[Time-Series] informer model (#21099)

* added informer to gitignore

* added informer to gitignore

* WIP informer2020

* added checking that instantiate works

* added config using gluonTS by kashif

* WIP config

* adding informeConfig. need to remove FeatureEmbedder

* done InformerConfig, but need to change the names

* Done informer model init. working on enc-dec

* added things to address, after reading again enc-dec in the paper

* done modeling - checking initialization work

* added informer to gitignore

* WIP informer2020

* added checking that instantiate works

* added config using gluonTS by kashif

* WIP config

* adding informeConfig. need to remove FeatureEmbedder

* done InformerConfig, but need to change the names

* Done informer model init. working on enc-dec

* added things to address, after reading again enc-dec in the paper

* done modeling - checking initialization work

* moved enc-dec init to InformerEncoder/Decoder init

* added 'init_std' to config, now model init works!

* WIP conversion script, and added code sources

* WIP conversion script: loading original informer pth works

* WIP conversion script: change defaults in the config

* WIP conversion script: supporting Informer input embedding

* WIP conversion script: added parameters for the informer embed

* WIP conversion script: change dim_feedforward=2048

* WIP conversion script: remove unused args for loading checkpoint

* just cleaning up

* DataEmbedding removed, after thinking with Kashif

* working on forward pass

* WIP forward pass: trying to establish working batch for forward pass

* cleaning and finalizing

* adding HF names and docs

* init after cleaning works

* WIP in tests

* added docs for the informer specific args

* fix style

* undo change

* cleaning informer, now need to work only enc-dec

* initial enc-dec classes

* added encoder and decoder

* added todo

* add todos for conv_layers

* added decoder docs from vanilla

* added encoder docs from vanilla

* remove encoder decoder from the original informer

* removed AttentionLayer from the original paper

* removed TriangularCausalMask, same as decoder_attention_mask

* initial sparse attention

* use conv_layers

* fixed test_config test

* fix parenthesis when itearting zip(layers, conv_layers)

* error found in prob attention, added sizes as comments

* fix sizes

* added proposal for q_reduce indexing, and remove unused

* WIP ProbMask, and changed factor=2 for testing

* remove unused libs for this PR for creating the env

* fix checking the attn_weights.size() after bmm

* Q_reduce: changed from torch.gather to simple slicing

* WIP calculate final attn_output

* finish adding v_aggregated, attn_output ready

* changed tgt_len to u in attention_mask, need to fix the size error

* comment attention_mask for encoder, and fix if cond for v_agg

* added ProbMask support (wip), removed old original code

* finished ProbMask 😃



* Revert "remove unused libs for this PR for creating the env"

This reverts commit 11a081e09e92771e51a5d2758d53a9afb59547f0.

* fixes

* make style

* fix initial tests

* fix more tests

* dry

* make style

* remove unused files

* style

* added integration tests

* fix num_static_real_features

* fix header

* remove unused function

* fix example

* fix docs

* Update src/transformers/models/informer/configuration_informer.py
Co-authored-by: NielsRogge <48327001+NielsRogge@users.noreply.github.com>

* Update src/transformers/models/informer/modeling_informer.py
Co-authored-by: NielsRogge <48327001+NielsRogge@users.noreply.github.com>

* Update src/transformers/models/informer/configuration_informer.py
Co-authored-by: NielsRogge <48327001+NielsRogge@users.noreply.github.com>

* Update src/transformers/models/informer/configuration_informer.py
Co-authored-by: NielsRogge <48327001+NielsRogge@users.noreply.github.com>

* Update src/transformers/models/informer/configuration_informer.py
Co-authored-by: NielsRogge <48327001+NielsRogge@users.noreply.github.com>

* Update src/transformers/models/informer/configuration_informer.py
Co-authored-by: NielsRogge <48327001+NielsRogge@users.noreply.github.com>

* fixes for reviewer

* use prediction_length from model

* fix style

* fixed informer.mdx

* added to index

* updated readme

* undo

* make fix-copies

* typo

* fix copy

* added Informer to toctree

* in order

* fixed comments

* remove unneeded new lines in docs

* make static real and cat optional

* fix use of distil conv layers

* fixed integration test

* added checkpoint for convlayer

* make fix-copies

* updated from time series model

* make fix-copies

* copy decoder

* fix unit tests

* updated scaling config

* fix integration tests

* IGNORE_NON_TESTED

* IGNORE_NON_AUTO_CONFIGURED

* IGNORE_NON_AUTO_CONFIGURED

* updated check configs

* fix formatting

* undo change from time series

* prediction_length should not be None

* aliign with the blog: prettify ProbSparse and change attention_factor  to sampling_factor

* make style

* make fix-copies

* niels CR: update contributed by

* niels CR: update configuration_informer.py
Co-authored-by: NielsRogge <48327001+NielsRogge@users.noreply.github.com>

* niels CR: update kashif -> huggingface
Co-authored-by: NielsRogge <48327001+NielsRogge@users.noreply.github.com>

* niels CR: `sampling_factor` only relevant when `attention_type`=prob

* make style

* fixed U_part: added multiplication by `L_Q`

* fixed bug: remove `is not None` from `if config.distil`

* fixed test: `decoder_seq_length` to `encoder_seq_length` in cross_attentions check

* fix integration tests

* updated model hub

* do not shift as in training

* undo

* fix make-copies

* make fix-copies

* added `if prediction_length is None`

* changed `ProbSparseAttention` to `InformerProbSparseAttention`

* changed `V_sum` -> `v_mean_dim_time`

* changed `ConvLayer` to `InformerConvLayer` and fixed `super()`

* TimeSeriesTansformer->Informer in decoder's Copied from

* more descriptive in ProbSparse

* make style

* fix coped from

* Revert "added `if prediction_length is None`"

This reverts commit b4cbddfa05e3bd739b79569cd3c3b89e316f2451.

* fixed indent

* use InformerSinusoidalPositionalEmbedding

* make fix-style

* fix from #21860

* fix name

* make fix-copies

* use time series utils

* fix dec num_heads

* docstring

* added time series util doc

* _import_structure

* formatting

* changes from review

* make style

* fix docs

* fix doc

* removed NegativeLogLikelihood

---------
Co-authored-by: Kashif Rasul <kashif.rasul@gmail.com>
Co-authored-by: NielsRogge <48327001+NielsRogge@users.noreply.github.com>

src/transformers/time_series_utils.py

+# coding=utf-8
+# Copyright 2023 The HuggingFace Inc. team.
+# Copyright 2018 Amazon.com, Inc. or its affiliates. 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.
+"""
+Time series distributional output classes and utilities.
+"""
+from typing import Callable, Dict, Optional, Tuple
+
+import torch
+from torch import nn
+from torch.distributions import (
+    AffineTransform,
+    Distribution,
+    Independent,
+    NegativeBinomial,
+    Normal,
+    StudentT,
+    TransformedDistribution,
+)
+
+
+class AffineTransformed(TransformedDistribution):
+    def __init__(self, base_distribution: Distribution, loc=None, scale=None, event_dim=0):
+        self.scale = 1.0 if scale is None else scale
+        self.loc = 0.0 if loc is None else loc
+
+        super().__init__(base_distribution, [AffineTransform(loc=self.loc, scale=self.scale, event_dim=event_dim)])
+
+    @property
+    def mean(self):
+        """
+        Returns the mean of the distribution.
+        """
+        return self.base_dist.mean * self.scale + self.loc
+
+    @property
+    def variance(self):
+        """
+        Returns the variance of the distribution.
+        """
+        return self.base_dist.variance * self.scale**2
+
+    @property
+    def stddev(self):
+        """
+        Returns the standard deviation of the distribution.
+        """
+        return self.variance.sqrt()
+
+
+class ParameterProjection(nn.Module):
+    def __init__(
+        self, in_features: int, args_dim: Dict[str, int], domain_map: Callable[..., Tuple[torch.Tensor]], **kwargs
+    ) -> None:
+        super().__init__(**kwargs)
+        self.args_dim = args_dim
+        self.proj = nn.ModuleList([nn.Linear(in_features, dim) for dim in args_dim.values()])
+        self.domain_map = domain_map
+
+    def forward(self, x: torch.Tensor) -> Tuple[torch.Tensor]:
+        params_unbounded = [proj(x) for proj in self.proj]
+
+        return self.domain_map(*params_unbounded)
+
+
+class LambdaLayer(nn.Module):
+    def __init__(self, function):
+        super().__init__()
+        self.function = function
+
+    def forward(self, x, *args):
+        return self.function(x, *args)
+
+
+class DistributionOutput:
+    distribution_class: type
+    in_features: int
+    args_dim: Dict[str, int]
+
+    def __init__(self, dim: int = 1) -> None:
+        self.dim = dim
+        self.args_dim = {k: dim * self.args_dim[k] for k in self.args_dim}
+
+    def _base_distribution(self, distr_args):
+        if self.dim == 1:
+            return self.distribution_class(*distr_args)
+        else:
+            return Independent(self.distribution_class(*distr_args), 1)
+
+    def distribution(
+        self,
+        distr_args,
+        loc: Optional[torch.Tensor] = None,
+        scale: Optional[torch.Tensor] = None,
+    ) -> Distribution:
+        distr = self._base_distribution(distr_args)
+        if loc is None and scale is None:
+            return distr
+        else:
+            return AffineTransformed(distr, loc=loc, scale=scale, event_dim=self.event_dim)
+
+    @property
+    def event_shape(self) -> Tuple:
+        r"""
+        Shape of each individual event contemplated by the distributions that this object constructs.
+        """
+        return () if self.dim == 1 else (self.dim,)
+
+    @property
+    def event_dim(self) -> int:
+        r"""
+        Number of event dimensions, i.e., length of the `event_shape` tuple, of the distributions that this object
+        constructs.
+        """
+        return len(self.event_shape)
+
+    @property
+    def value_in_support(self) -> float:
+        r"""
+        A float that will have a valid numeric value when computing the log-loss of the corresponding distribution. By
+        default 0.0. This value will be used when padding data series.
+        """
+        return 0.0
+
+    def get_parameter_projection(self, in_features: int) -> nn.Module:
+        r"""
+        Return the parameter projection layer that maps the input to the appropriate parameters of the distribution.
+        """
+        return ParameterProjection(
+            in_features=in_features,
+            args_dim=self.args_dim,
+            domain_map=LambdaLayer(self.domain_map),
+        )
+
+    def domain_map(self, *args: torch.Tensor):
+        r"""
+        Converts arguments to the right shape and domain. The domain depends on the type of distribution, while the
+        correct shape is obtained by reshaping the trailing axis in such a way that the returned tensors define a
+        distribution of the right event_shape.
+        """
+        raise NotImplementedError()
+
+    @staticmethod
+    def squareplus(x: torch.Tensor) -> torch.Tensor:
+        r"""
+        Helper to map inputs to the positive orthant by applying the square-plus operation. Reference:
+        https://twitter.com/jon_barron/status/1387167648669048833
+        """
+        return (x + torch.sqrt(torch.square(x) + 4.0)) / 2.0
+
+
+class StudentTOutput(DistributionOutput):
+    """
+    Student-T distribution output class.
+    """
+
+    args_dim: Dict[str, int] = {"df": 1, "loc": 1, "scale": 1}
+    distribution_class: type = StudentT
+
+    @classmethod
+    def domain_map(cls, df: torch.Tensor, loc: torch.Tensor, scale: torch.Tensor):
+        scale = cls.squareplus(scale)
+        df = 2.0 + cls.squareplus(df)
+        return df.squeeze(-1), loc.squeeze(-1), scale.squeeze(-1)
+
+
+class NormalOutput(DistributionOutput):
+    """
+    Normal distribution output class.
+    """
+
+    args_dim: Dict[str, int] = {"loc": 1, "scale": 1}
+    distribution_class: type = Normal
+
+    @classmethod
+    def domain_map(cls, loc: torch.Tensor, scale: torch.Tensor):
+        scale = cls.squareplus(scale)
+        return loc.squeeze(-1), scale.squeeze(-1)
+
+
+class NegativeBinomialOutput(DistributionOutput):
+    """
+    Negative Binomial distribution output class.
+    """
+
+    args_dim: Dict[str, int] = {"total_count": 1, "logits": 1}
+    distribution_class: type = NegativeBinomial
+
+    @classmethod
+    def domain_map(cls, total_count: torch.Tensor, logits: torch.Tensor):
+        total_count = cls.squareplus(total_count)
+        return total_count.squeeze(-1), logits.squeeze(-1)
+
+    def _base_distribution(self, distr_args) -> Distribution:
+        total_count, logits = distr_args
+        if self.dim == 1:
+            return self.distribution_class(total_count=total_count, logits=logits)
+        else:
+            return Independent(self.distribution_class(total_count=total_count, logits=logits), 1)
+
+    # Overwrites the parent class method. We cannot scale using the affine
+    # transformation since negative binomial should return integers. Instead
+    # we scale the parameters.
+    def distribution(
+        self, distr_args, loc: Optional[torch.Tensor] = None, scale: Optional[torch.Tensor] = None
+    ) -> Distribution:
+        total_count, logits = distr_args
+
+        if scale is not None:
+            # See scaling property of Gamma.
+            logits += scale.log()
+
+        return self._base_distribution((total_count, logits))

src/transformers/utils/dummy_pt_objects.py

@@ -3430,6 +3430,30 @@ def load_tf_weights_in_imagegpt(*args, **kwargs):
     requires_backends(load_tf_weights_in_imagegpt, ["torch"])
 
 
+INFORMER_PRETRAINED_MODEL_ARCHIVE_LIST = None
+
+
+class InformerForPrediction(metaclass=DummyObject):
+    _backends = ["torch"]
+
+    def __init__(self, *args, **kwargs):
+        requires_backends(self, ["torch"])
+
+
+class InformerModel(metaclass=DummyObject):
+    _backends = ["torch"]
+
+    def __init__(self, *args, **kwargs):
+        requires_backends(self, ["torch"])
+
+
+class InformerPreTrainedModel(metaclass=DummyObject):
+    _backends = ["torch"]
+
+    def __init__(self, *args, **kwargs):
+        requires_backends(self, ["torch"])
+
+
 JUKEBOX_PRETRAINED_MODEL_ARCHIVE_LIST = None
 
 

utils/check_config_attributes.py

@@ -69,6 +69,10 @@ SPECIAL_CASES_TO_ALLOW = {
     "RetriBertConfig": ["layer_norm_eps"],
     # having default values other than `1e-5` - we can't fix them without breaking
     "TrajectoryTransformerConfig": ["layer_norm_eps"],
+    # used internally to calculate the feature size
+    "InformerConfig": ["num_static_real_features", "num_time_features"],
+    # used internally to calculate the feature size
+    "TimeSeriesTransformerConfig": ["num_static_real_features", "num_time_features"],
 }
 
 # TODO (ydshieh): Check the failing cases, try to fix them or move some cases to the above block once we are sure
@@ -97,7 +101,6 @@ SPECIAL_CASES_TO_ALLOW.update(
         "SwitchTransformersConfig": True,
         "TableTransformerConfig": True,
         "TapasConfig": True,
-        "TimeSeriesTransformerConfig": True,
         "TrajectoryTransformerConfig": True,
         "TransfoXLConfig": True,
         "UniSpeechConfig": True,

utils/check_repo.py

@@ -68,6 +68,8 @@ IGNORE_NON_TESTED = PRIVATE_MODELS.copy() + [
     "TableTransformerDecoder",  # Building part of bigger (tested) model.
     "TimeSeriesTransformerEncoder",  # Building part of bigger (tested) model.
     "TimeSeriesTransformerDecoder",  # Building part of bigger (tested) model.
+    "InformerEncoder",  # Building part of bigger (tested) model.
+    "InformerDecoder",  # Building part of bigger (tested) model.
     "JukeboxVQVAE",  # Building part of bigger (tested) model.
     "JukeboxPrior",  # Building part of bigger (tested) model.
     "DeformableDetrEncoder",  # Building part of bigger (tested) model.
@@ -208,6 +210,7 @@ IGNORE_NON_AUTO_CONFIGURED = PRIVATE_MODELS.copy() + [
     "EsmForProteinFolding",
     "GPTSanJapaneseModel",
     "TimeSeriesTransformerForPrediction",
+    "InformerForPrediction",
     "JukeboxVQVAE",
     "JukeboxPrior",
     "PegasusXEncoder",