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[FEAT] - Add SOFTS model #1024

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Jun 13, 2024
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[FEAT] - Add SOFTS model #1024

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4 changes: 2 additions & 2 deletions nbs/core.ipynb
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Expand Up @@ -91,7 +91,7 @@
" Informer, Autoformer, FEDformer,\n",
" StemGNN, PatchTST, TimesNet, TimeLLM, TSMixer, TSMixerx,\n",
" MLPMultivariate, iTransformer,\n",
" BiTCN, TiDE, DeepNPTS,\n",
" BiTCN, TiDE, DeepNPTS, SOFTS\n",
")"
]
},
Expand Down Expand Up @@ -240,7 +240,7 @@
" 'bitcn': BiTCN, 'autobitcn': BiTCN,\n",
" 'tide': TiDE, 'autotide': TiDE,\n",
" 'deepnpts': DeepNPTS, 'autodeepnpts': DeepNPTS,\n",
"\n",
" 'softs': SOFTS, 'autosofts': SOFTS\n",
"}"
]
},
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429 changes: 429 additions & 0 deletions nbs/models.ipynb
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1,019 changes: 1,019 additions & 0 deletions nbs/models.softs.ipynb
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24 changes: 24 additions & 0 deletions neuralforecast/_modidx.py
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Expand Up @@ -96,6 +96,10 @@
'neuralforecast.auto.AutoRNN.__init__': ('models.html#autornn.__init__', 'neuralforecast/auto.py'),
'neuralforecast.auto.AutoRNN.get_default_config': ( 'models.html#autornn.get_default_config',
'neuralforecast/auto.py'),
'neuralforecast.auto.AutoSOFTS': ('models.html#autosofts', 'neuralforecast/auto.py'),
'neuralforecast.auto.AutoSOFTS.__init__': ('models.html#autosofts.__init__', 'neuralforecast/auto.py'),
'neuralforecast.auto.AutoSOFTS.get_default_config': ( 'models.html#autosofts.get_default_config',
'neuralforecast/auto.py'),
'neuralforecast.auto.AutoStemGNN': ('models.html#autostemgnn', 'neuralforecast/auto.py'),
'neuralforecast.auto.AutoStemGNN.__init__': ( 'models.html#autostemgnn.__init__',
'neuralforecast/auto.py'),
Expand Down Expand Up @@ -960,6 +964,26 @@
'neuralforecast/models/rnn.py'),
'neuralforecast.models.rnn.RNN.forward': ( 'models.rnn.html#rnn.forward',
'neuralforecast/models/rnn.py')},
'neuralforecast.models.softs': { 'neuralforecast.models.softs.DataEmbedding_inverted': ( 'models.softs.html#dataembedding_inverted',
'neuralforecast/models/softs.py'),
'neuralforecast.models.softs.DataEmbedding_inverted.__init__': ( 'models.softs.html#dataembedding_inverted.__init__',
'neuralforecast/models/softs.py'),
'neuralforecast.models.softs.DataEmbedding_inverted.forward': ( 'models.softs.html#dataembedding_inverted.forward',
'neuralforecast/models/softs.py'),
'neuralforecast.models.softs.SOFTS': ( 'models.softs.html#softs',
'neuralforecast/models/softs.py'),
'neuralforecast.models.softs.SOFTS.__init__': ( 'models.softs.html#softs.__init__',
'neuralforecast/models/softs.py'),
'neuralforecast.models.softs.SOFTS.forecast': ( 'models.softs.html#softs.forecast',
'neuralforecast/models/softs.py'),
'neuralforecast.models.softs.SOFTS.forward': ( 'models.softs.html#softs.forward',
'neuralforecast/models/softs.py'),
'neuralforecast.models.softs.STAD': ( 'models.softs.html#stad',
'neuralforecast/models/softs.py'),
'neuralforecast.models.softs.STAD.__init__': ( 'models.softs.html#stad.__init__',
'neuralforecast/models/softs.py'),
'neuralforecast.models.softs.STAD.forward': ( 'models.softs.html#stad.forward',
'neuralforecast/models/softs.py')},
'neuralforecast.models.stemgnn': { 'neuralforecast.models.stemgnn.GLU': ( 'models.stemgnn.html#glu',
'neuralforecast/models/stemgnn.py'),
'neuralforecast.models.stemgnn.GLU.__init__': ( 'models.stemgnn.html#glu.__init__',
Expand Down
88 changes: 87 additions & 1 deletion neuralforecast/auto.py
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Expand Up @@ -5,7 +5,7 @@
'AutoNBEATSx', 'AutoNHITS', 'AutoDLinear', 'AutoNLinear', 'AutoTiDE', 'AutoDeepNPTS', 'AutoTFT',
'AutoVanillaTransformer', 'AutoInformer', 'AutoAutoformer', 'AutoFEDformer', 'AutoPatchTST',
'AutoiTransformer', 'AutoTimesNet', 'AutoStemGNN', 'AutoHINT', 'AutoTSMixer', 'AutoTSMixerx',
'AutoMLPMultivariate']
'AutoMLPMultivariate', 'AutoSOFTS']

# %% ../nbs/models.ipynb 2
from os import cpu_count
Expand Down Expand Up @@ -48,6 +48,7 @@
from .models.tsmixer import TSMixer
from .models.tsmixerx import TSMixerx
from .models.mlpmultivariate import MLPMultivariate
from .models.softs import SOFTS

from .losses.pytorch import MAE, MQLoss, DistributionLoss

Expand Down Expand Up @@ -2079,3 +2080,88 @@ def get_default_config(cls, h, backend, n_series):
config = cls._ray_config_to_optuna(config)

return config

# %% ../nbs/models.ipynb 130
class AutoSOFTS(BaseAuto):

default_config = {
"input_size_multiplier": [1, 2, 3, 4, 5],
"h": None,
"n_series": None,
"hidden_size": tune.choice([64, 128, 256, 512]),
"d_core": tune.choice([64, 128, 256, 512]),
"learning_rate": tune.loguniform(1e-4, 1e-1),
"scaler_type": tune.choice([None, "robust", "standard", "identity"]),
"max_steps": tune.choice([500, 1000, 2000]),
"batch_size": tune.choice([32, 64, 128, 256]),
"loss": None,
"random_seed": tune.randint(1, 20),
}

def __init__(
self,
h,
n_series,
loss=MAE(),
valid_loss=None,
config=None,
search_alg=BasicVariantGenerator(random_state=1),
num_samples=10,
refit_with_val=False,
cpus=cpu_count(),
gpus=torch.cuda.device_count(),
verbose=False,
alias=None,
backend="ray",
callbacks=None,
):

# Define search space, input/output sizes
if config is None:
config = self.get_default_config(h=h, backend=backend, n_series=n_series)

# Always use n_series from parameters, raise exception with Optuna because we can't enforce it
if backend == "ray":
config["n_series"] = n_series
elif backend == "optuna":
mock_trial = MockTrial()
if (
"n_series" in config(mock_trial)
and config(mock_trial)["n_series"] != n_series
) or ("n_series" not in config(mock_trial)):
raise Exception(f"config needs 'n_series': {n_series}")

super(AutoSOFTS, self).__init__(
cls_model=SOFTS,
h=h,
loss=loss,
valid_loss=valid_loss,
config=config,
search_alg=search_alg,
num_samples=num_samples,
refit_with_val=refit_with_val,
cpus=cpus,
gpus=gpus,
verbose=verbose,
alias=alias,
backend=backend,
callbacks=callbacks,
)

@classmethod
def get_default_config(cls, h, backend, n_series):
config = cls.default_config.copy()
config["input_size"] = tune.choice(
[h * x for x in config["input_size_multiplier"]]
)

# Rolling windows with step_size=1 or step_size=h
# See `BaseWindows` and `BaseRNN`'s create_windows
config["step_size"] = tune.choice([1, h])
del config["input_size_multiplier"]
if backend == "optuna":
# Always use n_series from parameters
config["n_series"] = n_series
config = cls._ray_config_to_optuna(config)

return config
3 changes: 3 additions & 0 deletions neuralforecast/core.py
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Expand Up @@ -59,6 +59,7 @@
BiTCN,
TiDE,
DeepNPTS,
SOFTS,
)

# %% ../nbs/core.ipynb 5
Expand Down Expand Up @@ -176,6 +177,8 @@ def _insample_times(
"autotide": TiDE,
"deepnpts": DeepNPTS,
"autodeepnpts": DeepNPTS,
"softs": SOFTS,
"autosofts": SOFTS,
}

# %% ../nbs/core.ipynb 8
Expand Down
3 changes: 2 additions & 1 deletion neuralforecast/models/__init__.py
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Expand Up @@ -2,7 +2,7 @@
'MLP', 'NHITS', 'NBEATS', 'NBEATSx', 'DLinear', 'NLinear',
'TFT', 'VanillaTransformer', 'Informer', 'Autoformer', 'PatchTST', 'FEDformer',
'StemGNN', 'HINT', 'TimesNet', 'TimeLLM', 'TSMixer', 'TSMixerx', 'MLPMultivariate',
'iTransformer', 'BiTCN', 'TiDE', 'DeepNPTS'
'iTransformer', 'BiTCN', 'TiDE', 'DeepNPTS', 'SOFTS'
]

from .rnn import RNN
Expand Down Expand Up @@ -34,3 +34,4 @@
from .bitcn import BiTCN
from .tide import TiDE
from .deepnpts import DeepNPTS
from .softs import SOFTS
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