561 lines
21 KiB
Python
561 lines
21 KiB
Python
import numpy as np
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import pandas as pd
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from pyFTS.common import FuzzySet, SortedCollection, tree, Util
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class FTS(object):
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"""
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Fuzzy Time Series object model
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"""
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def __init__(self, **kwargs):
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"""
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Create a Fuzzy Time Series model
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"""
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self.sets = {}
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"""The list of fuzzy sets used on this model"""
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self.flrgs = {}
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"""The list of Fuzzy Logical Relationship Groups - FLRG"""
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self.order = kwargs.get('order',1)
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"""A integer with the model order (number of past lags are used on forecasting)"""
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self.shortname = kwargs.get('name',"")
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"""A string with a short name or alias for the model"""
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self.name = kwargs.get('name',"")
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"""A string with the model name"""
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self.detail = kwargs.get('name',"")
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"""A string with the model detailed information"""
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self.is_high_order = False
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"""A boolean value indicating if the model support orders greater than 1, default: False"""
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self.min_order = 1
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"""In high order models, this integer value indicates the minimal order supported for the model, default: 1"""
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self.has_seasonality = False
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"""A boolean value indicating if the model supports seasonal indexers, default: False"""
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self.has_point_forecasting = True
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"""A boolean value indicating if the model supports point forecasting, default: True"""
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self.has_interval_forecasting = False
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"""A boolean value indicating if the model supports interval forecasting, default: False"""
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self.has_probability_forecasting = False
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"""A boolean value indicating if the model support probabilistic forecasting, default: False"""
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self.is_multivariate = False
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"""A boolean value indicating if the model support multivariate time series (Pandas DataFrame), default: False"""
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self.dump = False
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self.transformations = []
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"""A list with the data transformations (common.Transformations) applied on model pre and post processing, default: []"""
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self.transformations_param = []
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"""A list with the specific parameters for each data transformation"""
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self.original_max = 0
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"""A float with the upper limit of the Universe of Discourse, the maximal value found on training data"""
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self.original_min = 0
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"""A float with the lower limit of the Universe of Discourse, the minimal value found on training data"""
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self.partitioner = kwargs.get("partitioner", None)
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"""A pyFTS.partitioners.Partitioner object with the Universe of Discourse partitioner used on the model. This is a mandatory dependecy. """
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if self.partitioner != None:
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self.sets = self.partitioner.sets
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self.auto_update = False
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"""A boolean value indicating that model is incremental"""
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self.benchmark_only = False
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"""A boolean value indicating a façade for external (non-FTS) model used on benchmarks or ensembles."""
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self.indexer = kwargs.get("indexer", None)
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"""An pyFTS.models.seasonal.Indexer object for indexing the time series data"""
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self.uod_clip = kwargs.get("uod_clip", True)
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"""Flag indicating if the test data will be clipped inside the training Universe of Discourse"""
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self.alpha_cut = kwargs.get("alpha_cut", 0.0)
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"""A float with the minimal membership to be considered on fuzzyfication process"""
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self.max_lag = self.order
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"""A integer indicating the largest lag used by the model. This value also indicates the minimum number of past lags
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needed to forecast a single step ahead"""
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def fuzzy(self, data):
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"""
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Fuzzify a data point
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:param data: data point
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:return: maximum membership fuzzy set
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"""
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best = {"fuzzyset": "", "membership": 0.0}
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for f in self.sets:
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fset = self.sets[f]
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if best["membership"] <= fset.membership(data):
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best["fuzzyset"] = fset.name
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best["membership"] = fset.membership(data)
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return best
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def predict(self, data, **kwargs):
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"""
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Forecast using trained model
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:param data: time series with minimal length to the order of the model
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:keyword type: the forecasting type, one of these values: point(default), interval, distribution or multivariate.
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:keyword steps_ahead: The forecasting horizon, i. e., the number of steps ahead to forecast
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:keyword start: in the multi step forecasting, the index of the data where to start forecasting
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:keyword distributed: boolean, indicate if the forecasting procedure will be distributed in a dispy cluster
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:keyword nodes: a list with the dispy cluster nodes addresses
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:keyword explain: try to explain, step by step, the one-step-ahead point forecasting result given the input data.
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:keyword generators: for multivariate methods on multi step ahead forecasting, generators is a dict where the keys
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are the variables names (except the target_variable) and the values are lambda functions that
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accept one value (the actual value of the variable) and return the next value.
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:return: a numpy array with the forecasted data
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"""
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if self.is_multivariate:
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ndata = data
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else:
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ndata = self.apply_transformations(data)
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if self.uod_clip:
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ndata = np.clip(ndata, self.original_min, self.original_max)
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if 'distributed' in kwargs:
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distributed = kwargs.pop('distributed')
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else:
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distributed = False
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if distributed is None or distributed == False:
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if 'type' in kwargs:
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type = kwargs.pop("type")
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else:
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type = 'point'
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steps_ahead = kwargs.get("steps_ahead", None)
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if steps_ahead == None or steps_ahead == 1:
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if type == 'point':
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ret = self.forecast(ndata, **kwargs)
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elif type == 'interval':
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ret = self.forecast_interval(ndata, **kwargs)
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elif type == 'distribution':
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ret = self.forecast_distribution(ndata, **kwargs)
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elif type == 'multivariate':
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ret = self.forecast_multivariate(ndata, **kwargs)
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elif steps_ahead > 1:
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if type == 'point':
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ret = self.forecast_ahead(ndata, steps_ahead, **kwargs)
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elif type == 'interval':
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ret = self.forecast_ahead_interval(ndata, steps_ahead, **kwargs)
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elif type == 'distribution':
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ret = self.forecast_ahead_distribution(ndata, steps_ahead, **kwargs)
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elif type == 'multivariate':
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ret = self.forecast_ahead_multivariate(ndata, **kwargs)
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if not ['point', 'interval', 'distribution', 'multivariate'].__contains__(type):
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raise ValueError('The argument \'type\' has an unknown value.')
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else:
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if distributed == 'dispy':
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from pyFTS.distributed import dispy
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nodes = kwargs.get("nodes", ['127.0.0.1'])
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num_batches = kwargs.get('num_batches', 10)
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ret = dispy.distributed_predict(self, kwargs, nodes, ndata, num_batches)
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elif distributed == 'spark':
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from pyFTS.distributed import spark
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nodes = kwargs.get("nodes", 'spark://192.168.0.110:7077')
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app = kwargs.get("app", 'pyFTS')
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ret = spark.distributed_predict(data=ndata, model=self, url=nodes, app=app)
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if not self.is_multivariate:
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kwargs['type'] = type
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ret = self.apply_inverse_transformations(ret, params=[data[self.max_lag - 1:]], **kwargs)
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return ret
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def forecast(self, data, **kwargs):
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"""
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Point forecast one step ahead
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:param data: time series data with the minimal length equal to the max_lag of the model
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:param kwargs: model specific parameters
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:return: a list with the forecasted values
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"""
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raise NotImplementedError('This model do not perform one step ahead point forecasts!')
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def forecast_interval(self, data, **kwargs):
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"""
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Interval forecast one step ahead
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:param data: time series data with the minimal length equal to the max_lag of the model
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:param kwargs: model specific parameters
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:return: a list with the prediction intervals
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"""
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raise NotImplementedError('This model do not perform one step ahead interval forecasts!')
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def forecast_distribution(self, data, **kwargs):
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"""
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Probabilistic forecast one step ahead
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:param data: time series data with the minimal length equal to the max_lag of the model
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:param kwargs: model specific parameters
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:return: a list with probabilistic.ProbabilityDistribution objects representing the forecasted Probability Distributions
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"""
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raise NotImplementedError('This model do not perform one step ahead distribution forecasts!')
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def forecast_multivariate(self, data, **kwargs):
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"""
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Multivariate forecast one step ahead
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:param data: Pandas dataframe with one column for each variable and with the minimal length equal to the max_lag of the model
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:param kwargs: model specific parameters
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:return: a Pandas Dataframe object representing the forecasted values for each variable
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"""
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raise NotImplementedError('This model do not perform one step ahead multivariate forecasts!')
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def forecast_ahead(self, data, steps, **kwargs):
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"""
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Point forecast n steps ahead
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:param data: time series data with the minimal length equal to the max_lag of the model
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:param steps: the number of steps ahead to forecast
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:keyword start: in the multi step forecasting, the index of the data where to start forecasting
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:return: a list with the forecasted values
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"""
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if isinstance(data, np.ndarray):
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data = data.tolist()
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ret = []
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for k in np.arange(0,steps):
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tmp = self.forecast(data[-self.max_lag:], **kwargs)
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if isinstance(tmp,(list, np.ndarray)):
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tmp = tmp[-1]
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ret.append(tmp)
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data.append(tmp)
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return ret
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def forecast_ahead_interval(self, data, steps, **kwargs):
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"""
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Interval forecast n steps ahead
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:param data: time series data with the minimal length equal to the max_lag of the model
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:param steps: the number of steps ahead to forecast
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:param kwargs: model specific parameters
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:return: a list with the forecasted intervals
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"""
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raise NotImplementedError('This model do not perform multi step ahead interval forecasts!')
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def forecast_ahead_distribution(self, data, steps, **kwargs):
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"""
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Probabilistic forecast n steps ahead
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:param data: time series data with the minimal length equal to the max_lag of the model
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:param steps: the number of steps ahead to forecast
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:param kwargs: model specific parameters
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:return: a list with the forecasted Probability Distributions
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"""
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raise NotImplementedError('This model do not perform multi step ahead distribution forecasts!')
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def forecast_ahead_multivariate(self, data, steps, **kwargs):
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"""
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Multivariate forecast n step ahead
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:param data: Pandas dataframe with one column for each variable and with the minimal length equal to the max_lag of the model
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:param steps: the number of steps ahead to forecast
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:param kwargs: model specific parameters
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:return: a Pandas Dataframe object representing the forecasted values for each variable
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"""
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raise NotImplementedError('This model do not perform one step ahead multivariate forecasts!')
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def train(self, data, **kwargs):
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"""
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Method specific parameter fitting
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:param data: training time series data
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:param kwargs: Method specific parameters
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"""
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pass
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def fit(self, ndata, **kwargs):
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"""
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Fit the model's parameters based on the training data.
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:param ndata: training time series data
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:param kwargs:
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:keyword num_batches: split the training data in num_batches to save memory during the training process
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:keyword save_model: save final model on disk
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:keyword batch_save: save the model between each batch
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:keyword file_path: path to save the model
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:keyword distributed: boolean, indicate if the training procedure will be distributed in a dispy cluster
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:keyword nodes: a list with the dispy cluster nodes addresses
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"""
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import datetime
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if self.is_multivariate:
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data = ndata
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else:
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data = self.apply_transformations(ndata)
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self.original_min = np.nanmin(data)
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self.original_max = np.nanmax(data)
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if 'sets' in kwargs:
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self.sets = kwargs.pop('sets')
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if 'partitioner' in kwargs:
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self.partitioner = kwargs.pop('partitioner')
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if (self.sets is None or len(self.sets) == 0) and not self.benchmark_only and not self.is_multivariate:
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if self.partitioner is not None:
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self.sets = self.partitioner.sets
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else:
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raise Exception("Fuzzy sets were not provided for the model. Use 'sets' parameter or 'partitioner'. ")
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if 'order' in kwargs:
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self.order = kwargs.pop('order')
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dump = kwargs.get('dump', None)
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num_batches = kwargs.get('num_batches', 1)
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save = kwargs.get('save_model', False) # save model on disk
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batch_save = kwargs.get('batch_save', False) #save model between batches
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file_path = kwargs.get('file_path', None)
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distributed = kwargs.get('distributed', False)
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batch_save_interval = kwargs.get('batch_save_interval', 10)
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if distributed is not None and distributed:
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if distributed == 'dispy':
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from pyFTS.distributed import dispy
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nodes = kwargs.get('nodes', False)
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train_method = kwargs.get('train_method', dispy.simple_model_train)
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dispy.distributed_train(self, train_method, nodes, type(self), data, num_batches, {},
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batch_save=batch_save, file_path=file_path,
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batch_save_interval=batch_save_interval)
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elif distributed == 'spark':
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from pyFTS.distributed import spark
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url = kwargs.get('url', 'spark://192.168.0.110:7077')
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app = kwargs.get('app', 'pyFTS')
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spark.distributed_train(self, data, url=url, app=app)
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else:
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if dump == 'time':
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print("[{0: %H:%M:%S}] Start training".format(datetime.datetime.now()))
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if num_batches is not None:
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n = len(data)
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batch_size = int(n / num_batches)
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bcount = 1
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rng = range(self.order, n, batch_size)
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if dump == 'tqdm':
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from tqdm import tqdm
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rng = tqdm(rng)
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for ct in rng:
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if dump == 'time':
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print("[{0: %H:%M:%S}] Starting batch ".format(datetime.datetime.now()) + str(bcount))
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if self.is_multivariate:
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mdata = data.iloc[ct - self.order:ct + batch_size]
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else:
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mdata = data[ct - self.order : ct + batch_size]
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self.train(mdata, **kwargs)
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if batch_save:
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Util.persist_obj(self,file_path)
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if dump == 'time':
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print("[{0: %H:%M:%S}] Finish batch ".format(datetime.datetime.now()) + str(bcount))
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bcount += 1
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else:
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self.train(data, **kwargs)
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if dump == 'time':
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print("[{0: %H:%M:%S}] Finish training".format(datetime.datetime.now()))
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if save:
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Util.persist_obj(self, file_path)
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def clone_parameters(self, model):
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"""
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Import the parameters values from other model
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:param model:
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"""
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self.order = model.order
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self.shortname = model.shortname
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self.name = model.name
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self.detail = model.detail
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self.is_high_order = model.is_high_order
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self.min_order = model.min_order
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self.has_seasonality = model.has_seasonality
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self.has_point_forecasting = model.has_point_forecasting
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self.has_interval_forecasting = model.has_interval_forecasting
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self.has_probability_forecasting = model.has_probability_forecasting
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self.is_multivariate = model.is_multivariate
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self.dump = model.dump
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self.transformations = model.transformations
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self.transformations_param = model.transformations_param
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self.original_max = model.original_max
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self.original_min = model.original_min
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self.partitioner = model.partitioner
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self.sets = model.sets
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self.auto_update = model.auto_update
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self.benchmark_only = model.benchmark_only
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self.indexer = model.indexer
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def append_rule(self, flrg):
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"""
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Append FLRG rule to the model
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:param flrg: rule
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:return:
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"""
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if flrg.get_key() not in self.flrgs:
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self.flrgs[flrg.get_key()] = flrg
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else:
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if isinstance(flrg.RHS, (list, set)):
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for k in flrg.RHS:
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self.flrgs[flrg.get_key()].append_rhs(k)
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elif isinstance(flrg.RHS, dict):
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for key, value in flrg.RHS.items():
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self.flrgs[flrg.get_key()].append_rhs(key, count=value)
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else:
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self.flrgs[flrg.get_key()].append_rhs(flrg.RHS)
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def merge(self, model):
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"""
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Merge the FLRG rules from other model
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:param model: source model
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:return:
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"""
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for key, flrg in model.flrgs.items():
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self.append_rule(flrg)
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def append_transformation(self, transformation):
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if transformation is not None:
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self.transformations.append(transformation)
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def apply_transformations(self, data, params=None, updateUoD=False, **kwargs):
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"""
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Apply the data transformations for data preprocessing
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:param data: input data
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:param params: transformation parameters
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:param updateUoD:
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:param kwargs:
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:return: preprocessed data
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"""
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ndata = data
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if updateUoD:
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if min(data) < 0:
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self.original_min = min(data) * 1.1
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else:
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self.original_min = min(data) * 0.9
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if max(data) > 0:
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self.original_max = max(data) * 1.1
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else:
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self.original_max = max(data) * 0.9
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if len(self.transformations) > 0:
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if params is None:
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params = [ None for k in self.transformations]
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for c, t in enumerate(self.transformations, start=0):
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ndata = t.apply(ndata,params[c])
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return ndata
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def apply_inverse_transformations(self, data, params=None, **kwargs):
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"""
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Apply the data transformations for data postprocessing
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:param data: input data
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:param params: transformation parameters
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:param updateUoD:
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:param kwargs:
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:return: postprocessed data
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"""
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if len(self.transformations) > 0:
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if params is None:
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params = [None for k in self.transformations]
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for c, t in enumerate(reversed(self.transformations), start=0):
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ndata = t.inverse(data, params[c], **kwargs)
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return ndata
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else:
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return data
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def get_UoD(self):
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#return [self.original_min, self.original_max]
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return [self.partitioner.min, self.partitioner.max]
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def __str__(self):
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"""String representation of the model"""
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tmp = self.name + ":\n"
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if self.partitioner.type == 'common':
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for r in sorted(self.flrgs, key=lambda key: self.flrgs[key].get_midpoint(self.partitioner.sets)):
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tmp = "{0}{1}\n".format(tmp, str(self.flrgs[r]))
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else:
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for r in self.model.flrgs:
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tmp = "{0}{1}\n".format(tmp, str(self.flrgs[r]))
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return tmp
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def __len__(self):
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"""
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The length (number of rules) of the model
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:return: number of rules
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"""
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return len(self.flrgs)
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def len_total(self):
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"""
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Total length of the model, adding the number of terms in all rules
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:return:
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"""
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return sum([len(k) for k in self.flrgs])
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def reset_calculated_values(self):
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"""
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Reset all pre-calculated values on the FLRG's
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:return:
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"""
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for flrg in self.flrgs.keys():
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self.flrgs[flrg].reset_calculated_values()
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