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@ -3,7 +3,6 @@
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109
train.py
109
train.py
@ -2,7 +2,6 @@ from pandas import DataFrame
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from pandas import Series
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from pandas import concat
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from pandas import read_csv
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from pandas import datetime
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from sklearn.metrics import mean_squared_error
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from sklearn.preprocessing import MinMaxScaler
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from keras.models import Sequential
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@ -12,18 +11,13 @@ from math import sqrt
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import numpy
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# date-time parsing function for loading the dataset
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def parser(x):
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return datetime.strptime('190' + x, '%Y-%m')
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# frame a sequence as a supervised learning problem
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def timeseries_to_supervised(data, lag=1):
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df = DataFrame(data)
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columns = [df.shift(i) for i in range(1, lag + 1)]
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columns.append(df)
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df = concat(columns, axis=1)
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df.fillna(0, inplace=True)
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df = df.drop(0)
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return df
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@ -56,8 +50,8 @@ def scale(train, test):
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# inverse scaling for a forecasted value
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def invert_scale(scaler, X, value):
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new_row = [x for x in X] + [value]
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def invert_scale(scaler, X, yhat):
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new_row = [x for x in X] + [yhat]
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array = numpy.array(new_row)
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array = array.reshape(1, len(array))
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inverted = scaler.inverse_transform(array)
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@ -73,7 +67,6 @@ def fit_lstm(train, batch_size, nb_epoch, neurons):
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model.add(Dense(1))
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model.compile(loss='mean_squared_error', optimizer='adam')
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for i in range(nb_epoch):
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print("Epoch {}/{}".format(i, nb_epoch))
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model.fit(X, y, epochs=1, batch_size=batch_size, verbose=0, shuffle=False)
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model.reset_states()
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return model
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@ -86,44 +79,62 @@ def forecast_lstm(model, batch_size, X):
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return yhat[0, 0]
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# run a repeated experiment
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def experiment(repeats, series, seed):
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# transform data to be stationary
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raw_values = series.values
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diff_values = difference(raw_values, 1)
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# transform data to be supervised learning
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supervised = timeseries_to_supervised(diff_values, 1)
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supervised_values = supervised.values
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# split data into train and test-sets
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train, test = supervised_values[0:-12], supervised_values[-12:]
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# transform the scale of the data
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scaler, train_scaled, test_scaled = scale(train, test)
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# run experiment
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error_scores = list()
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for r in range(repeats):
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# fit the model
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batch_size = 4
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train_trimmed = train_scaled[2:, :]
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lstm_model = fit_lstm(train_trimmed, batch_size, 3000, 4)
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# forecast the entire training dataset to build up state for forecasting
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if seed:
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train_reshaped = train_trimmed[:, 0].reshape(len(train_trimmed), 1, 1)
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lstm_model.predict(train_reshaped, batch_size=batch_size)
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# forecast test dataset
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test_reshaped = test_scaled[:, 0:-1]
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test_reshaped = test_reshaped.reshape(len(test_reshaped), 1, 1)
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output = lstm_model.predict(test_reshaped, batch_size=batch_size)
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predictions = list()
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for i in range(len(output)):
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yhat = output[i, 0]
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X = test_scaled[i, 0:-1]
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# invert scaling
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yhat = invert_scale(scaler, X, yhat)
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# invert differencing
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yhat = inverse_difference(raw_values, yhat, len(test_scaled) + 1 - i)
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# store forecast
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predictions.append(yhat)
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# report performance
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rmse = sqrt(mean_squared_error(raw_values[-12:], predictions))
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print('%d) Test RMSE: %.3f' % (r + 1, rmse))
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error_scores.append(rmse)
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return error_scores
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# load dataset
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series = read_csv('data.csv', header=0, index_col=0, squeeze=True)
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# transform data to be stationary
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raw_values = series.values
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diff_values = difference(raw_values, 1)
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# transform data to be supervised learning
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supervised = timeseries_to_supervised(diff_values, 1)
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supervised_values = supervised.values
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# split data into train and test-sets
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train, test = supervised_values[0:-12], supervised_values[-12:]
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# transform the scale of the data
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scaler, train_scaled, test_scaled = scale(train, test)
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# fit the model
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lstm_model = fit_lstm(train_scaled, 1, 30, 4)
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# forecast the entire training dataset to build up state for forecasting
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train_reshaped = train_scaled[:, 0].reshape(len(train_scaled), 1, 1)
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lstm_model.predict(train_reshaped, batch_size=1)
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# walk-forward validation on the test data
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predictions = list()
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for j in range(len(test_scaled)):
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# make one-step forecast
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X, y = test_scaled[j, 0:-1], test_scaled[j, -1]
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yhat = forecast_lstm(lstm_model, 1, X)
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# invert scaling
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yhat = invert_scale(scaler, X, yhat)
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# invert differencing
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yhat = inverse_difference(raw_values, yhat, len(test_scaled) + 1 - j)
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# store forecast
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predictions.append(yhat)
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expected = raw_values[len(train) + j + 1]
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print('Month=%d, Predicted=%f, Expected=%f' % (j + 1, yhat, expected))
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# report performance
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rmse = sqrt(mean_squared_error(raw_values[-12:], predictions))
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print('Test RMSE: %.3f' % rmse)
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# experiment
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repeats = 30
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results = DataFrame()
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# with seeding
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with_seed = experiment(repeats, series, True)
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results['with-seed'] = with_seed
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# without seeding
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without_seed = experiment(repeats, series, False)
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results['without-seed'] = without_seed
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# summarize results
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print(results.describe())
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# save boxplot
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results.boxplot()
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