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TiDE.py
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TiDE.py
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import torch
import torch.nn as nn
import torch.nn.functional as F
class LayerNorm(nn.Module):
""" LayerNorm but with an optional bias. PyTorch doesn't support simply bias=False """
def __init__(self, ndim, bias):
super().__init__()
self.weight = nn.Parameter(torch.ones(ndim))
self.bias = nn.Parameter(torch.zeros(ndim)) if bias else None
def forward(self, input):
return F.layer_norm(input, self.weight.shape, self.weight, self.bias, 1e-5)
class ResBlock(nn.Module):
def __init__(self, input_dim, hidden_dim, output_dim, dropout=0.1, bias=True):
super().__init__()
self.fc1 = nn.Linear(input_dim, hidden_dim, bias=bias)
self.fc2 = nn.Linear(hidden_dim, output_dim, bias=bias)
self.fc3 = nn.Linear(input_dim, output_dim, bias=bias)
self.dropout = nn.Dropout(dropout)
self.relu = nn.ReLU()
self.ln = LayerNorm(output_dim, bias=bias)
def forward(self, x):
out = self.fc1(x)
out = self.relu(out)
out = self.fc2(out)
out = self.dropout(out)
out = out + self.fc3(x)
out = self.ln(out)
return out
#TiDE
class Model(nn.Module):
"""
paper: https://arxiv.org/pdf/2304.08424.pdf
"""
def __init__(self, configs, bias=True, feature_encode_dim=2):
super(Model, self).__init__()
self.configs = configs
self.task_name = configs.task_name
self.seq_len = configs.seq_len #L
self.label_len = configs.label_len
self.pred_len = configs.pred_len #H
self.hidden_dim=configs.d_model
self.res_hidden=configs.d_model
self.encoder_num=configs.e_layers
self.decoder_num=configs.d_layers
self.freq=configs.freq
self.feature_encode_dim=feature_encode_dim
self.decode_dim = configs.c_out
self.temporalDecoderHidden=configs.d_ff
dropout=configs.dropout
freq_map = {'h': 4, 't': 5, 's': 6,
'm': 1, 'a': 1, 'w': 2, 'd': 3, 'b': 3}
self.feature_dim=freq_map[self.freq]
flatten_dim = self.seq_len + (self.seq_len + self.pred_len) * self.feature_encode_dim
self.feature_encoder = ResBlock(self.feature_dim, self.res_hidden, self.feature_encode_dim, dropout, bias)
self.encoders = nn.Sequential(ResBlock(flatten_dim, self.res_hidden, self.hidden_dim, dropout, bias),*([ ResBlock(self.hidden_dim, self.res_hidden, self.hidden_dim, dropout, bias)]*(self.encoder_num-1)))
if self.task_name == 'long_term_forecast' or self.task_name == 'short_term_forecast':
self.decoders = nn.Sequential(*([ ResBlock(self.hidden_dim, self.res_hidden, self.hidden_dim, dropout, bias)]*(self.decoder_num-1)),ResBlock(self.hidden_dim, self.res_hidden, self.decode_dim * self.pred_len, dropout, bias))
self.temporalDecoder = ResBlock(self.decode_dim + self.feature_encode_dim, self.temporalDecoderHidden, 1, dropout, bias)
self.residual_proj = nn.Linear(self.seq_len, self.pred_len, bias=bias)
if self.task_name == 'imputation':
self.decoders = nn.Sequential(*([ ResBlock(self.hidden_dim, self.res_hidden, self.hidden_dim, dropout, bias)]*(self.decoder_num-1)),ResBlock(self.hidden_dim, self.res_hidden, self.decode_dim * self.seq_len, dropout, bias))
self.temporalDecoder = ResBlock(self.decode_dim + self.feature_encode_dim, self.temporalDecoderHidden, 1, dropout, bias)
self.residual_proj = nn.Linear(self.seq_len, self.seq_len, bias=bias)
if self.task_name == 'anomaly_detection':
self.decoders = nn.Sequential(*([ ResBlock(self.hidden_dim, self.res_hidden, self.hidden_dim, dropout, bias)]*(self.decoder_num-1)),ResBlock(self.hidden_dim, self.res_hidden, self.decode_dim * self.seq_len, dropout, bias))
self.temporalDecoder = ResBlock(self.decode_dim + self.feature_encode_dim, self.temporalDecoderHidden, 1, dropout, bias)
self.residual_proj = nn.Linear(self.seq_len, self.seq_len, bias=bias)
def forecast(self, x_enc, x_mark_enc, x_dec, batch_y_mark):
# Normalization
means = x_enc.mean(1, keepdim=True).detach()
x_enc = x_enc - means
stdev = torch.sqrt(torch.var(x_enc, dim=1, keepdim=True, unbiased=False) + 1e-5)
x_enc /= stdev
feature = self.feature_encoder(batch_y_mark)
hidden = self.encoders(torch.cat([x_enc, feature.reshape(feature.shape[0], -1)], dim=-1))
decoded = self.decoders(hidden).reshape(hidden.shape[0], self.pred_len, self.decode_dim)
dec_out = self.temporalDecoder(torch.cat([feature[:,self.seq_len:], decoded], dim=-1)).squeeze(-1) + self.residual_proj(x_enc)
# De-Normalization
dec_out = dec_out * (stdev[:, 0].unsqueeze(1).repeat(1, self.pred_len))
dec_out = dec_out + (means[:, 0].unsqueeze(1).repeat(1, self.pred_len))
return dec_out
def imputation(self, x_enc, x_mark_enc, x_dec, batch_y_mark, mask):
# Normalization
means = x_enc.mean(1, keepdim=True).detach()
x_enc = x_enc - means
stdev = torch.sqrt(torch.var(x_enc, dim=1, keepdim=True, unbiased=False) + 1e-5)
x_enc /= stdev
feature = self.feature_encoder(x_mark_enc)
hidden = self.encoders(torch.cat([x_enc, feature.reshape(feature.shape[0], -1)], dim=-1))
decoded = self.decoders(hidden).reshape(hidden.shape[0], self.seq_len, self.decode_dim)
dec_out = self.temporalDecoder(torch.cat([feature[:,:self.seq_len], decoded], dim=-1)).squeeze(-1) + self.residual_proj(x_enc)
# De-Normalization
dec_out = dec_out * (stdev[:, 0].unsqueeze(1).repeat(1, self.seq_len))
dec_out = dec_out + (means[:, 0].unsqueeze(1).repeat(1, self.seq_len))
return dec_out
def forward(self, x_enc, x_mark_enc, x_dec, batch_y_mark, mask=None):
'''x_mark_enc is the exogenous dynamic feature described in the original paper'''
if self.task_name == 'long_term_forecast' or self.task_name == 'short_term_forecast':
if batch_y_mark is None:
batch_y_mark = torch.zeros((x_enc.shape[0], self.seq_len+self.pred_len, self.feature_dim)).to(x_enc.device).detach()
else:
batch_y_mark = torch.concat([x_mark_enc, batch_y_mark[:, -self.pred_len:, :]],dim=1)
dec_out = torch.stack([self.forecast(x_enc[:, :, feature], x_mark_enc, x_dec, batch_y_mark) for feature in range(x_enc.shape[-1])],dim=-1)
return dec_out # [B, L, D]
if self.task_name == 'imputation':
dec_out = torch.stack([self.imputation(x_enc[:, :, feature], x_mark_enc, x_dec, batch_y_mark, mask) for feature in range(x_enc.shape[-1])],dim=-1)
return dec_out # [B, L, D]
if self.task_name == 'anomaly_detection':
raise NotImplementedError("Task anomaly_detection for Tide is temporarily not supported")
if self.task_name == 'classification':
raise NotImplementedError("Task classification for Tide is temporarily not supported")
return None