Source code for pypots.imputation.usgan.model

"""
The implementation of USGAN for the partially-observed time-series imputation task.

"""

# Created by Jun Wang <jwangfx@connect.ust.hk> and Wenjie Du <wenjay.du@gmail.com>
# License: BSD-3-Clause

import os
from typing import Union, Optional

import numpy as np
import torch
from torch.utils.data import DataLoader

from .core import _USGAN
from .data import DatasetForUSGAN
from ..base import BaseNNImputer
from ...data.checking import key_in_data_set
from ...optim.adam import Adam
from ...optim.base import Optimizer
from ...utils.logging import logger
from ...utils.metrics import calc_mse

try:
    import nni
except ImportError:
    pass


[docs] class USGAN(BaseNNImputer): """The PyTorch implementation of the USGAN model. Refer to :cite:`miao2021SSGAN`. Parameters ---------- n_steps : int The number of time steps in the time-series data sample. n_features : int The number of features in the time-series data sample. rnn_hidden_size : int The hidden size of the RNN cell lambda_mse : float The weight of the reconstruction loss hint_rate : float The hint rate for the discriminator dropout : float The dropout rate for the last layer in Discriminator G_steps : int The number of steps to train the generator in each iteration. D_steps : int The number of steps to train the discriminator in each iteration. batch_size : int The batch size for training and evaluating the model. epochs : int The number of epochs for training the model. patience : int 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. G_optimizer : :class:`pypots.optim.Optimizer` The optimizer for the generator training. If not given, will use a default Adam optimizer. D_optimizer : :class:`pypots.optim.Optimizer` The optimizer for the discriminator training. If not given, will use a default Adam optimizer. num_workers : int 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 : Union[str, torch.device, list] 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 : str 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 : str The strategy to save model checkpoints. It has to be one of [None, "best", "better"]. 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. """ def __init__( self, n_steps: int, n_features: int, rnn_hidden_size: int, lambda_mse: float = 1, hint_rate: float = 0.7, dropout: float = 0.0, G_steps: int = 1, D_steps: int = 1, batch_size: int = 32, epochs: int = 100, patience: Optional[int] = None, G_optimizer: Optional[Optimizer] = Adam(), D_optimizer: Optional[Optimizer] = Adam(), num_workers: int = 0, device: Optional[Union[str, torch.device, list]] = None, saving_path: Optional[str] = None, model_saving_strategy: Optional[str] = "best", ): super().__init__( batch_size, epochs, patience, num_workers, device, saving_path, model_saving_strategy, ) assert G_steps > 0 and D_steps > 0, "G_steps and D_steps should both >0" self.n_steps = n_steps self.n_features = n_features self.G_steps = G_steps self.D_steps = D_steps # set up the model self.model = _USGAN( n_steps, n_features, rnn_hidden_size, lambda_mse, hint_rate, dropout, ) self._send_model_to_given_device() self._print_model_size() # set up the optimizer self.G_optimizer = G_optimizer self.G_optimizer.init_optimizer(self.model.backbone.generator.parameters()) self.D_optimizer = D_optimizer self.D_optimizer.init_optimizer(self.model.backbone.discriminator.parameters()) def _assemble_input_for_training(self, data: list) -> dict: # fetch data ( indices, X, missing_mask, deltas, back_X, back_missing_mask, back_deltas, ) = self._send_data_to_given_device(data) # assemble input data inputs = { "indices": indices, "forward": { "X": X, "missing_mask": missing_mask, "deltas": deltas, }, "backward": { "X": back_X, "missing_mask": back_missing_mask, "deltas": back_deltas, }, } return inputs def _assemble_input_for_validating(self, data: list) -> dict: # fetch data ( indices, X, missing_mask, deltas, back_X, back_missing_mask, back_deltas, X_ori, indicating_mask, ) = self._send_data_to_given_device(data) # assemble input data inputs = { "indices": indices, "forward": { "X": X, "missing_mask": missing_mask, "deltas": deltas, }, "backward": { "X": back_X, "missing_mask": back_missing_mask, "deltas": back_deltas, }, "X_ori": X_ori, "indicating_mask": indicating_mask, } return inputs def _assemble_input_for_testing(self, data: list) -> dict: return self._assemble_input_for_training(data) def _train_model( self, training_loader: DataLoader, val_loader: DataLoader = None, ) -> None: # each training starts from the very beginning, so reset the loss and model dict here self.best_loss = float("inf") self.best_model_dict = None try: training_step = 0 for epoch in range(1, self.epochs + 1): self.model.train() step_train_loss_G_collector = [] step_train_loss_D_collector = [] for idx, data in enumerate(training_loader): training_step += 1 inputs = self._assemble_input_for_training(data) if idx % self.G_steps == 0: self.G_optimizer.zero_grad() results = self.model.forward( inputs, training_object="generator" ) results["loss"].backward() # generation loss self.G_optimizer.step() step_train_loss_G_collector.append(results["loss"].item()) if idx % self.D_steps == 0: self.D_optimizer.zero_grad() results = self.model.forward( inputs, training_object="discriminator" ) results["loss"].backward( retain_graph=True ) # discrimination loss self.D_optimizer.step() step_train_loss_D_collector.append(results["loss"].item()) mean_step_train_D_loss = np.mean(step_train_loss_D_collector) mean_step_train_G_loss = np.mean(step_train_loss_G_collector) # save training loss logs into the tensorboard file for every step if in need # Note: the `training_step` is not the actual number of steps that Discriminator and Generator get # trained, the actual number should be D_steps*training_step and G_steps*training_step accordingly if self.summary_writer is not None: loss_results = { "generation_loss": mean_step_train_G_loss, "discrimination_loss": mean_step_train_D_loss, } self._save_log_into_tb_file( training_step, "training", loss_results ) mean_epoch_train_D_loss = np.mean(step_train_loss_D_collector) mean_epoch_train_G_loss = np.mean(step_train_loss_G_collector) if val_loader is not None: self.model.eval() imputation_loss_collector = [] with torch.no_grad(): for idx, data in enumerate(val_loader): inputs = self._assemble_input_for_validating(data) results = self.model.forward(inputs, training=False) imputation_mse = ( calc_mse( results["imputed_data"], inputs["X_ori"], inputs["indicating_mask"], ) .sum() .detach() .item() ) imputation_loss_collector.append(imputation_mse) mean_val_loss = np.mean(imputation_loss_collector) # save validation loss logs into the tensorboard file for every epoch if in need if self.summary_writer is not None: val_loss_dict = { "validating_loss": mean_val_loss, } self._save_log_into_tb_file(epoch, "validating", val_loss_dict) logger.info( f"Epoch {epoch:03d} - " f"generator training loss: {mean_epoch_train_G_loss:.4f}, " f"discriminator training loss: {mean_epoch_train_D_loss:.4f}, " f"validation loss: {mean_val_loss:.4f}" ) mean_loss = mean_val_loss else: logger.info( f"Epoch {epoch:03d} - " f"generator training loss: {mean_epoch_train_G_loss:.4f}, " f"discriminator training loss: {mean_epoch_train_D_loss:.4f}" ) mean_loss = mean_epoch_train_G_loss if np.isnan(mean_loss): logger.warning( f"‼️ Attention: got NaN loss in Epoch {epoch}. This may lead to unexpected errors." ) if mean_loss < self.best_loss: self.best_epoch = epoch self.best_loss = mean_loss self.best_model_dict = self.model.state_dict() self.patience = self.original_patience else: self.patience -= 1 # save the model if necessary self._auto_save_model_if_necessary( confirm_saving=mean_loss < self.best_loss, saving_name=f"{self.__class__.__name__}_epoch{epoch}_loss{mean_loss}", ) if os.getenv("enable_tuning", False): nni.report_intermediate_result(mean_loss) if epoch == self.epochs - 1 or self.patience == 0: nni.report_final_result(self.best_loss) if self.patience == 0: logger.info( "Exceeded the training patience. Terminating the training procedure..." ) break except KeyboardInterrupt: # if keyboard interrupt, only warning logger.warning("‼️ Training got interrupted by the user. Exist now ...") except Exception as e: # other kind of exception follows below processing logger.error(f"❌ Exception: {e}") if self.best_model_dict is None: # if no best model, raise error raise RuntimeError( "Training got interrupted. Model was not trained. Please investigate the error printed above." ) else: RuntimeWarning( "Training got interrupted. Please investigate the error printed above.\n" "Model got trained and will load the best checkpoint so far for testing.\n" "If you don't want it, please try fit() again." ) if np.isnan(self.best_loss): raise ValueError("Something is wrong. best_loss is Nan after training.") logger.info( f"Finished training. The best model is from epoch#{self.best_epoch}." )
[docs] def fit( self, train_set: Union[dict, str], val_set: Optional[Union[dict, str]] = None, file_type: str = "hdf5", ) -> None: # Step 1: wrap the input data with classes Dataset and DataLoader training_set = DatasetForUSGAN( train_set, return_X_ori=False, return_y=False, file_type=file_type ) training_loader = DataLoader( training_set, batch_size=self.batch_size, shuffle=True, num_workers=self.num_workers, ) val_loader = None if val_set is not None: if not key_in_data_set("X_ori", val_set): raise ValueError("val_set must contain 'X_ori' for model validation.") val_set = DatasetForUSGAN( val_set, return_X_ori=True, return_y=False, file_type=file_type ) val_loader = DataLoader( val_set, batch_size=self.batch_size, shuffle=False, num_workers=self.num_workers, ) # Step 2: train the model and freeze it self._train_model(training_loader, val_loader) self.model.load_state_dict(self.best_model_dict) self.model.eval() # set the model as eval status to freeze it. # Step 3: save the model if necessary self._auto_save_model_if_necessary(confirm_saving=True)
[docs] def predict( self, test_set: Union[dict, str], file_type: str = "hdf5", ) -> dict: self.model.eval() # set the model as eval status to freeze it. test_set = DatasetForUSGAN( test_set, return_X_ori=False, return_y=False, file_type=file_type ) test_loader = DataLoader( test_set, batch_size=self.batch_size, shuffle=False, num_workers=self.num_workers, ) imputation_collector = [] with torch.no_grad(): for idx, data in enumerate(test_loader): inputs = self._assemble_input_for_testing(data) results = self.model.forward(inputs, training=False) imputed_data = results["imputed_data"] imputation_collector.append(imputed_data) imputation = torch.cat(imputation_collector).cpu().detach().numpy() result_dict = { "imputation": imputation, } return result_dict
[docs] def impute( self, test_set: Union[dict, str], file_type: str = "hdf5", ) -> np.ndarray: """Impute missing values in the given data with the trained model. Parameters ---------- test_set : The data samples for testing, should be array-like of shape [n_samples, sequence length (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. Returns ------- array-like, shape [n_samples, sequence length (n_steps), n_features], Imputed data. """ result_dict = self.predict(test_set, file_type=file_type) return result_dict["imputation"]