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Unverified Commit 78f6ed6c authored by amyeroberts's avatar amyeroberts Committed by GitHub
Browse files

Revert "[time series] Add PatchTST (#25927)" (#27486)

The model was merged before final review and approval.

This reverts commit 2ac5b932.
parent a4616c67
...@@ -83,66 +83,67 @@ class TimeSeriesFeatureEmbedder(nn.Module): ...@@ -83,66 +83,67 @@ class TimeSeriesFeatureEmbedder(nn.Module):
class TimeSeriesStdScaler(nn.Module): class TimeSeriesStdScaler(nn.Module):
""" """
Standardize features by calculating the mean and scaling along the first dimension, and then normalizes it by Standardize features by calculating the mean and scaling along some given dimension `dim`, and then normalizes it
subtracting from the mean and dividing by the standard deviation. by subtracting from the mean and dividing by the standard deviation.
Args:
dim (`int`):
Dimension along which to calculate the mean and standard deviation.
keepdim (`bool`, *optional*, defaults to `False`):
Controls whether to retain dimension `dim` (of length 1) in the scale tensor, or suppress it.
minimum_scale (`float`, *optional*, defaults to 1e-5):
Default scale that is used for elements that are constantly zero along dimension `dim`.
""" """
def __init__(self, config: TimeSeriesTransformerConfig): def __init__(self, dim: int, keepdim: bool = False, minimum_scale: float = 1e-5):
super().__init__() super().__init__()
self.dim = config.scaling_dim if hasattr(config, "scaling_dim") else 1 if not dim > 0:
self.keepdim = config.keepdim if hasattr(config, "keepdim") else True raise ValueError("Cannot compute scale along dim = 0 (batch dimension), please provide dim > 0")
self.minimum_scale = config.minimum_scale if hasattr(config, "minimum_scale") else 1e-10 self.dim = dim
self.keepdim = keepdim
self.minimum_scale = minimum_scale
def forward( @torch.no_grad()
self, data: torch.Tensor, observed_indicator: torch.Tensor def forward(self, data: torch.Tensor, weights: torch.Tensor) -> Tuple[torch.Tensor, torch.Tensor, torch.Tensor]:
) -> Tuple[torch.Tensor, torch.Tensor, torch.Tensor]: denominator = weights.sum(self.dim, keepdim=self.keepdim)
"""
Parameters:
data (`torch.Tensor` of shape `(batch_size, sequence_length, num_input_channels)`):
input for Batch norm calculation
observed_indicator (`torch.BoolTensor` of shape `(batch_size, sequence_length, num_input_channels)`):
Calculating the scale on the observed indicator.
Returns:
tuple of `torch.Tensor` of shapes
(`(batch_size, sequence_length, num_input_channels)`,`(batch_size, 1, num_input_channels)`,
`(batch_size, 1, num_input_channels)`)
"""
denominator = observed_indicator.sum(self.dim, keepdim=self.keepdim)
denominator = denominator.clamp_min(1.0) denominator = denominator.clamp_min(1.0)
loc = (data * observed_indicator).sum(self.dim, keepdim=self.keepdim) / denominator loc = (data * weights).sum(self.dim, keepdim=self.keepdim) / denominator
variance = (((data - loc) * observed_indicator) ** 2).sum(self.dim, keepdim=self.keepdim) / denominator variance = (((data - loc) * weights) ** 2).sum(self.dim, keepdim=self.keepdim) / denominator
scale = torch.sqrt(variance + self.minimum_scale) scale = torch.sqrt(variance + self.minimum_scale)
return (data - loc) / scale, loc, scale return (data - loc) / scale, loc, scale
class TimeSeriesMeanScaler(nn.Module): class TimeSeriesMeanScaler(nn.Module):
""" """
Computes a scaling factor as the weighted average absolute value along the first dimension, and scales the data Computes a scaling factor as the weighted average absolute value along dimension `dim`, and scales the data
accordingly. accordingly.
Args:
dim (`int`):
Dimension along which to compute the scale.
keepdim (`bool`, *optional*, defaults to `False`):
Controls whether to retain dimension `dim` (of length 1) in the scale tensor, or suppress it.
default_scale (`float`, *optional*, defaults to `None`):
Default scale that is used for elements that are constantly zero. If `None`, we use the scale of the batch.
minimum_scale (`float`, *optional*, defaults to 1e-10):
Default minimum possible scale that is used for any item.
""" """
def __init__(self, config: TimeSeriesTransformerConfig): def __init__(
self, dim: int = -1, keepdim: bool = True, default_scale: Optional[float] = None, minimum_scale: float = 1e-10
):
super().__init__() super().__init__()
self.dim = config.scaling_dim if hasattr(config, "scaling_dim") else 1 self.dim = dim
self.keepdim = config.keepdim if hasattr(config, "keepdim") else True self.keepdim = keepdim
self.minimum_scale = config.minimum_scale if hasattr(config, "minimum_scale") else 1e-10 self.minimum_scale = minimum_scale
self.default_scale = config.default_scale if hasattr(config, "default_scale") else None self.default_scale = default_scale
@torch.no_grad()
def forward( def forward(
self, data: torch.Tensor, observed_indicator: torch.Tensor self, data: torch.Tensor, observed_indicator: torch.Tensor
) -> Tuple[torch.Tensor, torch.Tensor, torch.Tensor]: ) -> Tuple[torch.Tensor, torch.Tensor, torch.Tensor]:
""" # shape: (N, [C], T=1)
Parameters:
data (`torch.Tensor` of shape `(batch_size, sequence_length, num_input_channels)`):
input for Batch norm calculation
observed_indicator (`torch.BoolTensor` of shape `(batch_size, sequence_length, num_input_channels)`):
Calculating the scale on the observed indicator.
Returns:
tuple of `torch.Tensor` of shapes
(`(batch_size, sequence_length, num_input_channels)`,`(batch_size, 1, num_input_channels)`,
`(batch_size, 1, num_input_channels)`)
"""
ts_sum = (data * observed_indicator).abs().sum(self.dim, keepdim=True) ts_sum = (data * observed_indicator).abs().sum(self.dim, keepdim=True)
num_observed = observed_indicator.sum(self.dim, keepdim=True) num_observed = observed_indicator.sum(self.dim, keepdim=True)
...@@ -172,26 +173,23 @@ class TimeSeriesMeanScaler(nn.Module): ...@@ -172,26 +173,23 @@ class TimeSeriesMeanScaler(nn.Module):
class TimeSeriesNOPScaler(nn.Module): class TimeSeriesNOPScaler(nn.Module):
""" """
Assigns a scaling factor equal to 1 along the first dimension, and therefore applies no scaling to the input data. Assigns a scaling factor equal to 1 along dimension `dim`, and therefore applies no scaling to the input data.
Args:
dim (`int`):
Dimension along which to compute the scale.
keepdim (`bool`, *optional*, defaults to `False`):
Controls whether to retain dimension `dim` (of length 1) in the scale tensor, or suppress it.
""" """
def __init__(self, config: TimeSeriesTransformerConfig): def __init__(self, dim: int, keepdim: bool = False):
super().__init__() super().__init__()
self.dim = config.scaling_dim if hasattr(config, "scaling_dim") else 1 self.dim = dim
self.keepdim = config.keepdim if hasattr(config, "keepdim") else True self.keepdim = keepdim
def forward( def forward(
self, data: torch.Tensor, observed_indicator: torch.Tensor = None self, data: torch.Tensor, observed_indicator: torch.Tensor
) -> Tuple[torch.Tensor, torch.Tensor, torch.Tensor]: ) -> Tuple[torch.Tensor, torch.Tensor, torch.Tensor]:
"""
Parameters:
data (`torch.Tensor` of shape `(batch_size, sequence_length, num_input_channels)`):
input for Batch norm calculation
Returns:
tuple of `torch.Tensor` of shapes
(`(batch_size, sequence_length, num_input_channels)`,`(batch_size, 1, num_input_channels)`,
`(batch_size, 1, num_input_channels)`)
"""
scale = torch.ones_like(data, requires_grad=False).mean(dim=self.dim, keepdim=self.keepdim) scale = torch.ones_like(data, requires_grad=False).mean(dim=self.dim, keepdim=self.keepdim)
loc = torch.zeros_like(data, requires_grad=False).mean(dim=self.dim, keepdim=self.keepdim) loc = torch.zeros_like(data, requires_grad=False).mean(dim=self.dim, keepdim=self.keepdim)
return data, loc, scale return data, loc, scale
...@@ -1182,11 +1180,11 @@ class TimeSeriesTransformerModel(TimeSeriesTransformerPreTrainedModel): ...@@ -1182,11 +1180,11 @@ class TimeSeriesTransformerModel(TimeSeriesTransformerPreTrainedModel):
super().__init__(config) super().__init__(config)
if config.scaling == "mean" or config.scaling is True: if config.scaling == "mean" or config.scaling is True:
self.scaler = TimeSeriesMeanScaler(config) self.scaler = TimeSeriesMeanScaler(dim=1, keepdim=True)
elif config.scaling == "std": elif config.scaling == "std":
self.scaler = TimeSeriesStdScaler(config) self.scaler = TimeSeriesStdScaler(dim=1, keepdim=True)
else: else:
self.scaler = TimeSeriesNOPScaler(config) self.scaler = TimeSeriesNOPScaler(dim=1, keepdim=True)
if config.num_static_categorical_features > 0: if config.num_static_categorical_features > 0:
self.embedder = TimeSeriesFeatureEmbedder( self.embedder = TimeSeriesFeatureEmbedder(
......
...@@ -627,12 +627,6 @@ MODEL_FOR_TEXT_TO_SPECTROGRAM_MAPPING = None ...@@ -627,12 +627,6 @@ MODEL_FOR_TEXT_TO_SPECTROGRAM_MAPPING = None
MODEL_FOR_TEXT_TO_WAVEFORM_MAPPING = None MODEL_FOR_TEXT_TO_WAVEFORM_MAPPING = None
MODEL_FOR_TIME_SERIES_CLASSIFICATION_MAPPING = None
MODEL_FOR_TIME_SERIES_REGRESSION_MAPPING = None
MODEL_FOR_TOKEN_CLASSIFICATION_MAPPING = None MODEL_FOR_TOKEN_CLASSIFICATION_MAPPING = None
...@@ -6025,51 +6019,6 @@ class OwlViTVisionModel(metaclass=DummyObject): ...@@ -6025,51 +6019,6 @@ class OwlViTVisionModel(metaclass=DummyObject):
requires_backends(self, ["torch"]) requires_backends(self, ["torch"])
PATCHTST_PRETRAINED_MODEL_ARCHIVE_LIST = None
class PatchTSTForClassification(metaclass=DummyObject):
_backends = ["torch"]
def __init__(self, *args, **kwargs):
requires_backends(self, ["torch"])
class PatchTSTForPrediction(metaclass=DummyObject):
_backends = ["torch"]
def __init__(self, *args, **kwargs):
requires_backends(self, ["torch"])
class PatchTSTForPretraining(metaclass=DummyObject):
_backends = ["torch"]
def __init__(self, *args, **kwargs):
requires_backends(self, ["torch"])
class PatchTSTForRegression(metaclass=DummyObject):
_backends = ["torch"]
def __init__(self, *args, **kwargs):
requires_backends(self, ["torch"])
class PatchTSTModel(metaclass=DummyObject):
_backends = ["torch"]
def __init__(self, *args, **kwargs):
requires_backends(self, ["torch"])
class PatchTSTPreTrainedModel(metaclass=DummyObject):
_backends = ["torch"]
def __init__(self, *args, **kwargs):
requires_backends(self, ["torch"])
class PegasusForCausalLM(metaclass=DummyObject): class PegasusForCausalLM(metaclass=DummyObject):
_backends = ["torch"] _backends = ["torch"]
......
# coding=utf-8
# Copyright 2023 The HuggingFace Inc. team. All rights reserved.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
# http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
""" Testing suite for the PyTorch PatchTST model. """
import inspect
import random
import tempfile
import unittest
from huggingface_hub import hf_hub_download
from transformers import is_torch_available
from transformers.models.auto import get_values
from transformers.testing_utils import is_flaky, require_torch, slow, torch_device
from ...test_configuration_common import ConfigTester
from ...test_modeling_common import ModelTesterMixin, floats_tensor, ids_tensor
from ...test_pipeline_mixin import PipelineTesterMixin
TOLERANCE = 1e-4
if is_torch_available():
import torch
from transformers import (
MODEL_FOR_TIME_SERIES_CLASSIFICATION_MAPPING,
MODEL_FOR_TIME_SERIES_REGRESSION_MAPPING,
PatchTSTConfig,
PatchTSTForClassification,
PatchTSTForPrediction,
PatchTSTForPretraining,
PatchTSTForRegression,
PatchTSTModel,
)
@require_torch
class PatchTSTModelTester:
def __init__(
self,
parent,
batch_size=13,
prediction_length=7,
context_length=14,
patch_length=5,
patch_stride=5,
num_input_channels=1,
num_time_features=1,
is_training=True,
hidden_size=16,
num_hidden_layers=2,
num_attention_heads=4,
intermediate_size=4,
hidden_act="gelu",
hidden_dropout_prob=0.1,
attention_probs_dropout_prob=0.1,
lags_sequence=[1, 2, 3, 4, 5],
distil=False,
seed_number=42,
num_targets=2,
num_output_channels=2,
):
self.parent = parent
self.batch_size = batch_size
self.prediction_length = prediction_length
self.context_length = context_length
self.patch_length = patch_length
self.patch_stride = patch_stride
self.num_input_channels = num_input_channels
self.num_time_features = num_time_features
self.lags_sequence = lags_sequence
self.is_training = is_training
self.hidden_size = hidden_size
self.num_hidden_layers = num_hidden_layers
self.num_attention_heads = num_attention_heads
self.intermediate_size = intermediate_size
self.hidden_act = hidden_act
self.hidden_dropout_prob = hidden_dropout_prob
self.attention_probs_dropout_prob = attention_probs_dropout_prob
self.seed_number = seed_number
self.num_targets = num_targets
self.num_output_channels = num_output_channels
self.distil = distil
self.num_patches = (max(self.context_length, self.patch_length) - self.patch_length) // self.patch_stride + 1
def get_config(self):
return PatchTSTConfig(
prediction_length=self.prediction_length,
patch_length=self.patch_length,
patch_stride=self.patch_stride,
num_input_channels=self.num_input_channels,
d_model=self.hidden_size,
encoder_layers=self.num_hidden_layers,
encoder_attention_heads=self.num_attention_heads,
encoder_ffn_dim=self.intermediate_size,
dropout=self.hidden_dropout_prob,
attention_dropout=self.attention_probs_dropout_prob,
context_length=self.context_length,
activation_function=self.hidden_act,
seed_number=self.seed_number,
num_targets=self.num_targets,
num_output_channels=self.num_output_channels,
)
def prepare_patchtst_inputs_dict(self, config):
_past_length = config.context_length
# bs, num_input_channels, num_patch, patch_len
# [bs x seq_len x num_input_channels]
past_values = floats_tensor([self.batch_size, _past_length, self.num_input_channels])
future_values = floats_tensor([self.batch_size, config.prediction_length, self.num_input_channels])
inputs_dict = {
"past_values": past_values,
"future_values": future_values,
}
return inputs_dict
def prepare_config_and_inputs(self):
config = self.get_config()
inputs_dict = self.prepare_patchtst_inputs_dict(config)
return config, inputs_dict
def prepare_config_and_inputs_for_common(self):
config, inputs_dict = self.prepare_config_and_inputs()
return config, inputs_dict
@require_torch
class PatchTSTModelTest(ModelTesterMixin, PipelineTesterMixin, unittest.TestCase):
all_model_classes = (
(
PatchTSTModel,
PatchTSTForPrediction,
PatchTSTForPretraining,
PatchTSTForClassification,
PatchTSTForRegression,
)
if is_torch_available()
else ()
)
all_generative_model_classes = (
(PatchTSTForPrediction, PatchTSTForRegression, PatchTSTForPretraining) if is_torch_available() else ()
)
pipeline_model_mapping = {"feature-extraction": PatchTSTModel} if is_torch_available() else {}
test_pruning = False
test_head_masking = False
test_missing_keys = False
test_torchscript = False
test_inputs_embeds = False
test_model_common_attributes = False
test_resize_embeddings = True
test_resize_position_embeddings = False
test_mismatched_shapes = True
test_model_parallel = False
has_attentions = False
def setUp(self):
self.model_tester = PatchTSTModelTester(self)
self.config_tester = ConfigTester(
self,
config_class=PatchTSTConfig,
has_text_modality=False,
prediction_length=self.model_tester.prediction_length,
)
def test_config(self):
self.config_tester.run_common_tests()
def _prepare_for_class(self, inputs_dict, model_class, return_labels=False):
inputs_dict = super()._prepare_for_class(inputs_dict, model_class, return_labels=return_labels)
# if PatchTSTForPretraining
if model_class == PatchTSTForPretraining:
inputs_dict.pop("future_values")
# else if classification model:
elif model_class in get_values(MODEL_FOR_TIME_SERIES_CLASSIFICATION_MAPPING):
rng = random.Random(self.model_tester.seed_number)
labels = ids_tensor([self.model_tester.batch_size], self.model_tester.num_targets, rng=rng)
inputs_dict["target_values"] = labels
inputs_dict.pop("future_values")
elif model_class in get_values(MODEL_FOR_TIME_SERIES_REGRESSION_MAPPING):
rng = random.Random(self.model_tester.seed_number)
target_values = floats_tensor(
[self.model_tester.batch_size, self.model_tester.num_output_channels], rng=rng
)
inputs_dict["target_values"] = target_values
inputs_dict.pop("future_values")
return inputs_dict
def test_save_load_strict(self):
config, _ = self.model_tester.prepare_config_and_inputs()
for model_class in self.all_model_classes:
model = model_class(config)
with tempfile.TemporaryDirectory() as tmpdirname:
model.save_pretrained(tmpdirname)
model2, info = model_class.from_pretrained(tmpdirname, output_loading_info=True)
self.assertEqual(info["missing_keys"], [])
def test_hidden_states_output(self):
def check_hidden_states_output(inputs_dict, config, model_class):
model = model_class(config)
model.to(torch_device)
model.eval()
with torch.no_grad():
outputs = model(**self._prepare_for_class(inputs_dict, model_class))
hidden_states = outputs.hidden_states
expected_num_layers = getattr(
self.model_tester, "expected_num_hidden_layers", self.model_tester.num_hidden_layers
)
self.assertEqual(len(hidden_states), expected_num_layers)
num_patch = self.model_tester.num_patches
self.assertListEqual(
list(hidden_states[0].shape[-2:]),
[num_patch, self.model_tester.hidden_size],
)
config, inputs_dict = self.model_tester.prepare_config_and_inputs_for_common()
for model_class in self.all_model_classes:
inputs_dict["output_hidden_states"] = True
print("model_class: ", model_class)
check_hidden_states_output(inputs_dict, config, model_class)
# check that output_hidden_states also work using config
del inputs_dict["output_hidden_states"]
config.output_hidden_states = True
check_hidden_states_output(inputs_dict, config, model_class)
@unittest.skip(reason="we have no tokens embeddings")
def test_resize_tokens_embeddings(self):
pass
def test_model_main_input_name(self):
model_signature = inspect.signature(getattr(PatchTSTModel, "forward"))
# The main input is the name of the argument after `self`
observed_main_input_name = list(model_signature.parameters.keys())[1]
self.assertEqual(PatchTSTModel.main_input_name, observed_main_input_name)
def test_forward_signature(self):
config, _ = self.model_tester.prepare_config_and_inputs_for_common()
for model_class in self.all_model_classes:
model = model_class(config)
signature = inspect.signature(model.forward)
# signature.parameters is an OrderedDict => so arg_names order is deterministic
arg_names = [*signature.parameters.keys()]
expected_arg_names = [
"past_values",
"past_observed_mask",
"future_values",
]
if model_class == PatchTSTForPretraining:
expected_arg_names.remove("future_values")
elif model_class in get_values(MODEL_FOR_TIME_SERIES_CLASSIFICATION_MAPPING) or model_class in get_values(
MODEL_FOR_TIME_SERIES_REGRESSION_MAPPING
):
expected_arg_names.remove("future_values")
expected_arg_names.remove("past_observed_mask")
expected_arg_names.append("target_values") if model_class in get_values(
MODEL_FOR_TIME_SERIES_CLASSIFICATION_MAPPING
) else expected_arg_names.append("target_values")
expected_arg_names.append("past_observed_mask")
expected_arg_names.extend(
[
"output_hidden_states",
"output_attentions",
"return_dict",
]
)
self.assertListEqual(arg_names[: len(expected_arg_names)], expected_arg_names)
@is_flaky()
def test_retain_grad_hidden_states_attentions(self):
super().test_retain_grad_hidden_states_attentions()
# Note: Publishing of this dataset is under internal review. The dataset is not yet downloadable.
def prepare_batch(repo_id="ibm/etth1-forecast-test", file="train-batch.pt"):
file = hf_hub_download(repo_id=repo_id, filename=file, repo_type="dataset")
batch = torch.load(file, map_location=torch_device)
return batch
# Note: Publishing of pretrained weights is under internal review. Pretrained model is not yet downloadable.
@require_torch
@slow
class PatchTSTModelIntegrationTests(unittest.TestCase):
# Publishing of pretrained weights are under internal review. Pretrained model is not yet downloadable.
def test_pretrain_head(self):
model = PatchTSTForPretraining.from_pretrained("ibm/patchtst-etth1-pretrain").to(torch_device)
batch = prepare_batch()
torch.manual_seed(0)
with torch.no_grad():
output = model(past_values=batch["past_values"].to(torch_device)).prediction_output
num_patch = (
max(model.config.context_length, model.config.patch_length) - model.config.patch_length
) // model.config.patch_stride + 1
expected_shape = torch.Size([64, model.config.num_input_channels, num_patch, model.config.patch_length])
self.assertEqual(output.shape, expected_shape)
expected_slice = torch.tensor(
[[[-0.5409]], [[0.3093]], [[-0.3759]], [[0.5068]], [[-0.8387]], [[0.0937]], [[0.2809]]],
device=torch_device,
)
self.assertTrue(torch.allclose(output[0, :7, :1, :1], expected_slice, atol=TOLERANCE))
# Publishing of pretrained weights are under internal review. Pretrained model is not yet downloadable.
def test_prediction_head(self):
model = PatchTSTForPrediction.from_pretrained("ibm/patchtst-etth1-forecast").to(torch_device)
batch = prepare_batch(file="test-batch.pt")
torch.manual_seed(0)
with torch.no_grad():
output = model(
past_values=batch["past_values"].to(torch_device),
future_values=batch["future_values"].to(torch_device),
).prediction_outputs
expected_shape = torch.Size([64, model.config.prediction_length, model.config.num_input_channels])
self.assertEqual(output.shape, expected_shape)
expected_slice = torch.tensor(
[[0.3228, 0.4320, 0.4591, 0.4066, -0.3461, 0.3094, -0.8426]],
device=torch_device,
)
self.assertTrue(torch.allclose(output[0, :1, :7], expected_slice, atol=TOLERANCE))
...@@ -185,8 +185,6 @@ IGNORE_NON_AUTO_CONFIGURED = PRIVATE_MODELS.copy() + [ ...@@ -185,8 +185,6 @@ IGNORE_NON_AUTO_CONFIGURED = PRIVATE_MODELS.copy() + [
"TimeSeriesTransformerForPrediction", "TimeSeriesTransformerForPrediction",
"InformerForPrediction", "InformerForPrediction",
"AutoformerForPrediction", "AutoformerForPrediction",
"PatchTSTForPretraining",
"PatchTSTForPrediction",
"JukeboxVQVAE", "JukeboxVQVAE",
"JukeboxPrior", "JukeboxPrior",
"SamModel", "SamModel",
......
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