diff --git a/tests/__init__.py b/tests/__init__.py new file mode 100644 index 0000000..f4c7e19 --- /dev/null +++ b/tests/__init__.py @@ -0,0 +1 @@ +# Tests for TimesFM. diff --git a/tests/test_base_utils.py b/tests/test_base_utils.py new file mode 100644 index 0000000..ace6c5f --- /dev/null +++ b/tests/test_base_utils.py @@ -0,0 +1,168 @@ +# Copyright 2025 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. + +"""Tests for NaN-handling and interpolation utilities in the base module. + +``strip_leading_nans`` and ``linear_interpolation`` sit on the critical +inference path: every user input passes through them before being +patched and fed to the transformer. Incorrect behavior here — silently +keeping NaN values or interpolating the wrong indices — causes NaN +propagation through the entire model and produces garbage forecasts. +""" + +import numpy as np + +from timesfm.timesfm_2p5.timesfm_2p5_base import ( + linear_interpolation, + strip_leading_nans, +) + + +# --------------------------------------------------------------------------- +# strip_leading_nans +# --------------------------------------------------------------------------- + + +class TestStripLeadingNans: + """Tests for strip_leading_nans — removes leading NaN prefix.""" + + def test_no_nans_returns_unchanged(self): + """An array without NaN values must pass through unmodified.""" + arr = np.array([1.0, 2.0, 3.0]) + result = strip_leading_nans(arr) + np.testing.assert_array_equal(result, arr) + + def test_strips_leading_nans_only(self): + """Leading NaNs are removed; NaNs embedded in the middle are kept.""" + arr = np.array([np.nan, np.nan, 1.0, np.nan, 3.0]) + result = strip_leading_nans(arr) + expected = np.array([1.0, np.nan, 3.0]) + np.testing.assert_array_equal(result, expected) + + def test_single_leading_nan(self): + """Edge case: exactly one leading NaN.""" + arr = np.array([np.nan, 5.0, 6.0]) + result = strip_leading_nans(arr) + np.testing.assert_array_equal(result, np.array([5.0, 6.0])) + + def test_no_leading_nan_with_internal_nans(self): + """If the first element is valid, nothing is stripped regardless of + internal NaNs.""" + arr = np.array([1.0, np.nan, np.nan, 4.0]) + result = strip_leading_nans(arr) + np.testing.assert_array_equal(result, arr) + + def test_single_valid_element(self): + """A single non-NaN element must be returned as-is.""" + arr = np.array([42.0]) + result = strip_leading_nans(arr) + np.testing.assert_array_equal(result, np.array([42.0])) + + def test_all_nans_returns_full_array(self): + """When every element is NaN, ``np.argmax`` on an all-False mask + returns 0 — so the implementation returns the original array, not an + empty one. + + This documents the *actual* behavior (which differs from the + docstring claim of returning an empty array). Downstream code + (``linear_interpolation``) is designed to handle this case. + """ + arr = np.array([np.nan, np.nan, np.nan]) + result = strip_leading_nans(arr) + # Actual behavior: argmax(~isnan) = 0 when all NaN → returns full array. + assert len(result) == 3 + assert np.all(np.isnan(result)) + + def test_preserves_dtype(self): + """Output dtype must match input dtype (float32 stays float32).""" + arr = np.array([np.nan, 1.0, 2.0], dtype=np.float32) + result = strip_leading_nans(arr) + assert result.dtype == np.float32 + + +# --------------------------------------------------------------------------- +# linear_interpolation +# --------------------------------------------------------------------------- + + +class TestLinearInterpolation: + """Tests for linear_interpolation — fills NaN gaps via ``np.interp``.""" + + def test_no_nans_returns_identical(self): + """Without NaN values the array is returned as-is (fast path).""" + arr = np.array([1.0, 2.0, 3.0]) + result = linear_interpolation(arr.copy()) + np.testing.assert_array_equal(result, arr) + + def test_interpolates_single_interior_nan(self): + """A single interior NaN is linearly interpolated from neighbors.""" + arr = np.array([0.0, np.nan, 2.0]) + result = linear_interpolation(arr) + np.testing.assert_allclose(result, [0.0, 1.0, 2.0]) + + def test_interpolates_multiple_interior_nans(self): + """Multiple consecutive interior NaN values are interpolated.""" + arr = np.array([0.0, np.nan, np.nan, 3.0]) + result = linear_interpolation(arr) + np.testing.assert_allclose(result, [0.0, 1.0, 2.0, 3.0]) + + def test_extrapolates_trailing_nans(self): + """Trailing NaN values are filled via ``np.interp`` which holds the + last known value (nearest-neighbor extrapolation).""" + arr = np.array([1.0, 2.0, np.nan, np.nan]) + result = linear_interpolation(arr) + # np.interp extrapolates by clamping to boundary values. + np.testing.assert_allclose(result, [1.0, 2.0, 2.0, 2.0]) + + def test_extrapolates_leading_nans(self): + """Leading NaN values are filled with the first valid value. + + In practice ``strip_leading_nans`` runs first, but the function must + still be robust on its own. + """ + arr = np.array([np.nan, np.nan, 3.0, 4.0]) + result = linear_interpolation(arr) + np.testing.assert_allclose(result, [3.0, 3.0, 3.0, 4.0]) + + def test_output_has_no_nans(self): + """After interpolation, no NaN values should remain.""" + arr = np.array([np.nan, 1.0, np.nan, np.nan, 4.0, np.nan]) + result = linear_interpolation(arr) + assert not np.any(np.isnan(result)) + + def test_preserves_non_nan_values(self): + """Non-NaN values in the original array must never be modified.""" + arr = np.array([10.0, np.nan, 30.0, np.nan, 50.0]) + original_valid = arr[~np.isnan(arr)].copy() + result = linear_interpolation(arr) + np.testing.assert_array_equal( + result[~np.isnan(np.array([10.0, np.nan, 30.0, np.nan, 50.0]))], + original_valid, + ) + + def test_interpolation_is_monotone_for_monotone_input(self): + """If the known values are strictly increasing, the interpolated + result must also be non-decreasing — a basic sanity check on the + interpolation direction.""" + arr = np.array([1.0, np.nan, np.nan, 4.0, np.nan, 6.0]) + result = linear_interpolation(arr) + diffs = np.diff(result) + assert np.all(diffs >= 0) + + def test_single_non_nan_fills_all_gaps(self): + """With only one valid value, every NaN is replaced by that value + (np.interp clamps to the single known point).""" + arr = np.array([np.nan, 5.0, np.nan]) + result = linear_interpolation(arr) + np.testing.assert_allclose(result, [5.0, 5.0, 5.0]) diff --git a/tests/test_configs.py b/tests/test_configs.py new file mode 100644 index 0000000..bd07c6f --- /dev/null +++ b/tests/test_configs.py @@ -0,0 +1,196 @@ +# Copyright 2025 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. + +"""Tests for TimesFM configuration dataclasses. + +These tests verify that config dataclasses enforce immutability, compose +correctly, and carry the exact default values the model implementation +relies on. Catching a silent default-value drift here prevents subtle +inference regressions that would otherwise only surface as degraded +forecast quality. +""" + +import dataclasses + +import pytest + +from timesfm.configs import ( + ForecastConfig, + RandomFourierFeaturesConfig, + ResidualBlockConfig, + StackedTransformersConfig, + TransformerConfig, +) + + +# --------------------------------------------------------------------------- +# ForecastConfig +# --------------------------------------------------------------------------- + + +class TestForecastConfig: + """Tests for ForecastConfig — the primary user-facing configuration.""" + + def test_defaults_match_safe_inference_settings(self): + """Default config must be conservative: no normalization, no fancy heads. + + These defaults are what users get when they call ``ForecastConfig()`` + without arguments. Changing them silently would break all existing + code that relies on the defaults. + """ + cfg = ForecastConfig() + assert cfg.max_context == 0 + assert cfg.max_horizon == 0 + assert cfg.normalize_inputs is False + assert cfg.per_core_batch_size == 1 + assert cfg.use_continuous_quantile_head is False + assert cfg.force_flip_invariance is True + assert cfg.infer_is_positive is True + assert cfg.fix_quantile_crossing is False + assert cfg.return_backcast is False + + def test_frozen_prevents_mutation(self): + """Configs are frozen dataclasses — mutating them must raise. + + This is critical because ``compile()`` captures the config object and + the compiled decode closure relies on its values never changing. + """ + cfg = ForecastConfig(max_context=512) + with pytest.raises(dataclasses.FrozenInstanceError): + cfg.max_context = 1024 + + def test_replace_creates_independent_copy(self): + """``dataclasses.replace`` must yield a new object with updated fields. + + The compile path uses ``replace`` to adjust context/horizon to valid + multiples; the original config must remain untouched. + """ + original = ForecastConfig(max_context=512, max_horizon=128) + replaced = dataclasses.replace(original, max_context=1024) + + assert replaced.max_context == 1024 + assert replaced.max_horizon == 128 # untouched + assert original.max_context == 512 # original unchanged + + def test_equality_is_structural(self): + """Two configs with identical fields must be equal (value semantics).""" + a = ForecastConfig(max_context=256, normalize_inputs=True) + b = ForecastConfig(max_context=256, normalize_inputs=True) + assert a == b + + def test_inequality_on_any_field_difference(self): + """A single differing field must break equality.""" + a = ForecastConfig(max_context=256) + b = ForecastConfig(max_context=512) + assert a != b + + +# --------------------------------------------------------------------------- +# ResidualBlockConfig +# --------------------------------------------------------------------------- + + +class TestResidualBlockConfig: + """Tests for ResidualBlockConfig used by tokenizer and output projections.""" + + def test_frozen_prevents_mutation(self): + cfg = ResidualBlockConfig( + input_dims=64, + hidden_dims=128, + output_dims=128, + use_bias=True, + activation="swish", + ) + with pytest.raises(dataclasses.FrozenInstanceError): + cfg.input_dims = 32 + + def test_activation_accepts_all_valid_literals(self): + """All three activation modes must be constructable without error.""" + for act in ("relu", "swish", "none"): + cfg = ResidualBlockConfig( + input_dims=8, + hidden_dims=16, + output_dims=8, + use_bias=False, + activation=act, + ) + assert cfg.activation == act + + +# --------------------------------------------------------------------------- +# TransformerConfig & StackedTransformersConfig +# --------------------------------------------------------------------------- + + +class TestTransformerConfig: + """Tests for TransformerConfig — architecture-level hyperparameters.""" + + def test_model_dims_must_be_divisible_by_num_heads(self): + """The model instantiation will fail if this invariant is broken. + + We verify the config at least *carries* the right values that the + TimesFM 2.5 definition uses (1280 dims, 16 heads → 80 head_dim). + """ + cfg = TransformerConfig( + model_dims=1280, + hidden_dims=1280, + num_heads=16, + attention_norm="rms", + feedforward_norm="rms", + qk_norm="rms", + use_bias=False, + use_rotary_position_embeddings=True, + ff_activation="swish", + fuse_qkv=True, + ) + assert cfg.model_dims % cfg.num_heads == 0 + assert cfg.model_dims // cfg.num_heads == 80 # head_dim + + def test_stacked_config_composes_correctly(self): + """StackedTransformersConfig must wrap a TransformerConfig cleanly.""" + xf = TransformerConfig( + model_dims=64, + hidden_dims=64, + num_heads=4, + attention_norm="rms", + feedforward_norm="rms", + qk_norm="none", + use_bias=True, + use_rotary_position_embeddings=False, + ff_activation="relu", + fuse_qkv=False, + ) + stacked = StackedTransformersConfig(num_layers=6, transformer=xf) + assert stacked.num_layers == 6 + assert stacked.transformer is xf + assert stacked.transformer.model_dims == 64 + + +# --------------------------------------------------------------------------- +# RandomFourierFeaturesConfig +# --------------------------------------------------------------------------- + + +class TestRandomFourierFeaturesConfig: + """Tests for RandomFourierFeaturesConfig.""" + + def test_frozen_prevents_mutation(self): + cfg = RandomFourierFeaturesConfig( + input_dims=32, + output_dims=64, + projection_stddev=1.0, + use_bias=True, + ) + with pytest.raises(dataclasses.FrozenInstanceError): + cfg.output_dims = 128 diff --git a/tests/test_torch_layers.py b/tests/test_torch_layers.py new file mode 100644 index 0000000..e16fdb4 --- /dev/null +++ b/tests/test_torch_layers.py @@ -0,0 +1,262 @@ +# Copyright 2025 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. + +"""Tests for PyTorch layer building blocks: ResidualBlock, RMSNorm, +RandomFourierFeatures. + +These layers are the atoms of the TimesFM architecture. Verifying their +output shapes, numerical properties, and failure modes protects against +regressions during refactors. All tests use small dimensions and run +on CPU — no model checkpoint or GPU required. +""" + +import torch +import pytest + +from timesfm.configs import RandomFourierFeaturesConfig, ResidualBlockConfig +from timesfm.torch.dense import RandomFourierFeatures, ResidualBlock +from timesfm.torch.normalization import RMSNorm + + +# --------------------------------------------------------------------------- +# ResidualBlock +# --------------------------------------------------------------------------- + + +class TestResidualBlock: + """Tests for the residual block: hidden → activation → output + skip.""" + + @pytest.fixture + def swish_block(self): + """A small residual block with SiLU/Swish activation (matches TimesFM).""" + cfg = ResidualBlockConfig( + input_dims=16, + hidden_dims=32, + output_dims=8, + use_bias=True, + activation="swish", + ) + return ResidualBlock(cfg) + + def test_output_shape(self, swish_block): + """Output must have the config's ``output_dims`` as the last dimension, + regardless of input batch shape.""" + x = torch.randn(4, 16) + out = swish_block(x) + assert out.shape == (4, 8) + + def test_output_shape_3d(self, swish_block): + """The block must handle (batch, seq, features) inputs — the layout + used when processing patched time series.""" + x = torch.randn(2, 10, 16) + out = swish_block(x) + assert out.shape == (2, 10, 8) + + def test_residual_connection_nonzero(self): + """The residual connection must contribute to the output. + + We verify this by comparing the output when the hidden path is + zeroed out vs. the full output. + """ + cfg = ResidualBlockConfig( + input_dims=8, + hidden_dims=16, + output_dims=8, + use_bias=False, + activation="none", + ) + block = ResidualBlock(cfg) + x = torch.randn(2, 8) + + with torch.no_grad(): + # Residual path only: zero out hidden and output layers. + block.hidden_layer.weight.zero_() + block.output_layer.weight.zero_() + residual_only = block(x) + + # Must equal the residual layer output. + expected = block.residual_layer(x) + torch.testing.assert_close(residual_only, expected) + + @pytest.mark.parametrize("activation", ["relu", "swish", "none"]) + def test_all_activations_produce_valid_output(self, activation): + """All supported activations must produce finite, non-NaN output.""" + cfg = ResidualBlockConfig( + input_dims=8, + hidden_dims=16, + output_dims=8, + use_bias=True, + activation=activation, + ) + block = ResidualBlock(cfg) + x = torch.randn(4, 8) + out = block(x) + assert not torch.any(torch.isnan(out)) + assert not torch.any(torch.isinf(out)) + + def test_invalid_activation_raises(self): + """Unsupported activation must raise ``ValueError`` immediately — + fail fast rather than producing garbage at inference time.""" + cfg = ResidualBlockConfig( + input_dims=8, + hidden_dims=16, + output_dims=8, + use_bias=True, + activation="gelu", + ) + with pytest.raises(ValueError, match="not supported"): + ResidualBlock(cfg) + + def test_gradient_flows_through_both_paths(self): + """Gradients must reach both the main path and the residual path. + + Dead gradients on either path would prevent the layer from learning. + """ + cfg = ResidualBlockConfig( + input_dims=8, + hidden_dims=16, + output_dims=8, + use_bias=True, + activation="swish", + ) + block = ResidualBlock(cfg) + x = torch.randn(2, 8, requires_grad=True) + out = block(x) + loss = out.sum() + loss.backward() + + assert block.hidden_layer.weight.grad is not None + assert block.residual_layer.weight.grad is not None + assert torch.any(block.hidden_layer.weight.grad != 0) + assert torch.any(block.residual_layer.weight.grad != 0) + + +# --------------------------------------------------------------------------- +# RMSNorm +# --------------------------------------------------------------------------- + + +class TestRMSNorm: + """Tests for RMS normalization used in transformer attention/FF blocks.""" + + def test_output_shape_preserved(self): + """RMSNorm must not change the tensor shape.""" + norm = RMSNorm(num_features=64) + x = torch.randn(2, 10, 64) + out = norm(x) + assert out.shape == x.shape + + def test_zero_scale_produces_zeros(self): + """With default scale (initialized to zeros), output must be all zeros. + + This is a critical initialization property: at init, each transformer + layer's post-norm effectively passes through zeros, relying on the + residual connection to carry signal. + """ + norm = RMSNorm(num_features=8) + # scale is initialized to zeros by default. + x = torch.randn(4, 8) + out = norm(x) + torch.testing.assert_close(out, torch.zeros_like(out)) + + def test_unit_scale_preserves_rms_magnitude(self): + """With scale = 1, output should have approximately unit RMS along + the feature dimension — that's the point of RMS normalization.""" + norm = RMSNorm(num_features=64) + with torch.no_grad(): + norm.scale.fill_(1.0) + + x = torch.randn(8, 64) * 100 # large magnitude + out = norm(x) + + rms = torch.sqrt(torch.mean(out**2, dim=-1)) + # After normalization, RMS should be close to 1.0. + torch.testing.assert_close( + rms, + torch.ones(8), + atol=0.1, + rtol=0.1, + ) + + def test_no_nan_on_zero_input(self): + """A zero-valued input must not cause NaN (epsilon prevents div-by-0).""" + norm = RMSNorm(num_features=8, epsilon=1e-6) + with torch.no_grad(): + norm.scale.fill_(1.0) + x = torch.zeros(2, 8) + out = norm(x) + assert not torch.any(torch.isnan(out)) + + +# --------------------------------------------------------------------------- +# RandomFourierFeatures +# --------------------------------------------------------------------------- + + +class TestRandomFourierFeatures: + """Tests for the random Fourier feature layer.""" + + def test_output_shape(self): + """Output dims must be exactly ``config.output_dims``.""" + cfg = RandomFourierFeaturesConfig( + input_dims=8, + output_dims=32, + projection_stddev=1.0, + use_bias=True, + ) + layer = RandomFourierFeatures(cfg) + x = torch.randn(4, 8) + out = layer(x) + assert out.shape == (4, 32) + + def test_output_dims_not_multiple_of_4_raises(self): + """The four Fourier components (cos, sin, sq_wave_1, sq_wave_2) + require ``output_dims`` to be divisible by 4.""" + cfg = RandomFourierFeaturesConfig( + input_dims=8, + output_dims=30, # not divisible by 4 + projection_stddev=1.0, + use_bias=True, + ) + with pytest.raises(ValueError, match="multiple of 4"): + RandomFourierFeatures(cfg) + + def test_fourier_components_bounded(self): + """cos and sin outputs are bounded in [-1, 1]; sign outputs are + bounded in {-1, 0, 1}. The total Fourier part (before residual) + is thus bounded. We verify the output stays finite.""" + cfg = RandomFourierFeaturesConfig( + input_dims=8, + output_dims=32, + projection_stddev=1.0, + use_bias=False, + ) + layer = RandomFourierFeatures(cfg) + x = torch.randn(16, 8) * 10 # moderately large input + out = layer(x) + assert not torch.any(torch.isnan(out)) + assert not torch.any(torch.isinf(out)) + + def test_3d_input_supported(self): + """The layer must handle (batch, seq, features) tensors.""" + cfg = RandomFourierFeaturesConfig( + input_dims=8, + output_dims=16, + projection_stddev=1.0, + use_bias=True, + ) + layer = RandomFourierFeatures(cfg) + x = torch.randn(2, 5, 8) + out = layer(x) + assert out.shape == (2, 5, 16) diff --git a/tests/test_torch_utils.py b/tests/test_torch_utils.py new file mode 100644 index 0000000..76f2296 --- /dev/null +++ b/tests/test_torch_utils.py @@ -0,0 +1,336 @@ +# Copyright 2025 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. + +"""Tests for PyTorch utility functions: running statistics and RevIN. + +These utilities are invoked at every patch boundary during autoregressive +decoding. Bugs here cause silent numerical drift that compounds over +long horizons, making them especially hard to diagnose from forecast +output alone. +""" + +import torch +import numpy as np +import pytest + +from timesfm.torch.util import ( + DecodeCache, + _TOLERANCE, + revin, + update_running_stats, +) + + +# --------------------------------------------------------------------------- +# update_running_stats +# --------------------------------------------------------------------------- + + +class TestUpdateRunningStats: + """Tests for Welford-style online mean / variance accumulation.""" + + def test_single_batch_matches_numpy(self): + """A single update with no mask must match numpy's mean and std. + + This is the most basic correctness check: feed all values at once + and compare against the ground-truth statistics. + """ + x = torch.tensor([[1.0, 2.0, 3.0, 4.0, 5.0]]) + mask = torch.zeros_like(x, dtype=torch.bool) + n0 = torch.zeros(1) + mu0 = torch.zeros(1) + sigma0 = torch.zeros(1) + + (new_n, new_mu, new_sigma), _ = update_running_stats(n0, mu0, sigma0, x, mask) + + np_values = np.array([1.0, 2.0, 3.0, 4.0, 5.0]) + expected_mu = np.mean(np_values) + # Population std (ddof=0), same as PyTorch default. + expected_sigma = np.std(np_values, ddof=0) + + assert new_n.item() == pytest.approx(5.0) + assert new_mu.item() == pytest.approx(expected_mu, abs=1e-5) + assert new_sigma.item() == pytest.approx(expected_sigma, abs=1e-5) + + def test_incremental_accumulation_matches_full_computation(self): + """Accumulating two batches incrementally must yield the same result + as computing statistics over all values at once. + + This is the defining property of online/streaming statistics. + """ + all_values = torch.tensor([[1.0, 2.0, 3.0, 4.0, 5.0, 6.0]]) + batch1 = torch.tensor([[1.0, 2.0, 3.0]]) + batch2 = torch.tensor([[4.0, 5.0, 6.0]]) + + def no_mask(t): + return torch.zeros_like(t, dtype=torch.bool) + + # Full computation. + n0 = torch.zeros(1) + mu0 = torch.zeros(1) + sigma0 = torch.zeros(1) + (full_n, full_mu, full_sigma), _ = update_running_stats( + n0, mu0, sigma0, all_values, no_mask(all_values) + ) + + # Incremental computation. + (n1, mu1, sigma1), _ = update_running_stats( + n0, mu0, sigma0, batch1, no_mask(batch1) + ) + (inc_n, inc_mu, inc_sigma), _ = update_running_stats( + n1, mu1, sigma1, batch2, no_mask(batch2) + ) + + assert inc_n.item() == pytest.approx(full_n.item()) + assert inc_mu.item() == pytest.approx(full_mu.item(), abs=1e-5) + assert inc_sigma.item() == pytest.approx(full_sigma.item(), abs=1e-5) + + def test_masked_elements_excluded_from_statistics(self): + """Masked positions must be completely ignored — as if they don't exist. + + In TimesFM, leading padding is masked. If mask handling is broken, + the zero-padding values pollute the running mean and variance. + """ + # Two values: 10 and 20 are valid; 0 is masked. + x = torch.tensor([[0.0, 10.0, 20.0]]) + mask = torch.tensor([[True, False, False]]) + n0 = torch.zeros(1) + mu0 = torch.zeros(1) + sigma0 = torch.zeros(1) + + (new_n, new_mu, new_sigma), _ = update_running_stats(n0, mu0, sigma0, x, mask) + + assert new_n.item() == pytest.approx(2.0) + assert new_mu.item() == pytest.approx(15.0, abs=1e-5) + expected_sigma = np.std([10.0, 20.0], ddof=0) + assert new_sigma.item() == pytest.approx(expected_sigma, abs=1e-5) + + def test_all_masked_yields_zero_stats(self): + """When every element is masked, the function must return zeros + rather than NaN or raise an error. + + This happens when an input series is entirely padding. + """ + x = torch.tensor([[99.0, 99.0, 99.0]]) + mask = torch.ones_like(x, dtype=torch.bool) + n0 = torch.zeros(1) + mu0 = torch.zeros(1) + sigma0 = torch.zeros(1) + + (new_n, new_mu, new_sigma), _ = update_running_stats(n0, mu0, sigma0, x, mask) + + assert new_n.item() == 0.0 + assert new_mu.item() == 0.0 + assert new_sigma.item() == 0.0 + + def test_batched_computation_independent(self): + """Each sample in the batch must be computed independently. + + Cross-sample leakage would corrupt multi-series forecasting. + """ + x = torch.tensor( + [ + [1.0, 2.0, 3.0], + [100.0, 200.0, 300.0], + ] + ) + mask = torch.zeros_like(x, dtype=torch.bool) + n0 = torch.zeros(2) + mu0 = torch.zeros(2) + sigma0 = torch.zeros(2) + + (new_n, new_mu, new_sigma), _ = update_running_stats(n0, mu0, sigma0, x, mask) + + assert new_mu[0].item() == pytest.approx(2.0, abs=1e-5) + assert new_mu[1].item() == pytest.approx(200.0, abs=1e-5) + + expected_sigma_0 = np.std([1.0, 2.0, 3.0], ddof=0) + expected_sigma_1 = np.std([100.0, 200.0, 300.0], ddof=0) + assert new_sigma[0].item() == pytest.approx(expected_sigma_0, abs=1e-5) + assert new_sigma[1].item() == pytest.approx(expected_sigma_1, abs=1e-5) + + def test_constant_input_yields_zero_sigma(self): + """A constant series has zero variance — sigma must be exactly 0. + + This is important because ``revin`` guards against division-by-zero + using ``_TOLERANCE`` when sigma is near zero. + """ + x = torch.tensor([[7.0, 7.0, 7.0, 7.0]]) + mask = torch.zeros_like(x, dtype=torch.bool) + n0 = torch.zeros(1) + mu0 = torch.zeros(1) + sigma0 = torch.zeros(1) + + (_, new_mu, new_sigma), _ = update_running_stats(n0, mu0, sigma0, x, mask) + + assert new_mu.item() == pytest.approx(7.0) + assert new_sigma.item() == pytest.approx(0.0) + + +# --------------------------------------------------------------------------- +# revin (Reversible Instance Normalization) +# --------------------------------------------------------------------------- + + +class TestRevIN: + """Tests for the RevIN normalization used in patched decoding.""" + + def test_forward_then_reverse_is_identity(self): + """normalize → denormalize must reconstruct the original tensor. + + This is the fundamental invariant of reversible normalization: the + model operates in normalized space, and the output is mapped back + to the original scale. Any deviation here directly corrupts the + final forecast values. + """ + x = torch.tensor([[10.0, 20.0, 30.0]]) + mu = torch.tensor([20.0]) + sigma = torch.tensor([10.0]) + + normed = revin(x, mu, sigma, reverse=False) + recovered = revin(normed, mu, sigma, reverse=True) + + torch.testing.assert_close(recovered, x, atol=1e-5, rtol=1e-5) + + def test_forward_produces_correct_normalization(self): + """After forward normalization: (x - mu) / sigma.""" + x = torch.tensor([[10.0, 20.0, 30.0]]) + mu = torch.tensor([20.0]) + sigma = torch.tensor([10.0]) + + normed = revin(x, mu, sigma, reverse=False) + + expected = torch.tensor([[-1.0, 0.0, 1.0]]) + torch.testing.assert_close(normed, expected, atol=1e-5, rtol=1e-5) + + def test_reverse_produces_correct_denormalization(self): + """After reverse: x * sigma + mu.""" + normed = torch.tensor([[-1.0, 0.0, 1.0]]) + mu = torch.tensor([20.0]) + sigma = torch.tensor([10.0]) + + recovered = revin(normed, mu, sigma, reverse=True) + + expected = torch.tensor([[10.0, 20.0, 30.0]]) + torch.testing.assert_close(recovered, expected, atol=1e-5, rtol=1e-5) + + def test_zero_sigma_does_not_produce_nan(self): + """When sigma < tolerance, the function substitutes 1.0 to avoid + division by zero. This occurs for constant-valued input series. + + NaN propagation from here would poison the entire transformer + forward pass. + """ + x = torch.tensor([[5.0, 5.0, 5.0]]) + mu = torch.tensor([5.0]) + sigma = torch.tensor([0.0]) # zero variance + + normed = revin(x, mu, sigma, reverse=False) + + assert not torch.any(torch.isnan(normed)) + assert not torch.any(torch.isinf(normed)) + + def test_near_zero_sigma_guarded_by_tolerance(self): + """Sigma values just below ``_TOLERANCE`` must trigger the guard.""" + x = torch.tensor([[1.0, 2.0, 3.0]]) + mu = torch.tensor([2.0]) + sigma = torch.tensor([_TOLERANCE / 2]) # below threshold + + normed = revin(x, mu, sigma, reverse=False) + + assert not torch.any(torch.isnan(normed)) + # With sigma replaced by 1.0: result = x - mu + expected = torch.tensor([[-1.0, 0.0, 1.0]]) + torch.testing.assert_close(normed, expected, atol=1e-5, rtol=1e-5) + + def test_roundtrip_with_batched_3d_input(self): + """RevIN must broadcast correctly for (batch, patches, patch_len) + tensors — the actual shape used during patched decoding.""" + batch, patches, patch_len = 2, 4, 32 + x = torch.randn(batch, patches, patch_len) + mu = torch.tensor([1.0, 2.0]) # (batch,) + sigma = torch.tensor([3.0, 4.0]) # (batch,) + + normed = revin(x, mu, sigma, reverse=False) + recovered = revin(normed, mu, sigma, reverse=True) + + torch.testing.assert_close(recovered, x, atol=1e-5, rtol=1e-5) + + def test_roundtrip_with_batched_4d_input(self): + """RevIN must broadcast correctly for (batch, patches, patch_len, q) + tensors — the shape used for quantile outputs. + + In the actual decode path, mu/sigma have shape (batch, patches) for + 4D tensors, so the ``len(mu.shape) == len(x.shape) - 2`` branch + fires and adds two trailing singleton dimensions. + """ + batch, patches, patch_len, q = 2, 4, 32, 10 + x = torch.randn(batch, patches, patch_len, q) + # Match the actual call-site shape: (batch, patches) + mu = torch.randn(batch, patches) + sigma = torch.abs(torch.randn(batch, patches)) + 1.0 # ensure positive + + normed = revin(x, mu, sigma, reverse=False) + recovered = revin(normed, mu, sigma, reverse=True) + + torch.testing.assert_close(recovered, x, atol=1e-4, rtol=1e-4) + + def test_negative_values_handled_correctly(self): + """RevIN must work for series with negative values (e.g. temperature, + financial returns). ``infer_is_positive`` is a separate downstream + flag and does not affect RevIN itself. + """ + x = torch.tensor([[-10.0, -5.0, 0.0, 5.0, 10.0]]) + mu = torch.tensor([0.0]) + sigma = torch.tensor([7.07]) + + normed = revin(x, mu, sigma, reverse=False) + recovered = revin(normed, mu, sigma, reverse=True) + + torch.testing.assert_close(recovered, x, atol=1e-3, rtol=1e-3) + + +# --------------------------------------------------------------------------- +# DecodeCache +# --------------------------------------------------------------------------- + + +class TestDecodeCache: + """Tests for the DecodeCache dataclass used in KV-cache decoding.""" + + def test_is_mutable(self): + """DecodeCache is *not* frozen — the attention loop mutates + ``next_index`` and ``num_masked`` in-place during autoregressive + decoding.""" + cache = DecodeCache( + next_index=torch.tensor([0]), + num_masked=torch.tensor([0]), + key=torch.zeros(1, 10, 4, 8), + value=torch.zeros(1, 10, 4, 8), + ) + cache.next_index = torch.tensor([5]) + assert cache.next_index.item() == 5 + + def test_key_value_shape_consistency(self): + """Key and value tensors must have identical shapes — they are + indexed in parallel during attention computation.""" + batch, seq, heads, head_dim = 2, 64, 16, 80 + cache = DecodeCache( + next_index=torch.zeros(batch, dtype=torch.int32), + num_masked=torch.zeros(batch, dtype=torch.int32), + key=torch.zeros(batch, seq, heads, head_dim), + value=torch.zeros(batch, seq, heads, head_dim), + ) + assert cache.key.shape == cache.value.shape + assert cache.key.shape == (batch, seq, heads, head_dim)