update

.idea/workspace.xml

@@ -223,7 +223,7 @@
   <component name="PropertiesComponent">
     <property name="WebServerToolWindowFactoryState" value="false" />
     <property name="aspect.path.notification.shown" value="true" />
-    <property name="com.android.tools.idea.instantapp.provision.ProvisionBeforeRunTaskProvider.myTimeStamp" value="1588356266416" />
+    <property name="com.android.tools.idea.instantapp.provision.ProvisionBeforeRunTaskProvider.myTimeStamp" value="1588356880775" />
     <property name="go.gopath.indexing.explicitly.defined" value="true" />
     <property name="nodejs_interpreter_path.stuck_in_default_project" value="undefined stuck path" />
     <property name="nodejs_npm_path_reset_for_default_project" value="true" />

train.py

@@ -0,0 +1,128 @@
+from pandas import DataFrame
+from pandas import Series
+from pandas import concat
+from pandas import read_csv
+from pandas import datetime
+from sklearn.metrics import mean_squared_error
+from sklearn.preprocessing import MinMaxScaler
+from keras.models import Sequential
+from keras.layers import Dense
+from keras.layers import LSTM
+from math import sqrt
+import numpy
+
+
+# date-time parsing function for loading the dataset
+def parser(x):
+	return datetime.strptime('190' + x, '%Y-%m')
+
+
+# frame a sequence as a supervised learning problem
+def timeseries_to_supervised(data, lag=1):
+	df = DataFrame(data)
+	columns = [df.shift(i) for i in range(1, lag + 1)]
+	columns.append(df)
+	df = concat(columns, axis=1)
+	df.fillna(0, inplace=True)
+	return df
+
+
+# create a differenced series
+def difference(dataset, interval=1):
+	diff = list()
+	for i in range(interval, len(dataset)):
+		value = dataset[i] - dataset[i - interval]
+		diff.append(value)
+	return Series(diff)
+
+
+# invert differenced value
+def inverse_difference(history, yhat, interval=1):
+	return yhat + history[-interval]
+
+
+# scale train and test data to [-1, 1]
+def scale(train, test):
+	# fit scaler
+	scaler = MinMaxScaler(feature_range=(-1, 1))
+	scaler = scaler.fit(train)
+	# transform train
+	train = train.reshape(train.shape[0], train.shape[1])
+	train_scaled = scaler.transform(train)
+	# transform test
+	test = test.reshape(test.shape[0], test.shape[1])
+	test_scaled = scaler.transform(test)
+	return scaler, train_scaled, test_scaled
+
+
+# inverse scaling for a forecasted value
+def invert_scale(scaler, X, value):
+	new_row = [x for x in X] + [value]
+	array = numpy.array(new_row)
+	array = array.reshape(1, len(array))
+	inverted = scaler.inverse_transform(array)
+	return inverted[0, -1]
+
+
+# fit an LSTM network to training data
+def fit_lstm(train, batch_size, nb_epoch, neurons):
+	X, y = train[:, 0:-1], train[:, -1]
+	X = X.reshape(X.shape[0], 1, X.shape[1])
+	model = Sequential()
+	model.add(LSTM(neurons, batch_input_shape=(batch_size, X.shape[1], X.shape[2]), stateful=True))
+	model.add(Dense(1))
+	model.compile(loss='mean_squared_error', optimizer='adam')
+	for i in range(nb_epoch):
+		model.fit(X, y, epochs=1, batch_size=batch_size, verbose=0, shuffle=False)
+		model.reset_states()
+	return model
+
+
+# make a one-step forecast
+def forecast_lstm(model, batch_size, X):
+	X = X.reshape(1, 1, len(X))
+	yhat = model.predict(X, batch_size=batch_size)
+	return yhat[0, 0]
+
+
+# load dataset
+series = read_csv('data.csv', header=0, index_col=0, squeeze=True)
+
+# transform data to be stationary
+raw_values = series.values
+diff_values = difference(raw_values, 1)
+
+# transform data to be supervised learning
+supervised = timeseries_to_supervised(diff_values, 1)
+supervised_values = supervised.values
+
+# split data into train and test-sets
+train, test = supervised_values[0:-12], supervised_values[-12:]
+
+# transform the scale of the data
+scaler, train_scaled, test_scaled = scale(train, test)
+
+# fit the model
+lstm_model = fit_lstm(train_scaled, 1, 3000, 4)
+# forecast the entire training dataset to build up state for forecasting
+train_reshaped = train_scaled[:, 0].reshape(len(train_scaled), 1, 1)
+lstm_model.predict(train_reshaped, batch_size=1)
+
+# walk-forward validation on the test data
+predictions = list()
+for i in range(len(test_scaled)):
+	# make one-step forecast
+	X, y = test_scaled[i, 0:-1], test_scaled[i, -1]
+	yhat = forecast_lstm(lstm_model, 1, X)
+	# invert scaling
+	yhat = invert_scale(scaler, X, yhat)
+	# invert differencing
+	yhat = inverse_difference(raw_values, yhat, len(test_scaled) + 1 - i)
+	# store forecast
+	predictions.append(yhat)
+	expected = raw_values[len(train) + i + 1]
+	print('Month=%d, Predicted=%f, Expected=%f' % (i + 1, yhat, expected))
+
+# report performance
+rmse = sqrt(mean_squared_error(raw_values[-12:], predictions))
+print('Test RMSE: %.3f' % rmse)