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have an option for truncating negative values

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This commit is contained in:
Rajat Sen
2024-08-22 21:50:16 +00:00
parent 294580b089
commit 1ce723db22
1 changed files with 147 additions and 187 deletions
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src/timesfm/timesfm.py
+147 -187
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@@ -11,7 +11,6 @@
# 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.
"""TimesFM forecast API for inference."""
import collections
@@ -60,23 +59,16 @@ def moving_average(arr, window_size):
"""Calculates the moving average using NumPy's convolution function."""
# Pad with zeros to handle initial window positions
arr_padded = np.pad(arr, (window_size - 1, 0), "constant")
smoothed_arr = (
np.convolve(arr_padded, np.ones(window_size), "valid") / window_size
)
smoothed_arr = (np.convolve(arr_padded, np.ones(window_size), "valid") /
window_size)
return [smoothed_arr, arr - smoothed_arr]
def freq_map(freq: str):
"""Returns the frequency map for the given frequency string."""
freq = str.upper(freq)
if (
freq.endswith("H")
or freq.endswith("T")
or freq.endswith("MIN")
or freq.endswith("D")
or freq.endswith("B")
or freq.endswith("U")
):
if (freq.endswith("H") or freq.endswith("T") or freq.endswith("MIN") or
freq.endswith("D") or freq.endswith("B") or freq.endswith("U")):
return 0
elif freq.endswith(("W", "M", "MS")):
return 1
@@ -202,9 +194,7 @@ class TimesFm:
num_layers=num_layers,
transformer_layer_params_tpl=pax_fiddle.Config(
transformers.Transformer,
ln_tpl=pax_fiddle.Config(
normalizations.RmsNorm,
),
ln_tpl=pax_fiddle.Config(normalizations.RmsNorm,),
),
),
)
@@ -222,34 +212,38 @@ class TimesFm:
def _get_sample_inputs(self):
return {
"input_ts": jnp.zeros(
(
self.per_core_batch_size,
self.context_len + self.output_patch_len,
"input_ts":
jnp.zeros(
(
self.per_core_batch_size,
self.context_len + self.output_patch_len,
),
dtype=jnp.float32,
),
dtype=jnp.float32,
),
"input_padding": jnp.zeros(
(
self.per_core_batch_size,
self.context_len + self.output_patch_len,
"input_padding":
jnp.zeros(
(
self.per_core_batch_size,
self.context_len + self.output_patch_len,
),
dtype=jnp.float32,
),
dtype=jnp.float32,
),
"freq": jnp.zeros(
(
self.per_core_batch_size,
1,
"freq":
jnp.zeros(
(
self.per_core_batch_size,
1,
),
dtype=jnp.int32,
),
dtype=jnp.int32,
),
}
def load_from_checkpoint(
self,
checkpoint_path: Optional[str] = None,
repo_id: str = "google/timesfm-1.0-200m",
checkpoint_type: checkpoints.CheckpointType = checkpoints.CheckpointType.FLAX,
checkpoint_type: checkpoints.CheckpointType = checkpoints.CheckpointType.
FLAX,
step: int | None = None,
) -> None:
"""Loads a checkpoint and compiles the decoder.
@@ -269,8 +263,7 @@ class TimesFm:
start_time = time.time()
self._model = instantiate(self.model_p)
var_weight_hparams = self._model.abstract_init_with_metadata(
self._get_sample_inputs(), do_eval=True
)
self._get_sample_inputs(), do_eval=True)
train_state_partition_specs = tasks_lib.create_state_partition_specs(
var_weight_hparams,
mesh_shape=self.mesh_shape,
@@ -284,8 +277,7 @@ class TimesFm:
learners=None,
)
self._logging(
f"Constructed model weights in {time.time() - start_time:.2f} seconds."
)
f"Constructed model weights in {time.time() - start_time:.2f} seconds.")
# Load the model weights.
self._logging(f"Restoring checkpoint from {checkpoint_path}.")
@@ -298,8 +290,7 @@ class TimesFm:
step=step,
)
self._logging(
f"Restored checkpoint in {time.time() - start_time:.2f} seconds."
)
f"Restored checkpoint in {time.time() - start_time:.2f} seconds.")
self.jit_decode()
def jit_decode(self):
@@ -335,34 +326,36 @@ class TimesFm:
with base_layer.JaxContext.new_context(hparams=self._eval_context):
_ = self._pmapped_decode(
NestedMap({
"input_ts": jnp.zeros(
(
self.num_devices,
self.per_core_batch_size,
self.context_len,
"input_ts":
jnp.zeros(
(
self.num_devices,
self.per_core_batch_size,
self.context_len,
),
dtype=jnp.float32,
),
dtype=jnp.float32,
),
"input_padding": jnp.zeros(
(
self.num_devices,
self.per_core_batch_size,
self.context_len + self.horizon_len,
"input_padding":
jnp.zeros(
(
self.num_devices,
self.per_core_batch_size,
self.context_len + self.horizon_len,
),
dtype=jnp.float32,
),
dtype=jnp.float32,
),
"date_features": None,
"freq": jnp.zeros(
(self.num_devices, self.per_core_batch_size, 1),
dtype=jnp.int32,
),
})
)
"date_features":
None,
"freq":
jnp.zeros(
(self.num_devices, self.per_core_batch_size, 1),
dtype=jnp.int32,
),
}))
self._logging(f"Jitted decoding in {time.time() - start_time:.2f} seconds.")
def _preprocess(
self, inputs: Sequence[np.array], freq: Sequence[int]
) -> tuple[np.array, np.array, int]:
def _preprocess(self, inputs: Sequence[np.array],
freq: Sequence[int]) -> tuple[np.array, np.array, int]:
"""Formats and pads raw inputs to feed into the model.
This function both pads each time series to match the context length, and
@@ -383,24 +376,21 @@ class TimesFm:
input_ts, input_padding, inp_freq = [], [], []
pmap_pad = (
(len(inputs) - 1) // self.global_batch_size + 1
) * self.global_batch_size - len(inputs)
pmap_pad = ((len(inputs) - 1) // self.global_batch_size +
1) * self.global_batch_size - len(inputs)
for i, ts in enumerate(inputs):
input_len = ts.shape[0]
padding = np.zeros(shape=(input_len + self.horizon_len,), dtype=float)
if input_len < self.context_len:
num_front_pad = self.context_len - input_len
ts = np.concatenate(
[np.zeros(shape=(num_front_pad,), dtype=float), ts], axis=0
)
ts = np.concatenate([np.zeros(shape=(num_front_pad,), dtype=float), ts],
axis=0)
padding = np.concatenate(
[np.ones(shape=(num_front_pad,), dtype=float), padding], axis=0
)
[np.ones(shape=(num_front_pad,), dtype=float), padding], axis=0)
elif input_len > self.context_len:
ts = ts[-self.context_len :]
padding = padding[-(self.context_len + self.horizon_len) :]
ts = ts[-self.context_len:]
padding = padding[-(self.context_len + self.horizon_len):]
input_ts.append(ts)
input_padding.append(padding)
@@ -426,6 +416,7 @@ class TimesFm:
window_size: int | None = None,
forecast_context_len: int | None = None,
return_forecast_on_context: bool = False,
truncate_negative: bool = False,
) -> tuple[JTensor, JTensor]:
"""Forecasts on a list of time series.
@@ -440,6 +431,8 @@ class TimesFm:
forecast_context_len: optional max context length.
return_forecast_on_context: True to return the forecast on the context
when available, i.e. after the first input patch.
truncate_negative: truncate to only non-negative values if all the contexts
have non-negative values.
Returns:
A tuple for JTensors:
@@ -453,8 +446,7 @@ class TimesFm:
if not self._train_state or not self._model:
raise ValueError(
"Checkpoint not loaded. Call `load_from_checkpoint` before"
" `forecast`."
)
" `forecast`.")
if forecast_context_len is None:
forecast_context_len = self.context_len
inputs = [np.array(ts)[-forecast_context_len:] for ts in inputs]
@@ -476,50 +468,48 @@ class TimesFm:
full_outputs = []
assert input_ts.shape[0] % self.global_batch_size == 0
for i in range(input_ts.shape[0] // self.global_batch_size):
input_ts_in = jnp.array(
input_ts[
i * self.global_batch_size : (i + 1) * self.global_batch_size
]
)
input_ts_in = jnp.array(input_ts[i * self.global_batch_size:(i + 1) *
self.global_batch_size])
input_padding_in = jnp.array(
input_padding[
i * self.global_batch_size : (i + 1) * self.global_batch_size
],
)
input_padding[i * self.global_batch_size:(i + 1) *
self.global_batch_size],)
inp_freq_in = jnp.array(
inp_freq[
i * self.global_batch_size : (i + 1) * self.global_batch_size, :
],
inp_freq[i * self.global_batch_size:(i + 1) *
self.global_batch_size, :],
dtype=jnp.int32,
)
pmapped_inputs = NestedMap({
"input_ts": es.jax_einshape(
"(db)...->db...",
input_ts_in,
d=self.num_devices,
),
"input_padding": es.jax_einshape(
"(db)...->db...",
input_padding_in,
d=self.num_devices,
),
"date_features": None,
"freq": es.jax_einshape(
"(db)...->db...",
inp_freq_in,
d=self.num_devices,
),
"input_ts":
es.jax_einshape(
"(db)...->db...",
input_ts_in,
d=self.num_devices,
),
"input_padding":
es.jax_einshape(
"(db)...->db...",
input_padding_in,
d=self.num_devices,
),
"date_features":
None,
"freq":
es.jax_einshape(
"(db)...->db...",
inp_freq_in,
d=self.num_devices,
),
})
mean_output, full_output = self._pmapped_decode(pmapped_inputs)
if not return_forecast_on_context:
mean_output = mean_output[:, :, self._horizon_start :, ...]
full_output = full_output[:, :, self._horizon_start :, ...]
mean_output = es.jax_einshape(
"db...->(db)...", mean_output, d=self.num_devices
)
full_output = es.jax_einshape(
"db...->(db)...", full_output, d=self.num_devices
)
mean_output = mean_output[:, :, self._horizon_start:, ...]
full_output = full_output[:, :, self._horizon_start:, ...]
mean_output = es.jax_einshape("db...->(db)...",
mean_output,
d=self.num_devices)
full_output = es.jax_einshape("db...->(db)...",
full_output,
d=self.num_devices)
mean_output = np.array(mean_output)
full_output = np.array(full_output)
mean_outputs.append(mean_output)
@@ -535,7 +525,7 @@ class TimesFm:
if window_size is not None:
mean_outputs = mean_outputs[0::2, ...] + mean_outputs[1::2, ...]
full_outputs = full_outputs[0::2, ...] + full_outputs[1::2, ...]
if inp_min >= 0:
if inp_min >= 0 and truncate_negative:
mean_outputs = np.maximum(mean_outputs, 0.0)
full_outputs = np.maximum(full_outputs, 0.0)
return mean_outputs, full_outputs
@@ -543,16 +533,13 @@ class TimesFm:
def forecast_with_covariates(
self,
inputs: list[Sequence[float]],
dynamic_numerical_covariates: (
dict[str, Sequence[Sequence[float]]] | None
) = None,
dynamic_categorical_covariates: (
dict[str, Sequence[Sequence[Category]]] | None
) = None,
dynamic_numerical_covariates: (dict[str, Sequence[Sequence[float]]] |
None) = None,
dynamic_categorical_covariates: (dict[str, Sequence[Sequence[Category]]] |
None) = None,
static_numerical_covariates: dict[str, Sequence[float]] | None = None,
static_categorical_covariates: (
dict[str, Sequence[Category]] | None
) = None,
static_categorical_covariates: (dict[str, Sequence[Category]] |
None) = None,
freq: Sequence[int] | None = None,
window_size: int | None = None,
forecast_context_len: int | None = None,
@@ -594,17 +581,12 @@ class TimesFm:
"""
# Verify and bookkeep covariates.
if not (
dynamic_numerical_covariates
or dynamic_categorical_covariates
or static_numerical_covariates
or static_categorical_covariates
):
if not (dynamic_numerical_covariates or dynamic_categorical_covariates or
static_numerical_covariates or static_categorical_covariates):
raise ValueError(
"At least one of dynamic_numerical_covariates,"
" dynamic_categorical_covariates, static_numerical_covariates,"
" static_categorical_covariates must be set."
)
" static_categorical_covariates must be set.")
# Track the lengths of (1) each input, (2) the part that can be used in the
# linear model, and (3) the horizon.
@@ -624,20 +606,18 @@ class TimesFm:
if dynamic_numerical_covariates:
test_lens.append(
len(list(dynamic_numerical_covariates.values())[0][i]) - input_len
)
len(list(dynamic_numerical_covariates.values())[0][i]) - input_len)
elif dynamic_categorical_covariates:
test_lens.append(
len(list(dynamic_categorical_covariates.values())[0][i]) - input_len
)
len(list(dynamic_categorical_covariates.values())[0][i]) -
input_len)
else:
test_lens.append(self.horizon_len)
if test_lens[-1] > self.horizon_len:
raise ValueError(
"Forecast requested longer horizon than the model definition "
f"supports: {test_lens[-1]} vs {self.horizon_len}."
)
f"supports: {test_lens[-1]} vs {self.horizon_len}.")
# Prepare the covariates into train and test.
train_dynamic_numerical_covariates = collections.defaultdict(list)
@@ -660,11 +640,9 @@ class TimesFm:
continue
for covariate_name, covariate_values in covariates.items():
for input_len, train_len, covariate_value in zip(
input_lens, train_lens, covariate_values
):
input_lens, train_lens, covariate_values):
train_covariates[covariate_name].append(
covariate_value[(input_len - train_len) : input_len]
)
covariate_value[(input_len - train_len):input_len])
test_covariates[covariate_name].append(covariate_value[input_len:])
# Fit models.
@@ -678,15 +656,10 @@ class TimesFm:
return_forecast_on_context=True,
)
targets = [
(
np.array(input_ts)[-train_len:]
- mean_output[
(self._horizon_start - train_len) : self._horizon_start
]
)
for input_ts, mean_output, train_len in zip(
inputs, mean_outputs, train_lens
)
(np.array(input_ts)[-train_len:] -
mean_output[(self._horizon_start - train_len):self._horizon_start])
for input_ts, mean_output, train_len in zip(inputs, mean_outputs,
train_lens)
]
per_instance_stats = None
if normalize_xreg_target_per_input:
@@ -697,8 +670,10 @@ class TimesFm:
test_lens=test_lens,
train_dynamic_numerical_covariates=train_dynamic_numerical_covariates,
test_dynamic_numerical_covariates=test_dynamic_numerical_covariates,
train_dynamic_categorical_covariates=train_dynamic_categorical_covariates,
test_dynamic_categorical_covariates=test_dynamic_categorical_covariates,
train_dynamic_categorical_covariates=
train_dynamic_categorical_covariates,
test_dynamic_categorical_covariates=
test_dynamic_categorical_covariates,
static_numerical_covariates=static_numerical_covariates,
static_categorical_covariates=static_categorical_covariates,
).fit(
@@ -713,12 +688,8 @@ class TimesFm:
if normalize_xreg_target_per_input:
xregs = _renormalize(xregs, per_instance_stats)
outputs = [
(
mean_output[
self._horizon_start : (self._horizon_start + test_len)
]
+ xreg
)
(mean_output[self._horizon_start:(self._horizon_start + test_len)] +
xreg)
for mean_output, test_len, xreg in zip(mean_outputs, test_lens, xregs)
]
@@ -737,8 +708,10 @@ class TimesFm:
test_lens=test_lens,
train_dynamic_numerical_covariates=train_dynamic_numerical_covariates,
test_dynamic_numerical_covariates=test_dynamic_numerical_covariates,
train_dynamic_categorical_covariates=train_dynamic_categorical_covariates,
test_dynamic_categorical_covariates=test_dynamic_categorical_covariates,
train_dynamic_categorical_covariates=
train_dynamic_categorical_covariates,
test_dynamic_categorical_covariates=
test_dynamic_categorical_covariates,
static_numerical_covariates=static_numerical_covariates,
static_categorical_covariates=static_categorical_covariates,
).fit(
@@ -761,12 +734,8 @@ class TimesFm:
return_forecast_on_context=True,
)
outputs = [
(
mean_output[
self._horizon_start : (self._horizon_start + test_len)
]
+ xreg
)
(mean_output[self._horizon_start:(self._horizon_start + test_len)] +
xreg)
for mean_output, test_len, xreg in zip(mean_outputs, test_lens, xregs)
]
if normalize_xreg_target_per_input:
@@ -806,14 +775,10 @@ class TimesFm:
Returns:
Future forecasts dataframe.
"""
if not (
"unique_id" in inputs.columns
and "ds" in inputs.columns
and value_name in inputs.columns
):
if not ("unique_id" in inputs.columns and "ds" in inputs.columns and
value_name in inputs.columns):
raise ValueError(
f"DataFrame must have unique_id, ds and {value_name} columns."
)
f"DataFrame must have unique_id, ds and {value_name} columns.")
if not forecast_context_len:
forecast_context_len = self.context_len
logging.info("Preprocessing dataframe.")
@@ -840,36 +805,31 @@ class TimesFm:
with multiprocessing.Pool(processes=num_jobs) as pool:
results = pool.starmap(
process_group,
[
(key, group, value_name, forecast_context_len)
for key, group in df_sorted.groupby("unique_id")
],
[(key, group, value_name, forecast_context_len)
for key, group in df_sorted.groupby("unique_id")],
)
new_inputs, uids = zip(*results)
if verbose:
print("Finished preprocessing dataframe.")
print("Finished preprocessing dataframe.")
freq_inps = [freq_map(freq)] * len(new_inputs)
_, full_forecast = self.forecast(
new_inputs, freq=freq_inps, window_size=window_size
)
_, full_forecast = self.forecast(new_inputs,
freq=freq_inps,
window_size=window_size)
if verbose:
print("Finished forecasting.")
print("Finished forecasting.")
fcst_df = make_future_dataframe(
uids=uids,
last_times=df_sorted.groupby("unique_id")["ds"].tail(1),
h=self.horizon_len,
freq=freq,
)
fcst_df[model_name] = full_forecast[:, 0 : self.horizon_len, 0].reshape(
-1, 1
)
fcst_df[model_name] = full_forecast[:, 0:self.horizon_len, 0].reshape(-1, 1)
if self._model.quantiles is not None:
for i, q in enumerate(self._model.quantiles):
q_col = f"{model_name}-q-{q}"
fcst_df[q_col] = full_forecast[:, 0 : self.horizon_len, 1 + i].reshape(
-1, 1
)
fcst_df[q_col] = full_forecast[:, 0:self.horizon_len,
1 + i].reshape(-1, 1)
if q == 0.5:
fcst_df[model_name] = fcst_df[q_col]
logging.info("Finished creating output dataframe.")