"""DR-TS-SL-LIB: Operator-based Basis Library + FAISS Candidate Selection. This module implements a decomposition approach using a pre-computed library of basis functions (polynomials, sinusoids, logistic curves) with FAISS for fast candidate retrieval and sparse regression for coefficient optimization. Decomposition form: x_t ≈ Σ_i c_i φ_i(t) + r_t Where φ_i are basis functions from a trend or seasonal library. """ from __future__ import annotations from dataclasses import dataclass, field from pathlib import Path from typing import Any, Dict, List, Optional, Tuple import numpy as np from scipy.optimize import nnls try: import faiss _HAS_FAISS = True except ImportError: _HAS_FAISS = False faiss = None @dataclass class SLLibConfig: """Configuration for SL-LIB decomposition. Attributes ---------- library_size : int Total number of basis functions in the library. n_trend_bases : int Number of trend basis functions. n_seasonal_bases : int Number of seasonal basis functions. n_candidates : int Number of candidates to retrieve from FAISS. sparsity_lambda : float L1 regularization for sparse coefficients. max_poly_degree : int Maximum polynomial degree for trend bases. min_period : int Minimum period for sinusoidal bases. max_period : int Maximum period for sinusoidal bases. """ library_size: int = 500 n_trend_bases: int = 200 n_seasonal_bases: int = 300 n_candidates: int = 100 # v1.1.0: increased from 50 sparsity_lambda: float = 0.001 # v1.1.0: reduced from 0.01 max_poly_degree: int = 5 min_period: int = 4 max_period: int = 128 def _generate_polynomial_bases(length: int, n_bases: int, max_degree: int = 5) -> np.ndarray: """Generate polynomial trend basis functions. Returns ------- bases : np.ndarray of shape (n_bases, length) """ t = np.linspace(-1, 1, length) bases = [] # Standard polynomials for degree in range(max_degree + 1): bases.append(t ** degree) # Chebyshev-like bases while len(bases) < n_bases // 2: d = len(bases) % (max_degree + 1) offset = len(bases) // (max_degree + 1) * 0.1 bases.append(np.cos(d * np.arccos(np.clip(t + offset, -1, 1)))) # Logistic-style bases while len(bases) < n_bases * 3 // 4: k = 1.0 + len(bases) * 0.5 # steepness midpoint = (len(bases) - n_bases // 2) / (n_bases // 4) - 0.5 bases.append(1.0 / (1.0 + np.exp(-k * (t - midpoint)))) # Smoothed random-walk bases (cumulative sums of smooth noise) rng = np.random.RandomState(42) while len(bases) < n_bases: noise = rng.randn(length) # Smooth the noise kernel = np.ones(max(3, length // 20)) / max(3, length // 20) smooth_noise = np.convolve(noise, kernel, mode='same') cumsum = np.cumsum(smooth_noise) # Normalize cumsum = (cumsum - cumsum.mean()) / (cumsum.std() + 1e-8) bases.append(cumsum) bases = np.array(bases[:n_bases]) # Normalize each basis norms = np.linalg.norm(bases, axis=1, keepdims=True) + 1e-8 return bases / norms def _generate_sinusoidal_bases( length: int, n_bases: int, min_period: int = 4, max_period: int = 128, ) -> np.ndarray: """Generate sinusoidal seasonal basis functions. Returns ------- bases : np.ndarray of shape (n_bases, length) """ t = np.arange(length, dtype=float) bases = [] # Generate periods logarithmically spaced periods = np.logspace(np.log10(min_period), np.log10(min(max_period, length // 2)), n_bases // 2) for period in periods: freq = 2 * np.pi / period # Sine and cosine at this frequency bases.append(np.sin(freq * t)) bases.append(np.cos(freq * t)) # Harmonics if len(bases) < n_bases: bases.append(np.sin(2 * freq * t)) if len(bases) < n_bases: bases.append(np.cos(2 * freq * t)) # Multi-harmonic combinations rng = np.random.RandomState(123) while len(bases) < n_bases: n_harmonics = rng.randint(2, 5) base_period = rng.uniform(min_period, max_period) combo = np.zeros(length) for h in range(1, n_harmonics + 1): amp = rng.uniform(0.5, 1.5) / h phase = rng.uniform(0, 2 * np.pi) combo += amp * np.sin(h * 2 * np.pi / base_period * t + phase) bases.append(combo) bases = np.array(bases[:n_bases]) # Normalize norms = np.linalg.norm(bases, axis=1, keepdims=True) + 1e-8 return bases / norms def build_basis_library( length: int, config: Optional[SLLibConfig] = None, ) -> Tuple[np.ndarray, np.ndarray, Dict[str, Any]]: """Build the basis function library. Parameters ---------- length : int Length of the time series. config : SLLibConfig, optional Configuration for library generation. Returns ------- trend_bases : np.ndarray of shape (n_trend, length) seasonal_bases : np.ndarray of shape (n_seasonal, length) metadata : dict Library metadata. """ cfg = config or SLLibConfig() trend_bases = _generate_polynomial_bases( length, cfg.n_trend_bases, max_degree=cfg.max_poly_degree, ) seasonal_bases = _generate_sinusoidal_bases( length, cfg.n_seasonal_bases, min_period=cfg.min_period, max_period=cfg.max_period, ) metadata = { 'length': length, 'n_trend': trend_bases.shape[0], 'n_seasonal': seasonal_bases.shape[0], } return trend_bases, seasonal_bases, metadata def _build_faiss_index(bases: np.ndarray) -> Any: """Build a FAISS index for the basis library. Parameters ---------- bases : np.ndarray of shape (n_bases, length) Basis functions as feature vectors. Returns ------- index : faiss.IndexFlatIP FAISS inner product index. """ if not _HAS_FAISS: return None # Normalize for inner product search bases_norm = bases / (np.linalg.norm(bases, axis=1, keepdims=True) + 1e-8) bases_norm = bases_norm.astype(np.float32) d = bases_norm.shape[1] index = faiss.IndexFlatIP(d) index.add(bases_norm) return index def _search_candidates_faiss( query: np.ndarray, index: Any, k: int, ) -> np.ndarray: """Search for k nearest basis candidates using FAISS.""" query_norm = query / (np.linalg.norm(query) + 1e-8) query_norm = query_norm.astype(np.float32).reshape(1, -1) _, indices = index.search(query_norm, k) return indices[0] def _search_candidates_numpy( query: np.ndarray, bases: np.ndarray, k: int, ) -> np.ndarray: """Fallback search using numpy correlation.""" query_norm = query / (np.linalg.norm(query) + 1e-8) bases_norm = bases / (np.linalg.norm(bases, axis=1, keepdims=True) + 1e-8) # Inner products scores = bases_norm @ query_norm indices = np.argsort(-np.abs(scores))[:k] return indices def _sparse_regression( y: np.ndarray, B: np.ndarray, lambda_l1: float = 0.01, max_iter: int = 100, ) -> np.ndarray: """Solve sparse regression: min ||y - Bc||² + λ||c||₁ Uses iteratively reweighted least squares (IRLS) approximation. """ # Expect B shape (length, n_bases) n_bases = B.shape[1] if n_bases == 0: return np.array([]) # Initial non-negative least squares (simple but works) # For speed, use OLS then threshold BT = B.T BTB = BT @ B BTy = BT @ y # Add small regularization for stability reg = lambda_l1 * np.eye(BTB.shape[0]) try: c = np.linalg.solve(BTB + reg, BTy) except np.linalg.LinAlgError: c = np.linalg.lstsq(BTB + reg, BTy, rcond=None)[0] # Soft threshold for L1 threshold = lambda_l1 * 0.5 c = np.sign(c) * np.maximum(np.abs(c) - threshold, 0) return c def sl_lib_decompose( y: np.ndarray, config: Optional[Dict[str, Any]] = None, fs: float = 1.0, meta: Optional[Dict[str, Any]] = None, ) -> "DecompResult": """SL-LIB decomposition using basis library and FAISS selection. Parameters ---------- y : np.ndarray Input time series. config : dict, optional Configuration for the method. fs : float Sampling frequency. meta : dict, optional Metadata from scenario. Returns ------- DecompResult Decomposition result. """ from .decomp_methods import DecompResult y_arr = np.asarray(y, dtype=float).ravel() n = len(y_arr) cfg_dict = dict(config or {}) # Build config lib_cfg = SLLibConfig( library_size=int(cfg_dict.get('library_size', 500)), n_trend_bases=int(cfg_dict.get('n_trend_bases', 200)), n_seasonal_bases=int(cfg_dict.get('n_seasonal_bases', 300)), n_candidates=int(cfg_dict.get('n_candidates', 100)), # v1.1.0 sparsity_lambda=float(cfg_dict.get('sparsity_lambda', 0.001)), # v1.1.0 max_poly_degree=int(cfg_dict.get('max_poly_degree', 5)), min_period=int(cfg_dict.get('min_period', 4)), max_period=int(cfg_dict.get('max_period', min(128, n // 2))), ) # Build library trend_bases, seasonal_bases, lib_meta = build_basis_library(n, lib_cfg) # Normalize input for search y_centered = y_arr - np.mean(y_arr) y_norm = y_centered / (np.std(y_centered) + 1e-8) # Step 1: Find trend candidates and fit trend if _HAS_FAISS: trend_index = _build_faiss_index(trend_bases) trend_cand_idx = _search_candidates_faiss( y_norm, trend_index, min(lib_cfg.n_candidates, trend_bases.shape[0]) ) else: trend_cand_idx = _search_candidates_numpy( y_norm, trend_bases, min(lib_cfg.n_candidates, trend_bases.shape[0]) ) B_trend = trend_bases[trend_cand_idx].T c_trend = _sparse_regression(y_arr, B_trend, lib_cfg.sparsity_lambda) if len(c_trend) > 0: trend = B_trend @ c_trend else: trend = np.zeros(n) # Step 2: Find seasonal candidates on residual residual_after_trend = y_arr - trend if _HAS_FAISS: seasonal_index = _build_faiss_index(seasonal_bases) seasonal_cand_idx = _search_candidates_faiss( residual_after_trend, seasonal_index, min(lib_cfg.n_candidates, seasonal_bases.shape[0]) ) else: seasonal_cand_idx = _search_candidates_numpy( residual_after_trend, seasonal_bases, min(lib_cfg.n_candidates, seasonal_bases.shape[0]) ) B_seasonal = seasonal_bases[seasonal_cand_idx].T c_seasonal = _sparse_regression(residual_after_trend, B_seasonal, lib_cfg.sparsity_lambda) if len(c_seasonal) > 0: seasonal = B_seasonal @ c_seasonal else: seasonal = np.zeros(n) # Ensure seasonal is zero-mean seasonal = seasonal - np.mean(seasonal) # Final residual residual = y_arr - trend - seasonal extra = { 'method': 'sl_lib', 'n_trend_candidates': len(trend_cand_idx), 'n_seasonal_candidates': len(seasonal_cand_idx), 'n_active_trend': int(np.sum(np.abs(c_trend) > 1e-8)) if len(c_trend) > 0 else 0, 'n_active_seasonal': int(np.sum(np.abs(c_seasonal) > 1e-8)) if len(c_seasonal) > 0 else 0, 'used_faiss': _HAS_FAISS, } return DecompResult( trend=trend, season=seasonal, residual=residual, extra=extra, )