Pytorch implementation of the ESRNN
Project description
Pytorch Implementation of the ES-RNN
In this project we coded a pytorch class for the ES-RNN algorithm proposed by Smyl, winning submission of the M4 Forecasting Competition. The class wraps fit and predict methods to facilitate interaction with Machine Learning pipelines along with evaluation and data wrangling utility.
Installation Prerequisites
- numpy==1.16.1
- pandas==0.25.2
- pytorch>=1.3.1
Installation
The source code is currently hosted on GitHub at: https://github.com/kdgutier/esrnn_torch
You can install the released version of ESRNN
from the Python package index with:
pip install ESRNN
Usage Example
from ESRNN.m4_data import prepare_m4_data
from ESRNN.utils_evaluation import evaluate_prediction_owa
from ESRNN import ESRNN
X_train_df, y_train_df, X_test_df, y_test_df = prepare_m4_data(dataset_name='Yearly', directory = './data', num_obs=1000)
# Instantiate model
model = ESRNN(max_epochs=25, freq_of_test=5, batch_size=4, learning_rate=1e-4, per_series_lr_multip=0.8,
lr_scheduler_step_size=10, lr_decay=0.1, gradient_clipping_threshold=50,
rnn_weight_decay=0.0, level_variability_penalty=100,
testing_percentile=50, training_percentile=50,
ensemble=False, max_periods=25, seasonality=[], input_size=4, output_size=6,
cell_type='LSTM', state_hsize=40, dilations=[[1], [6]], add_nl_layer=False,
random_seed=1, device='cpu')
# Fit model
# If y_test_df is provided the model will evaluate predictions on this set every freq_test epochs
model.fit(X_train_df, y_train_df, X_test_df, y_test_df)
# Predict on test set
y_hat_df = model.predict(X_test_df)
# Evaluate predictions
final_owa, final_mase, final_smape = evaluate_prediction_owa(y_hat_df, y_train_df,
X_test_df, y_test_df,
naive2_seasonality=1)
Current Results
Here we used the model directly to compare to the original implementation. It is worth noticing that these results do not include the ensemble methods mentioned in the ESRNN paper.
Results of the M4 competition.
DATASET | OUR OWA | M4 OWA (Smyl) |
---|---|---|
Yearly | 0.785 | 0.778 |
Quarterly | 0.879 | 0.847 |
Monthly | 0.872 | 0.836 |
Hourly | 0.615 | 0.920 |
Weekly | 0.952 | 0.920 |
Daily | 0.968 | 0.920 |
Replicating M4 results
Replicating the M4 results is as easy as running the following line of code (for each frequency) after installing the package via pip:
python -m ESRNN.m4_run --dataset 'Yearly' --results_directory '/some/path' --gpu_id 0 --use_cpu 0
Use --help
to get the description of each argument:
python -m ESRNN.m4_run --help
Authors
- Kin Gutierrez - kdgutier
- Cristian Challu - cristianchallu
- Federico Garza - FedericoGarza
License
This project is licensed under the MIT License - see the LICENSE file for details.
REFERENCES
- A hybrid method of exponential smoothing and recurrent neural networks for time series forecasting
- The M4 Competition: Results, findings, conclusion and way forward
- M4 Competition Data
- Dilated Recurrent Neural Networks
- Residual LSTM: Design of a Deep Recurrent Architecture for Distant Speech Recognition
- A Dual-Stage Attention-Based recurrent neural network for time series prediction
Project details
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