# Copyright 2024 Google LLC # # 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. """Pax ML model for patched time-series decoder. The file implements Residual MLPs, Patched Decoder layers and PAX ML models. """ import dataclasses from typing import Optional, Tuple import einshape as es from jax import lax import jax.numpy as jnp from praxis import base_layer from praxis import layers from praxis import pax_fiddle from praxis import py_utils from praxis import pytypes from praxis.layers import activations from praxis.layers import embedding_softmax from praxis.layers import linears from praxis.layers import normalizations from praxis.layers import stochastics from praxis.layers import transformers # PAX shortcuts NestedMap = py_utils.NestedMap JTensor = pytypes.JTensor LayerTpl = pax_fiddle.Config[base_layer.BaseLayer] template_field = base_layer.template_field PAD_VAL = 1123581321.0 DEFAULT_QUANTILES = [0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9] # NestedMap keys _INPUT_TS = "input_ts" _INPUT_PADDING = "input_padding" _OUTPUT_TS = "output_ts" _FREQ = "freq" _OUTPUT_TOKENS = "output_tokens" _STATS = "stats" # Small numerical value. _TOLERANCE = 1e-7 def _shift_padded_seq(mask: JTensor, seq: JTensor) -> JTensor: """Shifts rows of seq based on the first 0 in each row of the mask.""" num = seq.shape[1] # Find the index of the first 0 in each row of the mask first_zero_idx = jnp.argmin(mask, axis=1) # Create a range array for indexing idx_range = jnp.arange(num) def shift_row(carry, x): seq_row, shift = x shifted_idx = (idx_range - shift) % num shifted_row = seq_row[shifted_idx] return carry, shifted_row # Use lax.scan to shift each row of seq based on the corresponding # first_zero_idx. _, shifted_seq = lax.scan(shift_row, None, (seq, first_zero_idx)) return shifted_seq class ResidualBlock(base_layer.BaseLayer): """Simple feedforward block with residual connection. Attributes: input_dims: input dimension. hidden_dims: hidden dimension. output_dims: output dimension. dropout_prob: dropout probability. layer_norm: whether to use layer norm or not. dropout_tpl: config for dropout. ln_tpl: config for layer norm. act_tpl: config for activation in hidden layer. """ input_dims: int = 0 hidden_dims: int = 0 output_dims: int = 0 dropout_prob: float = 0.0 layer_norm: bool = False dropout_tpl: LayerTpl = template_field(stochastics.Dropout) ln_tpl: LayerTpl = template_field(normalizations.LayerNorm) act_tpl: LayerTpl = template_field(activations.Swish) def setup(self): lnorm_tpl = self.ln_tpl.clone() lnorm_tpl.dim = self.output_dims self.create_child("ln_layer", lnorm_tpl) dropout_tpl = self.dropout_tpl.clone() dropout_tpl.keep_prob = 1.0 - self.dropout_prob self.create_child("dropout", dropout_tpl) self.create_child( "hidden_layer", pax_fiddle.Config( linears.FeedForward, input_dims=self.input_dims, output_dims=self.hidden_dims, activation_tpl=self.act_tpl.clone(), ), ) self.create_child( "output_layer", pax_fiddle.Config( linears.FeedForward, input_dims=self.hidden_dims, output_dims=self.output_dims, activation_tpl=pax_fiddle.Config(activations.Identity), ), ) self.create_child( "residual_layer", pax_fiddle.Config( linears.FeedForward, input_dims=self.input_dims, output_dims=self.output_dims, activation_tpl=pax_fiddle.Config(activations.Identity), ), ) def __call__(self, inputs: JTensor) -> JTensor: hidden = self.hidden_layer(inputs) output = self.output_layer(hidden) output = self.dropout(output) residual = self.residual_layer(inputs) if self.layer_norm: return self.ln_layer(output + residual) else: return output + residual def _masked_mean_std( inputs: JTensor, padding: JTensor ) -> Tuple[JTensor, JTensor]: """Calculates mean and standard deviation of arr across axis 1. It should exclude values where pad is 1. Args: inputs: A JAX array of shape [b, n, p]. padding: A JAX array of shape [b, n, p] with values 0 or 1. Returns: A tuple containing the mean and standard deviation of arr. We return the statistics of the first patch with more than three non-padded values. """ # Selecting the first pad with more than 3 unpadded values. pad_sum = jnp.sum(1 - padding, axis=2) def _get_patch_index(arr: JTensor): indices = jnp.argmax(arr >= 3, axis=1) row_sum = (arr >= 3).sum(axis=1) return jnp.where(row_sum == 0, arr.shape[1] - 1, indices) patch_indices = _get_patch_index(pad_sum) bidxs = jnp.arange(inputs.shape[0]) arr = inputs[bidxs, patch_indices, :] pad = padding[bidxs, patch_indices, :] # Create a mask where P is 0 mask = 1 - pad # Calculate the number of valid elements num_valid_elements = jnp.sum(mask, axis=1) num_valid_elements = jnp.where(num_valid_elements == 0, 1, num_valid_elements) # Calculate the masked sum and squared sum of M masked_sum = jnp.sum(arr * mask, axis=1) masked_squared_sum = jnp.sum((arr * mask) ** 2, axis=1) # Calculate the masked mean and standard deviation masked_mean = masked_sum / num_valid_elements masked_var = masked_squared_sum / num_valid_elements - masked_mean**2 masked_var = jnp.where(masked_var < 0.0, 0.0, masked_var) masked_std = jnp.sqrt(masked_var) return masked_mean, masked_std def _create_quantiles() -> list[float]: """Returns the quantiles for forecasting.""" return DEFAULT_QUANTILES class PatchedTimeSeriesDecoder(base_layer.BaseLayer): """Patch decoder layer for time-series foundation model. Attributes: patch_len: length of input patches. horizon_len: length of output patches. Referred to as `output_patch_len` during inference. model_dims: model dimension of stacked transformer layer. hidden_dims: hidden dimensions in fully connected layers. quantiles: list of quantiles for non prob model. residual_block_tpl: config for residual block. stacked_transformer_params_tpl: config for stacked transformer. use_freq: whether to use frequency encoding. In all of what followed, except specified otherwise, B is batch size, T is sequence length of time-series. N is the number of input patches that can be obtained from T. P is the input patch length and H is the horizon length. Q is number of output logits. D is model dimension. """ patch_len: int = 0 horizon_len: int = 0 model_dims: int = 0 hidden_dims: int = 0 quantiles: list[float] = dataclasses.field(default_factory=_create_quantiles) residual_block_tpl: LayerTpl = template_field(ResidualBlock) stacked_transformer_params_tpl: LayerTpl = template_field( transformers.StackedTransformer ) use_freq: bool = True def setup(self) -> None: """Construct the model.""" num_outputs = len(self.quantiles) + 1 stl = self.stacked_transformer_params_tpl.clone() stl.model_dims = self.model_dims stl.hidden_dims = self.hidden_dims stl.mask_self_attention = True self.create_child("stacked_transformer_layer", stl) input_resl = self.residual_block_tpl.clone() ff_in_dims = 2 * self.patch_len input_resl.input_dims = ff_in_dims input_resl.hidden_dims = self.hidden_dims input_resl.output_dims = self.model_dims self.create_child( "input_ff_layer", input_resl, ) horizon_resl = self.residual_block_tpl.clone() horizon_resl.input_dims = self.model_dims horizon_resl.hidden_dims = self.hidden_dims horizon_resl.output_dims = self.horizon_len * num_outputs self.create_child( "horizon_ff_layer", horizon_resl, ) self.create_child( "position_emb", pax_fiddle.Config( layers.PositionalEmbedding, embedding_dims=self.model_dims ), ) if self.use_freq: self.create_child( "freq_emb", pax_fiddle.Config( embedding_softmax.Embedding, num_classes=3, input_dims=self.model_dims, ), ) def transform_decode_state( self, transform_fn: base_layer.DecodeStateTransformFn ) -> None: """Transforms all decode state variables based on transform_fn.""" self.stacked_transformer_layer.transform_decode_state(transform_fn) def _forward_transform( self, inputs: JTensor, patched_pads: JTensor ) -> Tuple[JTensor, Tuple[JTensor, JTensor]]: """Input is of shape [B, N, P].""" mu, sigma = _masked_mean_std(inputs, patched_pads) sigma = jnp.where(sigma < _TOLERANCE, 1.0, sigma) # Normalize each patch. outputs = (inputs - mu[:, None, None]) / sigma[:, None, None] outputs = jnp.where( jnp.abs(inputs - PAD_VAL) < _TOLERANCE, PAD_VAL, outputs ) return outputs, (mu, sigma) def _reverse_transform( self, outputs: JTensor, stats: Tuple[JTensor, JTensor] ) -> JTensor: """Output is of shape [B, N, P, Q].""" mu, sigma = stats return outputs * sigma[:, None, None, None] + mu[:, None, None, None] def _preprocess_input( self, input_ts: JTensor, input_padding: JTensor, pos_emb: Optional[JTensor] = None, ) -> Tuple[JTensor, JTensor, Optional[Tuple[JTensor, JTensor]], JTensor]: """Preprocess input for stacked transformer.""" # Reshape into patches. patched_inputs = es.jax_einshape("b(np)->bnp", input_ts, p=self.patch_len) input_padding = jnp.where( jnp.abs(input_ts - PAD_VAL) < _TOLERANCE, 1, input_padding ) patched_pads = es.jax_einshape( "b(np)->bnp", input_padding, p=self.patch_len ) patched_inputs, stats = self._forward_transform( patched_inputs, patched_pads ) # B x N x D patched_inputs = patched_inputs * (1.0 - patched_pads) concat_inputs = jnp.concatenate([patched_inputs, patched_pads], axis=-1) model_input = self.input_ff_layer(concat_inputs) # A patch should not be padded even if there is at least one zero. patched_padding = jnp.min(patched_pads, axis=-1) if pos_emb is None: position_emb = self.position_emb(seq_length=model_input.shape[1]) else: position_emb = pos_emb if self.do_eval: if position_emb.shape[0] != model_input.shape[0]: position_emb = jnp.repeat(position_emb, model_input.shape[0], axis=0) position_emb = _shift_padded_seq(patched_padding, position_emb) model_input += position_emb return model_input, patched_padding, stats, patched_inputs def _postprocess_output( self, model_output: JTensor, num_outputs: int, stats: Tuple[JTensor, JTensor], ) -> JTensor: """Postprocess output of stacked transformer.""" # B x N x (H.Q) output_ts = self.horizon_ff_layer(model_output) output_ts = es.jax_einshape( "bn(hq)->bnhq", output_ts, q=num_outputs, h=self.horizon_len ) return self._reverse_transform(output_ts, stats) def __call__(self, inputs: NestedMap) -> NestedMap: """PatchTST call. Args: inputs: A NestedMap containing (1) input_ts: input sequence of shape [B, T] where T must be multiple of patch_length; (2) input_padding: that contains padding map. Returns: A nested map with two keys: (1) 'output_tokens' of shape [B, N, D]. (2) 'output_ts' of shape [B, N, H, Q] (3) 'stats' a Tuple of statistics for renormalization. """ input_ts, input_padding = inputs[_INPUT_TS], inputs[_INPUT_PADDING] num_outputs = len(self.quantiles) + 1 model_input, patched_padding, stats, _ = self._preprocess_input( input_ts=input_ts, input_padding=input_padding, ) if self.use_freq: freq = inputs[_FREQ].astype(jnp.int32) f_emb = self.freq_emb(freq) # B x 1 x D f_emb = jnp.repeat(f_emb, model_input.shape[1], axis=1) model_input += f_emb model_output = self.stacked_transformer_layer(model_input, patched_padding) output_ts = self._postprocess_output(model_output, num_outputs, stats) return NestedMap( {_OUTPUT_TOKENS: model_output, _OUTPUT_TS: output_ts, _STATS: stats} ) def decode( self, inputs: NestedMap, horizon_len: int, output_patch_len: Optional[int] = None, max_len: int = 512, ) -> tuple[JTensor, JTensor]: """Auto-regressive decoding without caching. Args: inputs: input time-series and paddings. Time-series shape B x C, padding shape shape B x (C + H) where H is the prediction length. horizon_len: prediction length. output_patch_len: output length to be fetched from one step of auto-regressive decoding. max_len: maximum training context length. Returns: Tuple of two forecasting results: - Point (mean) output predictions as a tensor with shape B x H. - Full predictions (mean and quantiles) as a tensor with shape B x H x (1 + # quantiles). """ final_out = inputs[_INPUT_TS] inp_time_len = final_out.shape[1] paddings = inputs[_INPUT_PADDING] if self.use_freq: freq = inputs[_FREQ].astype(jnp.int32) else: freq = jnp.zeros([final_out.shape[0], 1], dtype=jnp.int32) full_outputs = [] if paddings.shape[1] != final_out.shape[1] + horizon_len: raise ValueError( "Length of paddings must match length of input + horizon_len:" f" {paddings.shape[1]} != {final_out.shape[1]} + {horizon_len}" ) if output_patch_len is None: output_patch_len = self.horizon_len num_decode_patches = ( horizon_len + output_patch_len - 1 ) // output_patch_len for _ in range(num_decode_patches): current_padding = paddings[:, 0 : final_out.shape[1]] input_ts = final_out[:, -max_len:] input_padding = current_padding[:, -max_len:] model_input = NestedMap( input_ts=input_ts, input_padding=input_padding, freq=freq, ) fprop_outputs = self(model_input)[_OUTPUT_TS] # (full batch, last patch, output_patch_len, index of mean forecast = 0) new_ts = fprop_outputs[:, -1, :output_patch_len, 0] # (full batch, last patch, output_patch_len, all output indices) full_outputs.append(fprop_outputs[:, -1, :output_patch_len, :]) final_out = jnp.concatenate([final_out, new_ts], axis=-1) return ( final_out[:, inp_time_len : inp_time_len + horizon_len], jnp.concatenate(full_outputs, axis=1)[:, 0:horizon_len, :], )