Add `DeepStateModel` #1253

ostreech1997 · 2023-05-02T15:17:08Z

Before submitting (must do checklist)

Did you read the contribution guide?
Did you update the docs? We use Numpy format for all the methods and classes.
Did you write any new necessary tests?
Did you update the CHANGELOG?

Proposed Changes

Implementation of the Deep State Space Model

Closing issues

github-actions · 2023-05-02T15:20:56Z

🚀 Deployed on https://deploy-preview-1253--etna-docs.netlify.app

codecov-commenter · 2023-05-02T15:22:28Z

Codecov Report

Merging #1253 (f063c6d) into master (b1ec0f5) will increase coverage by 0.64%.
The diff coverage is 95.71%.

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@@            Coverage Diff             @@
##           master    #1253      +/-   ##
==========================================
+ Coverage   88.11%   88.75%   +0.64%     
==========================================
  Files         178      193      +15     
  Lines       11170    11738     +568     
==========================================
+ Hits         9842    10418     +576     
+ Misses       1328     1320       -8

Impacted Files	Coverage Δ
etna/models/nn/deepstate/state_space_model.py	`88.54% <88.54%> (ø)`
etna/models/nn/__init__.py	`100.00% <100.00%> (ø)`
etna/models/nn/deepstate/__init__.py	`100.00% <100.00%> (ø)`
etna/models/nn/deepstate/deepstate.py	`100.00% <100.00%> (ø)`
etna/models/nn/deepstate/linear_dynamic_system.py	`100.00% <100.00%> (ø)`

... and 17 files with indirect coverage changes

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martins0n

Can we add examples to neural network notebook?
And we should add some information about choosing right family of SSM

etna/models/nn/deepstate/deepstate.py

etna/models/nn/deepstate/linear_dynamic_system.py

etna/models/nn/deepstate/state_space_model.py

martins0n · 2023-06-06T13:24:59Z

And yet another thing - look at test_inference folder - it would be great to add test cases for deepstate there

etna/models/nn/deepstate/state_space_model.py

etna/models/nn/deepstate/linear_dynamic_system.py

alex-hse-repository · 2023-06-08T10:21:51Z

etna/models/nn/deepstate/deepstate.py

+        self.RNN = nn.LSTM(
+            num_layers=self.num_layers, hidden_size=self.latent_dim, input_size=self.input_size, batch_first=True
+        )
+        self.projectors = nn.ModuleDict(


In the paper there is also the third type of transformations for the bounded parameters -- may be we can create the separate issue to add this option + prediction intervals

etna/models/nn/deepstate/deepstate.py

review-notebook-app · 2023-06-14T20:25:52Z

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alex-hse-repository and others added 17 commits April 26, 2023 23:28

Add base state space models

ac60209

Add tests for base ssms

44efb85

Add composit SSM

0a53d35

Update tests

be266aa

Add Linear Dynamic System with sampling

ad1ee05

Add test for LDS smapling

7fd727c

Add kalman filter

678a943

Add tests

9ffbedc

Add partial implementation of DeepState

d4a7ef0

Add datetime_index handling

9a0889d

Add forward implementation

1533dc8

Fix tests

ef309f1

Add notebook with snaity-check

d9a58b0

Reformat code

9d89790

Add tests for deepstate model

953cb72

Delete notebook from models dir

fe3bc01

Merge branch 'master' into ETNA-1022-v2

9a68d8c

github-actions bot temporarily deployed to pull request May 2, 2023 15:20 Inactive

Update CHANGELOG.md

b9ea8a8

github-actions bot temporarily deployed to pull request May 2, 2023 15:28 Inactive

ostreech1997 requested review from alex-hse-repository and martins0n May 2, 2023 15:54

ostreech1997 added 6 commits May 11, 2023 15:05

Change make_samples of DeepStateNet

4ea341a

Fix make_samples of DeepStateNet and WeeklySeasonalitySSM

0f6f224

Fix cuda

10dd637

Fix WeeklySeasonalitySSM

0f59ce5

Fix timestamp_transform of WeeklySeasonalitySSM and DaylySeasonalitySSM

a36e7c1

Fix make_samples of DeepStateNet

001b6b1

martins0n suggested changes Jun 6, 2023

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etna/models/nn/deepstate/deepstate.py Outdated Show resolved Hide resolved

etna/models/nn/deepstate/linear_dynamic_system.py Outdated Show resolved Hide resolved

etna/models/nn/deepstate/state_space_model.py Show resolved Hide resolved

martins0n mentioned this pull request Jun 7, 2023

Deep state model #754

Closed

9 tasks

ostreech1997 self-assigned this Jun 7, 2023

ostreech1997 added 2 commits June 8, 2023 02:06

Replace type_as with to of torch.Tensor

dc95aa4

Change docstring of SSM class

2f8839e

alex-hse-repository suggested changes Jun 8, 2023

View reviewed changes

ostreech1997 added 4 commits June 8, 2023 18:48

Add DeepStateModel example to neural network notebook

328d506

Add device definition to coeffs of SSM class

9f37c67

Reformat code

a3ffd6c

Add inference tests for DeepStateModel

a2dc4ad

ostreech1997 requested review from martins0n and alex-hse-repository June 22, 2023 08:16

martins0n previously approved these changes Jun 22, 2023

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alex-hse-repository previously approved these changes Jun 23, 2023

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Merge branch 'master' into ETNA-1022-v2

4268d19

alex-hse-repository dismissed stale reviews from martins0n and themself via 4268d19 June 23, 2023 05:20

alex-hse-repository self-requested a review June 23, 2023 05:21

alex-hse-repository previously approved these changes Jun 23, 2023

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alex-hse-repository enabled auto-merge (squash) June 23, 2023 05:21

github-actions bot temporarily deployed to pull request June 23, 2023 05:26 Inactive

Reformat NN notebook

f063c6d

ostreech1997 dismissed alex-hse-repository’s stale review via f063c6d June 23, 2023 07:39

github-actions bot temporarily deployed to pull request June 23, 2023 07:43 Inactive

alex-hse-repository self-requested a review June 23, 2023 07:47

alex-hse-repository approved these changes Jun 23, 2023

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alex-hse-repository merged commit 3f4ce91 into master Jun 23, 2023

Mr-Geekman mentioned this pull request Jun 30, 2023

DeepStateModel #862

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Add `DeepStateModel` #1253

Add `DeepStateModel` #1253

ostreech1997 commented May 2, 2023 •

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martins0n commented Jun 6, 2023 •

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review-notebook-app bot commented Jun 14, 2023

Add DeepStateModel #1253

Add DeepStateModel #1253

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ostreech1997 commented May 2, 2023 • edited Loading

Before submitting (must do checklist)

Proposed Changes

Closing issues

github-actions bot commented May 2, 2023 • edited Loading

codecov-commenter commented May 2, 2023 • edited Loading

Codecov Report

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martins0n commented Jun 6, 2023 • edited Loading

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review-notebook-app bot commented Jun 14, 2023

Add `DeepStateModel` #1253

Add `DeepStateModel` #1253

ostreech1997 commented May 2, 2023 •

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martins0n commented Jun 6, 2023 •

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