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ML-For-Beginners/7-TimeSeries/2-ARIMA/working/common/utils.py

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6.0 KiB

import numpy as np
import pandas as pd
import os
from collections import UserDict
def load_data(data_dir):
"""Load the GEFCom 2014 energy load data"""
energy = pd.read_csv(os.path.join(data_dir, 'energy.csv'), parse_dates=['timestamp'])
# Reindex the dataframe such that the dataframe has a record for every time point
# between the minimum and maximum timestamp in the time series. This helps to
# identify missing time periods in the data (there are none in this dataset).
energy.index = energy['timestamp']
energy = energy.reindex(pd.date_range(min(energy['timestamp']),
max(energy['timestamp']),
freq='H'))
energy = energy.drop('timestamp', axis=1)
return energy
def mape(predictions, actuals):
"""Mean absolute percentage error"""
return ((predictions - actuals).abs() / actuals).mean()
def create_evaluation_df(predictions, test_inputs, H, scaler):
"""Create a data frame for easy evaluation"""
eval_df = pd.DataFrame(predictions, columns=['t+'+str(t) for t in range(1, H+1)])
eval_df['timestamp'] = test_inputs.dataframe.index
eval_df = pd.melt(eval_df, id_vars='timestamp', value_name='prediction', var_name='h')
eval_df['actual'] = np.transpose(test_inputs['target']).ravel()
eval_df[['prediction', 'actual']] = scaler.inverse_transform(eval_df[['prediction', 'actual']])
return eval_df
class TimeSeriesTensor(UserDict):
"""A dictionary of tensors for input into the RNN model.
Use this class to:
1. Shift the values of the time series to create a Pandas dataframe containing all the data
for a single training example
2. Discard any samples with missing values
3. Transform this Pandas dataframe into a numpy array of shape
(samples, time steps, features) for input into Keras
The class takes the following parameters:
- **dataset**: original time series
- **target** name of the target column
- **H**: the forecast horizon
3 years ago
- **tensor_structures**: a dictionary describing the tensor structure of the form
{ 'tensor_name' : (range(max_backward_shift, max_forward_shift), [feature, feature, ...] ) }
if features are non-sequential and should not be shifted, use the form
{ 'tensor_name' : (None, [feature, feature, ...])}
- **freq**: time series frequency (default 'H' - hourly)
- **drop_incomplete**: (Boolean) whether to drop incomplete samples (default True)
"""
def __init__(self, dataset, target, H, tensor_structure, freq='H', drop_incomplete=True):
self.dataset = dataset
self.target = target
self.tensor_structure = tensor_structure
self.tensor_names = list(tensor_structure.keys())
self.dataframe = self._shift_data(H, freq, drop_incomplete)
self.data = self._df2tensors(self.dataframe)
def _shift_data(self, H, freq, drop_incomplete):
# Use the tensor_structures definitions to shift the features in the original dataset.
# The result is a Pandas dataframe with multi-index columns in the hierarchy
# tensor - the name of the input tensor
# feature - the input feature to be shifted
# time step - the time step for the RNN in which the data is input. These labels
# are centred on time t. the forecast creation time
df = self.dataset.copy()
idx_tuples = []
for t in range(1, H+1):
df['t+'+str(t)] = df[self.target].shift(t*-1, freq=freq)
idx_tuples.append(('target', 'y', 't+'+str(t)))
for name, structure in self.tensor_structure.items():
rng = structure[0]
dataset_cols = structure[1]
for col in dataset_cols:
# do not shift non-sequential 'static' features
if rng is None:
df['context_'+col] = df[col]
idx_tuples.append((name, col, 'static'))
else:
for t in rng:
sign = '+' if t > 0 else ''
shift = str(t) if t != 0 else ''
period = 't'+sign+shift
shifted_col = name+'_'+col+'_'+period
df[shifted_col] = df[col].shift(t*-1, freq=freq)
idx_tuples.append((name, col, period))
df = df.drop(self.dataset.columns, axis=1)
idx = pd.MultiIndex.from_tuples(idx_tuples, names=['tensor', 'feature', 'time step'])
df.columns = idx
if drop_incomplete:
df = df.dropna(how='any')
return df
def _df2tensors(self, dataframe):
# Transform the shifted Pandas dataframe into the multidimensional numpy arrays. These
# arrays can be used to input into the keras model and can be accessed by tensor name.
# For example, for a TimeSeriesTensor object named "model_inputs" and a tensor named
# "target", the input tensor can be acccessed with model_inputs['target']
inputs = {}
y = dataframe['target']
y = y.as_matrix()
inputs['target'] = y
for name, structure in self.tensor_structure.items():
rng = structure[0]
cols = structure[1]
tensor = dataframe[name][cols].as_matrix()
if rng is None:
tensor = tensor.reshape(tensor.shape[0], len(cols))
else:
tensor = tensor.reshape(tensor.shape[0], len(cols), len(rng))
tensor = np.transpose(tensor, axes=[0, 2, 1])
inputs[name] = tensor
return inputs
def subset_data(self, new_dataframe):
# Use this function to recreate the input tensors if the shifted dataframe
# has been filtered.
self.dataframe = new_dataframe
self.data = self._df2tensors(self.dataframe)