"""custom_miner — a diverse, deterministic synthetic time-series generator. 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, intermittent demand, outliers) trains a stronger zero-shot model than the reference generator's trend+seasonal+AR(1) mix. 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 — 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 only here) 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), so draining the full ``corpus_n_series`` (16384 on mainnet) is fast enough to stay well under ``max_generate_seconds``. """ from __future__ import annotations import json from collections.abc import Iterator from pathlib import Path import numpy as np from cascade.interface import DataGenerator # Series generated per vectorised batch. Bounds peak memory to O(_CHUNK · max_len) # so streaming feed modes (which request millions of series and stop early) never # materialise more than one chunk. ~256 keeps the vectorisation win without a big # working set: 256 × 2048 × 8 B ≈ 4 MB per family buffer. _CHUNK = 256 # ── 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 — 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 × seasonal factor × multiplicative noise "ar2", # AR(2), stationarity-guaranteed, incl. near-unit-root "integrated", # I(1)/I(2) random walks with drift "threshold_ar", # SETAR — regime-switching nonlinear recurrence "chaotic", # bounded chaotic maps (logistic / sine) "rff_gp", # smooth GP-like sample via random Fourier features "intermittent", # zero-inflated / intermittent demand "pulse_outlier", # smooth base + sparse pulses/outliers + flat gaps ) # Tuned with local_validator against a broad multi-domain eval: strong seasonal # coverage (trend_seasonal_ar + multiplicative) matters because most real series # are seasonal, but every family keeps meaningful mass so the prior stays diverse # (the diversity is what generalises across non-seasonal domains). Override per # submission via ``"family_weights"`` in config.json. # # NOTE: a richer "composite" family (layered trend + multi-harmonic seasonality + # heavy-tailed heteroskedastic noise + structural events) was implemented and # measured with local_validator — it is more *realistic*, but at high fidelity it # scored slightly WORSE on the proxy (LCB +0.15 vs this mix's +0.167), so it was # not shipped. Re-evaluate it against REAL held-out data (`--eval-windows`) before # adopting; the synthetic proxy pool under-rewards its realism. _DEFAULT_WEIGHTS: dict[str, float] = { "trend_seasonal_ar": 0.26, "regime_shift": 0.10, "multiplicative": 0.16, "ar2": 0.10, "integrated": 0.08, "threshold_ar": 0.06, "chaotic": 0.05, "rff_gp": 0.07, "intermittent": 0.03, "pulse_outlier": 0.03, } 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", 2048)) 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() @property def name(self) -> str: return str(self._cfg.get("name", "custom-mixture-of-priors-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`` # — often millions — 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) max_len = self._max_len builders = ( _trend_seasonal_ar, _regime_shift, _multiplicative, _ar2, _integrated, _threshold_ar, _chaotic, _rff_gp, _intermittent, _pulse_outlier, ) produced = 0 while produced < n_series: # Always draw a FULL _CHUNK (yielding only what's still needed), so # chunk boundaries fall at fixed multiples of _CHUNK regardless of # the total requested. Then series i is a pure function of (seed, i): # a run at any n >= i produces the identical series i. That makes a # smaller local build a true prefix of the mainnet corpus, and keeps # cross-mode/cross-party runs reproducible. lengths = rng.integers(self._min_len, max_len + 1, size=_CHUNK) fam_ids = rng.choice(len(_FAMILIES), size=_CHUNK, p=self._weights) 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 = _sanitize(builders[fam](rng, int(idx.size), max_len)) for row, series_i in enumerate(idx): L = int(lengths[series_i]) chunk[series_i] = np.ascontiguousarray(block[row, :L], dtype=np.float64) take = min(_CHUNK, n_series - produced) for arr in chunk[:take]: # Every slot is filled: fam_ids partitions [0, _CHUNK). Guard # anyway (survives python -O) so a logic slip fails loud. if arr is None: # pragma: no cover - defensive raise RuntimeError("internal: unfilled series slot") yield arr produced += take # ── 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) x[:, 0] = innov[:, 0] p = phi.reshape(n) for t in range(1, L): x[:, t] = p * x[:, t - 1] + innov[:, t] 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) x[:, 0] = innov[:, 0] if L > 1: x[:, 1] = a1 * x[:, 0] + innov[:, 1] for t in range(2, L): x[:, t] = a1 * x[:, t - 1] + a2 * x[:, t - 2] + innov[:, t] return x def _seasonal(rng: np.random.Generator, n: int, L: int, k_max: int = 3) -> np.ndarray: """Sum of 1..k_max sinusoids with per-series random period/amp/phase.""" t = np.arange(L, dtype=np.float64)[None, :] periods = np.array([4, 7, 12, 24, 30, 52, 96, 144, 168, 336], dtype=np.float64) k = rng.integers(1, k_max + 1, size=n) out = np.zeros((n, L), dtype=np.float64) for j in range(k_max): active = (k > j).astype(np.float64)[:, None] per = rng.choice(periods, size=n)[:, None] amp = rng.uniform(0.2, 2.0, size=n)[:, None] phase = rng.uniform(0.0, 2.0 * np.pi, size=n)[:, None] out += active * amp * np.sin(2.0 * np.pi * t / per + phase) 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 mag = rng.normal(0.0, 1.0, size=(n, L)) s = np.asarray(scale, dtype=np.float64) if s.ndim == 1: s = s[:, None] jumps = mask * mag * s jumps[:, 0] = 0.0 return jumps # ── family builders: each returns a (n, L) float64 block ──────────────────── def _trend_seasonal_ar(rng: np.random.Generator, n: int, L: int) -> np.ndarray: t = np.arange(L, dtype=np.float64)[None, :] level = rng.normal(0.0, 1.0, size=(n, 1)) slope = rng.normal(0.0, 0.01, size=(n, 1)) series = level + slope * t + _seasonal(rng, n, L) phi = rng.uniform(0.0, 0.85, size=n) sigma = 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)) return level + seas + noise def _multiplicative(rng: np.random.Generator, n: int, L: int) -> np.ndarray: t = np.arange(L, dtype=np.float64)[None, :] growth = rng.normal(0.0, 0.003, size=(n, 1)) base_level = np.exp(growth * t + rng.normal(0.0, 0.3, size=(n, 1))) # positive, drifting amp = rng.uniform(0.1, 0.6, size=(n, 1)) seas = 1.0 + amp * np.sin( 2.0 * np.pi * t / rng.choice([7.0, 12.0, 24.0, 52.0], size=n)[:, None] + rng.uniform(0.0, 2 * np.pi, size=(n, 1)) ) 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 — 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 _rff_gp(rng: np.random.Generator, n: int, L: int, K: int = 48) -> np.ndarray: # Random Fourier features approximate a stationary (RBF-like) GP sample: # f(t) = sqrt(2/K) * sum_k cos(w_k t + b_k), w_k ~ N(0, 1/lengthscale^2). # Loop over the K features (K iterations, vectorised over n and L) so peak # memory stays (n, L), never (n, K, L). t = np.arange(L, dtype=np.float64)[None, :] lengthscale = rng.uniform(20.0, 200.0, size=(n, 1)) acc = np.zeros((n, L), dtype=np.float64) for _ in range(K): w = rng.normal(0.0, 1.0, size=(n, 1)) / lengthscale b = rng.uniform(0.0, 2.0 * np.pi, size=(n, 1)) acc += np.cos(w * t + b) return np.sqrt(2.0 / K) * acc def _intermittent(rng: np.random.Generator, n: int, L: int) -> np.ndarray: # Zero-inflated demand: sparse positive spikes on a low baseline. Common in # retail/logistics and absent from the reference generator. p = rng.uniform(0.05, 0.4, size=(n, 1)) 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)) 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 sparse additive pulses (outliers) and occasional flat # (held-constant) gaps — the messy structure real series carry. base = _rff_gp(rng, n, L, K=24) * 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)) pulses = _sparse_jumps(rng, n, L, rate=5.0 / L, scale=rng.uniform(3.0, 8.0, size=n)) series = base + pulses # Occasional flat gaps: hold the value across a short random run. hold = rng.random((n, L)) < (2.0 / L) hold[:, 0] = False for t in range(1, L): m = hold[:, t] series[m, t] = series[m, t - 1] return series # ── final safety gate ─────────────────────────────────────────────────────── def _sanitize(block: np.ndarray) -> 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 — so this is the hard backstop after every family builder. Replaces non-finite values and clips to a generous bound. """ x = np.asarray(block, dtype=np.float64) x = np.nan_to_num(x, nan=0.0, posinf=1e6, neginf=-1e6) return np.clip(x, -1e6, 1e6)