- Issue #3 - Code documentation with PEP 257 compliance

benchmarks/Measures.py

@@ -4,6 +4,7 @@
 pyFTS module for common benchmark metrics
 """
 
+import time
 import numpy as np
 import pandas as pd
 from pyFTS.common import FuzzySet,SortedCollection
@@ -240,3 +241,29 @@ def get_interval_statistics(original, model):
     ret.append(round(resolution(forecasts), 2))
     ret.append(round(coverage(original[model.order:], forecasts[:-1]), 2))
     return ret
+
+
+def get_distribution_statistics(original, model, steps, resolution):
+    ret = list()
+    try:
+        _s1 = time.time()
+        densities1 = model.forecastAheadDistribution(original, steps, parameters=3)
+        _e1 = time.time()
+        ret.append(round(crps(original, densities1), 3))
+        ret.append(round(_e1 - _s1, 3))
+    except Exception as e:
+        print('Erro: ', e)
+        ret.append(np.nan)
+        ret.append(np.nan)
+
+    try:
+        _s2 = time.time()
+        densities2 = model.forecastAheadDistribution(original, steps, parameters=2)
+        _e2 = time.time()
+        ret.append( round(crps(original, densities2), 3))
+        ret.append(round(_e2 - _s2, 3))
+    except:
+        ret.append(np.nan)
+        ret.append(np.nan)
+
+    return ret

benchmarks/benchmarks.py

@@ -17,7 +17,7 @@ from mpl_toolkits.mplot3d import Axes3D
 from pyFTS.partitioners import partitioner, Grid, Huarng, Entropy, FCM
 from pyFTS.benchmarks import Measures, naive, arima, ResidualAnalysis, ProbabilityDistribution, Util, quantreg
 from pyFTS.common import Membership, FuzzySet, FLR, Transformations, Util
-from pyFTS import fts, chen, yu, ismailefendi, sadaei, hofts, hwang,  pwfts, ifts, cheng
+from pyFTS import fts, song, chen, yu, ismailefendi, sadaei, hofts, hwang,  pwfts, ifts, cheng, ensemble
 from copy import deepcopy
 
 colors = ['grey', 'rosybrown', 'maroon', 'red','orange', 'yellow', 'olive', 'green',
@@ -29,24 +29,34 @@ styles = ['-','--','-.',':','.']
 
 nsty = len(styles)
 
+
 def get_benchmark_point_methods():
-    """Return all non FTS methods for point forecast"""
+    """Return all non FTS methods for point forecasting"""
     return [naive.Naive, arima.ARIMA, quantreg.QuantileRegression]
 
+
 def get_point_methods():
-    """Return all FTS methods for point forecast"""
+    """Return all FTS methods for point forecasting"""
-    return [chen.ConventionalFTS, yu.WeightedFTS, ismailefendi.ImprovedWeightedFTS, cheng.TrendWeightedFTS,
+    return [song.ConventionalFTS, chen.ConventionalFTS, yu.WeightedFTS, ismailefendi.ImprovedWeightedFTS,
-                  sadaei.ExponentialyWeightedFTS, hofts.HighOrderFTS, pwfts.ProbabilisticWeightedFTS]
+            cheng.TrendWeightedFTS, sadaei.ExponentialyWeightedFTS, hofts.HighOrderFTS,
+            pwfts.ProbabilisticWeightedFTS]
+
 
 def get_benchmark_interval_methods():
-    """Return all non FTS methods for interval forecast"""
+    """Return all non FTS methods for interval forecasting"""
     return [quantreg.QuantileRegression]
 
+
 def get_interval_methods():
-    """Return all FTS methods for interval forecast"""
+    """Return all FTS methods for interval forecasting"""
     return [ifts.IntervalFTS, pwfts.ProbabilisticWeightedFTS]
 
 
+def get_probabilistic_methods():
+    """Return all FTS methods for probabilistic forecasting"""
+    return [quantreg.QuantileRegression, ensemble.EnsembleFTS, pwfts.ProbabilisticWeightedFTS]
+
+
 def external_point_sliding_window(models, parameters, data, windowsize,train=0.8, dump=False,
                                   save=False, file=None, sintetic=True):
     """
@@ -628,6 +638,19 @@ def plot_probability_distributions(pmfs, lcolors, tam=[15, 7]):
 
 
 def save_dataframe_ahead(experiments, file, objs, crps_interval, crps_distr, times1, times2, save, sintetic):
+    """
+    Save benchmark results for m-step ahead probabilistic forecasters 
+    :param experiments: 
+    :param file: 
+    :param objs: 
+    :param crps_interval: 
+    :param crps_distr: 
+    :param times1: 
+    :param times2: 
+    :param save: 
+    :param sintetic: 
+    :return: 
+    """
     ret = []
 
     if sintetic:
@@ -738,7 +761,7 @@ def ahead_sliding_window(data, windowsize, train, steps, models=None, resolution
 
                         _tdiff = _end - _start
 
-                        _crps1, _crps2, _t1, _t2 = get_distribution_statistics(test,mfts,steps=steps,resolution=resolution)
+                        _crps1, _crps2, _t1, _t2 = Measures.get_distribution_statistics(test,mfts,steps=steps,resolution=resolution)
 
                         crps_interval[_key].append(_crps1)
                         crps_distr[_key].append(_crps2)
@@ -773,7 +796,7 @@ def ahead_sliding_window(data, windowsize, train, steps, models=None, resolution
 
                                 _tdiff = _end - _start
 
-                                _crps1, _crps2, _t1, _t2 = get_distribution_statistics(test, mfts, steps=steps,
+                                _crps1, _crps2, _t1, _t2 = Measures.get_distribution_statistics(test, mfts, steps=steps,
                                                                                        resolution=resolution)
 
                                 crps_interval[_key].append(_crps1)
@@ -826,36 +849,13 @@ def all_ahead_forecasters(data_train, data_test, partitions, start, steps, resol
                                interpol=False, save=save, file=file, tam=tam, resolution=resolution, option=option)
 
 
-def get_distribution_statistics(original, model, steps, resolution):
-    ret = list()
-    try:
-        _s1 = time.time()
-        densities1 = model.forecastAheadDistribution(original, steps, parameters=3)
-        _e1 = time.time()
-        ret.append(round(Measures.crps(original, densities1), 3))
-        ret.append(round(_e1 - _s1, 3))
-    except Exception as e:
-        print('Erro: ', e)
-        ret.append(np.nan)
-        ret.append(np.nan)
 
-    try:
-        _s2 = time.time()
-        densities2 = model.forecastAheadDistribution(original, steps, parameters=2)
-        _e2 = time.time()
-        ret.append( round(Measures.crps(original, densities2), 3))
-        ret.append(round(_e2 - _s2, 3))
-    except:
-        ret.append(np.nan)
-        ret.append(np.nan)
-
-    return ret
 
 
 def print_distribution_statistics(original, models, steps, resolution):
     ret = "Model	& Order     &  Interval & Distribution	\\\\ \n"
     for fts in models:
-        _crps1, _crps2, _t1, _t2 = get_distribution_statistics(original, fts, steps, resolution)
+        _crps1, _crps2, _t1, _t2 = Measures.get_distribution_statistics(original, fts, steps, resolution)
         ret += fts.shortname + "		& "
         ret += str(fts.order) + "		& "
         ret += str(_crps1) + "		& "

benchmarks/distributed_benchmarks.py

@@ -172,7 +172,7 @@ def point_sliding_window(data, windowsize, train=0.8, models=None, partitioners=
     return bUtil.save_dataframe_point(experiments, file, objs, rmse, save, sintetic, smape, times, u)
 
 
-def run_interval(mfts, partitioner, train_data, test_data, transformation=None, indexer=None):
+def run_interval(mfts, partitioner, train_data, test_data, window_key=None, transformation=None, indexer=None):
     """
     Interval forecast benchmark function to be executed on cluster nodes
     :param mfts: FTS model
@@ -211,7 +211,8 @@ def run_interval(mfts, partitioner, train_data, test_data, transformation=None,
     _end = time.time()
     times += _end - _start
 
-    ret = {'key': _key, 'obj': mfts, 'sharpness': _sharp, 'resolution': _res, 'coverage': _cov, 'time': times}
+    ret = {'key': _key, 'obj': mfts, 'sharpness': _sharp, 'resolution': _res, 'coverage': _cov, 'time': times,
+           'window': window_key}
 
     return ret
 
@@ -321,3 +322,163 @@ def interval_sliding_window(data, windowsize, train=0.8, models=None, partitione
 
     return benchmarks.save_dataframe_interval(coverage, experiments, file, objs, resolution, save, sharpness, sintetic,
                                               times)
+
+
+def run_ahead(mfts, partitioner, train_data, test_data, steps, resolution, window_key=None, transformation=None, indexer=None):
+    """
+    Probabilistic m-step ahead forecast benchmark function to be executed on cluster nodes
+    :param mfts: FTS model
+    :param partitioner: Universe of Discourse partitioner
+    :param train_data: data used to train the model
+    :param test_data: ata used to test the model 
+    :param steps: 
+    :param resolution: 
+    :param window_key: id of the sliding window
+    :param transformation: data transformation
+    :param indexer: seasonal indexer
+    :return: a dictionary with the benchmark results 
+    """
+    import time
+    from pyFTS import hofts, ifts, pwfts
+    from pyFTS.partitioners import Grid, Entropy, FCM
+    from pyFTS.benchmarks import Measures, arima, quantreg
+
+    tmp = [hofts.HighOrderFTS, ifts.IntervalFTS, pwfts.ProbabilisticWeightedFTS, arima.ARIMA, quantreg.QuantileRegression]
+
+    tmp2 = [Grid.GridPartitioner, Entropy.EntropyPartitioner, FCM.FCMPartitioner]
+
+    tmp3 = [Measures.get_distribution_statistics]
+
+    pttr = str(partitioner.__module__).split('.')[-1]
+    _key = mfts.shortname + " n = " + str(mfts.order) + " " + pttr + " q = " + str(partitioner.partitions)
+    mfts.partitioner = partitioner
+    if transformation is not None:
+        mfts.appendTransformation(transformation)
+
+    try:
+        _start = time.time()
+        mfts.train(train_data, partitioner.sets, order=mfts.order)
+        _end = time.time()
+        times = _end - _start
+
+        _crps1, _crps2, _t1, _t2 = Measures.get_distribution_statistics(test_data, mfts, steps=steps,
+                                                              resolution=resolution)
+        _t1 += times
+        _t2 += times
+    except Exception as e:
+        print(e)
+        _crps1 = np.nan
+        _crps2 = np.nan
+        _t1 = np.nan
+        _t2 = np.nan
+
+    ret = {'key': _key, 'obj': mfts, 'CRPS_Interval': _crps1, 'CRPS_Distribution': _crps2, 'TIME_Interval': _t1,
+           'TIME_Distribution': _t2, 'window': window_key}
+
+    return ret
+
+
+def ahead_sliding_window(data, windowsize, train, steps,resolution, models=None, partitioners=[Grid.GridPartitioner],
+                         partitions=[10], max_order=3, transformation=None, indexer=None, dump=False,
+                         save=False, file=None, sintetic=False,nodes=None, depends=None):
+    """
+    Distributed sliding window benchmarks for FTS probabilistic forecasters
+    :param data: 
+    :param windowsize: size of sliding window
+    :param train: percentual of sliding window data used to train the models
+    :param steps: 
+    :param resolution: 
+    :param models: FTS point forecasters
+    :param partitioners: Universe of Discourse partitioner
+    :param partitions: the max number of partitions on the Universe of Discourse 
+    :param max_order: the max order of the models (for high order models)
+    :param transformation: data transformation
+    :param indexer: seasonal indexer
+    :param dump: 
+    :param save: save results
+    :param file: file path to save the results
+    :param sintetic: if true only the average and standard deviation of the results
+    :param nodes: list of cluster nodes to distribute tasks
+    :param depends: list of module dependencies 
+    :return: DataFrame with the results 
+    """
+    cluster = dispy.JobCluster(run_point, nodes=nodes)  # , depends=dependencies)
+
+    http_server = dispy.httpd.DispyHTTPServer(cluster)
+
+    _process_start = time.time()
+
+    print("Process Start: {0: %H:%M:%S}".format(datetime.datetime.now()))
+
+    pool = []
+    jobs = []
+    objs = {}
+    crps_interval = {}
+    crps_distr = {}
+    times1 = {}
+    times2 = {}
+
+    if models is None:
+        models = benchmarks.get_probabilistic_methods()
+
+    for model in models:
+        mfts = model("")
+
+        if mfts.is_high_order:
+            for order in np.arange(1, max_order + 1):
+                if order >= mfts.min_order:
+                    mfts = model("")
+                    mfts.order = order
+                    pool.append(mfts)
+        else:
+            pool.append(mfts)
+
+    experiments = 0
+    for ct, train, test in Util.sliding_window(data, windowsize, train):
+        experiments += 1
+
+        if dump: print('\nWindow: {0}\n'.format(ct))
+
+        for partition in partitions:
+
+            for partitioner in partitioners:
+
+                data_train_fs = partitioner(train, partition, transformation=transformation)
+
+                for id, m in enumerate(pool,start=0):
+                    job = cluster.submit(m, data_train_fs, train, test, ct, transformation)
+                    job.id = id  # associate an ID to identify jobs (if needed later)
+                    jobs.append(job)
+
+    for job in jobs:
+        tmp = job()
+        if job.status == dispy.DispyJob.Finished and tmp is not None:
+            if tmp['key'] not in objs:
+                objs[tmp['key']] = tmp['obj']
+                crps_interval[tmp['key']] = []
+                crps_distr[tmp['key']] = []
+                times1[tmp['key']] = []
+                times2[tmp['key']] = []
+            crps_interval[tmp['key']].append(tmp['CRPS_Interval'])
+            crps_distr[tmp['key']].append(tmp['CRPS_Distribution'])
+            times1[tmp['key']].append(tmp['TIME_Interval'])
+            times2[tmp['key']].append(tmp['TIME_Distribution'])
+
+        else:
+            print(job.exception)
+            print(job.stdout)
+
+    _process_end = time.time()
+
+    print("Process End: {0: %H:%M:%S}".format(datetime.datetime.now()))
+
+    print("Process Duration: {0}".format(_process_end - _process_start))
+
+    cluster.wait()  # wait for all jobs to finish
+
+    cluster.print_status()
+
+    http_server.shutdown()  # this waits until browser gets all updates
+    cluster.close()
+
+    return benchmarks.save_dataframe_ahead(experiments, file, objs, crps_interval, crps_distr, times1, times2, save, sintetic)

benchmarks/parallel_benchmarks.py

@@ -18,6 +18,17 @@ from pyFTS.benchmarks import  benchmarks
 
 
 def run_point(mfts, partitioner, train_data, test_data, transformation=None, indexer=None):
+    """
+    Point forecast benchmark function to be executed on threads
+    :param mfts: FTS model
+    :param partitioner: Universe of Discourse partitioner
+    :param train_data: data used to train the model
+    :param test_data: ata used to test the model
+    :param window_key: id of the sliding window
+    :param transformation: data transformation
+    :param indexer: seasonal indexer
+    :return: a dictionary with the benchmark results 
+    """
     pttr = str(partitioner.__module__).split('.')[-1]
     _key = mfts.shortname + " n = " + str(mfts.order) + " " + pttr + " q = " + str(partitioner.partitions)
     mfts.partitioner = partitioner
@@ -51,6 +62,23 @@ def run_point(mfts, partitioner, train_data, test_data, transformation=None, ind
 def point_sliding_window(data, windowsize, train=0.8, models=None, partitioners=[Grid.GridPartitioner],
                          partitions=[10], max_order=3, transformation=None, indexer=None, dump=False,
                          save=False, file=None, sintetic=False):
+    """
+    Parallel sliding window benchmarks for FTS point forecasters
+    :param data: 
+    :param windowsize: size of sliding window
+    :param train: percentual of sliding window data used to train the models
+    :param models: FTS point forecasters
+    :param partitioners: Universe of Discourse partitioner
+    :param partitions: the max number of partitions on the Universe of Discourse 
+    :param max_order: the max order of the models (for high order models)
+    :param transformation: data transformation
+    :param indexer: seasonal indexer
+    :param dump: 
+    :param save: save results
+    :param file: file path to save the results
+    :param sintetic: if true only the average and standard deviation of the results
+    :return: DataFrame with the results
+    """
     _process_start = time.time()
 
     print("Process Start: {0: %H:%M:%S}".format(datetime.datetime.now()))
@@ -116,6 +144,17 @@ def point_sliding_window(data, windowsize, train=0.8, models=None, partitioners=
 
 
 def run_interval(mfts, partitioner, train_data, test_data, transformation=None, indexer=None):
+    """
+    Interval forecast benchmark function to be executed on threads
+    :param mfts: FTS model
+    :param partitioner: Universe of Discourse partitioner
+    :param train_data: data used to train the model
+    :param test_data: ata used to test the model
+    :param window_key: id of the sliding window
+    :param transformation: data transformation
+    :param indexer: seasonal indexer
+    :return: a dictionary with the benchmark results 
+    """
     pttr = str(partitioner.__module__).split('.')[-1]
     _key = mfts.shortname + " n = " + str(mfts.order) + " " + pttr + " q = " + str(partitioner.partitions)
     mfts.partitioner = partitioner
@@ -149,6 +188,23 @@ def run_interval(mfts, partitioner, train_data, test_data, transformation=None,
 def interval_sliding_window(data, windowsize, train=0.8, models=None, partitioners=[Grid.GridPartitioner],
                          partitions=[10], max_order=3, transformation=None, indexer=None, dump=False,
                          save=False, file=None, sintetic=False):
+    """
+     Parallel sliding window benchmarks for FTS interval forecasters
+     :param data: 
+     :param windowsize: size of sliding window
+     :param train: percentual of sliding window data used to train the models
+     :param models: FTS point forecasters
+     :param partitioners: Universe of Discourse partitioner
+     :param partitions: the max number of partitions on the Universe of Discourse 
+     :param max_order: the max order of the models (for high order models)
+     :param transformation: data transformation
+     :param indexer: seasonal indexer
+     :param dump: 
+     :param save: save results
+     :param file: file path to save the results
+     :param sintetic: if true only the average and standard deviation of the results
+     :return: DataFrame with the results
+     """
     _process_start = time.time()
 
     print("Process Start: {0: %H:%M:%S}".format(datetime.datetime.now()))
@@ -215,6 +271,18 @@ def interval_sliding_window(data, windowsize, train=0.8, models=None, partitione
 
 
 def run_ahead(mfts, partitioner, train_data, test_data, steps, resolution, transformation=None, indexer=None):
+    """
+    Probabilistic m-step ahead forecast benchmark function to be executed on threads
+    :param mfts: FTS model
+    :param partitioner: Universe of Discourse partitioner
+    :param train_data: data used to train the model
+    :param test_data: ata used to test the model 
+    :param steps: 
+    :param resolution: 
+    :param transformation: data transformation
+    :param indexer: seasonal indexer
+    :return: a dictionary with the benchmark results 
+    """
     pttr = str(partitioner.__module__).split('.')[-1]
     _key = mfts.shortname + " n = " + str(mfts.order) + " " + pttr + " q = " + str(partitioner.partitions)
     mfts.partitioner = partitioner
@@ -248,6 +316,25 @@ def run_ahead(mfts, partitioner, train_data, test_data, steps, resolution, trans
 def ahead_sliding_window(data, windowsize, train, steps,resolution, models=None, partitioners=[Grid.GridPartitioner],
                          partitions=[10], max_order=3, transformation=None, indexer=None, dump=False,
                          save=False, file=None, sintetic=False):
+    """
+    Parallel sliding window benchmarks for FTS probabilistic forecasters
+    :param data: 
+    :param windowsize: size of sliding window
+    :param train: percentual of sliding window data used to train the models
+    :param steps: 
+    :param resolution: 
+    :param models: FTS point forecasters
+    :param partitioners: Universe of Discourse partitioner
+    :param partitions: the max number of partitions on the Universe of Discourse 
+    :param max_order: the max order of the models (for high order models)
+    :param transformation: data transformation
+    :param indexer: seasonal indexer
+    :param dump: 
+    :param save: save results
+    :param file: file path to save the results
+    :param sintetic: if true only the average and standard deviation of the results
+    :return: DataFrame with the results 
+    """
     _process_start = time.time()
 
     print("Process Start: {0: %H:%M:%S}".format(datetime.datetime.now()))

song.py

@@ -5,8 +5,8 @@ from pyFTS import fts
 class ConventionalFTS(fts.FTS):
     """Conventional Fuzzy Time Series"""
     def __init__(self, name, **kwargs):
-        super(ConventionalFTS, self).__init__(1, "CFTS " + name)
+        super(ConventionalFTS, self).__init__(1, "FTS " + name)
-        self.name = "Conventional FTS"
+        self.name = "Traditional FTS"
         self.detail = "Song & Chissom"
         self.R = None