementedError() + def forecast_ahead(self, data, steps, **kwargs): + return self.model.predict(steps, intervals=False).values.flatten().tolist() + def forecast_interval(self, data, **kwargs): raise NotImplementedError() @@ -92,7 +95,16 @@ class ARIMA(fts.FTS): return ret def forecast_distribution(self, data, **kwargs): - raise NotImplementedError() + + sim_vector = self.inference(steps) + + ret = [] + + for ct, sample in enumerate(sim_vector): + pd = ProbabilityDistribution.ProbabilityDistribution(type='histogram', data=sample, nbins=500) + ret.append(pd) + + return ret def forecast_ahead_distribution(self, data, steps, **kwargs): diff --git a/pyFTS/benchmarks/Measures.py b/pyFTS/benchmarks/Measures.py index d8dacd8..26c2260 100644 --- a/pyFTS/benchmarks/Measures.py +++ b/pyFTS/benchmarks/Measures.py @@ -105,12 +105,20 @@ def UStatistic(targets, forecasts): :param forecasts: :return: """ - l = len(targets) - if isinstance(targets, list): - targets = np.array(targets) - if isinstance(forecasts, list): + + if not isinstance(forecasts, (list, np.ndarray)): + forecasts = np.array([forecasts]) + else: forecasts = np.array(forecasts) + if not isinstance(targets, (list, np.ndarray)): + targets = np.array([targets]) + else: + targets = np.array(targets) + + l = forecasts.size + l = 2 if l == 1 else l + naive = [] y = [] for k in np.arange(0, l - 1): @@ -359,6 +367,38 @@ def get_point_statistics(data, model, **kwargs): return ret +def get_point_ahead_statistics(data, forecasts, **kwargs): + """ + Condensate all measures for point forecasters + + :param data: test data + :param model: FTS model with point forecasting capability + :param kwargs: + :return: a list with the RMSE, SMAPE and U Statistic + """ + + l = len(forecasts) + + if len(data) != l: + raise Exception("Data and intervals have different lenghts!") + + lags = {} + + for lag in range(l): + ret = {} + datum = data[lag] + forecast = forecasts[lag] + ret['steps'] = lag + ret['method'] = '' + ret['rmse'] = rmse(datum, forecast) + ret['mape'] = mape(datum, forecast) + sample = data[lag-1:lag+1] if lag > 0 else [datum, datum] + ret['u'] = UStatistic(sample, forecast) + lags[lag] = ret + + return lags + + def get_interval_statistics(data, model, **kwargs): """ Condensate all measures for point interval forecasters @@ -411,7 +451,7 @@ def get_interval_ahead_statistics(data, intervals, **kwargs): Condensate all measures for point interval forecasters :param data: test data - :param model: FTS model with interval forecasting capability + :param intervals: predicted intervals for each datapoint :param kwargs: :return: a list with the sharpness, resolution, coverage, .05 pinball mean, .25 pinball mean, .75 pinball mean and .95 pinball mean. diff --git a/pyFTS/benchmarks/benchmarks.py b/pyFTS/benchmarks/benchmarks.py index 4938724..8a76d2d 100644 --- a/pyFTS/benchmarks/benchmarks.py +++ b/pyFTS/benchmarks/benchmarks.py @@ -102,17 +102,10 @@ def sliding_window_benchmarks2(data, windowsize, train=0.8, **kwargs): steps_ahead = [k for k in steps_ahead] - fts_methods = __pop('methods', None, kwargs) + fts_methods = __pop('methods', [], kwargs) - methods_parameters = __pop('methods_parameters', None, kwargs) - - if fts_methods is None: - if type == 'point': - fts_methods = get_point_methods() - elif type == 'interval': - fts_methods = get_interval_methods() - elif type == 'distribution': - fts_methods = get_probabilistic_methods() + if fts_methods is not None: + methods_parameters = __pop('methods_parameters', None, kwargs) ix_methods = [k for k in np.arange(len(fts_methods))] @@ -162,7 +155,8 @@ def sliding_window_benchmarks2(data, windowsize, train=0.8, **kwargs): else: job = cluster.submit(method, None, None, None, None, train, test, ct, **kwargs) jobs.append(job) - else: + + if fts_methods is not None: params = [ix_methods, orders, partitioners_methods, partitions, transformations] for id, instance in enumerate(product(*params)): fts_method = fts_methods[instance[0]] @@ -670,17 +664,36 @@ def run_point2(fts_method, order, partitioner_method, partitions, transformation _end = time.time() times = _end - _start + if steps_ahead == 1: - _start = time.time() - _rmse, _smape, _u = Measures.get_point_statistics(test_data, mfts, **kwargs) - _end = time.time() - times += _end - _start + _start = time.time() + _rmse, _smape, _u = Measures.get_point_statistics(test_data, mfts, **kwargs) + _end = time.time() + times += _end - _start - ret = {'model': mfts.shortname, 'partitioner': pttr, 'order': order, 'partitions': partitions, - 'transformation': '' if transformation is None else transformation.name, - 'size': len(mfts), 'time': times, - 'rmse': _rmse, 'smape': _smape, 'u': _u, 'window': window_key, - 'steps': steps_ahead, 'method': method} + ret = {'model': mfts.shortname, 'partitioner': pttr, 'order': order, 'partitions': partitions, + 'transformation': '' if transformation is None else transformation.name, + 'size': len(mfts), 'time': times, + 'rmse': _rmse, 'smape': _smape, 'u': _u, 'window': window_key, + 'steps': steps_ahead, 'method': method} + else: + _start = time.time() + forecasts = mfts.predict(test_data, **kwargs) + _end = time.time() + times += _end - _start + + eval = Measures.get_point_ahead_statistics(test_data[mfts.order:mfts.order+steps_ahead], forecasts) + + for key in eval.keys(): + eval[key]["time"] = times + eval[key]["method"] = method + + ret = {'model': mfts.shortname, 'partitioner': pttr, 'order': order, 'partitions': partitions, + 'transformation': '' if transformation is None else transformation.name, + 'size': len(mfts), 'time': times, + 'window': window_key, 'steps': steps_ahead, 'method': method, + 'ahead_results': eval + } return ret @@ -812,20 +825,14 @@ def run_probabilistic2(fts_method, order, partitioner_method, partitions, transf def common_process_point_jobs(conn, data, job): - data.append(job['steps']) - data.append(job['method']) - rmse = deepcopy(data) - rmse.extend(["rmse", job["rmse"]]) - bUtil.insert_benchmark(rmse, conn) - smape = deepcopy(data) - smape.extend(["smape", job["smape"]]) - bUtil.insert_benchmark(smape, conn) - u = deepcopy(data) - u.extend(["u", job["u"]]) - bUtil.insert_benchmark(u, conn) - time = deepcopy(data) - time.extend(["time", job["time"]]) - bUtil.insert_benchmark(time, conn) + dta = deepcopy(data) + dta.append(job['steps']) + dta.append(job['method']) + for key in ["rmse", "mape", "u", "time"]: + if key in job: + data2 = deepcopy(dta) + data2.extend([key, job[key]]) + bUtil.insert_benchmark(data2, conn) def process_point_jobs(dataset, tag, job, conn): diff --git a/pyFTS/benchmarks/knn.py b/pyFTS/benchmarks/knn.py index a513f2d..e8a4260 100644 --- a/pyFTS/benchmarks/knn.py +++ b/pyFTS/benchmarks/knn.py @@ -26,6 +26,7 @@ class KNearestNeighbors(fts.FTS): self.benchmark_only = True self.min_order = 1 self.alpha = kwargs.get("alpha", 0.05) + self.max_lag = self.order self.lag = None self.k = kwargs.get("k", 30) self.uod = None @@ -70,8 +71,9 @@ class KNearestNeighbors(fts.FTS): return [self.values[k] for k in ix.flatten() ] def forecast(self, data, **kwargs): + l = len(data) ret = [] - for k in np.arange(self.order, len(data)): + for k in np.arange(self.order, l+(1 if self.order == l else 0)): sample = data[k-self.order : k] @@ -81,17 +83,6 @@ class KNearestNeighbors(fts.FTS): return ret - def forecast_ahead(self, data, steps, **kwargs): - start = kwargs.get('start', self.order) - - sample = [k for k in data[start - self.order: start]] - - for k in np.arange(self.order, steps + self.order): - tmp = self.forecast(sample[k-self.order:k]) - sample.append(tmp) - - return sample[-steps] - def forecast_interval(self, data, **kwargs): alpha = kwargs.get('alpha',self.alpha) diff --git a/pyFTS/common/fts.py b/pyFTS/common/fts.py index d6a4fa9..8595f97 100644 --- a/pyFTS/common/fts.py +++ b/pyFTS/common/fts.py @@ -241,7 +241,7 @@ class FTS(object): start = kwargs.get('start_at',0) ret = [] - for k in np.arange(start+self.max_lag, steps): + for k in np.arange(start+self.max_lag, steps+start+self.max_lag): tmp = self.forecast(data[k-self.max_lag:k], **kwargs) if isinstance(tmp,(list, np.ndarray)): diff --git a/pyFTS/models/pwfts.py b/pyFTS/models/pwfts.py index 147ca85..9f109d1 100644 --- a/pyFTS/models/pwfts.py +++ b/pyFTS/models/pwfts.py @@ -422,9 +422,9 @@ class ProbabilisticWeightedFTS(ifts.IntervalFTS): l = len(data) - start = kwargs.get('start', self.max_lag) + start = kwargs.get('start_at', 0) - ret = data[start - self.max_lag: start].tolist() + ret = data[start: start+self.max_lag].tolist() for k in np.arange(self.max_lag, steps+self.max_lag): @@ -434,7 +434,7 @@ class ProbabilisticWeightedFTS(ifts.IntervalFTS): mp = self.forecast(ret[k - self.max_lag: k], **kwargs) ret.append(mp[0]) - return ret[self.max_lag:] + return ret[-steps:] def __check_interval_bounds(self, interval): if len(self.transformations) > 0: @@ -446,11 +446,9 @@ class ProbabilisticWeightedFTS(ifts.IntervalFTS): def forecast_ahead_interval(self, data, steps, **kwargs): - l = len(data) + start = kwargs.get('start_at', 0) - start = kwargs.get('start', self.max_lag) - - sample = data[start - self.max_lag: start] + sample = data[start: start + self.max_lag] ret = [[k, k] for k in sample] @@ -466,7 +464,7 @@ class ProbabilisticWeightedFTS(ifts.IntervalFTS): ret.append([np.min(lower), np.max(upper)]) - return ret[self.order:] + return ret[-steps:] def forecast_ahead_distribution(self, ndata, steps, **kwargs): @@ -483,9 +481,9 @@ class ProbabilisticWeightedFTS(ifts.IntervalFTS): nbins = kwargs.get("num_bins", 100) _bins = np.linspace(uod[0], uod[1], nbins) - start = kwargs.get('start', self.max_lag) + start = kwargs.get('start_at', 0) - sample = ndata[start - self.max_lag: start] + sample = ndata[start: start + self.max_lag] for dat in sample: if 'type' in kwargs: @@ -527,7 +525,7 @@ class ProbabilisticWeightedFTS(ifts.IntervalFTS): ret.append(dist) - return ret[self.order:] + return ret[-steps:] def __str__(self): tmp = self.name + ":\n" diff --git a/pyFTS/tests/general.py b/pyFTS/tests/general.py index 43bbd06..894b83e 100644 --- a/pyFTS/tests/general.py +++ b/pyFTS/tests/general.py @@ -52,34 +52,46 @@ datasets['TAIEX'] = TAIEX.get_data()[:5000] datasets['NASDAQ'] = NASDAQ.get_data()[:5000] datasets['SP500'] = SP500.get_data()[10000:15000] -methods = [ - arima.ARIMA,arima.ARIMA, - quantreg.QuantileRegression, - BSTS.ARIMA,BSTS.ARIMA, - knn.KNearestNeighbors - ] +competitor_methods = [] +competitor_methods.extend([arima.ARIMA]*3) +competitor_methods.extend([quantreg.QuantileRegression]*2) +competitor_methods.extend([BSTS.ARIMA]*3) +competitor_methods.extend([knn.KNearestNeighbors]*2) -methods_parameters = [ - {'order':(1,0,0), 'alpha':.05}, - {'order':(1,0,1), 'alpha':.05}, - {'order':1, 'dist': True}, - {'order': (1, 0, 0), 'alpha': .05}, - {'order': (1, 0, 1), 'alpha': .05}, - {'order': 1} +competitor_methods_parameters = [ + {'order': (1, 0, 0)}, + {'order': (1, 0, 1)}, + {'order': (2, 0, 0)}, + {'order': 1, 'alpha': .5}, + {'order': 2, 'alpha': .5}, + {'order': (1, 0, 0)}, + {'order': (1, 0, 1)}, + {'order': (2, 0, 0)}, + {'order': 1}, + {'order': 2} +] + +proposed_methods = [ + hofts.HighOrderFTS, hofts.WeightedHighOrderFTS, pwfts.ProbabilisticWeightedFTS +] +proposed_methods_parameters=[ + {},{},{} ] for dataset_name, dataset in datasets.items(): bchmk.sliding_window_benchmarks2(dataset, 1000, train=0.8, inc=0.2, benchmark_models=True, - benchmark_methods=methods, - benchmark_methods_parameters=methods_parameters, - methods=[], - methods_parameters=[{},{}], - transformations=[None], - orders=[], - steps_ahead=[10], - partitions=[], - type='distribution', - distributed=True, nodes=['192.168.0.110', '192.168.0.107','192.168.0.106'], - file="experiments.db", dataset=dataset_name, tag="experiments") + benchmark_methods=competitor_methods, + benchmark_methods_parameters=competitor_methods_parameters, + methods=proposed_methods, + methods_parameters=proposed_methods_parameters, + orders=[1], + partitions=[35], + steps_ahead=[10], + progress=False, type='point', + distributed=False, nodes=['192.168.0.110', '192.168.0.107','192.168.0.106'], + file="tmp.db", dataset=dataset_name, + tag="experiments") + + #''' \ No newline at end of file