multivariate/train.py

from gluonts.dataset.multivariate_grouper import MultivariateGrouper
from gluonts.time_feature import time_features_from_frequency_str

from datasets import load_dataset
from functools import lru_cache

import pandas as pd
import numpy as np

from functools import partial
from transformers import InformerConfig, InformerForPrediction

freq = "1H"
prediction_length = 48


def get_train_test_datasets():

    @lru_cache(10_000)
    def convert_to_pandas_period(date, freq):
        return pd.Period(date, freq)

    def transform_start_field(batch, freq):
        batch["start"] = [convert_to_pandas_period(date, freq) for date in batch["start"]]
        return batch

    dataset = load_dataset("monash_tsf", "traffic_hourly")
    train_dataset = dataset["train"]
    test_dataset = dataset["test"]

    train_dataset.set_transform(partial(transform_start_field, freq=freq))
    test_dataset.set_transform(partial(transform_start_field, freq=freq))

    return train_dataset, test_dataset


def get_train_test_multivariate_grouper(train_dataset, test_dataset):
    num_of_variates = len(train_dataset)

    train_grouper = MultivariateGrouper(max_target_dim=num_of_variates)
    test_grouper = MultivariateGrouper(
        max_target_dim=num_of_variates,
        num_test_dates=len(test_dataset) // num_of_variates,  # number of rolling test windows
    )
    return train_grouper, test_grouper


def get_informer_model(num_of_variates, time_features):
    config = InformerConfig(
        # in the multivariate setting, input_size is the number of variates in the time series per time step
        input_size=num_of_variates,
        # prediction length:
        prediction_length=prediction_length,
        # context length:
        context_length=prediction_length * 2,
        # lags value copied from 1 week before:
        lags_sequence=[1, 24 * 7],
        # we'll add 5 time features ("hour_of_day", ..., and "age"):
        num_time_features=len(time_features) + 1,

        # informer params:
        dropout=0.1,
        encoder_layers=6,
        decoder_layers=4,
        # project input from num_of_variates*len(lags_sequence)+num_time_features to:
        d_model=64,
    )

    model = InformerForPrediction(config)
    return model


def main():
    train_dataset, test_dataset = get_train_test_datasets()
    train_grouper, test_grouper = get_train_test_multivariate_grouper(train_dataset, test_dataset)
    multi_variate_train_dataset = train_grouper(train_dataset)
    multi_variate_test_dataset = test_grouper(test_dataset)

    multi_variate_train_example = multi_variate_train_dataset[0]
    train_example = train_dataset[0]
    print('train_example["target"].shape =', len(train_example["target"]))
    print('multi_variate_train_example["target"].shape =', multi_variate_train_example["target"].shape)

    time_features = time_features_from_frequency_str(freq)
    print(time_features)

    informer = get_informer_model(num_of_variates=62, time_features=time_features)


if __name__ == '__main__':
    main()