# coding=utf-8 # Copyright 2020 The Google Research Authors. # # 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. # Lint as: python3 """Custom formatting functions for Alpha158 dataset. Defines dataset specific column definitions and data transformations. """ import data_formatters.base import libs.utils as utils import sklearn.preprocessing GenericDataFormatter = data_formatters.base.GenericDataFormatter DataTypes = data_formatters.base.DataTypes InputTypes = data_formatters.base.InputTypes class Alpha158Formatter(GenericDataFormatter): """Defines and formats data for the Alpha158 dataset. Attributes: column_definition: Defines input and data type of column used in the experiment. identifiers: Entity identifiers used in experiments. """ _column_definition = [ ('instrument', DataTypes.CATEGORICAL, InputTypes.ID), ('LABEL0', DataTypes.REAL_VALUED, InputTypes.TARGET), ('date', DataTypes.DATE, InputTypes.TIME), ('month', DataTypes.CATEGORICAL, InputTypes.KNOWN_INPUT), ('day_of_week', DataTypes.CATEGORICAL, InputTypes.KNOWN_INPUT), # Selected 10 features ('RESI5', DataTypes.REAL_VALUED, InputTypes.OBSERVED_INPUT), ('WVMA5', DataTypes.REAL_VALUED, InputTypes.OBSERVED_INPUT), ('RSQR5', DataTypes.REAL_VALUED, InputTypes.OBSERVED_INPUT), ('KLEN', DataTypes.REAL_VALUED, InputTypes.OBSERVED_INPUT), ('RSQR10', DataTypes.REAL_VALUED, InputTypes.OBSERVED_INPUT), ('CORR5', DataTypes.REAL_VALUED, InputTypes.OBSERVED_INPUT), ('CORD5', DataTypes.REAL_VALUED, InputTypes.OBSERVED_INPUT), ('CORR10', DataTypes.REAL_VALUED, InputTypes.OBSERVED_INPUT), ('ROC60', DataTypes.REAL_VALUED, InputTypes.OBSERVED_INPUT), ('RESI10', DataTypes.REAL_VALUED, InputTypes.OBSERVED_INPUT), ('const', DataTypes.CATEGORICAL, InputTypes.STATIC_INPUT), ] def __init__(self): """Initialises formatter.""" self.identifiers = None self._real_scalers = None self._cat_scalers = None self._target_scaler = None self._num_classes_per_cat_input = None def split_data(self, df, valid_boundary=2016, test_boundary=2018): """Splits data frame into training-validation-test data frames. This also calibrates scaling object, and transforms data for each split. Args: df: Source data frame to split. valid_boundary: Starting year for validation data test_boundary: Starting year for test data Returns: Tuple of transformed (train, valid, test) data. """ print('Formatting train-valid-test splits.') index = df['year'] train = df.loc[index < valid_boundary] valid = df.loc[(index >= valid_boundary) & (index < test_boundary)] test = df.loc[index >= test_boundary] self.set_scalers(train) return (self.transform_inputs(data) for data in [train, valid, test]) def set_scalers(self, df): """Calibrates scalers using the data supplied. Args: df: Data to use to calibrate scalers. """ print('Setting scalers with training data...') column_definitions = self.get_column_definition() id_column = utils.get_single_col_by_input_type(InputTypes.ID, column_definitions) target_column = utils.get_single_col_by_input_type(InputTypes.TARGET, column_definitions) # Extract identifiers in case required self.identifiers = list(df[id_column].unique()) # Format real scalers real_inputs = utils.extract_cols_from_data_type( DataTypes.REAL_VALUED, column_definitions, {InputTypes.ID, InputTypes.TIME}) data = df[real_inputs].values self._real_scalers = sklearn.preprocessing.StandardScaler().fit(data) self._target_scaler = sklearn.preprocessing.StandardScaler().fit( df[[target_column]].values) # used for predictions # Format categorical scalers categorical_inputs = utils.extract_cols_from_data_type( DataTypes.CATEGORICAL, column_definitions, {InputTypes.ID, InputTypes.TIME}) categorical_scalers = {} num_classes = [] for col in categorical_inputs: # Set all to str so that we don't have mixed integer/string columns srs = df[col].apply(str) categorical_scalers[col] = sklearn.preprocessing.LabelEncoder().fit( srs.values) num_classes.append(srs.nunique()) # Set categorical scaler outputs self._cat_scalers = categorical_scalers self._num_classes_per_cat_input = num_classes def transform_inputs(self, df): """Performs feature transformations. This includes both feature engineering, preprocessing and normalisation. Args: df: Data frame to transform. Returns: Transformed data frame. """ output = df.copy() if self._real_scalers is None and self._cat_scalers is None: raise ValueError('Scalers have not been set!') column_definitions = self.get_column_definition() real_inputs = utils.extract_cols_from_data_type( DataTypes.REAL_VALUED, column_definitions, {InputTypes.ID, InputTypes.TIME}) categorical_inputs = utils.extract_cols_from_data_type( DataTypes.CATEGORICAL, column_definitions, {InputTypes.ID, InputTypes.TIME}) # Format real inputs output[real_inputs] = self._real_scalers.transform(df[real_inputs].values) # Format categorical inputs for col in categorical_inputs: string_df = df[col].apply(str) output[col] = self._cat_scalers[col].transform(string_df) return output def format_predictions(self, predictions): """Reverts any normalisation to give predictions in original scale. Args: predictions: Dataframe of model predictions. Returns: Data frame of unnormalised predictions. """ output = predictions.copy() column_names = predictions.columns for col in column_names: if col not in {'forecast_time', 'identifier'}: output[col] = self._target_scaler.inverse_transform(predictions[col]) return output # Default params def get_fixed_params(self): """Returns fixed model parameters for experiments.""" fixed_params = { 'total_time_steps': 16 + 6, 'num_encoder_steps': 16, 'num_epochs': 100, 'early_stopping_patience': 5, 'multiprocessing_workers': 5, } return fixed_params def get_default_model_params(self): """Returns default optimised model parameters.""" model_params = { 'dropout_rate': 0.3, 'hidden_layer_size': 160, 'learning_rate': 0.01, 'minibatch_size': 64, 'max_gradient_norm': 0.01, 'num_heads': 1, 'stack_size': 1 } return model_params