Mixture Distributions; Bugfixes on distributed.dispy and benchmarks; Improvements on hyperparam

pyFTS/benchmarks/benchmarks.py

@@ -218,10 +218,10 @@ def sliding_window_benchmarks(data, windowsize, train=0.8, **kwargs):
         raise ValueError("Type parameter has a unkown value!")
 
     if distributed:
-        import dispy, dispy.httpd
+        import pyFTS.distributed.dispy as dispy
 
         nodes = kwargs.get("nodes", ['127.0.0.1'])
-        cluster, http_server = cUtil.start_dispy_cluster(experiment_method, nodes)
+        cluster, http_server = dispy.start_dispy_cluster(experiment_method, nodes)
 
     jobs = []
 
@@ -306,7 +306,7 @@ def sliding_window_benchmarks(data, windowsize, train=0.8, **kwargs):
             if progress:
                 progressbar.update(1)
             job()
-            if job.status == dispy.DispyJob.Finished and job is not None:
+            if job.status == dispy.dispy.DispyJob.Finished and job is not None:
                 tmp = job.result
                 synthesis_method(dataset, tag, tmp, conn)
             else:
@@ -317,7 +317,7 @@ def sliding_window_benchmarks(data, windowsize, train=0.8, **kwargs):
 
         cluster.wait()  # wait for all jobs to finish
 
-        cUtil.stop_dispy_cluster(cluster, http_server)
+        dispy.stop_dispy_cluster(cluster, http_server)
 
     conn.close()
 

pyFTS/distributed/dispy.py

@@ -1,5 +1,6 @@
-import dispy, dispy.httpd, logging
+import dispy as dispy, dispy.httpd, logging
 from pyFTS.common import Util
+import numpy as np
 
 
 def start_dispy_cluster(method, nodes):

pyFTS/hyperparam/Evolutionary.py

@@ -13,11 +13,12 @@ from pyFTS.partitioners import Grid, Entropy  # , Huarng
 from pyFTS.models import hofts
 from pyFTS.common import Membership
 from pyFTS.hyperparam import Util as hUtil
-from pyFTS.distributed import dispy
+from pyFTS.distributed import dispy as dUtil
 
+__measures = ['f1', 'f2', 'rmse', 'size']
 
 #
-def genotype(mf, npart, partitioner, order, alpha, lags, len_lags, rmse):
+def genotype(mf, npart, partitioner, order, alpha, lags, f1, f2):
     '''
     Create the individual genotype
 
@@ -27,12 +28,12 @@ def genotype(mf, npart, partitioner, order, alpha, lags, len_lags, rmse):
     :param order: model order
     :param alpha: alpha-cut
     :param lags: array with lag indexes
-    :param len_lags: parsimony fitness value
+    :param f1: accuracy fitness value
-    :param rmse: accuracy fitness value
+    :param f2: parsimony fitness value
     :return: the genotype, a dictionary with all hyperparameters
     '''
     ind = dict(mf=mf, npart=npart, partitioner=partitioner, order=order,
-               alpha=alpha, lags=lags, len_lags=len_lags, rmse=rmse)
+               alpha=alpha, lags=lags, f1=f1, f2=f2)
     return ind
 
 
@@ -122,17 +123,19 @@ def evaluate(dataset, individual, **kwargs):
     '''
     from pyFTS.common import Util
     from pyFTS.benchmarks import Measures
+    from pyFTS.hyperparam.Evolutionary import phenotype, __measures
+    import numpy as np
 
     window_size = kwargs.get('window_size', 800)
     train_rate = kwargs.get('train_rate', .8)
     increment_rate = kwargs.get('increment_rate', .2)
     parameters = kwargs.get('parameters',{})
 
-    if individual['rmse'] is not None and individual['len_lags'] is not None:
+    if individual['f1'] is not None and individual['f2'] is not None:
-        return individual['len_lags'], individual['rmse']
+        return { key: individual[key] for key in __measures }
 
     try:
-        results = []
+        errors = []
         lengths = []
 
         for count, train, test in Util.sliding_window(dataset, window_size, train=train_rate, inc=increment_rate):
@@ -144,22 +147,25 @@ def evaluate(dataset, individual, **kwargs):
 
             forecasts = model.predict(test)
 
-            rmse = Measures.rmse(test[model.max_lag:], forecasts[:-1]) #.get_point_statistics(test, model)
+            rmse = Measures.rmse(test[model.max_lag:], forecasts) #.get_point_statistics(test, model)
             lengths.append(len(model))
 
-            results.append(rmse)
+            errors.append(rmse)
 
         _lags = sum(model.lags) * 100
 
-            rmse = np.nansum([.6 * np.nanmean(results), .4 * np.nanstd(results)])
+        _rmse = np.nanmean(errors)
-            len_lags = np.nansum([.4 * np.nanmean(lengths), .6 * _lags])
+        _len = np.nanmean(lengths)
+
+        f1 = np.nansum([.6 * _rmse, .4 * np.nanstd(errors)])
+        f2 = np.nansum([.4 * _len, .6 * _lags])
 
         #print("EVALUATION {}".format(individual))
-        return len_lags, rmse
+        return {'f1': f1, 'f2': f2, 'rmse': _rmse, 'size': _len }
 
     except Exception as ex:
-        print("EVALUATION EXCEPTION!", str(ex), str(individual))
+        #print("EVALUATION EXCEPTION!", str(ex), str(individual))
-        return np.inf, np.inf
+        return {'f1': np.inf, 'f2': np.inf, 'rmse': np.inf, 'size': np.inf }
 
 
 def tournament(population, objective):
@@ -191,10 +197,10 @@ def double_tournament(population):
     :return:
     '''
 
-    ancestor1 = tournament(population, 'rmse')
+    ancestor1 = tournament(population, 'f1')
-    ancestor2 = tournament(population, 'rmse')
+    ancestor2 = tournament(population, 'f1')
 
-    selected = tournament([ancestor1, ancestor2], 'len_lags')
+    selected = tournament([ancestor1, ancestor2], 'f2')
 
     return selected
 
@@ -242,7 +248,7 @@ def crossover(parents):
     r1 = random.randint(0, n)
     r2 = random.randint(0, n)
 
-    if parents[r1]['rmse'] < parents[r2]['rmse']:
+    if parents[r1]['f1'] < parents[r2]['f1']:
         best = parents[r1]
         worst = parents[r2]
     else:
@@ -315,8 +321,8 @@ def mutation(individual, pmut):
         # Chama a função mutation_lags
         individual['lags'] = mutation_lags( individual['lags'],  individual['order'])
 
-        individual['rmse'] = None
+        individual['f1'] = None
-        individual['len_lags'] = None
+        individual['f2'] = None
 
     return individual
 
@@ -329,12 +335,14 @@ def elitism(population, new_population):
     :param new_population:
     :return:
     '''
-    population = sorted(population, key=itemgetter('rmse'))
+    population = sorted(population, key=itemgetter('f1'))
     best = population[0]
 
-    new_population = sorted(new_population, key=itemgetter('rmse'))
+    new_population = sorted(new_population, key=itemgetter('f1'))
-    if new_population[0]["rmse"] > best["rmse"]:
+    if new_population[0]["f1"] > best["f1"]:
         new_population.insert(0,best)
+    elif new_population[0]["f1"] == best["f1"] and new_population[0]["f2"] > best["f2"]:
+        new_population.insert(0, best)
 
     return new_population
 
@@ -363,6 +371,10 @@ def GeneticAlgorithm(dataset, **kwargs):
     npop = kwargs.get('npop',20)
     pcruz = kwargs.get('pcruz',.5)
     pmut = kwargs.get('pmut',.3)
+    distributed = kwargs.get('distributed', False)
+
+    if distributed == 'dispy':
+        cluster = kwargs.pop('cluster', None)
 
     collect_statistics = kwargs.get('collect_statistics', False)
 
@@ -376,8 +388,25 @@ def GeneticAlgorithm(dataset, **kwargs):
     best = population[1]
 
     print("Evaluating initial population {}".format(time.time()))
+    if not distributed:
         for individual in population:
-        individual['len_lags'], individual['rmse'] = evaluate(dataset, individual, **kwargs)
+            ret = evaluate(dataset, individual, **kwargs)
+            for key in __measures:
+                individual[key] = ret[key]
+    elif distributed=='dispy':
+        jobs = []
+        for ct, individual in enumerate(population):
+            job = cluster.submit(dataset, individual, **kwargs)
+            job.id = ct
+            jobs.append(job)
+        for job in jobs:
+            result = job()
+            if job.status == dispy.DispyJob.Finished and result is not None:
+                for key in __measures:
+                    population[job.id][key] = result[key]
+            else:
+                print(job.exception)
+                print(job.stdout)
 
     for i in range(ngen):
         print("GENERATION {} {}".format(i, time.time()))
@@ -400,16 +429,41 @@ def GeneticAlgorithm(dataset, **kwargs):
             new_population[ct] = mutation(individual, pmut)
 
         # Evaluation
-        _f1 = _f2 = []
-        for individual in new_population:
-            f1, f2 = evaluate(dataset, individual, **kwargs)
-            individual['len_lags'], individual['rmse'] = f1, f2
         if collect_statistics:
-                _f1.append(f1)
+            stats = {}
-                _f2.append(f2)
+            for key in __measures:
+                stats[key] = []
+
+        if not distributed:
+            for individual in new_population:
+                ret = evaluate(dataset, individual, **kwargs)
+                for key in __measures:
+                    individual[key] = ret[key]
+                    if collect_statistics: stats[key].append(ret[key])
+
+        elif distributed == 'dispy':
+            jobs = []
+
+            for ct, individual in enumerate(new_population):
+                job = cluster.submit(dataset, individual, **kwargs)
+                job.id = ct
+                jobs.append(job)
+            for job in jobs:
+                print('job id {}'.format(job.id))
+                result = job()
+                if job.status == dispy.DispyJob.Finished and result is not None:
+                    for key in __measures:
+                        new_population[job.id][key] = result[key]
+                        if collect_statistics: stats[key].append(ret[key])
+                else:
+                    print(job.exception)
+                    print(job.stdout)
+
 
         if collect_statistics:
-            generation_statistics['population'] = {'f1': np.nanmedian(_f1), 'f2': np.nanmedian(_f2)}
+            mean_stats = {key: np.nanmedian(stats[key]) for key in __measures }
+
+            generation_statistics['population'] = mean_stats
 
         # Elitism
         population = elitism(population, new_population)
@@ -423,11 +477,11 @@ def GeneticAlgorithm(dataset, **kwargs):
         best = population[0]
 
         if collect_statistics:
-            generation_statistics['best'] = {'f1': best["len_lags"], 'f2': best["rmse"]}
+            generation_statistics['best'] = {key: best[key] for key in __measures }
 
             statistics.append(generation_statistics)
 
-        if last_best['rmse'] <= best['rmse'] and last_best['len_lags'] <= best['len_lags']:
+        if last_best['f1'] <= best['f1'] and last_best['f2'] <= best['f2']:
             no_improvement_count += 1
             print("WITHOUT IMPROVEMENT {}".format(no_improvement_count))
             pmut += .05
@@ -444,35 +498,15 @@ def GeneticAlgorithm(dataset, **kwargs):
     return best, statistics
 
 
-def cluster_method(dataset, **kwargs):
+def process_experiment(result, datasetname, conn):
-    from pyFTS.hyperparam.Evolutionary import GeneticAlgorithm
+    log_result(conn, datasetname, result['individual'])
-
+    persist_statistics(result['statistics'])
-    inicio = time.time()
+    return result['individual']
-    ret, statistics = GeneticAlgorithm(dataset, **kwargs)
-    fim = time.time()
-    ret['time'] = fim - inicio
-    ret['size'] = ret['len_lags']
-    return ret, statistics
-
-
-def process_jobs(jobs, datasetname, conn):
-    for job in jobs:
-        result,statistics = job()
-        if job.status == dispy.DispyJob.Finished and result is not None:
-            print("Processing result of {}".format(result))
-
-            log_result(conn, datasetname, result)
-
-            persist_statistics(statistics)
-
-        else:
-            print(job.exception)
-            print(job.stdout)
 
 
 def persist_statistics(statistics):
     import json
-    with open('statistics.txt', 'w') as file:
+    with open('statistics{}.txt'.format(time.time()), 'w') as file:
         file.write(json.dumps(statistics))
 
 
@@ -491,33 +525,29 @@ def log_result(conn, datasetname, result):
 def execute(datasetname, dataset, **kwargs):
     conn = hUtil.open_hyperparam_db('hyperparam.db')
 
-    distributed = kwargs.get('distributed', False)
-
     experiments = kwargs.get('experiments', 30)
 
-    if not distributed:
+    distributed = kwargs.get('distributed', False)
+
+    if distributed == 'dispy':
+        nodes = kwargs.get('nodes', ['127.0.0.1'])
+        cluster, http_server = dUtil.start_dispy_cluster(evaluate, nodes=nodes)
+        kwargs['cluster'] = cluster
+
     ret = []
-        for i in range(experiments):
-            result, statistics = cluster_method(dataset, **kwargs)
-            log_result(conn, datasetname, result)
-            persist_statistics(statistics)
-            ret.append(result)
-
-        return result
-
-    elif distributed=='dispy':
-        nodes = kwargs.get('nodes', ['127.0.0.1'])
-
-        cluster, http_server = dispy.start_dispy_cluster(cluster_method, nodes=nodes)
-
-
-        jobs = []
-
     for i in range(experiments):
         print("Experiment {}".format(i))
-            job = cluster.submit(dataset, **kwargs)
-            jobs.append(job)
 
-        process_jobs(jobs, datasetname, conn)
+        start = time.time()
+        ret, statistics = GeneticAlgorithm(dataset, **kwargs)
+        end = time.time()
+        ret['time'] = end - start
+        experiment = {'individual': ret, 'statistics': statistics}
+
+        ret = process_experiment(experiment, datasetname, conn)
+
+        if distributed == 'dispy':
+            dUtil.stop_dispy_cluster(cluster, http_server)
+
+    return ret
 
-        dispy.stop_dispy_cluster(cluster, http_server)

pyFTS/hyperparam/GridSearch.py

@@ -4,8 +4,9 @@ from pyFTS.models import hofts
 from pyFTS.partitioners import Grid, Entropy
 from pyFTS.benchmarks import Measures
 from pyFTS.hyperparam import Util as hUtil
-import numpy as np
+from pyFTS.distributed import dispy as dUtil
 import dispy
+import numpy as np
 from itertools import product
 
 
@@ -20,11 +21,12 @@ def dict_individual(mf, partitioner, partitions, order, lags, alpha_cut):
     }
 
 
-def cluster_method(individual, train, test):
+def cluster_method(individual, dataset, **kwargs):
     from pyFTS.common import Util, Membership
     from pyFTS.models import hofts
     from pyFTS.partitioners import Grid, Entropy
     from pyFTS.benchmarks import Measures
+    import numpy as np
 
     if individual['mf'] == 1:
         mf = Membership.trimf
@@ -35,42 +37,58 @@ def cluster_method(individual, train, test):
     else:
         mf = Membership.trimf
 
+    window_size = kwargs.get('window_size', 800)
+    train_rate = kwargs.get('train_rate', .8)
+    increment_rate = kwargs.get('increment_rate', .2)
+    parameters = kwargs.get('parameters', {})
+
+    errors = []
+    sizes = []
+
+    for count, train, test in Util.sliding_window(dataset, window_size, train=train_rate, inc=increment_rate):
+
         if individual['partitioner'] == 1:
             partitioner = Grid.GridPartitioner(data=train, npart=individual['npart'], func=mf)
         elif individual['partitioner'] == 2:
             npart = individual['npart'] if individual['npart'] > 10 else 10
             partitioner = Entropy.EntropyPartitioner(data=train, npart=npart, func=mf)
 
-
         model = hofts.WeightedHighOrderFTS(partitioner=partitioner,
                                    lags=individual['lags'],
                                    alpha_cut=individual['alpha'],
                                    order=individual['order'])
-
         model.fit(train)
 
-    rmse, mape, u = Measures.get_point_statistics(test, model)
+        forecasts = model.predict(test)
+
+        #rmse, mape, u = Measures.get_point_statistics(test, model)
+        rmse = Measures.rmse(test[model.max_lag:], forecasts)
 
         size = len(model)
 
-    return individual, rmse, size, mape, u
+        errors.append(rmse)
+        sizes.append(size)
+
+    return {'parameters': individual, 'rmse': np.nanmean(errors), 'size': np.nanmean(size)}
 
 
 def process_jobs(jobs, datasetname, conn):
-    for job in jobs:
+    for ct, job in enumerate(jobs):
-        result, rmse, size, mape, u = job()
+        print("Processing job {}".format(ct))
+        result = job()
         if job.status == dispy.DispyJob.Finished and result is not None:
             print("Processing result of {}".format(result))
             
-            metrics = {'rmse': rmse, 'size': size, 'mape': mape, 'u': u }
+            metrics = {'rmse': result['rmse'], 'size': result['size']}
             
             for metric in metrics.keys():
 
-                record = (datasetname, 'GridSearch', 'WHOFTS', None, result['mf'],
+                param = result['parameters']
-                          result['order'], result['partitioner'], result['npart'],
+
-                          result['alpha'], str(result['lags']), metric, metrics[metric])
+                record = (datasetname, 'GridSearch', 'WHOFTS', None, param['mf'],
+                          param['order'], param['partitioner'], param['npart'],
+                          param['alpha'], str(param['lags']), metric, metrics[metric])
 
-                print(record)
 
                 hUtil.insert_hyperparam(record, conn)
 
@@ -79,7 +97,7 @@ def process_jobs(jobs, datasetname, conn):
             print(job.stdout)
     
 
-def execute(hyperparams, datasetname, train, test, **kwargs):
+def execute(hyperparams, datasetname, dataset, **kwargs):
 
     nodes = kwargs.get('nodes',['127.0.0.1'])
 
@@ -105,7 +123,7 @@ def execute(hyperparams, datasetname, train, test, **kwargs):
     
     print("Evaluation values: \n {}".format(hp_values))
     
-    cluster, http_server = Util.start_dispy_cluster(cluster_method, nodes=nodes)
+    cluster, http_server = dUtil.start_dispy_cluster(cluster_method, nodes=nodes)
     conn = hUtil.open_hyperparam_db('hyperparam.db')
 
     for instance in product(*hp_values):
@@ -133,12 +151,12 @@ def execute(hyperparams, datasetname, train, test, **kwargs):
             else:
                 individuals.append(dict_individual(mf, partitioner, partitions, order, _lags, alpha_cut))
                 
-            if count > 50:
+            if count > 10:
                 jobs = []
 
                 for ind in individuals:
                     print("Testing individual {}".format(ind))
-                    job = cluster.submit(ind, train, test)
+                    job = cluster.submit(ind, dataset, **kwargs)
                     jobs.append(job)
                     
                 process_jobs(jobs, datasetname, conn)
@@ -147,4 +165,4 @@ def execute(hyperparams, datasetname, train, test, **kwargs):
                 
                 individuals = []
 
-    Util.stop_dispy_cluster(cluster, http_server)
+    dUtil.stop_dispy_cluster(cluster, http_server)

pyFTS/probabilistic/Mixture.py

@@ -0,0 +1,27 @@
+import numpy as np
+import pandas as pd
+import matplotlib.pyplot as plt
+from pyFTS.common import FuzzySet,SortedCollection,tree
+from pyFTS.probabilistic import ProbabilityDistribution
+
+
+class Mixture(ProbabilityDistribution.ProbabilityDistribution):
+    """
+
+    """
+    def __init__(self, type="mixture", **kwargs):
+        self.models = []
+        self.weights = []
+
+    def append_model(self,model, weight):
+        self.models.append(model)
+        self.weights.append(weight)
+
+    def density(self, values):
+        if not isinstance(values, list):
+            values = [values]
+
+        for ct, m in enumerate(self.models):
+
+        probs = [m.density(values) ]
+

pyFTS/tests/hyperparam.py

@@ -1,27 +1,29 @@
 import numpy as np
+import pandas as pd
 from pyFTS.hyperparam import GridSearch, Evolutionary
 
 def get_dataset():
-    #from pyFTS.data import SONDA
+    from pyFTS.data import SONDA
-    from pyFTS.data import Malaysia
+    #from pyFTS.data import Malaysia
 
-    #data = SONDA.get_data('temperature')[:1000]
+    #data = SONDA.get_data('temperature')[:3000]
-    data = Malaysia.get_data('temperature')[:1000]
+    data = pd.read_csv('https://query.data.world/s/6xfb5useuotbbgpsnm5b2l3wzhvw2i', sep=';')
+    #data = Malaysia.get_data('temperature')[:1000]
+
+    return 'SONDA.glo_avg', data['glo_avg'].values #train, test
+    #return 'Malaysia.temperature', data #train, test
 
-    #return 'SONDA.glo_avg', data #train, test
-    return 'Malaysia.temperature', data #train, test
 
-"""
 hyperparams = {
-    'order':[1, 2, 3],
+    'order':[3],
     'partitions': np.arange(10,100,3),
-    'partitioner': [1,2],
+    'partitioner': [1],
-    'mf': [1, 2, 3, 4],
+    'mf': [1], #, 2, 3, 4],
-    'lags': np.arange(1,35,2),
+    'lags': np.arange(2, 7, 1),
     'alpha': np.arange(.0, .5, .05)
 }
 
-
+'''
 hyperparams = {
     'order':[3], #[1, 2],
     'partitions': np.arange(10,100,10),
@@ -30,16 +32,28 @@ hyperparams = {
     'lags': np.arange(1, 10),
     'alpha': [.0, .3, .5]
 }
-
+'''
 nodes = ['192.168.0.106', '192.168.0.110', '192.168.0.107']
 
 datsetname, dataset  = get_dataset()
 
-#GridSearch.execute(hyperparams, ds, train, test, nodes=nodes)
+#GridSearch.execute(hyperparams, datsetname, dataset, nodes=nodes,
+#                   window_size=10000, train_rate=.9, increment_rate=1,)
+
+ret = Evolutionary.execute(datsetname, dataset,
+                            ngen=30, npop=20, pcruz=.5, pmut=.3,
+                            window_size=10000, train_rate=.9, increment_rate=1,
+                            experiments=1,
+                            distributed='dispy', nodes=nodes)
+
+#res = GridSearch.cluster_method({'mf':1, 'partitioner': 1, 'npart': 10, 'lags':[1], 'alpha': 0.0, 'order': 1},
+#                          dataset, window_size = 10000, train_rate = .9, increment_rate = 1)
+
+#print(res)
 
 #Evolutionary.cluster_method(dataset, 70, 20, .8, .3, 1)
 
-
+"""
 from pyFTS.models import hofts
 from pyFTS.partitioners import Grid
 from pyFTS.benchmarks import Measures
@@ -63,11 +77,11 @@ ret = Evolutionary.execute(datsetname, dataset,
                      parameters={'distributed': 'spark', 'url': 'spark://192.168.0.106:7077'})
 
 print(ret)
-"""
+
 
 from pyFTS.hyperparam import Evolutionary
 
-"""
+
 from pyFTS.data import SONDA
 
 data = np.array(SONDA.get_data('glo_avg'))
@@ -78,7 +92,7 @@ dataset = data[:1000000]
 
 del(data)
 
-"""
+
 
 import pandas as pd
 df = pd.read_csv('https://query.data.world/s/i7eb73c4rluf2luasppsyxaurx5ol7', sep=';')
@@ -93,6 +107,9 @@ from time import  time
 t1 = time()
 
 
+
+
+
 Evolutionary.execute('SONDA', dataset,
                      ngen=20, mgen=5, npop=15, pcruz=.5, pmut=.3,
                      window_size=35000, train_rate=.6, increment_rate=1,
@@ -102,4 +119,4 @@ Evolutionary.execute('SONDA', dataset,
 t2 = time()
 
 print(t2 - t1)
-
+"""