models.nlinear.ipynb

{
 "cells": [
  {
   "cell_type": "code",
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   "source": [
    "#| default_exp models.nlinear"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# NLinear"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "NLinear is a simple and fast yet accurate time series forecasting model for long-horizon forecasting.\n",
    "\n",
    "The architecture aims to boost the performance when there is a distribution shift in the dataset:\n",
    "1. NLinear first subtracts the input by the last value of the sequence;\n",
    "2. Then, the input goes through a linear layer, and the subtracted part is added back before making the final prediction."
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "**References**<br>\n",
    "- [Zeng, Ailing, et al. \"Are transformers effective for time series forecasting?.\" Proceedings of the AAAI conference on artificial intelligence. Vol. 37. No. 9. 2023.\"](https://ojs.aaai.org/index.php/AAAI/article/view/26317)<br>"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "![Figure 1. DLinear Architecture.](imgs_models/dlinear.png)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#| export\n",
    "from typing import Optional\n",
    "\n",
    "import torch.nn as nn\n",
    "\n",
    "from neuralforecast.common._base_windows import BaseWindows\n",
    "\n",
    "from neuralforecast.losses.pytorch import MAE"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#| hide\n",
    "from fastcore.test import test_eq\n",
    "from nbdev.showdoc import show_doc"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## 1. NLinear"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#| export\n",
    "class NLinear(BaseWindows):\n",
    "    \"\"\" NLinear\n",
    "\n",
    "    *Parameters:*<br>\n",
    "    `h`: int, forecast horizon.<br>\n",
    "    `input_size`: int, maximum sequence length for truncated train backpropagation. Default -1 uses all history.<br>\n",
    "    `futr_exog_list`: str list, future exogenous columns.<br>\n",
    "    `hist_exog_list`: str list, historic exogenous columns.<br>\n",
    "    `stat_exog_list`: str list, static exogenous columns.<br>\n",
    "    `exclude_insample_y`: bool=False, the model skips the autoregressive features y[t-input_size:t] if True.<br>\n",
    "    `loss`: PyTorch module, instantiated train loss class from [losses collection](https://nixtla.github.io/neuralforecast/losses.pytorch.html).<br>\n",
    "    `max_steps`: int=1000, maximum number of training steps.<br>\n",
    "    `learning_rate`: float=1e-3, Learning rate between (0, 1).<br>\n",
    "    `num_lr_decays`: int=-1, Number of learning rate decays, evenly distributed across max_steps.<br>\n",
    "    `early_stop_patience_steps`: int=-1, Number of validation iterations before early stopping.<br>\n",
    "    `val_check_steps`: int=100, Number of training steps between every validation loss check.<br>\n",
    "    `batch_size`: int=32, number of different series in each batch.<br>\n",
    "    `valid_batch_size`: int=None, number of different series in each validation and test batch, if None uses batch_size.<br>\n",
    "    `windows_batch_size`: int=1024, number of windows to sample in each training batch, default uses all.<br>\n",
    "    `inference_windows_batch_size`: int=1024, number of windows to sample in each inference batch.<br>\n",
    "    `start_padding_enabled`: bool=False, if True, the model will pad the time series with zeros at the beginning, by input size.<br>\n",
    "    `scaler_type`: str='robust', type of scaler for temporal inputs normalization see [temporal scalers](https://nixtla.github.io/neuralforecast/common.scalers.html).<br>\n",
    "    `random_seed`: int=1, random_seed for pytorch initializer and numpy generators.<br>\n",
    "    `num_workers_loader`: int=os.cpu_count(), workers to be used by `TimeSeriesDataLoader`.<br>\n",
    "    `drop_last_loader`: bool=False, if True `TimeSeriesDataLoader` drops last non-full batch.<br>\n",
    "    `alias`: str, optional,  Custom name of the model.<br>\n",
    "    `optimizer`: Subclass of 'torch.optim.Optimizer', optional, user specified optimizer instead of the default choice (Adam).<br>\n",
    "    `optimizer_kwargs`: dict, optional, list of parameters used by the user specified `optimizer`.<br>    \n",
    "    `**trainer_kwargs`: int,  keyword trainer arguments inherited from [PyTorch Lighning's trainer](https://pytorch-lightning.readthedocs.io/en/stable/api/pytorch_lightning.trainer.trainer.Trainer.html?highlight=trainer).<br>\n",
    "\n",
    "\t*References*<br>\n",
    "\t- Zeng, Ailing, et al. \"Are transformers effective for time series forecasting?.\" Proceedings of the AAAI conference on artificial intelligence. Vol. 37. No. 9. 2023.\"\n",
    "    \"\"\"\n",
    "    # Class attributes\n",
    "    SAMPLING_TYPE = 'windows'\n",
    "\n",
    "    def __init__(self,\n",
    "                 h: int, \n",
    "                 input_size: int,\n",
    "                 stat_exog_list = None,\n",
    "                 hist_exog_list = None,\n",
    "                 futr_exog_list = None,\n",
    "                 exclude_insample_y = False,\n",
    "                 loss = MAE(),\n",
    "                 valid_loss = None,\n",
    "                 max_steps: int = 5000,\n",
    "                 learning_rate: float = 1e-4,\n",
    "                 num_lr_decays: int = -1,\n",
    "                 early_stop_patience_steps: int =-1,\n",
    "                 val_check_steps: int = 100,\n",
    "                 batch_size: int = 32,\n",
    "                 valid_batch_size: Optional[int] = None,\n",
    "                 windows_batch_size = 1024,\n",
    "                 inference_windows_batch_size = 1024,\n",
    "                 start_padding_enabled = False,\n",
    "                 step_size: int = 1,\n",
    "                 scaler_type: str = 'identity',\n",
    "                 random_seed: int = 1,\n",
    "                 num_workers_loader: int = 0,\n",
    "                 drop_last_loader: bool = False,\n",
    "                 optimizer = None,\n",
    "                 optimizer_kwargs = None,\n",
    "                 **trainer_kwargs):\n",
    "        super(NLinear, self).__init__(h=h,\n",
    "                                       input_size=input_size,\n",
    "                                       hist_exog_list=hist_exog_list,\n",
    "                                       stat_exog_list=stat_exog_list,\n",
    "                                       futr_exog_list = futr_exog_list,\n",
    "                                       exclude_insample_y = exclude_insample_y,\n",
    "                                       loss=loss,\n",
    "                                       valid_loss=valid_loss,\n",
    "                                       max_steps=max_steps,\n",
    "                                       learning_rate=learning_rate,\n",
    "                                       num_lr_decays=num_lr_decays,\n",
    "                                       early_stop_patience_steps=early_stop_patience_steps,\n",
    "                                       val_check_steps=val_check_steps,\n",
    "                                       batch_size=batch_size,\n",
    "                                       windows_batch_size=windows_batch_size,\n",
    "                                       valid_batch_size=valid_batch_size,\n",
    "                                       inference_windows_batch_size=inference_windows_batch_size,\n",
    "                                       start_padding_enabled = start_padding_enabled,\n",
    "                                       step_size=step_size,\n",
    "                                       scaler_type=scaler_type,\n",
    "                                       num_workers_loader=num_workers_loader,\n",
    "                                       drop_last_loader=drop_last_loader,\n",
    "                                       random_seed=random_seed,\n",
    "                                       optimizer=optimizer,\n",
    "                                       optimizer_kwargs=optimizer_kwargs,\n",
    "                                       **trainer_kwargs)\n",
    "\n",
    "        # Architecture\n",
    "        self.futr_input_size = len(self.futr_exog_list)\n",
    "        self.hist_input_size = len(self.hist_exog_list)\n",
    "        self.stat_input_size = len(self.stat_exog_list)\n",
    "\n",
    "        if self.stat_input_size > 0:\n",
    "            raise Exception('NLinear does not support static variables yet')\n",
    "        \n",
    "        if self.hist_input_size > 0:\n",
    "            raise Exception('NLinear does not support historical variables yet')\n",
    "        \n",
    "        if self.futr_input_size > 0:\n",
    "            raise Exception('NLinear does not support future variables yet')\n",
    "\n",
    "        self.c_out = self.loss.outputsize_multiplier\n",
    "        self.output_attention = False\n",
    "        self.enc_in = 1 \n",
    "        self.dec_in = 1\n",
    "\n",
    "        self.linear = nn.Linear(self.input_size, self.loss.outputsize_multiplier * h, bias=True)\n",
    "\n",
    "    def forward(self, windows_batch):\n",
    "        # Parse windows_batch\n",
    "        insample_y    = windows_batch['insample_y']\n",
    "        #insample_mask = windows_batch['insample_mask']\n",
    "        #hist_exog     = windows_batch['hist_exog']\n",
    "        #stat_exog     = windows_batch['stat_exog']\n",
    "        #futr_exog     = windows_batch['futr_exog']\n",
    "\n",
    "        # Parse inputs\n",
    "        batch_size = len(insample_y)\n",
    "        \n",
    "        # Input normalization\n",
    "        last_value = insample_y[:, -1:]\n",
    "        norm_insample_y = insample_y - last_value\n",
    "        \n",
    "        # Final\n",
    "        forecast = self.linear(norm_insample_y) + last_value\n",
    "        forecast = forecast.reshape(batch_size, self.h, self.loss.outputsize_multiplier)\n",
    "        forecast = self.loss.domain_map(forecast)\n",
    "        return forecast"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "show_doc(NLinear)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "show_doc(NLinear.fit, name='NLinear.fit')"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "show_doc(NLinear.predict, name='NLinear.predict')"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## Usage Example"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#| eval: false\n",
    "import numpy as np\n",
    "import pandas as pd\n",
    "import pytorch_lightning as pl\n",
    "import matplotlib.pyplot as plt\n",
    "\n",
    "from neuralforecast import NeuralForecast\n",
    "from neuralforecast.models import MLP\n",
    "from neuralforecast.losses.pytorch import MQLoss, DistributionLoss\n",
    "from neuralforecast.tsdataset import TimeSeriesDataset\n",
    "from neuralforecast.utils import AirPassengers, AirPassengersPanel, AirPassengersStatic, augment_calendar_df\n",
    "\n",
    "AirPassengersPanel, calendar_cols = augment_calendar_df(df=AirPassengersPanel, freq='M')\n",
    "\n",
    "Y_train_df = AirPassengersPanel[AirPassengersPanel.ds<AirPassengersPanel['ds'].values[-12]] # 132 train\n",
    "Y_test_df = AirPassengersPanel[AirPassengersPanel.ds>=AirPassengersPanel['ds'].values[-12]].reset_index(drop=True) # 12 test\n",
    "\n",
    "model = NLinear(h=12,\n",
    "                 input_size=24,\n",
    "                 loss=MAE(),\n",
    "                 #loss=DistributionLoss(distribution='StudentT', level=[80, 90], return_params=True),\n",
    "                 scaler_type='robust',\n",
    "                 learning_rate=1e-3,\n",
    "                 max_steps=500,\n",
    "                 val_check_steps=50,\n",
    "                 early_stop_patience_steps=2)\n",
    "\n",
    "nf = NeuralForecast(\n",
    "    models=[model],\n",
    "    freq='M'\n",
    ")\n",
    "nf.fit(df=Y_train_df, static_df=AirPassengersStatic, val_size=12)\n",
    "forecasts = nf.predict(futr_df=Y_test_df)\n",
    "\n",
    "Y_hat_df = forecasts.reset_index(drop=False).drop(columns=['unique_id','ds'])\n",
    "plot_df = pd.concat([Y_test_df, Y_hat_df], axis=1)\n",
    "plot_df = pd.concat([Y_train_df, plot_df])\n",
    "\n",
    "if model.loss.is_distribution_output:\n",
    "    plot_df = plot_df[plot_df.unique_id=='Airline1'].drop('unique_id', axis=1)\n",
    "    plt.plot(plot_df['ds'], plot_df['y'], c='black', label='True')\n",
    "    plt.plot(plot_df['ds'], plot_df['NLinear-median'], c='blue', label='median')\n",
    "    plt.fill_between(x=plot_df['ds'][-12:], \n",
    "                    y1=plot_df['NLinear-lo-90'][-12:].values, \n",
    "                    y2=plot_df['NLinear-hi-90'][-12:].values,\n",
    "                    alpha=0.4, label='level 90')\n",
    "    plt.grid()\n",
    "    plt.legend()\n",
    "    plt.plot()\n",
    "else:\n",
    "    plot_df = plot_df[plot_df.unique_id=='Airline1'].drop('unique_id', axis=1)\n",
    "    plt.plot(plot_df['ds'], plot_df['y'], c='black', label='True')\n",
    "    plt.plot(plot_df['ds'], plot_df['NLinear'], c='blue', label='Forecast')\n",
    "    plt.legend()\n",
    "    plt.grid()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  }
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