"""
The implementation of TRMF for the partially-observed time-series imputation task,
which is mainly based on the implementation of TRMF in https://github.com/SemenovAlex/trmf/blob/master/trmf.py
"""
# Created by Jun Wang <jwangfx@connect.ust.hk> and Wenjie Du <wenjay.du@gmail.com>
# License: BSD-3-Clause
from typing import Union, Optional
import numpy as np
import torch
from pygrinder import fill_and_get_mask_numpy
from .core import _TRMF
from .data import DatasetForTRMF
from ..base import BaseImputer
from ...data import inverse_sliding_window, sliding_window
from ...data.dataset.base import BaseDataset
from ...utils.logging import logger
[docs]
class TRMF(BaseImputer):
"""Temporal Regularized Matrix Factorization (TRMF) imputation method.
Parameters
----------
lags : array-like, shape (n_lags,)
Set of lag indices to use in model.
K : int
Length of latent embedding dimension
lambda_f : float
Regularization parameter used for matrix F.
lambda_x : float
Regularization parameter used for matrix X.
lambda_w : float
Regularization parameter used for matrix W.
alpha : float
Regularization parameter used for make the sum of lag coefficient close to 1.
That helps to avoid big deviations when forecasting.
eta : float
Regularization parameter used for X when undercovering autoregressive dependencies.
max_iter : int
Number of iterations of updating matrices F, X and W.
F_step : float
Step of gradient descent when updating matrix F.
X_step : float
Step of gradient descent when updating matrix X.
W_step : float
Step of gradient descent when updating matrix W.
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,
lags,
K,
lambda_f,
lambda_x,
lambda_w,
alpha,
eta,
max_iter=1000,
F_step=0.0001,
X_step=0.0001,
W_step=0.0001,
saving_path: Optional[str] = None,
model_saving_strategy: Optional[str] = "best",
verbose: bool = True,
):
super().__init__(
saving_path=saving_path,
model_saving_strategy=model_saving_strategy,
verbose=verbose,
)
self.model = _TRMF(
lags,
K,
lambda_f,
lambda_x,
lambda_w,
alpha,
eta,
max_iter,
F_step,
X_step,
W_step,
)
logger.warning(
"‼️Note that, as a traditional matrix factorization function, TRMF does not support validation set. "
"Also, it only accepts 2-dim (time dim, feature dim) time series data, hence PyPOTS auto runs "
"inverse_sliding_window func for your input in the unified format with 3-dim (sample dim, time dim, "
"feature dim) and it assumes your samples window_len == sliding_len. If you generate samples "
"using sliding_window func with window_len != sliding_len, it may produce non-ideal results."
)
[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
train_dataset = DatasetForTRMF(train_set)
if val_set is not None:
raise RuntimeError("TRMF does not support validation set.")
# Step 2: train the model and freeze it
X = train_dataset.fetch_entire_dataset()["X"]
X = inverse_sliding_window(X, train_dataset.n_steps)
if isinstance(X, torch.Tensor):
X = X.numpy()
X, missing_mask = fill_and_get_mask_numpy(X)
inputs = {
"X": X,
"missing_mask": missing_mask,
}
self.model(inputs)
# Step 3: save the model if necessary
self._auto_save_model_if_necessary(confirm_saving=self.model_saving_strategy == "best")
[docs]
def predict(
self,
test_set: Union[dict, str],
file_type: str = "hdf5",
**kwargs,
) -> dict:
self.model.eval() # set the model to evaluation mode
# Step 1: wrap the input data with classes Dataset and DataLoader
test_dataset = BaseDataset(
test_set,
return_X_ori=False,
return_X_pred=False,
return_y=False,
file_type=file_type,
)
X = test_dataset.fetch_entire_dataset()["X"]
X = inverse_sliding_window(X, test_dataset.n_steps)
if isinstance(X, torch.Tensor):
X = X.numpy()
X, missing_mask = fill_and_get_mask_numpy(X)
inputs = {
"X": X,
"missing_mask": missing_mask,
}
# Step 3: output collection and return
results = self.model(inputs)
imputation = sliding_window(results["imputed_data"], test_dataset.n_steps)
result_dict = {
"imputation": imputation,
}
return result_dict
[docs]
def impute(
self,
test_set: Union[dict, str],
file_type: str = "hdf5",
**kwargs,
) -> np.ndarray:
result_dict = self.predict(test_set, file_type=file_type)
return result_dict["imputation"]