improves

engines/BBDD.py

@@ -96,7 +96,7 @@ def new_model(name, winner, model,params,metric):
     DBSession = sessionmaker(bind=engine)
     session = DBSession()
     print ("Model saved")
-    print(model)
+    #print(model)
 
     new_model = Model(TS_name=name, TS_winner_name = winner, TS_model=bytearray(model),TS_model_params= params,TS_metric=metric)
     session.add(new_model)

engines/functions_timeseries.py

@@ -3,6 +3,8 @@
 from . holtwinter import anomaly_holt,forecast_holt
 from . auto_arima import anomaly_AutoArima
 from . lstm import anomaly_LSTM, anomaly_uni_LSTM
+from . tbats import anomaly_uni_TBATS
+
 import traceback
 
 from . BBDD import new_model, get_best_model
@@ -51,16 +53,14 @@ def model_univariate(lista_datos,num_fut,desv_mse,train,name):
             print(e)
             print ('ERROR: exception executing LSTM univariate')
 
-        #try:
-            #if (len(lista_datos) > 100):
-                ##new_length=
-                #lista_datos_ari=lista_datos[len(lista_datos)-100:]
-            #engines_output['arima'] = anomaly_AutoArima(lista_datos_ari,num_fut,len(lista_datos),desv_mse)
-            #debug['arima'] = engines_output['arima']['debug']
-        #except  Exception as e:
-            #print(e)
-            #print ('ERROR: exception executing Autoarima')
+    try:
+        engines_output['TBATS'] = anomaly_uni_TBATS(lista_datos,num_fut,desv_mse,train,name)
+        debug['TBATS'] = engines_output['TBATS']['debug']
+    except Exception as e:
+        print(e)
+        print ('ERROR: exception executing TBATS univariate')
 
+
         try:
             if (train):
                 engines_output['VAR'] = univariate_anomaly_VAR(lista_datos,num_fut,name)

engines/helpers.py

@@ -1,10 +1,28 @@
 from keras.models import Sequential
 from keras.layers.recurrent import LSTM
 from keras.layers.core import Dense, Activation, Dropout
-import pandas as pd 
+import pandas as pd
 import numpy as np
 from sklearn.metrics import mean_squared_error,mean_absolute_error
-
+import statsmodels.api as sm
+
+
+def seasonal_options (a):
+  print(" Starting seasonal finding")
+  print(a)
+  x =sm.tsa.stattools.pacf(a)
+
+  possible =[]
+  for i in range(4, len(x)-6):
+    before2 = x[i-2]
+    before= x[i-1]
+    period = x[i]
+    last = x[i+1]
+    last2 = x[i+2]
+    if (before2 < before < period > last ):
+      possible.append(i-1)
+  print ("Finishing seasonal finding")
+  return possible
 
 def windows(seq, num):
     avg = len(seq) / float(num)
@@ -17,7 +35,7 @@ def windows(seq, num):
 
     return out
 
-    
+
 def create_dataset(dataset, window_size = 1):
     data_X, data_Y = [], []
     for i in range(len(dataset) - window_size - 1):
@@ -26,25 +44,25 @@ def create_dataset(dataset, window_size = 1):
         data_Y.append(dataset[i + window_size, 0])
     return(np.array(data_X), np.array(data_Y))
 
-    
+
 # Define the model.
 def fit_model_new(train_X, train_Y, window_size = 1):
     model2 = Sequential()
-    model2.add(LSTM(input_shape = (window_size, 1), 
-               units = window_size, 
+    model2.add(LSTM(input_shape = (window_size, 1),
+               units = window_size,
                return_sequences = True))
     model2.add(Dropout(0.5))
     model2.add(LSTM(256))
     model2.add(Dropout(0.5))
     model2.add(Dense(1))
     model2.add(Activation("linear"))
-    model2.compile(loss = "mse", 
+    model2.compile(loss = "mse",
               optimizer = "adam")
     model2.summary()
 
     # Fit the first model.
-    model2.fit(train_X, train_Y, epochs = 80, 
-              batch_size = 1, 
+    model2.fit(train_X, train_Y, epochs = 80,
+              batch_size = 1,
               verbose = 2)
     return(model2)
 
@@ -60,13 +78,13 @@ def predict_and_score(model, X, Y,scaler):
     mae = mean_absolute_error(orig_data[0], pred[:, 0])
     return(score, pred, pred_scaled,mae)
 
-
 
-def mean_absolute_percentage_error(y_true, y_pred): 
+
+def mean_absolute_percentage_error(y_true, y_pred):
     y_true, y_pred = np.array(y_true), np.array(y_pred)
     return np.mean(np.abs((y_true - y_pred) / y_true)) * 100
 
-    
+
 
 def merge_two_dicts(x, y):
     z = x.copy()   # start with x's keys and values
@@ -81,8 +99,7 @@ def create_train_test(lista_puntos, lista_datos):
     df.set_index('puntos',inplace=True,drop=False)
     tam_train = int(len(df)*0.7)
     print (" train length" + str(tam_train))
-    
+
     df_train = df[:tam_train]
     df_test = df[tam_train:]
     return df, df_train, df_test
-

engines/holtwinter.py

@@ -3,12 +3,23 @@
 import pandas as pd
 from sklearn.metrics import mean_squared_error,mean_absolute_error
 from statsmodels.tsa.api import ExponentialSmoothing
-from . helpers import create_train_test
+from . helpers import create_train_test,seasonal_options
 import pickle
 from . BBDD import new_model, get_best_model
 from struct import *
 
 
+def chunkIt(seq, num):
+    avg = len(seq) / float(num)
+    out = []
+    last = 0.0
+
+    while last < len(seq):
+        out.append(len(seq[int(last):int(last + avg)]))
+        last += avg
+
+    return out
+
 def anomaly_holt(lista_datos,num_fut,desv_mse=0,name='NA'):
 
     lista_puntos = np.arange(0, len(lista_datos),1)
@@ -68,37 +79,47 @@ def anomaly_holt(lista_datos,num_fut,desv_mse=0,name='NA'):
     best_period=0
     best_trend='null'
     #list_trend=['add','mul','additive','multiplicative']
-    list_trend=['add']
-    for trend in list_trend:
-        for period in range(4,18):
-            print ('Periodo', period)
-            list_forecast_camb = []
-            tam_train = int(len(df)*0.7)
-            df_test = df[tam_train:]
-            for i in range(0,len(df_test)):
-                print ('Prediccion punto ', i)
-                df_train_camb = df[:tam_train+i]
-                stepwise_model_camb =  ExponentialSmoothing(df_train_camb['valores'],seasonal_periods=period ,trend=trend, seasonal='add', )
-                fit_stepwise_model_camb = stepwise_model_camb.fit()
-                forecast_camb = fit_stepwise_model_camb.forecast(1)
-
-                list_forecast_camb.append(forecast_camb.values[0])
-
-            mae_temp = mean_absolute_error(list_forecast_camb,df_test['valores'].values)
-            if mae_temp < mae_period:
-                best_period = period
-                best_trend = trend
-                print ('best_period',best_period)
-                print ('best_trend', best_trend)
-                print ('mae_temp', mae_temp)
-                mae_period = mae_temp
-            else:
-                print ('aa')
+    list_trend=['add','mul', 'additive', 'multiplicative'] #,'None']
+    print ("pasa hasta aqui")
+    periods = seasonal_options(df.valores)
+    print (periods)
+    #for trend_val in list_trend:
+    for seasonal_val in list_trend:
+            for period in periods:
+                print ('Periodo', period)
+                list_forecast_camb = []
+                tam_train = int(len(df)*0.7)
+                df_test = df[tam_train:]
+                part_lenghts = chunkIt(range(len(df_test)),3)
+
+                for i in part_lenghts:
+                        print ('Prediccion punto ', i)
+                        df_train_camb = df[:tam_train+i]
+                        stepwise_model_camb =  ExponentialSmoothing(df_train_camb['valores'] , seasonal=seasonal_val ,seasonal_periods=period ).fit()
+                        forecast_camb = stepwise_model_camb.forecast(i)
+
+                        list_forecast_camb.extend(forecast_camb.values[:i])
+
+                mae_temp = mean_absolute_error(list_forecast_camb,df_test['valores'].values)
+                if mae_temp < mae_period:
+                            best_period = period
+    #                        best_trend = trend_val
+                            best_seasonal = seasonal_val
+                            print ('best_period',best_period)
+    #                        print ('best_trend', best_trend)
+                            print ('mae_temp', mae_temp)
+                            print ('best_seasonal', best_seasonal)
+                            mae_period = mae_temp
+                else:
+                            print ('aa')
+
+
+
     print ("######best mae is " + str(mae_period) + " with the period " + str(best_period)+ " trend " + best_trend)
 
 
 
-    stepwise_model =  ExponentialSmoothing(df_train['valores'],seasonal_periods=best_period ,trend=best_trend, seasonal='add', )
+    stepwise_model =  ExponentialSmoothing(df_train['valores'],seasonal_periods=best_period , seasonal=best_seasonal )
     fit_stepwise_model = stepwise_model.fit()
 
     future_forecast_pred = fit_stepwise_model.forecast(len(df_test['valores']))
@@ -150,7 +171,7 @@ def anomaly_holt(lista_datos,num_fut,desv_mse=0,name='NA'):
     df_aler_ult['anomaly_score']= ( df_aler_ult['anomaly_score'] - min ) /(max - min)
 
     print ("Anomaly finished. Start forecasting")
-    stepwise_model1 =  ExponentialSmoothing(df['valores'],seasonal_periods=best_period,trend=best_trend , seasonal='add')
+    stepwise_model1 =  ExponentialSmoothing(df['valores'],seasonal_periods=best_period,seasonal=best_seasonal)
     print ("Pass the training")
     fit_stepwise_model1 = stepwise_model1.fit()
 

engines/lstm.py

@@ -58,8 +58,7 @@ def add_hlayer(model, num_nodes, return_sequences=False):
 def define_model(n_nodes, n_hlayers, dropout, input_data, output_shape):
     model = Sequential()
     if n_hlayers == 1:
-        model.add(LSTM(output_dim =int(n_nodes), activation='relu', input_shape =(input_data.shape[1], input_data.shape[2]),
-                   return_sequences=False))
+        model.add(LSTM(units =int(n_nodes), activation='relu', input_shape =(input_data.shape[1], input_data.shape[2]),return_sequences=False))
     else:
         #model.add(LSTM(output_dim =int(n_nodes), activation='relu', input_shape =(input_data.shape[1], input_data.shape[2]),return_sequences=True))
         model.add(LSTM(activation='relu', input_shape =(input_data.shape[1], input_data.shape[2]),return_sequences=True,units =int(n_nodes) ))
@@ -160,7 +159,7 @@ def anomaly_uni_LSTM(lista_datos,num_forecast=10,desv_mse=2,train='True',name='t
         ##################neural network######################
 
         models_dict = {}
-        n_hlayers = [1, 2]
+        n_hlayers = [1, 2,3]
         n_nodes = [100, 300, 500]
         n_dropout = [0, 0.1, 0.15, 0.20]
 
@@ -191,7 +190,7 @@ def anomaly_uni_LSTM(lista_datos,num_forecast=10,desv_mse=2,train='True',name='t
                     gc.collect()
                     model = define_model(nodes, hlayer, drop, win_train_x, num_forecast)
                     model_name = 'model_nlayers_{}_nnodes_{}_dropout_{}'.format(hlayer, nodes, drop)
-                    model.fit(win_train_x, win_train_y, epochs=65, verbose=0, shuffle=False)
+                    model.fit(win_train_x, win_train_y, epochs=85, verbose=0, shuffle=False)
 
                     #models_dict[name] = model
                     print(model_name)
@@ -214,6 +213,8 @@ def anomaly_uni_LSTM(lista_datos,num_forecast=10,desv_mse=2,train='True',name='t
                     print ('rmse', rmse)
                     print ('mae', mae)
                     if mae < best_mae:
+                            best_mae=mae
+                            print ("LSTM best new model " + str(mae)+"\n")
                             best_model=model
 
 
@@ -400,7 +401,7 @@ def anomaly_uni_LSTM(lista_datos,num_forecast=10,desv_mse=2,train='True',name='t
     #print('reshape win_todo_x',win_todo_x.shape)
 
 
-    name_model = actual_model.fit(win_todo_x, win_todo_y, epochs=25, verbose=0, shuffle=False)
+    name_model = actual_model.fit(win_todo_x, win_todo_y, epochs=85, verbose=0, shuffle=False)
 
 
 
@@ -564,7 +565,7 @@ def anomaly_LSTM(list_var,num_fut=10,desv_mae=2):
         #print 'fit model {}'.format(model)
         try:
             seed(69)
-            name_model = models_dict[model].fit(win_train_x, win_train_y_var_pred, epochs=25, verbose=0, shuffle=False)
+            name_model = models_dict[model].fit(win_train_x, win_train_y_var_pred, epochs=85, verbose=0, shuffle=False)
             dict_eval_models[model] = name_model
         except:
             dict_eval_models[model] = 'Error'
@@ -701,7 +702,7 @@ def anomaly_LSTM(list_var,num_fut=10,desv_mae=2):
     #print ('win_todo_y_var_pred',win_todo_y_var_pred)
     #print ('shape win_todo_y_var_pred',win_todo_y_var_pred.shape)
 
-    name_model = models_dict[best_model].fit(win_todo_x, win_todo_y_var_pred, epochs=25, verbose=0, shuffle=False)
+    name_model = models_dict[best_model].fit(win_todo_x, win_todo_y_var_pred, epochs=85, verbose=0, shuffle=False)
 
     falta_win_todo_x = x[-num_forecast:,:]
     #print ('falta_win_todo_x',falta_win_todo_x)