stemgnn.py

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

# %% auto 0
__all__ = ['GLU', 'StockBlockLayer', 'StemGNN']

# %% ../../nbs/models.stemgnn.ipynb 6
import torch
import torch.nn as nn
import torch.nn.functional as F

from ..losses.pytorch import MAE
from ..common._base_multivariate import BaseMultivariate

# %% ../../nbs/models.stemgnn.ipynb 7
class GLU(nn.Module):
    def __init__(self, input_channel, output_channel):
        super(GLU, self).__init__()
        self.linear_left = nn.Linear(input_channel, output_channel)
        self.linear_right = nn.Linear(input_channel, output_channel)

    def forward(self, x):
        return torch.mul(self.linear_left(x), torch.sigmoid(self.linear_right(x)))

# %% ../../nbs/models.stemgnn.ipynb 8
class StockBlockLayer(nn.Module):
    def __init__(self, time_step, unit, multi_layer, stack_cnt=0):
        super(StockBlockLayer, self).__init__()
        self.time_step = time_step
        self.unit = unit
        self.stack_cnt = stack_cnt
        self.multi = multi_layer
        self.weight = nn.Parameter(
            torch.Tensor(
                1, 3 + 1, 1, self.time_step * self.multi, self.multi * self.time_step
            )
        )  # [K+1, 1, in_c, out_c]
        nn.init.xavier_normal_(self.weight)
        self.forecast = nn.Linear(
            self.time_step * self.multi, self.time_step * self.multi
        )
        self.forecast_result = nn.Linear(self.time_step * self.multi, self.time_step)
        if self.stack_cnt == 0:
            self.backcast = nn.Linear(self.time_step * self.multi, self.time_step)
        self.backcast_short_cut = nn.Linear(self.time_step, self.time_step)
        self.relu = nn.ReLU()
        self.GLUs = nn.ModuleList()
        self.output_channel = 4 * self.multi
        for i in range(3):
            if i == 0:
                self.GLUs.append(
                    GLU(self.time_step * 4, self.time_step * self.output_channel)
                )
                self.GLUs.append(
                    GLU(self.time_step * 4, self.time_step * self.output_channel)
                )
            elif i == 1:
                self.GLUs.append(
                    GLU(
                        self.time_step * self.output_channel,
                        self.time_step * self.output_channel,
                    )
                )
                self.GLUs.append(
                    GLU(
                        self.time_step * self.output_channel,
                        self.time_step * self.output_channel,
                    )
                )
            else:
                self.GLUs.append(
                    GLU(
                        self.time_step * self.output_channel,
                        self.time_step * self.output_channel,
                    )
                )
                self.GLUs.append(
                    GLU(
                        self.time_step * self.output_channel,
                        self.time_step * self.output_channel,
                    )
                )

    def spe_seq_cell(self, input):
        batch_size, k, input_channel, node_cnt, time_step = input.size()
        input = input.view(batch_size, -1, node_cnt, time_step)
        ffted = torch.view_as_real(torch.fft.fft(input, dim=1))
        real = (
            ffted[..., 0]
            .permute(0, 2, 1, 3)
            .contiguous()
            .reshape(batch_size, node_cnt, -1)
        )
        img = (
            ffted[..., 1]
            .permute(0, 2, 1, 3)
            .contiguous()
            .reshape(batch_size, node_cnt, -1)
        )
        for i in range(3):
            real = self.GLUs[i * 2](real)
            img = self.GLUs[2 * i + 1](img)
        real = (
            real.reshape(batch_size, node_cnt, 4, -1).permute(0, 2, 1, 3).contiguous()
        )
        img = img.reshape(batch_size, node_cnt, 4, -1).permute(0, 2, 1, 3).contiguous()
        time_step_as_inner = torch.cat([real.unsqueeze(-1), img.unsqueeze(-1)], dim=-1)
        iffted = torch.fft.irfft(
            torch.view_as_complex(time_step_as_inner),
            n=time_step_as_inner.shape[1],
            dim=1,
        )
        return iffted

    def forward(self, x, mul_L):
        mul_L = mul_L.unsqueeze(1)
        x = x.unsqueeze(1)
        gfted = torch.matmul(mul_L, x)
        gconv_input = self.spe_seq_cell(gfted).unsqueeze(2)
        igfted = torch.matmul(gconv_input, self.weight)
        igfted = torch.sum(igfted, dim=1)
        forecast_source = torch.sigmoid(self.forecast(igfted).squeeze(1))
        forecast = self.forecast_result(forecast_source)
        if self.stack_cnt == 0:
            backcast_short = self.backcast_short_cut(x).squeeze(1)
            backcast_source = torch.sigmoid(self.backcast(igfted) - backcast_short)
        else:
            backcast_source = None
        return forecast, backcast_source

# %% ../../nbs/models.stemgnn.ipynb 9
class StemGNN(BaseMultivariate):
    """StemGNN

    The Spectral Temporal Graph Neural Network (`StemGNN`) is a Graph-based multivariate
    time-series forecasting model. `StemGNN` jointly learns temporal dependencies and
    inter-series correlations in the spectral domain, by combining Graph Fourier Transform (GFT)
    and Discrete Fourier Transform (DFT).

    **Parameters:**<br>
    `h`: int, Forecast horizon. <br>
    `input_size`: int, autorregresive inputs size, y=[1,2,3,4] input_size=2 -> y_[t-2:t]=[1,2].<br>
    `n_series`: int, number of time-series.<br>
    `stat_exog_list`: str list, static exogenous columns.<br>
    `hist_exog_list`: str list, historic exogenous columns.<br>
    `futr_exog_list`: str list, future exogenous columns.<br>
    `n_stacks`: int=2, number of stacks in the model.<br>
    `multi_layer`: int=5, multiplier for FC hidden size on StemGNN blocks.<br>
    `dropout_rate`: float=0.5, dropout rate.<br>
    `leaky_rate`: float=0.2, alpha for LeakyReLU layer on Latent Correlation layer.<br>
    `loss`: PyTorch module, instantiated train loss class from [losses collection](https://nixtla.github.io/neuralforecast/losses.pytorch.html).<br>
    `valid_loss`: PyTorch module=`loss`, instantiated valid 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, number of windows in each batch.<br>
    `step_size`: int=1, step size between each window of temporal data.<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, 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>
    """

    # Class attributes
    SAMPLING_TYPE = "multivariate"

    def __init__(
        self,
        h,
        input_size,
        n_series,
        futr_exog_list=None,
        hist_exog_list=None,
        stat_exog_list=None,
        n_stacks=2,
        multi_layer: int = 5,
        dropout_rate: float = 0.5,
        leaky_rate: float = 0.2,
        loss=MAE(),
        valid_loss=None,
        max_steps: int = 1000,
        learning_rate: float = 1e-3,
        num_lr_decays: int = 3,
        early_stop_patience_steps: int = -1,
        val_check_steps: int = 100,
        batch_size: int = 32,
        step_size: int = 1,
        scaler_type: str = "robust",
        random_seed: int = 1,
        num_workers_loader=0,
        drop_last_loader=False,
        optimizer=None,
        optimizer_kwargs=None,
        **trainer_kwargs
    ):

        # Inherit BaseMultivariate class
        super(StemGNN, self).__init__(
            h=h,
            input_size=input_size,
            n_series=n_series,
            futr_exog_list=futr_exog_list,
            hist_exog_list=hist_exog_list,
            stat_exog_list=stat_exog_list,
            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,
            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
        )
        # Quick fix for now, fix the model later.
        if n_stacks != 2:
            raise Exception("StemGNN currently only supports n_stacks=2.")

        # Exogenous variables
        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)

        self.unit = n_series
        self.stack_cnt = n_stacks
        self.alpha = leaky_rate
        self.time_step = input_size
        self.horizon = h
        self.h = h

        self.weight_key = nn.Parameter(torch.zeros(size=(self.unit, 1)))
        nn.init.xavier_uniform_(self.weight_key.data, gain=1.414)
        self.weight_query = nn.Parameter(torch.zeros(size=(self.unit, 1)))
        nn.init.xavier_uniform_(self.weight_query.data, gain=1.414)
        self.GRU = nn.GRU(self.time_step, self.unit)
        self.multi_layer = multi_layer
        self.stock_block = nn.ModuleList()
        self.stock_block.extend(
            [
                StockBlockLayer(
                    self.time_step, self.unit, self.multi_layer, stack_cnt=i
                )
                for i in range(self.stack_cnt)
            ]
        )
        self.fc = nn.Sequential(
            nn.Linear(int(self.time_step), int(self.time_step)),
            nn.LeakyReLU(),
            nn.Linear(
                int(self.time_step), self.horizon * self.loss.outputsize_multiplier
            ),
        )
        self.leakyrelu = nn.LeakyReLU(self.alpha)
        self.dropout = nn.Dropout(p=dropout_rate)

    def get_laplacian(self, graph, normalize):
        """
        return the laplacian of the graph.
        :param graph: the graph structure without self loop, [N, N].
        :param normalize: whether to used the normalized laplacian.
        :return: graph laplacian.
        """
        if normalize:
            D = torch.diag(torch.sum(graph, dim=-1) ** (-1 / 2))
            L = torch.eye(
                graph.size(0), device=graph.device, dtype=graph.dtype
            ) - torch.mm(torch.mm(D, graph), D)
        else:
            D = torch.diag(torch.sum(graph, dim=-1))
            L = D - graph
        return L

    def cheb_polynomial(self, laplacian):
        """
        Compute the Chebyshev Polynomial, according to the graph laplacian.
        :param laplacian: the graph laplacian, [N, N].
        :return: the multi order Chebyshev laplacian, [K, N, N].
        """
        N = laplacian.size(0)  # [N, N]
        laplacian = laplacian.unsqueeze(0)
        first_laplacian = torch.zeros(
            [1, N, N], device=laplacian.device, dtype=torch.float
        )
        second_laplacian = laplacian
        third_laplacian = (
            2 * torch.matmul(laplacian, second_laplacian)
        ) - first_laplacian
        forth_laplacian = (
            2 * torch.matmul(laplacian, third_laplacian) - second_laplacian
        )
        multi_order_laplacian = torch.cat(
            [first_laplacian, second_laplacian, third_laplacian, forth_laplacian], dim=0
        )
        return multi_order_laplacian

    def latent_correlation_layer(self, x):
        input, _ = self.GRU(x.permute(2, 0, 1).contiguous())
        input = input.permute(1, 0, 2).contiguous()
        attention = self.self_graph_attention(input)
        attention = torch.mean(attention, dim=0)
        degree = torch.sum(attention, dim=1)
        # laplacian is sym or not
        attention = 0.5 * (attention + attention.T)
        degree_l = torch.diag(degree)
        diagonal_degree_hat = torch.diag(1 / (torch.sqrt(degree) + 1e-7))
        laplacian = torch.matmul(
            diagonal_degree_hat, torch.matmul(degree_l - attention, diagonal_degree_hat)
        )
        mul_L = self.cheb_polynomial(laplacian)
        return mul_L, attention

    def self_graph_attention(self, input):
        input = input.permute(0, 2, 1).contiguous()
        bat, N, fea = input.size()
        key = torch.matmul(input, self.weight_key)
        query = torch.matmul(input, self.weight_query)
        data = key.repeat(1, 1, N).view(bat, N * N, 1) + query.repeat(1, N, 1)
        data = data.squeeze(2)
        data = data.view(bat, N, -1)
        data = self.leakyrelu(data)
        attention = F.softmax(data, dim=2)
        attention = self.dropout(attention)
        return attention

    def graph_fft(self, input, eigenvectors):
        return torch.matmul(eigenvectors, input)

    def forward(self, windows_batch):
        # Parse batch
        x = windows_batch["insample_y"]
        batch_size = x.shape[0]

        mul_L, attention = self.latent_correlation_layer(x)
        X = x.unsqueeze(1).permute(0, 1, 3, 2).contiguous()
        result = []
        for stack_i in range(self.stack_cnt):
            forecast, X = self.stock_block[stack_i](X, mul_L)
            result.append(forecast)
        forecast = result[0] + result[1]
        forecast = self.fc(forecast)

        forecast = forecast.permute(0, 2, 1).contiguous()
        forecast = forecast.reshape(
            batch_size, self.h, self.loss.outputsize_multiplier * self.n_series
        )
        forecast = self.loss.domain_map(forecast)

        # domain_map might have squeezed the last dimension in case n_series == 1
        # Note that this fails in case of a tuple loss, but Multivariate does not support tuple losses yet.
        if forecast.ndim == 2:
            return forecast.unsqueeze(-1)
        else:
            return forecast