Source code for

from copy import deepcopy
from typing import Dict, Tuple, List, Union

import optuna
import numpy as np
import pandas as pd
from sktime.transformations.series.detrend import Detrender
from sktime.forecasting.trend import PolynomialTrendForecaster
from sktime.transformations.series.detrend import ConditionalDeseasonalizer

from lightwood.api.types import TimeseriesSettings
from type_infer.dtype import dtype
from lightwood.helpers.ts import get_ts_groups, get_delta, get_group_matches, Differencer
from lightwood.helpers.log import log
from lightwood.encoder.time_series.helpers.common import generate_target_group_normalizers

[docs]def timeseries_analyzer(data: Dict[str, pd.DataFrame], dtype_dict: Dict[str, str], timeseries_settings: TimeseriesSettings, target: str) -> Dict: """ This module analyzes (pre-processed) time series data and stores a few useful insights used in the rest of Lightwood's pipeline. :param data: dictionary with the dataset split into train, val, test subsets. :param dtype_dict: dictionary with inferred types for every column. :param timeseries_settings: A `TimeseriesSettings` object. For more details, check `lightwood.types.TimeseriesSettings`. :param target: name of the target column. The following things are extracted from each time series inside the dataset: - group_combinations: all observed combinations of values for the set of `group_by` columns. The length of this list determines how many time series are in the data. - deltas: inferred sampling interval - ts_naive_residuals: Residuals obtained from the data by a naive forecaster that repeats the last-seen value. - ts_naive_mae: Mean residual value obtained from the data by a naive forecaster that repeats the last-seen value. - target_normalizers: objects that may normalize the data within any given time series for effective learning. See `lightwood.encoder.time_series.helpers.common` for available choices. :return: Dictionary with the aforementioned insights and the `TimeseriesSettings` object for future references. """ # noqa tss = timeseries_settings groups = get_ts_groups(data['train'], tss) deltas, periods, freqs = get_delta(data['train'], dtype_dict, groups, target, tss) normalizers = generate_target_group_normalizers(data['train'], target, dtype_dict, groups, tss) if dtype_dict[target] in (dtype.integer, dtype.float, dtype.num_tsarray): naive_forecast_residuals, scale_factor = get_grouped_naive_residuals(data['dev'], target, tss, groups) differencers = get_differencers(data['train'], target, groups, tss.group_by) stl_transforms = get_stls(data['train'], data['dev'], target, periods, groups, tss) else: naive_forecast_residuals, scale_factor = {}, {} differencers = {} stl_transforms = {} return {'target_normalizers': normalizers, 'deltas': deltas, 'tss': tss, 'group_combinations': groups, 'ts_naive_residuals': naive_forecast_residuals, 'ts_naive_mae': scale_factor, 'periods': periods, 'sample_freqs': freqs, 'stl_transforms': stl_transforms, 'differencers': differencers }
def get_naive_residuals(target_data: pd.DataFrame, m: int = 1) -> Tuple[List, float]: """ Computes forecasting residuals for the naive method (forecasts for time `t` is the value observed at `t-1`). Useful for computing MASE forecasting error. As per, we resort to a constant forecast based on the last-seen measurement across the entire horizon. By following the original measure, the naive forecaster would have the advantage of knowing the actual values whereas the predictor would not. Note: method assumes predictions are all for the same group combination. For a dataframe that contains multiple series, use `get_grouped_naive_resiudals`. :param target_data: observed time series targets :param m: season length. the naive forecasts will be the m-th previously seen value for each series :return: (list of naive residuals, average residual value) """ # noqa # @TODO: support categorical series as well residuals = np.abs(target_data.values[1:] - target_data.values[0]).flatten() scale_factor = np.average(residuals) return residuals.tolist(), scale_factor def get_grouped_naive_residuals( info: pd.DataFrame, target: str, tss: TimeseriesSettings, group_combinations: List) -> Tuple[Dict, Dict]: """ Wraps `get_naive_residuals` for a dataframe with multiple co-existing time series. """ # noqa group_residuals = {} group_scale_factors = {} for group in group_combinations: idxs, subset = get_group_matches(info, group, tss.group_by) if subset.shape[0] > 1: residuals, scale_factor = get_naive_residuals(subset[target]) # @TODO: pass m once we handle seasonality group_residuals[group] = residuals group_scale_factors[group] = scale_factor return group_residuals, group_scale_factors def get_differencers(data: pd.DataFrame, target: str, groups: List, group_cols: List): differencers = {} for group in groups: idxs, subset = get_group_matches(data, group, group_cols) differencer = Differencer()[target].values) differencers[group] = differencer return differencers def get_stls(train_df: pd.DataFrame, dev_df: pd.DataFrame, target: str, sps: Dict, groups: list, tss: TimeseriesSettings ) -> Dict[str, object]: stls = {'__default': None} for group in groups: if group != '__default': _, tr_subset = get_group_matches(train_df, group, tss.group_by) _, dev_subset = get_group_matches(dev_df, group, tss.group_by) if tr_subset.shape[0] > 0 and dev_subset.shape[0] > 0 and sps.get(group, False): group_freq = tr_subset['__mdb_inferred_freq'].iloc[0] tr_subset = deepcopy(tr_subset)[target] dev_subset = deepcopy(dev_subset)[target] tr_subset.index = pd.date_range(start=tr_subset.iloc[0], freq=group_freq, periods=len(tr_subset)).to_period() dev_subset.index = pd.date_range(start=dev_subset.iloc[0], freq=group_freq, periods=len(dev_subset)).to_period() stl = _pick_ST(tr_subset, dev_subset, sps[group])'Best STL decomposition params for group {group} are: {stl["best_params"]}') stls[group] = stl return stls def _pick_ST(tr_subset: pd.Series, dev_subset: pd.Series, sp: list): """ Perform hyperparam search with optuna to find best combination of ST transforms for a time series. :param tr_subset: training series used for fitting blocks. Index should be datetime, and values are the actual time series. :param dev_subset: dev series used for computing loss. Index should be datetime, and values are the actual time series. :param sp: list of candidate seasonal periods :return: best deseasonalizer and detrender combination based on dev_loss """ # noqa def _ST_objective(trial: optuna.Trial): trend_degree = trial.suggest_categorical("trend_degree", [1]) ds_sp = trial.suggest_categorical("ds_sp", sp) # seasonality period to use in deseasonalizer if min(min(tr_subset), min(dev_subset)) <= 0: decomp_type = trial.suggest_categorical("decomp_type", ['additive']) else: decomp_type = trial.suggest_categorical("decomp_type", ['additive', 'multiplicative']) detrender = Detrender(forecaster=PolynomialTrendForecaster(degree=trend_degree)) deseasonalizer = ConditionalDeseasonalizer(sp=ds_sp, model=decomp_type) transformer = STLTransformer(detrender=detrender, deseasonalizer=deseasonalizer, type=decomp_type) residuals = transformer.transform(dev_subset) trial.set_user_attr("transformer", transformer) return np.power(residuals, 2).sum() space = {"trend_degree": [1, 2], "ds_sp": sp, "decomp_type": ['additive', 'multiplicative']} study = optuna.create_study(sampler=optuna.samplers.GridSampler(space)) study.optimize(_ST_objective, n_trials=8) return { "transformer": study.best_trial.user_attrs['transformer'], "best_params": study.best_params } class STLTransformer: def __init__(self, detrender: Detrender, deseasonalizer: ConditionalDeseasonalizer, type: str = 'additive'): """ Class that handles STL transformation and inverse, given specific detrender and deseasonalizer instances. :param detrender: Already initialized. :param deseasonalizer: Already initialized. :param type: Either 'additive' or 'multiplicative'. """ # noqa self._type = type self.detrender = detrender self.deseasonalizer = deseasonalizer self.op = { 'additive': lambda x, y: x - y, 'multiplicative': lambda x, y: x / y } self.iop = { 'additive': lambda x, y: x + y, 'multiplicative': lambda x, y: x * y } def fit(self, x: Union[pd.DataFrame, pd.Series]):[self._type](x, self.deseasonalizer.transform(x))) def transform(self, x: Union[pd.DataFrame, pd.Series]): return self.detrender.transform(self.deseasonalizer.transform(x)) def inverse_transform(self, x: Union[pd.DataFrame, pd.Series]): return self.deseasonalizer.inverse_transform(self.detrender.inverse_transform(x))