gen-5017f2df8656 / generator.py
ShinyUser's picture
cascade generator submission: generator
7b0b49b verified
Raw
History Blame Contribute Delete
54.6 kB
"""profilefix-no-short-no-counter-v1 β€” full-context Profilefix without counters.
This is the artifact a cascade miner actually competes with: a subclass of
``cascade.interface.DataGenerator`` that turns a single integer ``seed`` into a
corpus of univariate float series. The subnet holds the model, seeds, and
compute budget byte-identical between the king and every challenger, so the
*only* thing that moves the forecast score is the distribution this file emits.
The competitive lever is therefore **prior diversity + realism**: a corpus that
covers more of the shapes a real forecaster must handle (trend, multi-seasonal,
regime shifts, integrated/near-unit-root dynamics, smooth GP-like curves,
nonlinear/chaotic recurrences, mean-reverting stochastic volatility,
intermittent demand, event recovery, and measurement artifacts) trains a
stronger zero-shot model than the reference generator's trend+seasonal+AR(1)
mix. This composed causal variant emits no genuinely short arrays and replaces
only counter-assigned rows with draws from the normalized UID131 base-family
mixture. The original short selectors and length-bucket draws remain consumed.
Replacement draws use a tagged deterministic side stream, while the original
counter builder is consumed and discarded. Consequently every non-counter row
remains byte-identical to profilefix-no-short-v1 across chunk boundaries.
Design constraints this file respects (all from the contract in
``cascade.interface``):
* **Determinism is load-bearing.** Every value is drawn from one
``np.random.default_rng(seed)`` in a fixed draw order, so two runs at the same
seed produce byte-identical corpora β€” the property ``cascade verify`` audits
by building the corpus twice and comparing digests.
* **Code-only.** No shipped weights, no network, no clock, no un-seeded RNG.
Imports stay on the dependency allowlist (NumPy/SciPy only) and clear of the
static-guard blocklist.
* **Bounded + finite.** Each series is 1-D ``(L,)`` float64, length in
``[min_length, max_length]``, finite (no NaN/inf). ``_sanitize`` is the last
gate so a numerically unlucky draw can never poison a training run.
Everything is **vectorised per family** (a batched time-axis recurrence, never a
per-series Python loop over time). Compared with custom-fullctx-v4, the slow
random-Fourier GP is replaced by FFT spectral sampling, a long-memory spectral
family is added, and larger chunks amortise dispatch while staying far below the
sandbox memory limit.
"""
from __future__ import annotations
import json
from collections.abc import Iterator
from functools import lru_cache, partial
from pathlib import Path
from queue import Full, Queue
from threading import Event, Thread, local
import numpy as np
from scipy.signal import lfilter
from cascade.interface import DataGenerator
# Series generated per vectorised batch. Bounds peak memory to O(_CHUNK Β· max_len)
# so streaming feed modes (which request millions of series and stop early) never
# materialise the full corpus. Prefetching holds at most two completed chunks
# (current + queued) while the producer may build the next. The base block is
# 2048 Γ— 4096 Γ— 8 B = 64 MiB per base family block, plus temporary arrays.
# This remains comfortably below the 4 GiB sandbox cap. On the reference local
# A100 environment, 2048 rows generated ~6% more points/s than 1024 while 4096
# regressed slightly, so 2048 is the measured throughput sweet spot.
_CHUNK = 2048
# Multi-cadence seasonal bank. Full 4096-point contexts can identify several
# cycles even at 365/672/730-step periods, unlike short-crop generators.
_SEASONAL_PERIODS = np.array(
[4, 5, 7, 12, 24, 30, 48, 52, 90, 96, 144, 168, 183, 288, 336, 365, 672, 730],
dtype=np.float64,
)
_SEASONAL_PROBS = np.array(
[0.03, 0.03, 0.10, 0.04, 0.16, 0.05, 0.06, 0.04, 0.03, 0.07,
0.03, 0.13, 0.04, 0.04, 0.06, 0.07, 0.04, 0.05],
dtype=np.float64,
)
_SEASONAL_PROBS /= _SEASONAL_PROBS.sum()
# The side-stream replacements are UID131 base-family rows, including UID131's
# original global seasonal bank. A thread-local switch scopes that bank to the
# replacement call without mutating globals seen by another Generator thread.
_UID131_SEASONAL_PERIODS = np.array(
[4, 7, 12, 24, 30, 48, 52, 90, 96, 144, 168, 183, 288, 336, 365, 672, 730],
dtype=np.float64,
)
_UID131_SEASONAL_PROBS = np.array(
[0.04, 0.12, 0.04, 0.16, 0.05, 0.06, 0.04, 0.03, 0.07, 0.03,
0.13, 0.04, 0.04, 0.06, 0.07, 0.04, 0.05],
dtype=np.float64,
)
_UID131_SEASONAL_PROBS /= _UID131_SEASONAL_PROBS.sum()
class _SeasonalContext(local):
"""Per-thread seasonal-bank selection with an explicit safe default."""
uid131: bool
def __init__(self) -> None:
self.uid131 = False
_SEASONAL_CONTEXT = _SeasonalContext()
# Lengths represented by the non-constant suffix of the calibration family.
# The first suffix point equals the padding value; subsequent points evolve.
# This matches Wrapper._prep's first-value left padding without changing the
# contract-wide 4096-point training geometry.
_PREFIX_ACTIVE_LENGTHS = np.array(
[64, 96, 128, 160, 192, 256, 384, 512, 768, 1024],
dtype=np.int64,
)
_PAD_ACTIVE_LENGTHS = np.array([128, 256, 512, 1024], dtype=np.int64)
_SHORT_CONTEXT_LENGTHS = np.array([128, 256, 512, 1024], dtype=np.int64)
# ── family mixture ──────────────────────────────────────────────────────────
# Names are the process families the corpus mixes over; the default weights are
# a deliberate spread (no single family dominates). Override with
# ``"family_weights": {"chaotic": 0.2, ...}`` in config.json to tune the prior
# without touching code β€” unspecified families keep their default weight.
_FAMILIES: tuple[str, ...] = (
"trend_seasonal_ar", # level + slope + multi-seasonal + AR(1) noise (rich reference)
"regime_shift", # piecewise level/variance regimes with structural breaks
"multiplicative", # positive level Γ— seasonal factor Γ— multiplicative noise
"ar2", # AR(2), stationarity-guaranteed, incl. near-unit-root
"integrated", # I(1)/I(2) random walks with drift
"threshold_ar", # SETAR β€” regime-switching nonlinear recurrence
"chaotic", # bounded chaotic maps (logistic / sine)
"spectral_gp", # smooth GP-like paths via batched FFT sampling
"long_memory", # persistent/anti-persistent power-law spectra
"ou_stochastic_vol", # mean-reverting regimes + clustered/heavy-tailed volatility
"physical_sensors", # bounded/skewed/smooth physical measurement archetypes
"seasonal_counts", # seasonal Poisson/NB web and demand counts with bursts
"intermittent", # zero-inflated / intermittent demand
"pulse_outlier", # sharp/decaying events, outliers, and true flat runs
"prefix_cumulative_counter", # left-padded large-level period-5 stocks/counters
)
# Dynamics-heavy composition selected by a controlled local A/B: it beat the
# prior baseline on all three validation seeds (mean geomean 0.18431 vs
# 0.19097). Config may still override these defaults, but copying generator.py
# without config now retains the measured mixture.
_DEFAULT_WEIGHTS: dict[str, float] = {
"trend_seasonal_ar": 0.117,
"regime_shift": 0.117,
"multiplicative": 0.078,
"ar2": 0.14625,
"integrated": 0.117,
"threshold_ar": 0.078,
"chaotic": 0.039,
"spectral_gp": 0.06825,
"long_memory": 0.0585,
"ou_stochastic_vol": 0.0975,
"physical_sensors": 0.0195,
"seasonal_counts": 0.0195,
"intermittent": 0.00975,
"pulse_outlier": 0.00975,
"prefix_cumulative_counter": 0.025,
}
# Counter rows retain their Profilefix selector probability so the main RNG
# stream is unchanged, but their replacement family is sampled from the
# normalized UID131 base-family composition on a disjoint deterministic stream.
_BASE_FAMILY_COUNT = len(_FAMILIES) - 1
_UID131_BASE_WEIGHTS = np.asarray(
[_DEFAULT_WEIGHTS[name] for name in _FAMILIES[:_BASE_FAMILY_COUNT]],
dtype=np.float64,
)
_UID131_BASE_WEIGHTS /= _UID131_BASE_WEIGHTS.sum()
_REPLACEMENT_STREAM_KEY = (0x4E4F434E, 0x545231)
class Generator(DataGenerator):
"""A mixture-of-priors generator. Submit as ``generator.Generator``."""
def __init__(self, config_dir: str, *, seed: int) -> None:
cfg_path = Path(config_dir) / "config.json"
cfg = json.loads(cfg_path.read_text(encoding="utf-8")) if cfg_path.is_file() else {}
self._cfg = cfg
self._seed = int(seed)
self._min_len = int(cfg.get("min_length", 64))
self._max_len = int(cfg.get("max_length", 4096)) # = [training] context_length (train on full context)
if self._min_len < 1 or self._max_len < self._min_len:
raise ValueError(f"invalid length band [{self._min_len}, {self._max_len}]")
weights = dict(_DEFAULT_WEIGHTS)
for k, v in dict(cfg.get("family_weights", {})).items():
if k in weights:
weights[k] = float(v)
w = np.asarray([weights[f] for f in _FAMILIES], dtype=np.float64)
if not np.all(np.isfinite(w)) or w.min() < 0 or w.sum() <= 0:
raise ValueError("family_weights must be finite, non-negative, and not all zero")
self._weights = w / w.sum()
# v3.9 length-NORMALIZED bimodal trend knobs (trend excursion is length-invariant;
# real trend-strength is ~0.02 and length-invariant, but v2's slope*t grows with L).
self._tr_hi_frac = float(cfg.get("tr_hi_frac", 0.25))
self._tr_exc_lo = float(cfg.get("tr_exc_lo", 0.4))
self._tr_exc_hi = float(cfg.get("tr_exc_hi", 3.0))
self._gr_exc_lo = float(cfg.get("gr_exc_lo", 0.3))
self._gr_exc_hi = float(cfg.get("gr_exc_hi", 2.0))
self._sa_clean_frac = float(cfg.get("sa_clean_frac", 0.4))
self._sa_clean_lo = float(cfg.get("sa_clean_lo", 0.02))
self._sa_clean_hi = float(cfg.get("sa_clean_hi", 0.12))
self._short_context_fraction = float(
cfg.get("short_context_fraction", 0.10)
)
self._prefix_calibration_fraction = float(
cfg.get("prefix_calibration_fraction", 0.08)
)
self._short_context_lengths = np.asarray(
cfg.get(
"short_context_lengths",
_SHORT_CONTEXT_LENGTHS.tolist(),
),
dtype=np.int64,
)
self._prefix_active_lengths = np.asarray(
cfg.get(
"prefix_active_lengths",
_PAD_ACTIVE_LENGTHS.tolist(),
),
dtype=np.int64,
)
if not 0.0 <= self._short_context_fraction <= 1.0:
raise ValueError("short_context_fraction must lie in [0, 1]")
if not 0.0 <= self._prefix_calibration_fraction <= 1.0:
raise ValueError("prefix_calibration_fraction must lie in [0, 1]")
if (
self._short_context_lengths.ndim != 1
or self._short_context_lengths.size == 0
or np.any(self._short_context_lengths < self._min_len)
or np.any(self._short_context_lengths > self._max_len)
):
raise ValueError(
"short_context_lengths must be a non-empty 1-D list inside "
"[min_length, max_length]"
)
if (
self._prefix_active_lengths.ndim != 1
or self._prefix_active_lengths.size == 0
or np.any(self._prefix_active_lengths < 2)
or np.any(self._prefix_active_lengths > self._max_len)
):
raise ValueError(
"prefix_active_lengths must be a non-empty 1-D list inside "
"[2, max_length]"
)
@property
def name(self) -> str:
return str(
self._cfg.get("name", "profilefix-no-short-no-counter-v1")
)
def generate(self, n_series: int) -> Iterator[np.ndarray]:
# Lazy, chunked generation. This is REQUIRED for the streaming feed
# modes (chain.toml ``corpus_mode = "stream_cpu"``): the trainer calls
# ``generate(n_upper)`` with ``n_upper = token_budget // min_length + 2``
# β€” often millions β€” and stops pulling once the token budget is hit
# (see cascade/trainer/stream.py). Materialising all ``n_series`` up
# front would OOM before the first yield. Generating one CHUNK at a time
# keeps memory at O(CHUNK) and stops early when the consumer stops,
# while a fixed draw order keeps the whole sequence seed-deterministic.
if n_series <= 0:
return
rng = np.random.default_rng(self._seed)
# Constructing a SeedSequence from the configured seed does not draw
# from ``rng``. The tagged spawn key prevents replacement draws from
# perturbing Profilefix's selector/builder/artifact stream.
replacement_rng = np.random.default_rng(
np.random.SeedSequence(
self._seed,
spawn_key=_REPLACEMENT_STREAM_KEY,
)
)
max_len = self._max_len
# Bind the trend-excursion knobs as explicit builder arguments (no shared
# module state) so the corpus is a pure function of (seed, config).
builders = (
partial(_trend_seasonal_ar, hi_frac=self._tr_hi_frac,
exc_lo=self._tr_exc_lo, exc_hi=self._tr_exc_hi,
clean_frac=self._sa_clean_frac,
clean_lo=self._sa_clean_lo, clean_hi=self._sa_clean_hi),
_regime_shift,
partial(_multiplicative, hi_frac=self._tr_hi_frac,
exc_lo=self._gr_exc_lo, exc_hi=self._gr_exc_hi),
_ar2, _integrated, _threshold_ar, _chaotic, _spectral_gp,
_long_memory, _ou_stochastic_vol, _physical_sensors,
_seasonal_counts, _intermittent, _pulse_outlier,
_prefix_cumulative_counter,
)
def replacement_block(n: int) -> np.ndarray:
"""Generate n full-context UID131-base rows on the side stream."""
replacement_ids = replacement_rng.choice(
_BASE_FAMILY_COUNT,
size=n,
p=_UID131_BASE_WEIGHTS,
)
out = np.empty((n, max_len), dtype=np.float64)
previous_bank = _SEASONAL_CONTEXT.uid131
_SEASONAL_CONTEXT.uid131 = True
try:
for replacement_family in range(_BASE_FAMILY_COUNT):
local_idx = np.nonzero(
replacement_ids == replacement_family
)[0]
if local_idx.size == 0:
continue
replacement = builders[replacement_family](
replacement_rng,
int(local_idx.size),
max_len,
)
preserve_nonnegative = replacement_family in (
2, 10, 11, 12
)
out[local_idx] = _sanitize(
_measurement_artifacts(
replacement_rng,
replacement,
preserve_nonnegative=preserve_nonnegative,
)
)
finally:
_SEASONAL_CONTEXT.uid131 = previous_bank
return out
# Generate one chunk ahead on a CPU thread while the consumer trains on
# the current chunk. The isolation benchmark measured 21.9% of training
# wall blocked in next(); a one-slot queue overlaps NumPy/SciPy work
# (which releases the GIL) without changing the RNG owner or draw order.
queue: Queue[object] = Queue(maxsize=1)
stop = Event()
done = object()
def put(item: object) -> bool:
while not stop.is_set():
try:
queue.put(item, timeout=0.1)
return True
except Full:
continue
return False
def produce() -> None:
try:
produced = 0
while produced < n_series and not stop.is_set():
# Always draw a FULL _CHUNK (yielding only what's still
# needed), so series i remains a pure function of (seed, i).
short_context = (
rng.random(_CHUNK) < self._short_context_fraction
)
sampled_short_lengths = rng.choice(
self._short_context_lengths, size=_CHUNK
)
lengths = np.where(
short_context, sampled_short_lengths, max_len
)
prefix_calibration = (
rng.random(_CHUNK)
< self._prefix_calibration_fraction
)
prefix_active_lengths = rng.choice(
self._prefix_active_lengths, size=_CHUNK
)
fam_ids = rng.choice(
len(_FAMILIES), size=_CHUNK, p=self._weights
)
# Explicit prefix-calibration rows and the dedicated
# cumulative family must retain the full 4096-point tensor:
# their short observed history is represented by a constant
# prefix, not by shortening the emitted array.
profile_family = fam_ids == len(_FAMILIES) - 1
lengths[prefix_calibration | profile_family] = max_len
chunk: list[np.ndarray | None] = [None] * _CHUNK
for fam in range(len(_FAMILIES)):
idx = np.nonzero(fam_ids == fam)[0]
if idx.size == 0:
continue
block = builders[fam](rng, int(idx.size), max_len)
if fam == len(_FAMILIES) - 1:
# ``block`` is intentionally discarded. Consuming
# the complete original counter builder preserves
# the main RNG state byte-for-byte into later
# chunks. Only rows selected for this family are
# replaced, using the independent stream above.
block = replacement_block(int(idx.size))
else:
# Preserve positivity for count/magnitude families.
preserve_nonnegative = fam in (2, 10, 11, 12)
decorated = _sanitize(
_measurement_artifacts(
rng,
block,
preserve_nonnegative=preserve_nonnegative,
)
)
# Short raw contexts and exact left-pad mimics bypass
# reversal and whole-row quantile thresholds, which
# would make their emitted prefix depend on an
# unobserved continuation. The untouched full rows
# retain UID131's measurement augmentation.
causal_rows = (
prefix_calibration[idx]
| (lengths[idx] < max_len)
)
if causal_rows.any():
raw = _sanitize(block[causal_rows].copy())
local_pad = prefix_calibration[idx][causal_rows]
if local_pad.any():
raw[local_pad] = _left_pad_first_value(
raw[local_pad],
prefix_active_lengths[idx][causal_rows][
local_pad
],
)
decorated[causal_rows] = raw
block = decorated
for row, series_i in enumerate(idx):
length = int(lengths[series_i])
chunk[series_i] = np.ascontiguousarray(
block[row, :length], dtype=np.float64
)
take = min(_CHUNK, n_series - produced)
if not put((chunk, take)):
return
produced += take
except BaseException as exc: # propagate producer failures
put(exc)
finally:
put(done)
producer = Thread(target=produce, name="cascade-generator", daemon=True)
producer.start()
try:
while True:
item = queue.get()
if item is done:
break
if isinstance(item, BaseException):
raise item
chunk, take = item
for arr in chunk[:take]:
# fam_ids partitions [0, _CHUNK); fail loud if that changes.
if arr is None: # pragma: no cover - defensive
raise RuntimeError("internal: unfilled series slot")
yield arr
finally:
stop.set()
producer.join(timeout=1.0)
# ── shared vectorised primitives ────────────────────────────────────────────
def _ar1_batch(innov: np.ndarray, phi: np.ndarray) -> np.ndarray:
"""AR(1) filter applied along the time axis of a (n, L) innovation block.
``x[:, t] = phi * x[:, t-1] + innov[:, t]``. The loop is over time (L
iterations, vectorised across the batch), never over the n series.
"""
n, L = innov.shape
x = np.empty((n, L), dtype=np.float64)
p = phi.reshape(n)
for i in range(n):
x[i] = lfilter([1.0], [1.0, -float(p[i])], innov[i])
return x
def _ar2_batch(innov: np.ndarray, a1: np.ndarray, a2: np.ndarray) -> np.ndarray:
"""AR(2) filter: ``x_t = a1 x_{t-1} + a2 x_{t-2} + e_t`` (batched over n)."""
n, L = innov.shape
x = np.empty((n, L), dtype=np.float64)
for i in range(n):
x[i] = lfilter(
[1.0], [1.0, -float(a1[i]), -float(a2[i])], innov[i]
)
return x
@lru_cache(maxsize=4)
def _seasonal_basis(L: int) -> tuple[np.ndarray, np.ndarray]:
"""Cached unit sine/cosine waves for the fixed cadence bank."""
angle = (
2.0
* np.pi
* np.arange(L, dtype=np.float64)[None, :]
/ _SEASONAL_PERIODS[:, None]
)
return np.sin(angle), np.cos(angle)
@lru_cache(maxsize=4)
def _uid131_seasonal_basis(L: int) -> tuple[np.ndarray, np.ndarray]:
"""Cached unit waves for side-stream UID131 replacement rows."""
angle = (
2.0
* np.pi
* np.arange(L, dtype=np.float64)[None, :]
/ _UID131_SEASONAL_PERIODS[:, None]
)
return np.sin(angle), np.cos(angle)
def _seasonal(rng: np.random.Generator, n: int, L: int, k_max: int = 3) -> np.ndarray:
"""Sum of 1..k_max stationary or slowly modulated seasonal components."""
t = np.arange(L, dtype=np.float64)[None, :]
use_uid131 = _SEASONAL_CONTEXT.uid131
if use_uid131:
periods = _UID131_SEASONAL_PERIODS
probabilities = _UID131_SEASONAL_PROBS
sin_basis, cos_basis = _uid131_seasonal_basis(L)
else:
periods = _SEASONAL_PERIODS
probabilities = _SEASONAL_PROBS
sin_basis, cos_basis = _seasonal_basis(L)
k = rng.integers(1, k_max + 1, size=n)
out = np.zeros((n, L), dtype=np.float64)
for j in range(k_max):
active = np.nonzero(k > j)[0]
per = rng.choice(periods, size=n, p=probabilities)[:, None]
amp = rng.uniform(0.2, 2.0, size=n)[:, None]
phase = rng.uniform(0.0, 2.0 * np.pi, size=n)[:, None]
# Draw parameters for every row to preserve the fixed RNG sequence, but
# evaluate only active rows. Stationary components reuse the cadence
# bank via sin(a+b), avoiding a fresh transcendental pass over nΓ—L.
basis_idx = np.searchsorted(periods, per[active, 0])
component = amp[active] * (
sin_basis[basis_idx] * np.cos(phase[active])
+ cos_basis[basis_idx] * np.sin(phase[active])
)
# Real seasonal strength and timing drift. TempoPFN's strongest
# non-SDE ablation was its complex-seasonality prior, so a minority of
# components receive slow amplitude and phase modulation while the
# stationary baseline remains well represented.
modulated = np.nonzero((k > j) & (rng.random(n) < 0.35))[0]
if modulated.size:
# Map global row indices into the active component block.
modulated_local = np.searchsorted(active, modulated)
modulated_arg = (
2.0 * np.pi * t / per[modulated] + phase[modulated]
)
m_per = np.clip(
per[modulated] * rng.uniform(
4.0, 12.0, size=(modulated.size, 1)
),
32.0,
2.0 * L,
)
m_phase = rng.uniform(
0.0, 2.0 * np.pi, size=(modulated.size, 1)
)
slow = np.sin(2.0 * np.pi * t / m_per + m_phase)
amp_mod = 1.0 + rng.uniform(
0.05, 0.45, size=(modulated.size, 1)
) * slow
phase_mod = rng.uniform(
0.05, 0.75, size=(modulated.size, 1)
) * np.sin(2.0 * np.pi * t / (1.7 * m_per) - m_phase)
component[modulated_local] = (
amp[modulated]
* amp_mod
* np.sin(modulated_arg + phase_mod)
)
out[active] += component
return out
def _sparse_jumps(rng: np.random.Generator, n: int, L: int, rate: float, scale) -> np.ndarray:
"""A (n, L) block of mostly-zero values with occasional N(0, scale) jumps.
``cumsum`` over this yields a piecewise-constant level; ``exp(cumsum)`` of a
scaled version yields a piecewise-constant positive multiplier.
"""
mask = rng.random((n, L)) < rate
mask[:, 0] = False
rows, cols = np.nonzero(mask)
jumps = np.zeros((n, L), dtype=np.float64)
if rows.size == 0:
return jumps
# Rates are O(1/L), so draw magnitudes only for actual events rather than
# allocating and filling a second dense nΓ—L normal array.
s = np.asarray(scale, dtype=np.float64)
event_scale = s if s.ndim == 0 else s.reshape(n)[rows]
jumps[rows, cols] = rng.normal(0.0, 1.0, size=rows.size) * event_scale
return jumps
def _measurement_artifacts(
rng: np.random.Generator,
block: np.ndarray,
*,
preserve_nonnegative: bool,
) -> np.ndarray:
"""Apply sparse, cheap real-measurement effects to a generated block.
TempoPFN reports a 5.4% aggregate CRPS gain from its complete augmentation
pipeline, but does not isolate optimal probabilities for Toto2. These rates
are deliberately conservative: most rows remain untouched, and a selected
row receives only plausible reversal/sign, censoring, quantization, or
sample-and-hold behavior.
"""
original = np.asarray(block, dtype=np.float64)
out = original.copy()
n, L = out.shape
reverse = rng.random(n) < 0.06
out[reverse] = out[reverse, ::-1]
if not preserve_nonnegative:
invert = rng.random(n) < 0.04
out[invert] *= -1.0
# Sensor saturation / floor effects. Existing sample values are used as
# thresholds, avoiding artificial scales and preserving integer counts.
for row in np.nonzero(rng.random(n) < 0.06)[0]:
q = float(rng.uniform(0.03, 0.18))
if rng.random() < 0.5:
out[row] = np.minimum(out[row], np.quantile(out[row], 1.0 - q))
else:
out[row] = np.maximum(out[row], np.quantile(out[row], q))
quantized = np.nonzero(rng.random(n) < 0.07)[0]
if quantized.size:
x = out[quantized]
lo = x.min(axis=1, keepdims=True)
hi = x.max(axis=1, keepdims=True)
levels = rng.integers(16, 257, size=(quantized.size, 1))
step = (hi - lo) / np.maximum(levels - 1, 1)
safe_step = np.where(step < 1e-12, 1.0, step)
out[quantized] = lo + np.rint((x - lo) / safe_step) * safe_step
# Zero-order-hold resampling approximates telemetry gathered at a lower
# cadence and forwarded at the nominal cadence.
held = np.nonzero(rng.random(n) < 0.04)[0]
if held.size:
factors = rng.choice([2, 4, 8], size=held.size, p=[0.55, 0.30, 0.15])
for factor in (2, 4, 8):
rows = held[factors == factor]
if rows.size:
out[rows] = np.repeat(
out[rows, ::factor], factor, axis=1
)[:, :L]
# Heavy zero inflation plus upper censoring can otherwise collapse a sparse
# row to its baseline. Such a row carries no forecasting signal.
degenerate = out.std(axis=1) < 1e-9
out[degenerate] = original[degenerate]
return out
# ── family builders: each returns a (n, L) float64 block ────────────────────
def _trend_seasonal_ar(rng: np.random.Generator, n: int, L: int, *,
hi_frac: float = 0.25, exc_lo: float = 0.4,
exc_hi: float = 3.0, clean_frac: float = 0.4,
clean_lo: float = 0.02, clean_hi: float = 0.12) -> np.ndarray:
t = np.arange(L, dtype=np.float64)[None, :]
level = rng.normal(0.0, 1.0, size=(n, 1))
# v3: bimodal trend. The total trend EXCURSION over the series is drawn directly
# (0..exc across t/(L-1)), so the trend sits ~16x below v2's slope*t β€” v2's linear
# trend was a measured ~16x too strong vs real data at production lengths.
_hi = rng.random((n, 1)) < hi_frac
exc = np.where(_hi, rng.normal(0.0, exc_hi, size=(n, 1)),
rng.normal(0.0, exc_lo, size=(n, 1)))
tn = t / max(L - 1, 1)
series = level + exc * tn + _seasonal(rng, n, L)
phi = rng.uniform(0.0, 0.85, size=n)
clean = rng.random((n, 1)) < clean_frac
sigma = np.where(
clean,
rng.uniform(clean_lo, clean_hi, size=(n, 1)),
rng.uniform(0.1, 0.6, size=(n, 1)),
)
innov = rng.normal(0.0, 1.0, size=(n, L)) * sigma
return series + _ar1_batch(innov, phi)
def _regime_shift(rng: np.random.Generator, n: int, L: int) -> np.ndarray:
# Piecewise-constant level via cumsum of sparse jumps, plus a piecewise
# variance regime (occasional volatility multiplier), plus mild seasonality.
level = np.cumsum(_sparse_jumps(rng, n, L, rate=3.0 / L, scale=2.0), axis=1)
log_vol = np.cumsum(_sparse_jumps(rng, n, L, rate=3.0 / L, scale=0.5), axis=1)
vol = np.exp(np.clip(log_vol, -3.0, 3.0)) * rng.uniform(0.1, 0.5, size=(n, 1))
noise = rng.normal(0.0, 1.0, size=(n, L)) * vol
seas = _seasonal(rng, n, L, k_max=2) * rng.uniform(0.0, 1.0, size=(n, 1))
# Piecewise-affine drift complements abrupt level jumps. Sparse slope
# changes create ramps and recoveries without the explosive scale of an I(2)
# process, covering TempoPFN's high-impact Step/Sawtooth structures.
slope = rng.normal(0.0, 1.0 / L, size=(n, 1)) + np.cumsum(
_sparse_jumps(rng, n, L, rate=2.0 / L, scale=4.0 / L), axis=1
)
piecewise_trend = np.cumsum(slope, axis=1)
return level + piecewise_trend + seas + noise
def _multiplicative(rng: np.random.Generator, n: int, L: int, *,
hi_frac: float = 0.25, exc_lo: float = 0.3, exc_hi: float = 2.0) -> np.ndarray:
t = np.arange(L, dtype=np.float64)[None, :]
# v3: bimodal log-growth excursion (drawn directly), same rationale as the linear trend.
_hg = rng.random((n, 1)) < hi_frac
gexc = np.where(_hg, rng.normal(0.0, exc_hi, size=(n, 1)),
rng.normal(0.0, exc_lo, size=(n, 1)))
tn = t / max(L - 1, 1)
base_level = np.exp(gexc * tn + rng.normal(0.0, 0.3, size=(n, 1))) # positive, drifting
amp = rng.uniform(0.1, 0.6, size=(n, 1))
seasonal_shape = _seasonal(rng, n, L, k_max=1)
seasonal_sd = seasonal_shape.std(axis=1, keepdims=True)
seasonal_shape /= np.where(seasonal_sd < 1e-12, 1.0, seasonal_sd)
seas = 1.0 + amp * seasonal_shape
noise = 1.0 + rng.normal(0.0, 1.0, size=(n, L)) * rng.uniform(0.02, 0.15, size=(n, 1))
scale = rng.uniform(1.0, 50.0, size=(n, 1))
return scale * base_level * np.clip(seas, 0.05, None) * np.clip(noise, 0.05, None)
def _ar2(rng: np.random.Generator, n: int, L: int) -> np.ndarray:
# Draw partial autocorrelations in (-1, 1) and map to AR(2) coeffs via
# Levinson-Durbin, which guarantees stationarity. Bias p1 high for
# persistent (sometimes near-unit-root) series.
p1 = rng.uniform(0.3, 0.98, size=n)
p2 = rng.uniform(-0.6, 0.6, size=n)
a2 = p2
a1 = p1 * (1.0 - p2)
sigma = rng.uniform(0.2, 0.8, size=(n, 1))
innov = rng.normal(0.0, 1.0, size=(n, L)) * sigma
x = _ar2_batch(innov, a1, a2)
drift = rng.normal(0.0, 0.005, size=(n, 1)) * np.arange(L, dtype=np.float64)[None, :]
return x + drift
def _integrated(rng: np.random.Generator, n: int, L: int) -> np.ndarray:
order2 = rng.random(n) < 0.35
drift = rng.normal(0.0, 0.02, size=(n, 1))
sigma = rng.uniform(0.2, 1.0, size=(n, 1))
steps = rng.normal(0.0, 1.0, size=(n, L)) * sigma + drift
walk = np.cumsum(steps, axis=1)
walk2 = np.cumsum(walk, axis=1)
o2 = order2[:, None]
# I(2) grows fast; damp it so it shares scale with the I(1) branch.
return np.where(o2, walk2 / max(L, 1) ** 0.5, walk)
def _threshold_ar(rng: np.random.Generator, n: int, L: int) -> np.ndarray:
# SETAR(2): coefficient flips with the sign of the previous value β€” a simple
# nonlinear recurrence that produces asymmetric, regime-switching dynamics.
phi_hi = rng.uniform(0.3, 0.9, size=n)
phi_lo = rng.uniform(-0.9, 0.3, size=n)
const_hi = rng.normal(0.0, 0.3, size=n)
const_lo = rng.normal(0.0, 0.3, size=n)
sigma = rng.uniform(0.2, 0.7, size=(n, 1))
innov = rng.normal(0.0, 1.0, size=(n, L)) * sigma
x = np.empty((n, L), dtype=np.float64)
x[:, 0] = innov[:, 0]
for t in range(1, L):
prev = x[:, t - 1]
hi = prev >= 0.0
phi = np.where(hi, phi_hi, phi_lo)
const = np.where(hi, const_hi, const_lo)
x[:, t] = np.clip(const + phi * prev + innov[:, t], -1e6, 1e6)
return x
def _chaotic(rng: np.random.Generator, n: int, L: int) -> np.ndarray:
# Bounded chaotic maps: logistic x_{t+1}=r x(1-x) with r∈[3.6,4.0], and the
# sine map r sin(pi x). Both stay in [0,1]; standardise afterwards. A random
# observation length as a "sampling rate" adds variety across series.
use_sine = rng.random(n) < 0.5
r_log = rng.uniform(3.6, 4.0, size=n)
r_sin = rng.uniform(0.85, 1.0, size=n)
x0 = rng.uniform(0.05, 0.95, size=n)
x = np.empty((n, L), dtype=np.float64)
cur = x0.copy()
x[:, 0] = cur
for t in range(1, L):
nxt_log = r_log * cur * (1.0 - cur)
nxt_sin = r_sin * np.sin(np.pi * cur)
cur = np.where(use_sine, nxt_sin, nxt_log)
cur = np.clip(cur, 0.0, 1.0)
x[:, t] = cur
return x
def _spectral_gp(rng: np.random.Generator, n: int, L: int) -> np.ndarray:
"""Smooth stationary GP-like paths sampled in O(n L log L).
An RBF kernel has a Gaussian spectral density. Drawing complex Fourier
coefficients under that envelope and applying one batched inverse FFT
preserves the useful smoothness/length-scale prior without the old
48-pass cosine loop.
"""
f = np.fft.rfftfreq(L)[None, :]
lengthscale = np.exp(rng.uniform(np.log(8.0), np.log(256.0), size=(n, 1)))
envelope = np.exp(-0.5 * (2.0 * np.pi * lengthscale * f) ** 2)
z = rng.standard_normal((n, f.shape[1])) + 1j * rng.standard_normal((n, f.shape[1]))
z[:, 0] = 0.0
x = np.fft.irfft(z * np.sqrt(envelope), n=L, axis=1)
sd = x.std(axis=1, keepdims=True)
return x / np.where(sd < 1e-12, 1.0, sd)
def _long_memory(rng: np.random.Generator, n: int, L: int) -> np.ndarray:
"""Fractional power-law paths with both persistent and rough regimes.
The spectral slope beta spans anti-persistent noise through persistent
long-memory levels. A minority of rows are integrated once to include
nonstationary fBm-like paths; row standardisation keeps scales bounded.
"""
f = np.fft.rfftfreq(L)
safe_f = np.maximum(f, 1.0 / L)[None, :]
beta = rng.uniform(-0.6, 2.4, size=(n, 1))
amp = safe_f ** (-0.5 * beta)
# Some rows change roughness above a random frequency, giving smooth
# large-scale structure and rough local variation (or the reverse) without
# another FFT. Match amplitudes at the split to avoid a spectral jump.
multiscale = rng.random((n, 1)) < 0.4
split_idx = rng.integers(8, max(9, f.size // 3), size=(n, 1))
split_f = np.maximum(split_idx / L, 1.0 / L)
beta_hi = rng.uniform(-0.6, 2.8, size=(n, 1))
above = np.arange(f.size)[None, :] > split_idx
amp_hi = split_f ** (-0.5 * beta) \
* (safe_f / split_f) ** (-0.5 * beta_hi)
amp = np.where(multiscale & above, amp_hi, amp)
amp[:, 0] = 0.0
z = rng.standard_normal((n, f.size)) + 1j * rng.standard_normal((n, f.size))
x = np.fft.irfft(z * amp, n=L, axis=1)
integrate = rng.random(n) < 0.25
if integrate.any():
x[integrate] = np.cumsum(x[integrate], axis=1)
x -= x.mean(axis=1, keepdims=True)
sd = x.std(axis=1, keepdims=True)
return x / np.where(sd < 1e-12, 1.0, sd)
def _ou_stochastic_vol(rng: np.random.Generator, n: int, L: int) -> np.ndarray:
"""Regime-switching mean reversion with bounded stochastic volatility.
This is a CPU-cheap discrete Euler/AR analogue of TempoPFN's highest-impact
OU SDE prior. Regime paths, seasonal means, volatility envelopes, and
heavy-tail masks are sampled in whole blocks; only the state recurrence
scans time, vectorised across all rows.
"""
# Toggle between a fast/quiet and a slow/volatile regime. A cumulative XOR
# builds persistent Markov-like paths without a per-row Python loop.
switch_rate = np.exp(rng.uniform(np.log(0.001), np.log(0.15), size=(n, 1)))
switches = rng.random((n, L)) < switch_rate
switches[:, 0] = rng.random(n) < 0.5
regime = np.bitwise_and(np.cumsum(switches, axis=1), 1).astype(np.int8)
# One mean-reversion speed per row lets SciPy execute the recurrence in
# compiled code. Regime paths still switch equilibrium mean and volatility;
# rows span both fast/quiet and slow/persistent reversion rates.
slow = rng.random((n, 1)) < 0.5
phi = np.where(
slow,
rng.uniform(0.995, 0.9995, size=(n, 1)),
rng.uniform(0.90, 0.99, size=(n, 1)),
)
mu0 = rng.normal(-2.0, 1.0, size=(n, 1))
mu1 = rng.normal(2.0, 1.0, size=(n, 1))
mean = np.where(regime == 0, mu0, mu1)
seasonal_on = rng.random((n, 1)) < 0.6
mean += seasonal_on * _seasonal(rng, n, L, k_max=3) \
* rng.uniform(0.5, 3.0, size=(n, 1))
sigma0 = rng.lognormal(np.log(0.3), 0.3, size=(n, 1))
sigma1 = rng.lognormal(np.log(1.5), 0.5, size=(n, 1))
base_sigma = np.where(regime == 0, sigma0, sigma1)
log_vol = np.cumsum(
_sparse_jumps(rng, n, L, rate=8.0 / L, scale=0.35), axis=1
)
log_vol -= log_vol.mean(axis=1, keepdims=True)
vol = base_sigma * np.exp(np.clip(log_vol, -1.5, 1.5))
eps = rng.standard_normal((n, L))
heavy = np.nonzero(rng.random(n) < 0.35)[0]
if heavy.size:
# Replace only heavy-tailed rows; drawing Student-t noise for every row
# previously discarded 65% of that relatively expensive work.
eps[heavy] = (
rng.standard_t(4.0, size=(heavy.size, L)) / np.sqrt(2.0)
)
shocks = rng.random((n, L)) < (3.0 / L)
shock_rows, shock_cols = np.nonzero(shocks)
# As with sparse jumps, draw shock magnitudes only at the O(n) events.
eps[shock_rows, shock_cols] += rng.normal(
0.0, 5.0, size=shock_rows.size
)
innovation_scale = np.sqrt(np.maximum(1.0 - phi * phi, 1e-6))
drive = (1.0 - phi) * mean + innovation_scale * vol * eps
out = np.empty((n, L), dtype=np.float64)
out[:, 0] = mean[:, 0] + vol[:, 0] * eps[:, 0]
for i in range(n):
p = float(phi[i, 0])
out[i, 1:] = lfilter(
[1.0], [1.0, -p], drive[i, 1:], zi=[p * out[i, 0]]
)[0]
scale = np.exp(rng.uniform(np.log(0.1), np.log(50.0), size=(n, 1)))
shift = rng.uniform(-100.0, 100.0, size=(n, 1))
return out * scale + shift
def _physical_sensors(rng: np.random.Generator, n: int, L: int) -> np.ndarray:
"""Generic physical measurements without matching one private dataset.
Four row-level archetypes cover smooth signed measurements, bounded
percentages, pressure-like wandering levels, and non-negative skewed
magnitudes. All share multi-cadence seasonality, smooth synoptic variation,
and sparse fronts/gusts.
"""
seasonal = _seasonal(rng, n, L, k_max=2)
smooth = _spectral_gp(rng, n, L)
fronts = np.cumsum(
_sparse_jumps(rng, n, L, rate=5.0 / L, scale=1.0), axis=1
)
base = (
seasonal * rng.uniform(0.3, 2.0, size=(n, 1))
+ smooth * rng.uniform(0.2, 1.2, size=(n, 1))
+ fronts * rng.uniform(0.2, 1.0, size=(n, 1))
)
kind = rng.integers(0, 4, size=n)
out = base.copy()
bounded = kind == 1
if bounded.any():
gain = rng.uniform(0.8, 3.5, size=(int(bounded.sum()), 1))
midpoint = rng.uniform(-0.8, 0.8, size=(int(bounded.sum()), 1))
out[bounded] = 100.0 / (1.0 + np.exp(-gain * (base[bounded] - midpoint)))
pressure = kind == 2
if pressure.any():
count = int(pressure.sum())
walk = np.cumsum(rng.standard_normal((count, L)), axis=1) / np.sqrt(L)
level = rng.uniform(900.0, 1100.0, size=(count, 1))
out[pressure] = level + rng.uniform(2.0, 15.0, size=(count, 1)) * walk \
+ 2.0 * fronts[pressure] + 0.5 * seasonal[pressure]
magnitude = kind == 3
if magnitude.any():
count = int(magnitude.sum())
gusts = (rng.random((count, L)) < (8.0 / L)) \
* rng.lognormal(0.0, 0.8, size=(count, L))
power = rng.uniform(1.0, 1.6, size=(count, 1))
out[magnitude] = np.abs(base[magnitude]) ** power + gusts
return out
def _seasonal_counts(rng: np.random.Generator, n: int, L: int) -> np.ndarray:
"""Seasonal Poisson/negative-binomial counts with decaying bursts.
This keeps count positivity and discreteness intact while covering
overdispersion, cadence-linked rate variation, slow signed growth, and
release/news-like bursts. Computation remains batched across rows.
"""
t = np.arange(L, dtype=np.float64)[None, :]
period = rng.choice(
_SEASONAL_PERIODS, size=(n, 1), p=_SEASONAL_PROBS
)
phase = rng.uniform(0.0, 2.0 * np.pi, size=(n, 1))
amp = rng.uniform(0.15, 0.8, size=(n, 1))
log_rate = amp * np.sin(2.0 * np.pi * t / period + phase)
second = rng.random((n, 1)) < 0.55
log_rate += second * (0.5 * amp) * np.sin(
4.0 * np.pi * t / period + rng.uniform(0.0, 2.0 * np.pi, size=(n, 1))
)
# A minority carry explicit calendar interaction: intraday cadence plus
# seven day-specific factors, with a randomized weekend dip or lift.
calendar = rng.random((n, 1)) < 0.35
day_period = rng.choice([24, 48, 96, 144], size=(n, 1))
day_idx = (np.floor_divide(np.arange(L)[None, :], day_period) % 7).astype(np.int64)
day_factors = rng.normal(0.0, 0.12, size=(n, 7))
day_factors[:, 5:] += rng.uniform(-0.8, 0.3, size=(n, 1))
calendar_effect = np.take_along_axis(day_factors, day_idx, axis=1)
log_rate += calendar * calendar_effect
excursion = rng.uniform(-0.5, 0.5, size=(n, 1))
log_rate += excursion * t / max(L - 1, 1)
# Sparse positive impulses filtered by row-specific decay create bursts
# without a Python loop over timesteps.
impulses = (
(rng.random((n, L)) < (2.0 / L))
* rng.uniform(1.0, 10.0, size=(n, L))
)
burst = _ar1_batch(impulses, rng.uniform(0.85, 0.995, size=(n, 1)))
base = np.exp(rng.uniform(np.log(3.0), np.log(3000.0), size=(n, 1)))
lam = base * np.exp(np.clip(log_rate, -5.0, 5.0)) * (1.0 + burst)
np.clip(lam, 0.0, 1.0e7, out=lam)
# A gamma-mixed Poisson is negative-binomial marginally and provides
# realistic overdispersion. Half the rows remain ordinary Poisson.
overdispersed = rng.random((n, 1)) < 0.5
shape = rng.uniform(0.5, 4.0, size=(n, 1))
mixed = lam * rng.gamma(shape, 1.0 / shape, size=(n, L))
return rng.poisson(np.where(overdispersed, mixed, lam)).astype(np.float64)
def _left_pad_first_value(
block: np.ndarray,
active_length: np.ndarray,
) -> np.ndarray:
"""Return full-length rows with only the final suffix treated as observed.
This is the training-side equivalent of ``Wrapper._prep``: the dynamic
suffix remains byte-identical and every earlier position repeats the first
suffix value. No threshold, mean, variance, or later suffix value is read.
"""
source = np.asarray(block, dtype=np.float64)
if source.ndim != 2:
raise ValueError("block must have shape (n, L)")
n, L = source.shape
lengths = np.asarray(active_length, dtype=np.int64).reshape(-1)
if lengths.shape != (n,) or np.any(lengths < 2) or np.any(lengths > L):
raise ValueError("active_length must have one value in [2, L] per row")
start = L - lengths
anchor = source[np.arange(n), start]
prefix = np.arange(L, dtype=np.int64)[None, :] < start[:, None]
return np.where(prefix, anchor[:, None], source)
def _causal_cumulative_from_steps(
steps: np.ndarray,
base: np.ndarray,
start: np.ndarray,
) -> np.ndarray:
"""Integrate row-wise steps after a constant, first-value padded prefix.
``start[r]`` is the final constant position of row ``r``. No statistic of
``steps`` is estimated here: an output prefix depends only on the matching
driver prefix, ``base``, and ``start``. Keeping this small primitive
explicit makes prefix causality directly testable.
"""
driver = np.asarray(steps, dtype=np.float64)
if driver.ndim != 2:
raise ValueError("steps must have shape (n, L)")
n, L = driver.shape
level = np.asarray(base, dtype=np.float64).reshape(-1)
onset = np.asarray(start, dtype=np.int64).reshape(-1)
if level.shape != (n,) or onset.shape != (n,):
raise ValueError("base and start must have one value per row")
if np.any(onset < 0) or np.any(onset >= L):
raise ValueError("start must lie inside the emitted series")
active = np.arange(L, dtype=np.int64)[None, :] > onset[:, None]
gated_steps = np.where(active, driver, 0.0)
return level[:, None] + np.cumsum(gated_steps, axis=1)
def _prefix_cumulative_counter(
rng: np.random.Generator,
n: int,
L: int,
) -> np.ndarray:
"""Large-level cumulative stocks/counters behind a short active suffix.
The long prefix is exactly the suffix's first observation, reproducing the
evaluator's treatment of histories shorter than the 4096-point context.
After onset, all dynamics are causal. A five-step profile modulates flows,
while slowly varying state, sparse revisions, and signed stock-flow rows
prevent the family from collapsing to a deterministic staircase.
Absolute levels span several financial/counter orders of magnitude, but
increments scale relative to each row's level so the forecast problem is
neither a trivial unit counter nor an unstable explosion.
"""
if n < 1 or L < 2:
raise ValueError("prefix_cumulative_counter requires n >= 1 and L >= 2")
requested = rng.choice(_PREFIX_ACTIVE_LENGTHS, size=n)
active_length = np.minimum(requested, L)
start = L - active_length
# Stay below exact-integer loss for the count branch while covering the
# large-level/small-residual regime absent from UID131's clipped families.
base = np.rint(
np.exp(rng.uniform(np.log(1.0e4), np.log(3.0e13), size=n))
)
relative_unit = np.exp(
rng.uniform(np.log(1.0e-6), np.log(2.0e-4), size=(n, 1))
)
unit = np.maximum(1.0, base[:, None] * relative_unit)
# Five fixed causal flow factors per row. Normalizing these five parameters
# is safe: they are process parameters, not statistics from emitted data.
weekday_profile = np.exp(rng.normal(0.0, 0.55, size=(n, 5)))
weekday_profile /= weekday_profile.mean(axis=1, keepdims=True)
phase = rng.integers(0, 5, size=(n, 1))
weekday_index = (
np.arange(L, dtype=np.int64)[None, :] + phase
) % 5
cadence = np.take_along_axis(
weekday_profile, weekday_index, axis=1
)
# Unit-variance persistent state after burn-in. The process runs behind the
# constant observation prefix, but only its causal value at/after onset is
# revealed through flows.
phi = rng.uniform(0.85, 0.995, size=(n, 1))
state_innov = rng.standard_normal((n, L)) * np.sqrt(1.0 - phi * phi)
state = _ar1_batch(state_innov, phi)
np.clip(state, -4.0, 4.0, out=state)
counter = rng.random(n) < 0.62
counter_mean = (
unit
* cadence
* np.exp(rng.uniform(0.04, 0.18, size=(n, 1)) * state)
)
count_noise = rng.gamma(8.0, 1.0 / 8.0, size=(n, L))
counter_steps = np.rint(counter_mean * count_noise)
# Counters often hold on non-reporting steps and sometimes receive an
# explicitly causal downward revision.
hold_probability = rng.uniform(0.0, 0.16, size=(n, 1))
counter_steps[rng.random((n, L)) < hold_probability] = 0.0
revised = rng.random((n, 1)) < 0.22
revision_mask = revised & (rng.random((n, L)) < (2.0 / L))
revision_size = np.rint(
unit * rng.uniform(1.0, 8.0, size=(n, L))
)
counter_steps = np.where(
revision_mask, -revision_size, counter_steps
)
# Stock-flow rows admit signed changes. Their centered weekday component
# preserves the five-step residual without forcing every stock upward.
drift = rng.uniform(-0.15, 0.45, size=(n, 1))
cadence_strength = rng.uniform(0.2, 1.2, size=(n, 1))
flow_noise = rng.normal(0.0, 0.30, size=(n, L))
balance_steps = unit * (
drift
+ cadence_strength * (cadence - 1.0)
+ rng.uniform(0.08, 0.28, size=(n, 1)) * state
+ flow_noise
)
event_mask = rng.random((n, L)) < (2.0 / L)
balance_steps += (
event_mask
* unit
* rng.normal(0.0, 4.0, size=(n, L))
)
steps = np.where(counter[:, None], counter_steps, balance_steps)
out = _causal_cumulative_from_steps(steps, base, start)
# A pointwise floor is causal and keeps stock-like levels non-negative.
return np.maximum(out, 0.05 * base[:, None])
def _intermittent(rng: np.random.Generator, n: int, L: int) -> np.ndarray:
# Seasonal zero-inflated demand. Occurrence probabilities vary by cadence
# instead of being iid, teaching the model forecastable sparse structure.
t = np.arange(L, dtype=np.float64)[None, :]
base_p = rng.uniform(0.03, 0.35, size=(n, 1))
period = rng.choice([7.0, 12.0, 24.0, 48.0, 168.0], size=(n, 1))
season = rng.uniform(0.2, 1.2, size=(n, 1)) * np.sin(
2.0 * np.pi * t / period + rng.uniform(0.0, 2.0 * np.pi, size=(n, 1))
)
logit = np.log(base_p / (1.0 - base_p)) + season
p = 1.0 / (1.0 + np.exp(-logit))
occur = (rng.random((n, L)) < p).astype(np.float64)
magnitude = (
rng.gamma(shape=2.0, scale=1.0, size=(n, L))
* rng.uniform(1.0, 10.0, size=(n, 1))
* np.exp(0.25 * season)
)
baseline = rng.uniform(0.0, 0.5, size=(n, 1))
return baseline + occur * magnitude
def _pulse_outlier(rng: np.random.Generator, n: int, L: int) -> np.ndarray:
# A smooth base with isolated outliers, persistent shock/recovery responses,
# and genuine held-constant runs.
base = _spectral_gp(rng, n, L) * rng.uniform(0.5, 2.0, size=(n, 1))
base += _seasonal(rng, n, L, k_max=1) * rng.uniform(0.0, 1.0, size=(n, 1))
sharp = _sparse_jumps(
rng, n, L, rate=3.0 / L, scale=rng.uniform(3.0, 8.0, size=n)
)
impulses = _sparse_jumps(
rng, n, L, rate=2.0 / L, scale=rng.uniform(2.0, 7.0, size=n)
)
recovery = _ar1_batch(impulses, rng.uniform(0.75, 0.995, size=n))
series = base + sharp + recovery
# Sparse event loops, not a time-axis scan: typically two starts per row.
starts = rng.random((n, L)) < (2.0 / L)
starts[:, 0] = False
for row in range(n):
for start in np.nonzero(starts[row])[0]:
run = int(rng.integers(3, 65))
end = min(int(start) + run, L)
series[row, start:end] = series[row, start - 1]
return series
# ── final safety gate ───────────────────────────────────────────────────────
def _sanitize(block: np.ndarray, *, max_abs: float = 1.0e6) -> np.ndarray:
"""Guarantee the contract: finite float64, no NaN/inf, bounded magnitude.
The trainer's ``check_series`` rejects any non-finite value, which would
fail the whole run β€” so this is the hard backstop after every family
builder. Replaces non-finite values and clips to a generous bound.
"""
bound = float(max_abs)
if not np.isfinite(bound) or bound <= 0.0:
raise ValueError("max_abs must be positive and finite")
x = np.asarray(block, dtype=np.float64)
np.nan_to_num(x, copy=False, nan=0.0, posinf=bound, neginf=-bound)
np.clip(x, -bound, bound, out=x)
return x