83 lines
2.5 KiB
Python
83 lines
2.5 KiB
Python
#!/usr/bin/python
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# -*- coding: utf8 -*-
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import numpy as np
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import pandas as pd
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import math
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from operator import itemgetter
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from pyFTS.common import FLR, FuzzySet, SortedCollection
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from pyFTS import fts, chen, cheng, hofts, hwang, ismailefendi, sadaei, song, yu, sfts
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from pyFTS.benchmarks import arima, quantreg
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from pyFTS.common import Transformations, Util as cUtil
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import scipy.stats as st
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from pyFTS.ensemble import ensemble
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from pyFTS.models import msfts
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from pyFTS.probabilistic import ProbabilityDistribution, kde
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from copy import deepcopy
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from joblib import Parallel, delayed
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import multiprocessing
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def train_individual_model(partitioner, train_data, indexer):
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pttr = str(partitioner.__module__).split('.')[-1]
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diff = "_diff" if partitioner.transformation is not None else ""
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_key = "msfts_" + pttr + str(partitioner.partitions) + diff + "_" + indexer.name
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print(_key)
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model = msfts.MultiSeasonalFTS(_key, indexer=indexer)
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model.appendTransformation(partitioner.transformation)
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model.train(train_data, partitioner.sets, order=1)
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cUtil.persist_obj(model, "models/"+_key+".pkl")
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return model
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class SeasonalEnsembleFTS(ensemble.EnsembleFTS):
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def __init__(self, name, **kwargs):
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super(SeasonalEnsembleFTS, self).__init__(name="Seasonal Ensemble FTS", **kwargs)
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self.min_order = 1
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self.indexers = []
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self.partitioners = []
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self.is_multivariate = True
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self.has_seasonality = True
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self.has_probability_forecasting = True
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def train(self, data, sets, order=1, parameters=None):
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self.original_max = max(data)
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self.original_min = min(data)
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num_cores = multiprocessing.cpu_count()
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pool = {}
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count = 0
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for ix in self.indexers:
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for pt in self.partitioners:
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pool[count] = {'ix': ix, 'pt': pt}
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count += 1
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results = Parallel(n_jobs=num_cores)(
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delayed(train_individual_model)(deepcopy(pool[m]['pt']), data, deepcopy(pool[m]['ix']))
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for m in pool.keys())
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for tmp in results:
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self.appendModel(tmp)
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cUtil.persist_obj(self, "models/"+self.name+".pkl")
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def forecastDistribution(self, data, **kwargs):
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ret = []
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h = kwargs.get("h",10)
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for k in data.index:
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tmp = self.get_models_forecasts(data.ix[k])
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dist = ProbabilityDistribution.ProbabilityDistribution("KDE",h=h,uod=[self.original_min, self.original_max])
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ret.append(dist)
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return ret |