"""
The implementation of TS2Vec for the partially-observed time-series classification task.
"""
# Created by Wenjie Du <wenjay.du@gmail.com>
# License: BSD-3-Clause
import warnings
from typing import Optional, Union
import numpy as np
import torch
from torch.utils.data import DataLoader
from ..base import BaseNNClassifier
from ...data.dataset.base import BaseDataset
from ...nn.modules.loss import Criterion
from ...optim.adam import Adam
from ...optim.base import Optimizer
from ...representation.ts2vec.core import _TS2Vec
SUPPORTED_CLASSIFIERS = ["lr", "svm", "knn"]
# Backward-compatibility aliases for classifier_type names that were renamed.
# Kept so user code written before the rename keeps working for at least one
# release, with a clear DeprecationWarning pointing to the new name.
_DEPRECATED_CLASSIFIER_ALIASES = {
"linear_regression": "lr",
}
def _resolve_classifier_type(classifier_type: str) -> str:
if classifier_type in _DEPRECATED_CLASSIFIER_ALIASES:
new_name = _DEPRECATED_CLASSIFIER_ALIASES[classifier_type]
warnings.warn(
f"classifier_type={classifier_type!r} is deprecated; use "
f"{new_name!r} instead. The old name will be removed in a "
"future release.",
DeprecationWarning,
stacklevel=3,
)
return new_name
return classifier_type
[docs]
class TS2Vec(BaseNNClassifier):
"""The PyTorch implementation of the TS2Vec model :cite:`yue2022ts2vec`.
Parameters
----------
n_steps :
The number of time steps in the time-series data sample.
n_features :
The number of features in the time-series data sample.
n_classes :
The number of classes in the classification task.
n_output_dims :
The number of output dimensions for the vectorization of the time-series data sample.
d_hidden :
The number of hidden dimensions for the TS2VEC encoder.
n_layers :
The number of layers for the TS2VEC encoder.
mask_mode :
The mode for generating the mask for the TS2VEC encoder.
It has to be one of ['binomial', 'continuous', 'all_true', 'all_false', 'mask_last'].
batch_size :
The batch size for training and evaluating the model.
epochs :
The number of epochs for training the model.
patience :
The patience for the early-stopping mechanism. Given a positive integer, the training process will be
stopped when the model does not perform better after that number of epochs.
Leaving it default as None will disable the early-stopping.
optimizer :
The optimizer for model training.
If not given, will use a default Adam optimizer.
num_workers :
The number of subprocesses to use for data loading.
`0` means data loading will be in the main process, i.e. there won't be subprocesses.
device :
The device for the model to run on. It can be a string, a :class:`torch.device` object, or a list of them.
If not given, will try to use CUDA devices first (will use the default CUDA device if there are multiple),
then CPUs, considering CUDA and CPU are so far the main devices for people to train ML models.
If given a list of devices, e.g. ['cuda:0', 'cuda:1'], or [torch.device('cuda:0'), torch.device('cuda:1')] , the
model will be parallely trained on the multiple devices (so far only support parallel training on CUDA devices).
Other devices like Google TPU and Apple Silicon accelerator MPS may be added in the future.
saving_path :
The path for automatically saving model checkpoints and tensorboard files (i.e. loss values recorded during
training into a tensorboard file). Will not save if not given.
model_saving_strategy :
The strategy to save model checkpoints. It has to be one of [None, "best", "better", "all"].
No model will be saved when it is set as None.
The "best" strategy will only automatically save the best model after the training finished.
The "better" strategy will automatically save the model during training whenever the model performs
better than in previous epochs.
The "all" strategy will save every model after each epoch training.
verbose :
Whether to print out the training logs during the training process.
"""
def __init__(
self,
n_steps: int,
n_features: int,
n_classes: int,
n_output_dims: int,
d_hidden: int,
n_layers: int,
mask_mode: str = "binomial",
batch_size: int = 32,
epochs: int = 100,
patience: Optional[int] = None,
optimizer: Union[Optimizer, type] = Adam,
num_workers: int = 0,
device: Optional[Union[str, torch.device, list]] = None,
saving_path: str = None,
model_saving_strategy: Optional[str] = "best",
verbose: bool = True,
):
super().__init__(
n_classes=n_classes,
training_loss=Criterion,
validation_metric=Criterion,
batch_size=batch_size,
epochs=epochs,
patience=patience,
num_workers=num_workers,
device=device,
saving_path=saving_path,
model_saving_strategy=model_saving_strategy,
verbose=verbose,
)
self.n_steps = n_steps
self.n_features = n_features
self.n_output_dims = n_output_dims
self.d_hidden = d_hidden
self.n_layers = n_layers
self.mask_mode = mask_mode
# set up the model
self.model = _TS2Vec(
n_steps=self.n_steps,
n_features=self.n_features,
n_pred_features=self.n_output_dims,
d_hidden=self.d_hidden,
n_layers=self.n_layers,
mask_mode=self.mask_mode,
)
self._send_model_to_given_device()
self._print_model_size()
# set up the optimizer
if isinstance(optimizer, Optimizer):
self.optimizer = optimizer
else:
self.optimizer = optimizer() # instantiate the optimizer if it is a class
assert isinstance(self.optimizer, Optimizer)
self.optimizer.init_optimizer(self.model.parameters())
self.training_loss_name = "default"
self.validation_metric_name = "default loss"
self.train_reprs = None
self.train_labels = None
def _assemble_input_for_training(self, data: list) -> dict:
# fetch data
(
indices,
X,
missing_mask,
y,
) = self._send_data_to_given_device(data)
missing_mask = missing_mask.to(torch.bool)
# assemble input data
inputs = {
"indices": indices,
"X": torch.masked_fill(X, ~missing_mask, torch.nan),
"y": y,
}
return inputs
def _assemble_input_for_validating(self, data: list) -> dict:
return self._assemble_input_for_training(data)
def _assemble_input_for_testing(self, data: list) -> dict:
# fetch data
(
indices,
X,
missing_mask,
) = self._send_data_to_given_device(data)
missing_mask = missing_mask.to(torch.bool)
# assemble input data
inputs = {
"indices": indices,
"X": torch.masked_fill(X, ~missing_mask, torch.nan),
}
return inputs
[docs]
def fit(
self,
train_set: Union[dict, str],
val_set: Optional[Union[dict, str]] = None,
file_type: str = "hdf5",
) -> None:
"""Train the classifier on the given data.
Parameters
----------
train_set :
The dataset for model training, should be a dictionary including keys as 'X' and 'y',
or a path string locating a data file.
If it is a dict, X should be array-like with shape [n_samples, n_steps, n_features],
which is time-series data for training, can contain missing values, and y should be array-like of shape
[n_samples], which is classification labels of X.
If it is a path string, the path should point to a data file, e.g. a h5 file, which contains
key-value pairs like a dict, and it has to include keys as 'X' and 'y'.
val_set :
The dataset for model validating, should be a dictionary including keys as 'X' and 'y',
or a path string locating a data file.
If it is a dict, X should be array-like with shape [n_samples, n_steps, n_features],
which is time-series data for validating, can contain missing values, and y should be array-like of shape
[n_samples], which is classification labels of X.
If it is a path string, the path should point to a data file, e.g. a h5 file, which contains
key-value pairs like a dict, and it has to include keys as 'X' and 'y'.
file_type :
The type of the given file if train_set and val_set are path strings.
"""
# Step 1: wrap the input data with classes Dataset and DataLoader
train_dataset = BaseDataset(
train_set,
return_X_ori=False,
return_X_pred=False,
return_y=True,
file_type=file_type,
)
train_dataloader = DataLoader(
train_dataset,
batch_size=self.batch_size,
shuffle=True,
num_workers=self.num_workers,
)
val_dataloader = None
if val_set is not None:
val_dataset = BaseDataset(
val_set,
return_X_ori=False,
return_X_pred=False,
return_y=True,
file_type=file_type,
)
val_dataloader = DataLoader(
val_dataset,
batch_size=self.batch_size,
shuffle=False,
num_workers=self.num_workers,
)
# Step 2: train the model and freeze it
self._train_model(train_dataloader, val_dataloader)
self.model.load_state_dict(self.best_model_dict)
# Step 3: save the model if necessary
self._auto_save_model_if_necessary(confirm_saving=self.model_saving_strategy == "best")
train_repr_collector = []
train_label_collector = []
for idx, data in enumerate(train_dataloader):
inputs = self._assemble_input_for_training(data)
train_repr = self.model(inputs, encoding_window="full_series")["representation"]
train_repr_collector.append(train_repr)
train_label_collector.append(inputs["y"])
self.train_reprs = torch.cat(train_repr_collector, dim=0).cpu().numpy()
self.train_labels = torch.cat(train_label_collector, dim=0).cpu().numpy()
[docs]
@torch.no_grad()
def predict(
self,
test_set: Union[dict, str],
file_type: str = "hdf5",
classifier_type: str = "svm",
) -> dict:
"""Make predictions for the input data with the trained model.
Parameters
----------
test_set :
The test dataset for model to process, should be a dictionary including keys as 'X',
or a path string locating a data file supported by PyPOTS (e.g. h5 file).
If it is a dict, X should be array-like with shape [n_samples, n_steps, n_features],
which is the time-series data for processing.
If it is a path string, the path should point to a data file, e.g. a h5 file, which contains
key-value pairs like a dict, and it has to include 'X' key.
file_type :
The type of the given file if test_set is a path string.
classifier_type :
The type of classifier to use for the classification task.
It has to be one of ['lr', 'svm', 'knn'].
Returns
-------
result_dict :
The dictionary containing the classification results as key 'classification' and
latent variables if necessary.
"""
classifier_type = _resolve_classifier_type(classifier_type)
assert classifier_type in SUPPORTED_CLASSIFIERS, (
f"classifier_type should be one of {SUPPORTED_CLASSIFIERS}, but got {classifier_type}"
)
self.model.eval() # set the model to evaluation mode
test_dataset = BaseDataset(
test_set,
return_X_ori=False,
return_X_pred=False,
return_y=False,
file_type=file_type,
)
test_dataloader = DataLoader(
test_dataset,
batch_size=self.batch_size,
shuffle=False,
num_workers=self.num_workers,
)
test_repr_collector = []
for idx, data in enumerate(test_dataloader):
inputs = self._assemble_input_for_testing(data)
test_repr = self.model(inputs, encoding_window="full_series")["representation"]
test_repr_collector.append(test_repr)
test_repr_collector = torch.cat(test_repr_collector, dim=0).cpu().numpy()
if classifier_type == "lr":
fit_clf = self.model.encoder.fit_lr
elif classifier_type == "svm":
fit_clf = self.model.encoder.fit_svm
elif classifier_type == "knn":
fit_clf = self.model.encoder.fit_knn
else:
raise ValueError()
with warnings.catch_warnings():
warnings.filterwarnings("ignore") # just ignore warnings, most of them from sklearn
clf = fit_clf(self.train_reprs, self.train_labels)
if classifier_type == "svm":
y_score = clf.decision_function(test_repr_collector)
else:
y_score = clf.predict_proba(test_repr_collector)
y_pred = clf.predict(test_repr_collector)
result_dict = {
"classification": y_pred,
"classification_proba": y_score,
}
return result_dict
[docs]
def predict_proba(
self,
test_set: Union[dict, str],
file_type: str = "hdf5",
classifier_type: str = "svm",
) -> np.ndarray:
"""Predict the classification probabilities of the input data with the trained model.
Parameters
----------
test_set :
The data samples for testing, should be array-like with shape [n_samples, n_steps, n_features], or a path
string locating a data file, e.g. h5 file.
file_type :
The type of the given file if X is a path string.
classifier_type :
The type of classifier to use for the classification task.
It has to be one of ['lr', 'svm', 'knn'].
Returns
-------
results :
Classification probabilities of the given samples.
"""
result_dict = self.predict(test_set, file_type=file_type, classifier_type=classifier_type)
return result_dict["classification_proba"]
[docs]
def classify(
self,
test_set: Union[dict, str],
file_type: str = "hdf5",
classifier_type: str = "svm",
) -> np.ndarray:
"""Classify the input data with the trained model.
Parameters
----------
test_set :
The test dataset for model to process, should be a dictionary including keys as 'X',
or a path string locating a data file supported by PyPOTS (e.g. h5 file).
If it is a dict, X should be array-like with shape [n_samples, n_steps, n_features],
which is the time-series data for processing.
If it is a path string, the path should point to a data file, e.g. a h5 file, which contains
key-value pairs like a dict, and it has to include 'X' key.
file_type :
The type of the given file if test_set is a path string.
classifier_type :
The type of classifier to use for the classification task.
It has to be one of ['lr', 'svm', 'knn'].
Returns
-------
results :
Classification results of the given samples.
"""
results = super().classify(test_set, file_type, classifier_type=classifier_type)
return results