nlinear.py

# AUTOGENERATED! DO NOT EDIT! File to edit: ../../nbs/models.nlinear.ipynb.

# %% auto 0
__all__ = ['NLinear']

# %% ../../nbs/models.nlinear.ipynb 5
from typing import Optional

import torch.nn as nn

from ..common._base_windows import BaseWindows

from ..losses.pytorch import MAE

# %% ../../nbs/models.nlinear.ipynb 8
class NLinear(BaseWindows):
    """NLinear

    *Parameters:*<br>
    `h`: int, forecast horizon.<br>
    `input_size`: int, maximum sequence length for truncated train backpropagation. Default -1 uses all history.<br>
    `futr_exog_list`: str list, future exogenous columns.<br>
    `hist_exog_list`: str list, historic exogenous columns.<br>
    `stat_exog_list`: str list, static exogenous columns.<br>
    `exclude_insample_y`: bool=False, the model skips the autoregressive features y[t-input_size:t] if True.<br>
    `loss`: PyTorch module, instantiated train loss class from [losses collection](https://nixtla.github.io/neuralforecast/losses.pytorch.html).<br>
    `max_steps`: int=1000, maximum number of training steps.<br>
    `learning_rate`: float=1e-3, Learning rate between (0, 1).<br>
    `num_lr_decays`: int=-1, Number of learning rate decays, evenly distributed across max_steps.<br>
    `early_stop_patience_steps`: int=-1, Number of validation iterations before early stopping.<br>
    `val_check_steps`: int=100, Number of training steps between every validation loss check.<br>
    `batch_size`: int=32, number of different series in each batch.<br>
    `valid_batch_size`: int=None, number of different series in each validation and test batch, if None uses batch_size.<br>
    `windows_batch_size`: int=1024, number of windows to sample in each training batch, default uses all.<br>
    `inference_windows_batch_size`: int=1024, number of windows to sample in each inference batch.<br>
    `start_padding_enabled`: bool=False, if True, the model will pad the time series with zeros at the beginning, by input size.<br>
    `scaler_type`: str='robust', type of scaler for temporal inputs normalization see [temporal scalers](https://nixtla.github.io/neuralforecast/common.scalers.html).<br>
    `random_seed`: int=1, random_seed for pytorch initializer and numpy generators.<br>
    `num_workers_loader`: int=os.cpu_count(), workers to be used by `TimeSeriesDataLoader`.<br>
    `drop_last_loader`: bool=False, if True `TimeSeriesDataLoader` drops last non-full batch.<br>
    `alias`: str, optional,  Custom name of the model.<br>
    `optimizer`: Subclass of 'torch.optim.Optimizer', optional, user specified optimizer instead of the default choice (Adam).<br>
    `optimizer_kwargs`: dict, optional, list of parameters used by the user specified `optimizer`.<br>
    `**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>

        *References*<br>
        - Zeng, Ailing, et al. "Are transformers effective for time series forecasting?." Proceedings of the AAAI conference on artificial intelligence. Vol. 37. No. 9. 2023."
    """

    # Class attributes
    SAMPLING_TYPE = "windows"

    def __init__(
        self,
        h: int,
        input_size: int,
        stat_exog_list=None,
        hist_exog_list=None,
        futr_exog_list=None,
        exclude_insample_y=False,
        loss=MAE(),
        valid_loss=None,
        max_steps: int = 5000,
        learning_rate: float = 1e-4,
        num_lr_decays: int = -1,
        early_stop_patience_steps: int = -1,
        val_check_steps: int = 100,
        batch_size: int = 32,
        valid_batch_size: Optional[int] = None,
        windows_batch_size=1024,
        inference_windows_batch_size=1024,
        start_padding_enabled=False,
        step_size: int = 1,
        scaler_type: str = "identity",
        random_seed: int = 1,
        num_workers_loader: int = 0,
        drop_last_loader: bool = False,
        optimizer=None,
        optimizer_kwargs=None,
        **trainer_kwargs
    ):
        super(NLinear, self).__init__(
            h=h,
            input_size=input_size,
            hist_exog_list=hist_exog_list,
            stat_exog_list=stat_exog_list,
            futr_exog_list=futr_exog_list,
            exclude_insample_y=exclude_insample_y,
            loss=loss,
            valid_loss=valid_loss,
            max_steps=max_steps,
            learning_rate=learning_rate,
            num_lr_decays=num_lr_decays,
            early_stop_patience_steps=early_stop_patience_steps,
            val_check_steps=val_check_steps,
            batch_size=batch_size,
            windows_batch_size=windows_batch_size,
            valid_batch_size=valid_batch_size,
            inference_windows_batch_size=inference_windows_batch_size,
            start_padding_enabled=start_padding_enabled,
            step_size=step_size,
            scaler_type=scaler_type,
            num_workers_loader=num_workers_loader,
            drop_last_loader=drop_last_loader,
            random_seed=random_seed,
            optimizer=optimizer,
            optimizer_kwargs=optimizer_kwargs,
            **trainer_kwargs
        )

        # Architecture
        self.futr_input_size = len(self.futr_exog_list)
        self.hist_input_size = len(self.hist_exog_list)
        self.stat_input_size = len(self.stat_exog_list)

        if self.stat_input_size > 0:
            raise Exception("NLinear does not support static variables yet")

        if self.hist_input_size > 0:
            raise Exception("NLinear does not support historical variables yet")

        if self.futr_input_size > 0:
            raise Exception("NLinear does not support future variables yet")

        self.c_out = self.loss.outputsize_multiplier
        self.output_attention = False
        self.enc_in = 1
        self.dec_in = 1

        self.linear = nn.Linear(
            self.input_size, self.loss.outputsize_multiplier * h, bias=True
        )

    def forward(self, windows_batch):
        # Parse windows_batch
        insample_y = windows_batch["insample_y"]
        # insample_mask = windows_batch['insample_mask']
        # hist_exog     = windows_batch['hist_exog']
        # stat_exog     = windows_batch['stat_exog']
        # futr_exog     = windows_batch['futr_exog']

        # Parse inputs
        batch_size = len(insample_y)

        # Input normalization
        last_value = insample_y[:, -1:]
        norm_insample_y = insample_y - last_value

        # Final
        forecast = self.linear(norm_insample_y) + last_value
        forecast = forecast.reshape(batch_size, self.h, self.loss.outputsize_multiplier)
        forecast = self.loss.domain_map(forecast)
        return forecast