"""
The implementation of BTTF (Bayesian Temporal Tensor Factorization) for the partially-observed time-series
forecasting task.
"""
# Created by Wenjie Du <wenjay.du@gmail.com>
# License: BSD-3-Clause
import warnings
from typing import Union, Optional
import numpy as np
import torch
from .core import BTTF_forecast
from ..base import BaseForecaster
[docs]
class BTTF(BaseForecaster):
"""The implementation of the BTTF model :cite:`chen2021BTMF`.
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.
pred_step :
The number of time steps to forecast.
rank :
The rank of the low-rank tensor.
time_lags :
The time lags.
burn_iter :
The number of burn-in iterations.
gibbs_iter :
The number of Gibbs iterations.
gamma :
The parameter for the prior distribution in the paper.
multi_step :
The number of time steps to forecast at each iteration.
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.
Notes
-----
1). ``n_steps`` must be larger than ``pred_step``;
2). ``n_steps - pred_step`` must be larger than ``max(time_lags)``;
"""
def __init__(
self,
n_steps: int,
n_features: int,
pred_step: int,
rank: int,
time_lags: list,
burn_iter: int,
gibbs_iter: int,
gamma: int = 10,
multi_step: int = 1,
device: Optional[Union[str, torch.device, list]] = None,
):
super().__init__(device)
self.n_steps = n_steps
self.n_features = n_features
self.pred_step = pred_step
self.multi_step = multi_step
self.rank = rank
self.time_lags = np.asarray(time_lags)
self.burn_iter = burn_iter
self.gibbs_iter = gibbs_iter
self.gamma = gamma
[docs]
def fit(
self,
train_set: Union[dict, str],
val_set: Optional[Union[dict, str]] = None,
file_type: str = "hdf5",
) -> None:
"""Train the forecaster on the given data.
Warnings
--------
BTTF does not need to run fit().
Please run func ``forecast()`` directly.
"""
warnings.warn("Please run func forecast(X) directly.")
[docs]
def predict(
self,
test_set: Union[dict, str],
file_type: str = "hdf5",
**kwargs,
) -> dict:
assert not isinstance(
test_set, str
), "BTTF so far does not accept file input. It needs a specified Dataset class."
X = test_set["X"]
X = X.transpose((0, 2, 1))
pred = BTTF_forecast(
X,
X.copy(),
self.pred_step,
self.multi_step,
self.rank,
self.time_lags,
self.burn_iter,
self.gibbs_iter,
self.gamma,
)
forecasting = pred.transpose((0, 2, 1))
result_dict = {
"forecasting": forecasting,
}
return result_dict