#!/usr/bin/python # -*- coding: utf8 -*- import numpy as np import pandas as pd import matplotlib as plt import matplotlib.colors as pltcolors import matplotlib.pyplot as plt from mpl_toolkits.mplot3d import Axes3D # from sklearn.cross_validation import KFold from pyFTS.benchmarks import Measures from pyFTS.partitioners import Grid from pyFTS.common import Membership, FuzzySet, FLR, Transformations, Util from pyFTS import fts, chen, yu, ismailefendi, sadaei, hofts, hwang, pfts, ifts def allPointForecasters(data_train, data_test, partitions, max_order=3,save=False, file=None, tam=[20, 5]): models = [chen.ConventionalFTS, yu.WeightedFTS, ismailefendi.ImprovedWeightedFTS, sadaei.ExponentialyWeightedFTS, hwang.HighOrderFTS, hofts.HighOrderFTS, pfts.ProbabilisticFTS] objs = [] all_colors = [clr for clr in pltcolors.cnames.keys() ] data_train_fs = Grid.GridPartitionerTrimf(data_train,partitions) count = 1 colors = [] for model in models: #print(model) mfts = model("") if not mfts.isHighOrder: mfts.train(data_train, data_train_fs) objs.append(mfts) colors.append( all_colors[count] ) else: for order in np.arange(1,max_order+1): mfts = model(" n = " + str(order)) mfts.train(data_train, data_train_fs, order=order) objs.append(mfts) colors.append(all_colors[count]) count += 5 print(getPointStatistics(data_test, objs)) plotComparedSeries(data_test, objs, colors, typeonlegend=False, save=save, file=file, tam=tam, intervals=False) def getPointStatistics(data, models, externalmodels = None, externalforecasts = None): ret = "Model & Order & RMSE & MAPE \\\\ \n" for fts in models: forecasts = fts.forecast(data) ret += fts.shortname + " & " ret += str(fts.order) + " & " ret += str(round(Measures.rmse(np.array(data[fts.order:]), np.array(forecasts[:-1])), 2)) + " & " ret += str(round(Measures.mape(np.array(data[fts.order:]), np.array(forecasts[:-1])), 2)) ret += " \\\\ \n" if externalmodels is not None: l = len(externalmodels) for k in np.arange(0,l): ret += externalmodels[k] + " & " ret += " 1 & " ret += str(round(Measures.rmse(data[fts.order:], externalforecasts[k][:-1]), 2)) + " & " ret += str(round(Measures.mape(data[fts.order:], externalforecasts[k][:-1]), 2)) ret += " \\\\ \n" return ret def allIntervalForecasters(data_train, data_test, partitions, max_order=3,save=False, file=None, tam=[20, 5]): models = [ifts.IntervalFTS, pfts.ProbabilisticFTS] objs = [] all_colors = [clr for clr in pltcolors.cnames.keys() ] data_train_fs = Grid.GridPartitionerTrimf(data_train,partitions) count = 1 colors = [] for model in models: #print(model) mfts = model("") if not mfts.isHighOrder: mfts.train(data_train, data_train_fs) objs.append(mfts) colors.append( all_colors[count] ) else: for order in np.arange(1,max_order+1): mfts = model(" n = " + str(order)) mfts.train(data_train, data_train_fs, order=order) objs.append(mfts) colors.append(all_colors[count]) count += 5 print(getIntervalStatistics(data_test, objs)) plotComparedSeries(data_test, objs, colors, typeonlegend=False, save=save, file=file, tam=tam, intervals=True) def getIntervalStatistics(original, models): ret = "Model & Order & Sharpness & Resolution & Coverage \\ \n" for fts in models: forecasts = fts.forecastInterval(original) ret += fts.shortname + " & " ret += str(fts.order) + " & " ret += str(round(Measures.sharpness(forecasts), 2)) + " & " ret += str(round(Measures.resolution(forecasts), 2)) + " & " ret += str(round(Measures.coverage(original[fts.order:], forecasts[:-1]), 2)) + " \\ \n" return ret def plotDistribution(dist): for k in dist.index: alpha = np.array([dist[x][k] for x in dist]) * 100 x = [k for x in np.arange(0, len(alpha))] y = dist.columns plt.scatter(x, y, c=alpha, marker='s', linewidths=0, cmap='Oranges', norm=pltcolors.Normalize(vmin=0, vmax=1), vmin=0, vmax=1, edgecolors=None) def plotComparedSeries(original, models, colors, typeonlegend=False, save=False, file=None, tam=[20, 5], intervals=True): fig = plt.figure(figsize=tam) ax = fig.add_subplot(111) mi = [] ma = [] ax.plot(original, color='black', label="Original", linewidth=1.5) count = 0 for fts in models: if fts.hasPointForecasting and not intervals: forecasted = fts.forecast(original) mi.append(min(forecasted) * 0.95) ma.append(max(forecasted) * 1.05) for k in np.arange(0, fts.order): forecasted.insert(0, None) lbl = fts.shortname if typeonlegend: lbl += " (Point)" ax.plot(forecasted, color=colors[count], label=lbl, ls="-") if fts.hasIntervalForecasting and intervals: forecasted = fts.forecastInterval(original) lower = [kk[0] for kk in forecasted] upper = [kk[1] for kk in forecasted] mi.append(min(lower) * 0.95) ma.append(max(upper) * 1.05) for k in np.arange(0, fts.order): lower.insert(0, None) upper.insert(0, None) lbl = fts.shortname if typeonlegend: lbl += " (Interval)" ax.plot(lower, color=colors[count], label=lbl, ls="-") ax.plot(upper, color=colors[count], ls="-") handles0, labels0 = ax.get_legend_handles_labels() ax.legend(handles0, labels0, loc=2) count = count + 1 # ax.set_title(fts.name) ax.set_ylim([min(mi), max(ma)]) ax.set_ylabel('F(T)') ax.set_xlabel('T') ax.set_xlim([0, len(original)]) Util.showAndSaveImage(fig, file, save) def plotComparedIntervalsAhead(original, models, colors, distributions, time_from, time_to, interpol=False, save=False, file=None, tam=[20, 5], resolution=None): fig = plt.figure(figsize=tam) ax = fig.add_subplot(111) if resolution is None: resolution = (max(original) - min(original)) / 100 mi = [] ma = [] count = 0 for fts in models: if fts.hasDistributionForecasting and distributions[count]: density = fts.forecastAheadDistribution(original[time_from - fts.order:time_from], time_to, resolution, parameters=None) y = density.columns t = len(y) for k in density.index: alpha = np.array([density[q][k] for q in density]) * 100 x = [time_from + k for x in np.arange(0, t)] for cc in np.arange(0, resolution, 5): ax.scatter(x, y + cc, c=alpha, marker='s', linewidths=0, cmap='Oranges', edgecolors=None) if interpol and k < max(density.index): diffs = [(density[q][k + 1] - density[q][k]) / 50 for q in density] for p in np.arange(0, 50): xx = [time_from + k + 0.02 * p for q in np.arange(0, t)] alpha2 = np.array( [density[density.columns[q]][k] + diffs[q] * p for q in np.arange(0, t)]) * 100 ax.scatter(xx, y, c=alpha2, marker='s', linewidths=0, cmap='Oranges', norm=pltcolors.Normalize(vmin=0, vmax=1), vmin=0, vmax=1, edgecolors=None) if fts.hasIntervalForecasting: forecasts = fts.forecastAheadInterval(original[time_from - fts.order:time_from], time_to) lower = [kk[0] for kk in forecasts] upper = [kk[1] for kk in forecasts] mi.append(min(lower)) ma.append(max(upper)) for k in np.arange(0, time_from - fts.order): lower.insert(0, None) upper.insert(0, None) ax.plot(lower, color=colors[count], label=fts.shortname) ax.plot(upper, color=colors[count]) else: forecasts = fts.forecast(original) mi.append(min(forecasts)) ma.append(max(forecasts)) for k in np.arange(0, time_from): forecasts.insert(0, None) ax.plot(forecasts, color=colors[count], label=fts.shortname) count = count + 1 ax.plot(original, color='black', label="Original") handles0, labels0 = ax.get_legend_handles_labels() ax.legend(handles0, labels0, loc=2) # ax.set_title(fts.name) ax.set_ylim([min(mi), max(ma)]) ax.set_ylabel('F(T)') ax.set_xlabel('T') ax.set_xlim([0, len(original)]) Util.showAndSaveImage(fig, file, save) def plotCompared(original, forecasts, labels, title): fig = plt.figure(figsize=[13, 6]) ax = fig.add_subplot(111) ax.plot(original, color='k', label="Original") for c in range(0, len(forecasts)): ax.plot(forecasts[c], label=labels[c]) handles0, labels0 = ax.get_legend_handles_labels() ax.legend(handles0, labels0) ax.set_title(title) ax.set_ylabel('F(T)') ax.set_xlabel('T') ax.set_xlim([0, len(original)]) ax.set_ylim([min(original), max(original)]) def SelecaoKFold_MenorRMSE(original, parameters, modelo): nfolds = 5 ret = [] errors = np.array([[0 for k in parameters] for z in np.arange(0, nfolds)]) forecasted_best = [] print("Série Original") fig = plt.figure(figsize=[18, 10]) fig.suptitle("Comparação de modelos ") ax0 = fig.add_axes([0, 0.5, 0.65, 0.45]) # left, bottom, width, height ax0.set_xlim([0, len(original)]) ax0.set_ylim([min(original), max(original)]) ax0.set_title('Série Temporal') ax0.set_ylabel('F(T)') ax0.set_xlabel('T') ax0.plot(original, label="Original") min_rmse_fold = 100000.0 best = None fc = 0 # Fold count kf = KFold(len(original), n_folds=nfolds) for train_ix, test_ix in kf: train = original[train_ix] test = original[test_ix] min_rmse = 100000.0 best_fold = None forecasted_best_fold = [] errors_fold = [] pc = 0 # Parameter count for p in parameters: sets = Grid.GridPartitionerTrimf(train, p) fts = modelo(str(p) + " particoes") fts.train(train, sets) forecasted = [fts.forecast(xx) for xx in test] error = Measures.rmse(np.array(forecasted), np.array(test)) errors_fold.append(error) print(fc, p, error) errors[fc, pc] = error if error < min_rmse: min_rmse = error best_fold = fts forecasted_best_fold = forecasted pc = pc + 1 forecasted_best_fold = [best_fold.forecast(xx) for xx in original] ax0.plot(forecasted_best_fold, label=best_fold.name) if np.mean(errors_fold) < min_rmse_fold: min_rmse_fold = np.mean(errors) best = best_fold forecasted_best = forecasted_best_fold fc = fc + 1 handles0, labels0 = ax0.get_legend_handles_labels() ax0.legend(handles0, labels0) ax1 = Axes3D(fig, rect=[0.7, 0.5, 0.3, 0.45], elev=30, azim=144) # ax1 = fig.add_axes([0.6, 0.0, 0.45, 0.45], projection='3d') ax1.set_title('Comparação dos Erros Quadráticos Médios') ax1.set_zlabel('RMSE') ax1.set_xlabel('K-fold') ax1.set_ylabel('Partições') X, Y = np.meshgrid(np.arange(0, nfolds), parameters) surf = ax1.plot_surface(X, Y, errors.T, rstride=1, cstride=1, antialiased=True) ret.append(best) ret.append(forecasted_best) # Modelo diferencial print("\nSérie Diferencial") errors = np.array([[0 for k in parameters] for z in np.arange(0, nfolds)]) forecastedd_best = [] ax2 = fig.add_axes([0, 0, 0.65, 0.45]) # left, bottom, width, height ax2.set_xlim([0, len(original)]) ax2.set_ylim([min(original), max(original)]) ax2.set_title('Série Temporal') ax2.set_ylabel('F(T)') ax2.set_xlabel('T') ax2.plot(original, label="Original") min_rmse = 100000.0 min_rmse_fold = 100000.0 bestd = None fc = 0 diff = Transformations.differential(original) kf = KFold(len(original), n_folds=nfolds) for train_ix, test_ix in kf: train = diff[train_ix] test = diff[test_ix] min_rmse = 100000.0 best_fold = None forecasted_best_fold = [] errors_fold = [] pc = 0 for p in parameters: sets = Grid.GridPartitionerTrimf(train, p) fts = modelo(str(p) + " particoes") fts.train(train, sets) forecasted = [fts.forecastDiff(test, xx) for xx in np.arange(len(test))] error = Measures.rmse(np.array(forecasted), np.array(test)) print(fc, p, error) errors[fc, pc] = error errors_fold.append(error) if error < min_rmse: min_rmse = error best_fold = fts pc = pc + 1 forecasted_best_fold = [best_fold.forecastDiff(original, xx) for xx in np.arange(len(original))] ax2.plot(forecasted_best_fold, label=best_fold.name) if np.mean(errors_fold) < min_rmse_fold: min_rmse_fold = np.mean(errors) best = best_fold forecasted_best = forecasted_best_fold fc = fc + 1 handles0, labels0 = ax2.get_legend_handles_labels() ax2.legend(handles0, labels0) ax3 = Axes3D(fig, rect=[0.7, 0, 0.3, 0.45], elev=30, azim=144) # ax1 = fig.add_axes([0.6, 0.0, 0.45, 0.45], projection='3d') ax3.set_title('Comparação dos Erros Quadráticos Médios') ax3.set_zlabel('RMSE') ax3.set_xlabel('K-fold') ax3.set_ylabel('Partições') X, Y = np.meshgrid(np.arange(0, nfolds), parameters) surf = ax3.plot_surface(X, Y, errors.T, rstride=1, cstride=1, antialiased=True) ret.append(best) ret.append(forecasted_best) return ret def SelecaoSimples_MenorRMSE(original, parameters, modelo): ret = [] errors = [] forecasted_best = [] print("Série Original") fig = plt.figure(figsize=[20, 12]) fig.suptitle("Comparação de modelos ") ax0 = fig.add_axes([0, 0.5, 0.65, 0.45]) # left, bottom, width, height ax0.set_xlim([0, len(original)]) ax0.set_ylim([min(original), max(original)]) ax0.set_title('Série Temporal') ax0.set_ylabel('F(T)') ax0.set_xlabel('T') ax0.plot(original, label="Original") min_rmse = 100000.0 best = None for p in parameters: sets = Grid.GridPartitionerTrimf(original, p) fts = modelo(str(p) + " particoes") fts.train(original, sets) # print(original) forecasted = fts.forecast(original) forecasted.insert(0, original[0]) # print(forecasted) ax0.plot(forecasted, label=fts.name) error = Measures.rmse(np.array(forecasted), np.array(original)) print(p, error) errors.append(error) if error < min_rmse: min_rmse = error best = fts forecasted_best = forecasted handles0, labels0 = ax0.get_legend_handles_labels() ax0.legend(handles0, labels0) ax1 = fig.add_axes([0.7, 0.5, 0.3, 0.45]) # left, bottom, width, height ax1.set_title('Comparação dos Erros Quadráticos Médios') ax1.set_ylabel('RMSE') ax1.set_xlabel('Quantidade de Partições') ax1.set_xlim([min(parameters), max(parameters)]) ax1.plot(parameters, errors) ret.append(best) ret.append(forecasted_best) # Modelo diferencial print("\nSérie Diferencial") difffts = Transformations.differential(original) errors = [] forecastedd_best = [] ax2 = fig.add_axes([0, 0, 0.65, 0.45]) # left, bottom, width, height ax2.set_xlim([0, len(difffts)]) ax2.set_ylim([min(difffts), max(difffts)]) ax2.set_title('Série Temporal') ax2.set_ylabel('F(T)') ax2.set_xlabel('T') ax2.plot(difffts, label="Original") min_rmse = 100000.0 bestd = None for p in parameters: sets = Grid.GridPartitionerTrimf(difffts, p) fts = modelo(str(p) + " particoes") fts.train(difffts, sets) forecasted = fts.forecast(difffts) forecasted.insert(0, difffts[0]) ax2.plot(forecasted, label=fts.name) error = Measures.rmse(np.array(forecasted), np.array(difffts)) print(p, error) errors.append(error) if error < min_rmse: min_rmse = error bestd = fts forecastedd_best = forecasted handles0, labels0 = ax2.get_legend_handles_labels() ax2.legend(handles0, labels0) ax3 = fig.add_axes([0.7, 0, 0.3, 0.45]) # left, bottom, width, height ax3.set_title('Comparação dos Erros Quadráticos Médios') ax3.set_ylabel('RMSE') ax3.set_xlabel('Quantidade de Partições') ax3.set_xlim([min(parameters), max(parameters)]) ax3.plot(parameters, errors) ret.append(bestd) ret.append(forecastedd_best) return ret def compareModelsPlot(original, models_fo, models_ho): fig = plt.figure(figsize=[13, 6]) fig.suptitle("Comparação de modelos ") ax0 = fig.add_axes([0, 0, 1, 1]) # left, bottom, width, height rows = [] for model in models_fo: fts = model["model"] ax0.plot(model["forecasted"], label=model["name"]) for model in models_ho: fts = model["model"] ax0.plot(model["forecasted"], label=model["name"]) handles0, labels0 = ax0.get_legend_handles_labels() ax0.legend(handles0, labels0) def compareModelsTable(original, models_fo, models_ho): fig = plt.figure(figsize=[12, 4]) fig.suptitle("Comparação de modelos ") columns = ['Modelo', 'Ordem', 'Partições', 'RMSE', 'MAPE (%)'] rows = [] for model in models_fo: fts = model["model"] error_r = Measures.rmse(model["forecasted"], original) error_m = round(Measures.mape(model["forecasted"], original) * 100, 2) rows.append([model["name"], fts.order, len(fts.sets), error_r, error_m]) for model in models_ho: fts = model["model"] error_r = Measures.rmse(model["forecasted"][fts.order:], original[fts.order:]) error_m = round(Measures.mape(model["forecasted"][fts.order:], original[fts.order:]) * 100, 2) rows.append([model["name"], fts.order, len(fts.sets), error_r, error_m]) ax1 = fig.add_axes([0, 0, 1, 1]) # left, bottom, width, height ax1.set_xticks([]) ax1.set_yticks([]) ax1.table(cellText=rows, colLabels=columns, cellLoc='center', bbox=[0, 0, 1, 1]) sup = "\\begin{tabular}{" header = "" body = "" footer = "" for c in columns: sup = sup + "|c" if len(header) > 0: header = header + " & " header = header + "\\textbf{" + c + "} " sup = sup + "|} \\hline\n" header = header + "\\\\ \\hline \n" for r in rows: lin = "" for c in r: if len(lin) > 0: lin = lin + " & " lin = lin + str(c) body = body + lin + "\\\\ \\hline \n" return sup + header + body + "\\end{tabular}" def simpleSearch_RMSE(original, model, partitions, orders, save=False, file=None, tam=[10, 15], plotforecasts=False, elev=30, azim=144): ret = [] errors = np.array([[0 for k in range(len(partitions))] for kk in range(len(orders))]) forecasted_best = [] fig = plt.figure(figsize=tam) # fig.suptitle("Comparação de modelos ") if plotforecasts: ax0 = fig.add_axes([0, 0.4, 0.9, 0.5]) # left, bottom, width, height ax0.set_xlim([0, len(original)]) ax0.set_ylim([min(original) * 0.9, max(original) * 1.1]) ax0.set_title('Forecasts') ax0.set_ylabel('F(T)') ax0.set_xlabel('T') min_rmse = 1000000.0 best = None pc = 0 for p in partitions: oc = 0 for o in orders: sets = Grid.GridPartitionerTrimf(original, p) fts = model("q = " + str(p) + " n = " + str(o)) fts.train(original, sets, o) forecasted = fts.forecast(original) error = Measures.rmse(np.array(original[o:]), np.array(forecasted[:-1])) mape = Measures.mape(np.array(original[o:]), np.array(forecasted[:-1])) # print(original[o:]) # print(forecasted[-1]) for kk in range(o): forecasted.insert(0, None) if plotforecasts: ax0.plot(forecasted, label=fts.name) # print(o, p, mape) errors[oc, pc] = error if error < min_rmse: min_rmse = error best = fts forecasted_best = forecasted oc += 1 pc += 1 # print(min_rmse) if plotforecasts: # handles0, labels0 = ax0.get_legend_handles_labels() # ax0.legend(handles0, labels0) ax0.plot(original, label="Original", linewidth=3.0, color="black") 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) ret.append(best) ret.append(forecasted_best) # plt.tight_layout() Util.showAndSaveImage(fig, file, save) return ret def pftsExploreOrderAndPartitions(data,save=False, file=None): fig, axes = plt.subplots(nrows=4, ncols=1, figsize=[6, 8]) data_fs1 = Grid.GridPartitionerTrimf(data, 10) mi = [] ma = [] axes[0].set_title('Point Forecasts by Order') axes[2].set_title('Interval Forecasts by Order') for order in np.arange(1, 6): fts = pfts.ProbabilisticFTS("") fts.shortname = "n = " + str(order) fts.train(data, data_fs1, order=order) point_forecasts = fts.forecast(data) interval_forecasts = fts.forecastInterval(data) lower = [kk[0] for kk in interval_forecasts] upper = [kk[1] for kk in interval_forecasts] mi.append(min(lower) * 0.95) ma.append(max(upper) * 1.05) for k in np.arange(0, order): point_forecasts.insert(0, None) lower.insert(0, None) upper.insert(0, None) axes[0].plot(point_forecasts, label=fts.shortname) axes[2].plot(lower, label=fts.shortname) axes[2].plot(upper) axes[1].set_title('Point Forecasts by Number of Partitions') axes[3].set_title('Interval Forecasts by Number of Partitions') for partitions in np.arange(5, 11): data_fs = Grid.GridPartitionerTrimf(data, partitions) fts = pfts.ProbabilisticFTS("") fts.shortname = "q = " + str(partitions) fts.train(data, data_fs, 1) point_forecasts = fts.forecast(data) interval_forecasts = fts.forecastInterval(data) lower = [kk[0] for kk in interval_forecasts] upper = [kk[1] for kk in interval_forecasts] mi.append(min(lower) * 0.95) ma.append(max(upper) * 1.05) point_forecasts.insert(0, None) lower.insert(0, None) upper.insert(0, None) axes[1].plot(point_forecasts, label=fts.shortname) axes[3].plot(lower, label=fts.shortname) axes[3].plot(upper) for ax in axes: ax.set_ylabel('F(T)') ax.set_xlabel('T') ax.plot(data, label="Original", color="black", linewidth=1.5) handles, labels = ax.get_legend_handles_labels() ax.legend(handles, labels, loc=2, bbox_to_anchor=(1, 1)) ax.set_ylim([min(mi), max(ma)]) ax.set_xlim([0, len(data)]) plt.tight_layout() Util.showAndSaveImage(fig, file, save)