- MultiSeasonal FTS

- Seasonal Indexers for Panda DataFrames
- Indexed FLR's

benchmarks/benchmarks.py

@@ -641,7 +641,8 @@ def compareModelsTable(original, models_fo, models_ho):
 
 
 def simpleSearch_RMSE(train, test, model, partitions, orders, save=False, file=None, tam=[10, 15],
-                      plotforecasts=False, elev=30, azim=144, intervals=False):
+                      plotforecasts=False, elev=30, azim=144, intervals=False,parameters=None):
+    _3d = len(orders) > 1
     ret = []
     errors = np.array([[0 for k in range(len(partitions))] for kk in range(len(orders))])
     forecasted_best = []
@@ -662,13 +663,16 @@ def simpleSearch_RMSE(train, test, model, partitions, orders, save=False, file=N
         sets = Grid.GridPartitionerTrimf(train, p)
         for oc, o in enumerate(orders, start=0):
             fts = model("q = " + str(p) + " n = " + str(o))
-            fts.train(train, sets, o)
+            fts.train(train, sets, o,parameters=parameters)
             if not intervals:
                 forecasted = fts.forecast(test)
-                error = Measures.rmse(np.array(test[o:]), np.array(forecasted[:-1]))
+                if not fts.hasSeasonality:
+                    error = Measures.rmse(np.array(test[o:]), np.array(forecasted[:-1]))
+                else:
+                    error = Measures.rmse(np.array(test[o:]), np.array(forecasted))
                 for kk in range(o):
                     forecasted.insert(0, None)
-                    if plotforecasts: ax0.plot(forecasted, label=fts.name)
+                if plotforecasts: ax0.plot(forecasted, label=fts.name)
             else:
                 forecasted = fts.forecastInterval(test)
                 error = 1.0 - Measures.rmse_interval(np.array(test[o:]), np.array(forecasted[:-1]))
@@ -683,15 +687,22 @@ def simpleSearch_RMSE(train, test, model, partitions, orders, save=False, file=N
         # handles0, labels0 = ax0.get_legend_handles_labels()
         # ax0.legend(handles0, labels0)
         ax0.plot(test, label="Original", linewidth=3.0, color="black")
-        ax1 = Axes3D(fig, rect=[0, 1, 0.9, 0.9], elev=elev, azim=azim)
+        if _3d: ax1 = Axes3D(fig, rect=[0, 1, 0.9, 0.9], elev=elev, azim=azim)
     if not plotforecasts: ax1 = Axes3D(fig, rect=[0, 1, 0.9, 0.9], elev=elev, azim=azim)
     # ax1 = fig.add_axes([0.6, 0.5, 0.45, 0.45], projection='3d')
-    ax1.set_title('Error Surface')
-    ax1.set_ylabel('Model order')
-    ax1.set_xlabel('Number of partitions')
-    ax1.set_zlabel('RMSE')
-    X, Y = np.meshgrid(partitions, orders)
-    surf = ax1.plot_surface(X, Y, errors, rstride=1, cstride=1, antialiased=True)
+    if _3d:
+        ax1.set_title('Error Surface')
+        ax1.set_ylabel('Model order')
+        ax1.set_xlabel('Number of partitions')
+        ax1.set_zlabel('RMSE')
+        X, Y = np.meshgrid(partitions, orders)
+        surf = ax1.plot_surface(X, Y, errors, rstride=1, cstride=1, antialiased=True)
+    else:
+        ax1 = fig.add_axes([0, 1, 0.9, 0.9])
+        ax1.set_title('Error Curve')
+        ax1.set_ylabel('Number of partitions')
+        ax1.set_xlabel('RMSE')
+        ax0.plot(errors,partitions)
     ret.append(best)
     ret.append(forecasted_best)
 

common/FLR.py

@@ -1,7 +1,8 @@
 import numpy as np
+from pyFTS.common import FuzzySet
 
 
-class FLR:
+class FLR(object):
     def __init__(self, LHS, RHS):
         self.LHS = LHS
         self.RHS = RHS
@@ -10,6 +11,15 @@ class FLR:
         return self.LHS.name + " -> " + self.RHS.name
 
 
+class IndexedFLR(FLR):
+    def __init__(self, index, LHS, RHS):
+        super(IndexedFLR, self).__init__(LHS, RHS)
+        self.index = index
+
+    def __str__(self):
+        return str(self.index) + ": "+ self.LHS.name + " -> " + self.RHS.name
+
+
 def generateNonRecurrentFLRs(fuzzyData):
     flrs = {}
     for i in range(2,len(fuzzyData)):
@@ -18,8 +28,22 @@ def generateNonRecurrentFLRs(fuzzyData):
     ret = [value for key, value in flrs.items()]
     return ret
 
+
 def generateRecurrentFLRs(fuzzyData):
     flrs = []
     for i in np.arange(1,len(fuzzyData)):
         flrs.append(FLR(fuzzyData[i-1],fuzzyData[i]))
     return flrs
+
+
+def generateIndexedFLRs(sets, indexer, data):
+    flrs = []
+    index = indexer.get_season_of_data(data)
+    ndata = indexer.get_data(data)
+    for k in np.arange(0,len(data)-1):
+        lhs = FuzzySet.getMaxMembershipFuzzySet(ndata[k],sets)
+        rhs = FuzzySet.getMaxMembershipFuzzySet(ndata[k+1], sets)
+        season = index[k]
+        flr = IndexedFLR(season,lhs,rhs)
+        flrs.append(flr)
+    return flrs

fts.py

@@ -16,6 +16,7 @@ class FTS(object):
         self.hasPointForecasting = True
         self.hasIntervalForecasting = False
         self.hasDistributionForecasting = False
+        self.isMultivariate = False
         self.dump = False
         self.transformations = []
         self.transformations_param = []

models/msfts.py

@@ -0,0 +1,61 @@
+import numpy as np
+from pyFTS.common import FuzzySet,FLR
+from pyFTS import fts, sfts
+
+class MultiSeasonalFTS(sfts.SeasonalFTS):
+    def __init__(self, name, indexer):
+        super(MultiSeasonalFTS, self).__init__("MSFTS")
+        self.name = "Multi Seasonal FTS"
+        self.detail = ""
+        self.seasonality = 1
+        self.hasSeasonality = True
+        self.hasPointForecasting = True
+        self.isHighOrder = True
+        self.isMultivariate = True
+        self.indexer = indexer
+        self.flrgs = {}
+
+    def generateFLRG(self, flrs):
+        flrgs = {}
+
+        for index, season in enumerate(self.indexer.get_season_of_data(flrs),start=0):
+
+            print(index)
+            print(season)
+
+            if str(season) not in self.flrgs:
+                flrgs[str(season)] = sfts.SeasonalFLRG(season)
+
+            flrgs[str(season)].append(flrs[index].RHS)
+
+        return (flrgs)
+
+    def train(self, data, sets, order=1, parameters=None):
+        self.sets = sets
+        self.seasonality = parameters
+        ndata = self.indexer.set_data(data,self.doTransformations(self.indexer.get_data(data)))
+        tmpdata = FuzzySet.fuzzySeries(ndata, sets)
+        flrs = FLR.generateRecurrentFLRs(tmpdata)
+        self.flrgs = self.generateFLRG(flrs)
+
+    def forecast(self, data):
+
+        ndata = np.array(self.doTransformations(self.indexer.get_data(data)))
+
+        l = len(ndata)
+
+        ret = []
+
+        for k in np.arange(1, l):
+
+            season = self.indexer.get_season_index(k)
+
+            flrg = self.flrgs[str(season)]
+
+            mp = self.getMidpoints(flrg)
+
+            ret.append(sum(mp) / len(mp))
+
+        ret = self.doInverseTransformations(ret, params=[data[self.order - 1:]])
+
+        return ret

models/seasonal/SeasonalIndexer.py

@@ -0,0 +1,102 @@
+import numpy as np
+
+class SeasonalIndexer(object):
+    def __init__(self,num_seasons):
+        self.num_seasons = num_seasons
+
+    def get_season_of_data(self,data):
+        pass
+
+    def get_season_by_index(self,inde):
+        pass
+
+    def get_data_by_season(self, data, indexes):
+        pass
+
+    def get_index_by_season(self, indexes):
+        pass
+
+    def get_data(self, data):
+        pass
+
+
+class LinearSeasonalIndexer(SeasonalIndexer):
+    def __init__(self,seasons):
+        super(LinearSeasonalIndexer, self).__init__(len(seasons))
+        self.seasons = seasons
+
+    def get_season_of_data(self,data):
+        return self.get_season_by_index(np.arange(0,len(data)))
+
+    def get_season_by_index(self,index):
+        ret = []
+        for ix in index:
+            if self.num_seasons == 1:
+                season = ix % self.seasons
+            else:
+                season = []
+                for seasonality in self.seasons:
+                    print("S ", seasonality)
+                    tmp = ix // seasonality
+                    print("T ", tmp)
+                    season.append(tmp)
+                #season.append(rest)
+
+            ret.append(season)
+
+        return ret
+
+    def get_index_by_season(self, indexes):
+        ix = 0;
+
+        for count,season in enumerate(self.seasons):
+            ix += season*(indexes[count])
+
+        #ix += indexes[-1]
+
+        return ix
+
+    def get_data(self, data):
+        return data
+
+
+class DataFrameSeasonalIndexer(SeasonalIndexer):
+    def __init__(self,index_fields,index_seasons, data_fields):
+        super(DataFrameSeasonalIndexer, self).__init__(len(index_seasons))
+        self.fields = index_fields
+        self.seasons = index_seasons
+        self.data_fields = data_fields
+
+    def get_season_of_data(self,data):
+        ret = []
+        for ix in data.index:
+            season = []
+            for c, f in enumerate(self.fields, start=0):
+                if self.seasons[c] is None:
+                    season.append(data[f][ix])
+                else:
+                    season.append(data[f][ix] // self.seasons[c])
+            ret.append(season)
+        return ret
+
+    def get_season_by_index(self,index):
+        raise Exception("Operation not available!")
+
+    def get_data_by_season(self, data, indexes):
+        for season in indexes:
+            for c, f in enumerate(self.fields, start=0):
+                if self.seasons[c] is None:
+                    data = data[data[f]== season[c]]
+                else:
+                    data = data[(data[f] // self.seasons[c]) == season[c]]
+        return data[self.data_fields]
+
+    def get_index_by_season(self, indexes):
+        raise Exception("Operation not available!")
+
+    def get_data(self, data):
+        return data[self.data_fields].tolist()
+
+    def set_data(self, data, value):
+        data[self.data_fields] = value
+        return data

sfts.py

@@ -1,7 +1,6 @@
 import numpy as np
 from pyFTS.common import FuzzySet,FLR
-import fts
-
+from pyFTS import fts
 
 class SeasonalFLRG(fts.FTS):
     def __init__(self, seasonality):
@@ -28,15 +27,19 @@ class SeasonalFTS(fts.FTS):
         self.detail = "Chen"
         self.seasonality = 1
         self.hasSeasonality = True
+        self.hasPointForecasting = True
+        self.isHighOrder = False
 
     def generateFLRG(self, flrs):
         flrgs = []
         season = 1
         for flr in flrs:
+
             if len(flrgs) < self.seasonality:
                 flrgs.append(SeasonalFLRG(season))
 
-            flrgs[season].append(flr.RHS)
+            #print(season)
+            flrgs[season-1].append(flr.RHS)
 
             season = (season + 1) % (self.seasonality + 1)
 
@@ -54,16 +57,20 @@ class SeasonalFTS(fts.FTS):
 
     def forecast(self, data):
 
-        data = np.array(data)
-
-        ndata = self.doTransformations(data)
+        ndata = np.array(self.doTransformations(data))
 
         l = len(ndata)
 
         ret = []
 
         for k in np.arange(1, l):
-            flrg = self.flrgs[data[k]]
+            #flrg = self.flrgs[ndata[k]]
+
+            season = (k + 1) % (self.seasonality + 1)
+
+            #print(season)
+
+            flrg = self.flrgs[season-1]
 
             mp = self.getMidpoints(flrg)
 

tests/sfts.py

@@ -0,0 +1,55 @@
+#!/usr/bin/python
+# -*- coding: utf8 -*-
+
+import os
+import numpy as np
+import pandas as pd
+import matplotlib as plt
+import matplotlib.pyplot as plt
+from mpl_toolkits.mplot3d import Axes3D
+
+import pandas as pd
+from pyFTS.partitioners import Grid
+from pyFTS.common import FLR,FuzzySet,Membership,Transformations
+from pyFTS import fts,sfts
+from pyFTS.models import msfts
+from pyFTS.benchmarks import benchmarks as bchmk
+from pyFTS.benchmarks import Measures
+
+os.chdir("/home/petronio/dados/Dropbox/Doutorado/Disciplinas/AdvancedFuzzyTimeSeriesModels/")
+
+sonda = pd.read_csv("DataSets/SONDA_BSB_CLEAN.csv", sep=";")
+
+sonda = sonda[:][527041:]
+
+sonda.index = np.arange(0,len(sonda.index))
+
+sonda_treino = sonda[:1051200]
+sonda_teste = sonda[1051201:]
+
+
+#res = bchmk.simpleSearch_RMSE(sonda_treino, sonda_teste,
+#                              sfts.SeasonalFTS,np.arange(3,30),[1],parameters=1440,
+#                              tam=[15,8], plotforecasts=False,elev=45, azim=40,
+#                               save=False,file="pictures/sonda_sfts_error_surface", intervals=False)
+
+from pyFTS.models.seasonal import SeasonalIndexer
+from pyFTS.models import msfts
+from pyFTS.common import FLR
+
+ix = SeasonalIndexer.DataFrameSeasonalIndexer(['day','min'],[30, 60],'glo_avg')
+
+fs = Grid.GridPartitionerTrimf(ix.get_data(sonda_treino),20)
+
+#mfts = msfts.MultiSeasonalFTS("",ix)
+
+#mfts.train(sonda_teste,fs)
+
+#print(str(mfts))
+
+#[10, 508]
+
+flrs = FLR.generateIndexedFLRs(fs, ix, sonda_treino[110000:111450])
+
+for i in flrs:  #ix.get_data(sonda_treino[111430:111450]):
+    print(i)