import torch import torch.nn as nn import torch.nn.functional as F import math import numpy as np class AutoCorrelation(nn.Module): """ AutoCorrelation Mechanism with the following two phases: (1) period-based dependencies discovery (2) time delay aggregation This block can replace the self-attention family mechanism seamlessly. """ def __init__(self, mask_flag=True, factor=1, scale=None, attention_dropout=0.1, output_attention=False): super(AutoCorrelation, self).__init__() self.factor = factor self.scale = scale self.mask_flag = mask_flag self.output_attention = output_attention self.dropout = nn.Dropout(attention_dropout) def time_delay_agg_training(self, values, corr): """ SpeedUp version of Autocorrelation (a batch-normalization style design) This is for the training phase. """ head = values.shape[1] channel = values.shape[2] length = values.shape[3] # find top k top_k = int(self.factor * math.log(length)) mean_value = torch.mean(torch.mean(corr, dim=1), dim=1) index = torch.topk(torch.mean(mean_value, dim=0), top_k, dim=-1)[1] weights = torch.stack([mean_value[:, index[i]] for i in range(top_k)], dim=-1) # update corr tmp_corr = torch.softmax(weights, dim=-1) # aggregation tmp_values = values delays_agg = torch.zeros_like(values).float() for i in range(top_k): pattern = torch.roll(tmp_values, -int(index[i]), -1) delays_agg = delays_agg + pattern * \ (tmp_corr[:, i].unsqueeze(1).unsqueeze(1).unsqueeze(1).repeat(1, head, channel, length)) return delays_agg def time_delay_agg_inference(self, values, corr): """ SpeedUp version of Autocorrelation (a batch-normalization style design) This is for the inference phase. """ batch = values.shape[0] head = values.shape[1] channel = values.shape[2] length = values.shape[3] # index init init_index = torch.arange(length).unsqueeze(0).unsqueeze(0).unsqueeze(0).repeat(batch, head, channel, 1).cuda() # find top k top_k = int(self.factor * math.log(length)) mean_value = torch.mean(torch.mean(corr, dim=1), dim=1) weights, delay = torch.topk(mean_value, top_k, dim=-1) # update corr tmp_corr = torch.softmax(weights, dim=-1) # aggregation tmp_values = values.repeat(1, 1, 1, 2) delays_agg = torch.zeros_like(values).float() for i in range(top_k): tmp_delay = init_index + delay[:, i].unsqueeze(1).unsqueeze(1).unsqueeze(1).repeat(1, head, channel, length) pattern = torch.gather(tmp_values, dim=-1, index=tmp_delay) delays_agg = delays_agg + pattern * \ (tmp_corr[:, i].unsqueeze(1).unsqueeze(1).unsqueeze(1).repeat(1, head, channel, length)) return delays_agg def time_delay_agg_full(self, values, corr): """ Standard version of Autocorrelation """ batch = values.shape[0] head = values.shape[1] channel = values.shape[2] length = values.shape[3] # index init init_index = torch.arange(length).unsqueeze(0).unsqueeze(0).unsqueeze(0).repeat(batch, head, channel, 1).cuda() # find top k top_k = int(self.factor * math.log(length)) weights, delay = torch.topk(corr, top_k, dim=-1) # update corr tmp_corr = torch.softmax(weights, dim=-1) # aggregation tmp_values = values.repeat(1, 1, 1, 2) delays_agg = torch.zeros_like(values).float() for i in range(top_k): tmp_delay = init_index + delay[..., i].unsqueeze(-1) pattern = torch.gather(tmp_values, dim=-1, index=tmp_delay) delays_agg = delays_agg + pattern * (tmp_corr[..., i].unsqueeze(-1)) return delays_agg def forward(self, queries, keys, values, attn_mask): B, L, H, E = queries.shape _, S, _, D = values.shape if L > S: zeros = torch.zeros_like(queries[:, :(L - S), :]).float() values = torch.cat([values, zeros], dim=1) keys = torch.cat([keys, zeros], dim=1) else: values = values[:, :L, :, :] keys = keys[:, :L, :, :] # period-based dependencies q_fft = torch.fft.rfft(queries.permute(0, 2, 3, 1).contiguous(), dim=-1) k_fft = torch.fft.rfft(keys.permute(0, 2, 3, 1).contiguous(), dim=-1) res = q_fft * torch.conj(k_fft) corr = torch.fft.irfft(res, dim=-1) # time delay agg if self.training: V = self.time_delay_agg_training(values.permute(0, 2, 3, 1).contiguous(), corr).permute(0, 3, 1, 2) else: V = self.time_delay_agg_inference(values.permute(0, 2, 3, 1).contiguous(), corr).permute(0, 3, 1, 2) if self.output_attention: return (V.contiguous(), corr.permute(0, 3, 1, 2)) else: return (V.contiguous(), None) class AutoCorrelationLayer(nn.Module): def __init__(self, correlation, d_model, n_heads, d_keys=None, d_values=None): super(AutoCorrelationLayer, self).__init__() d_keys = d_keys or (d_model // n_heads) d_values = d_values or (d_model // n_heads) self.inner_correlation = correlation self.query_projection = nn.Linear(d_model, d_keys * n_heads) self.key_projection = nn.Linear(d_model, d_keys * n_heads) self.value_projection = nn.Linear(d_model, d_values * n_heads) self.out_projection = nn.Linear(d_values * n_heads, d_model) self.n_heads = n_heads def forward(self, queries, keys, values, attn_mask): B, L, _ = queries.shape _, S, _ = keys.shape H = self.n_heads queries = self.query_projection(queries).view(B, L, H, -1) keys = self.key_projection(keys).view(B, S, H, -1) values = self.value_projection(values).view(B, S, H, -1) out, attn = self.inner_correlation( queries, keys, values, attn_mask ) out = out.view(B, L, -1) return self.out_projection(out), attn class my_Layernorm(nn.Module): """ Special designed layernorm for the seasonal part """ def __init__(self, channels): super(my_Layernorm, self).__init__() self.layernorm = nn.LayerNorm(channels) def forward(self, x): x_hat = self.layernorm(x) bias = torch.mean(x_hat, dim=1).unsqueeze(1).repeat(1, x.shape[1], 1) return x_hat - bias class moving_avg(nn.Module): """ Moving average block to highlight the trend of time series """ def __init__(self, kernel_size, stride): super(moving_avg, self).__init__() self.kernel_size = kernel_size self.avg = nn.AvgPool1d(kernel_size=kernel_size, stride=stride, padding=0) def forward(self, x): # padding on the both ends of time series front = x[:, 0:1, :].repeat(1, (self.kernel_size - 1) // 2, 1) end = x[:, -1:, :].repeat(1, (self.kernel_size - 1) // 2, 1) x = torch.cat([front, x, end], dim=1) x = self.avg(x.permute(0, 2, 1)) x = x.permute(0, 2, 1) return x class series_decomp(nn.Module): """ Series decomposition block """ def __init__(self, kernel_size): super(series_decomp, self).__init__() self.moving_avg = moving_avg(kernel_size, stride=1) def forward(self, x): moving_mean = self.moving_avg(x) res = x - moving_mean return res, moving_mean class series_decomp_multi(nn.Module): """ Multiple Series decomposition block from FEDformer """ def __init__(self, kernel_size): super(series_decomp_multi, self).__init__() self.kernel_size = kernel_size self.series_decomp = [series_decomp(kernel) for kernel in kernel_size] def forward(self, x): moving_mean = [] res = [] for func in self.series_decomp: sea, moving_avg = func(x) moving_mean.append(moving_avg) res.append(sea) sea = sum(res) / len(res) moving_mean = sum(moving_mean) / len(moving_mean) return sea, moving_mean class EncoderLayer(nn.Module): """ Autoformer encoder layer with the progressive decomposition architecture """ def __init__(self, attention, d_model, d_ff=None, moving_avg=25, dropout=0.1, activation="relu"): super(EncoderLayer, self).__init__() d_ff = d_ff or 4 * d_model self.attention = attention self.conv1 = nn.Conv1d(in_channels=d_model, out_channels=d_ff, kernel_size=1, bias=False) self.conv2 = nn.Conv1d(in_channels=d_ff, out_channels=d_model, kernel_size=1, bias=False) self.decomp1 = series_decomp(moving_avg) self.decomp2 = series_decomp(moving_avg) self.dropout = nn.Dropout(dropout) self.activation = F.relu if activation == "relu" else F.gelu def forward(self, x, attn_mask=None): new_x, attn = self.attention( x, x, x, attn_mask=attn_mask ) x = x + self.dropout(new_x) x, _ = self.decomp1(x) y = x y = self.dropout(self.activation(self.conv1(y.transpose(-1, 1)))) y = self.dropout(self.conv2(y).transpose(-1, 1)) res, _ = self.decomp2(x + y) return res, attn class Encoder(nn.Module): """ Autoformer encoder """ def __init__(self, attn_layers, conv_layers=None, norm_layer=None): super(Encoder, self).__init__() self.attn_layers = nn.ModuleList(attn_layers) self.conv_layers = nn.ModuleList(conv_layers) if conv_layers is not None else None self.norm = norm_layer def forward(self, x, attn_mask=None): attns = [] if self.conv_layers is not None: for attn_layer, conv_layer in zip(self.attn_layers, self.conv_layers): x, attn = attn_layer(x, attn_mask=attn_mask) x = conv_layer(x) attns.append(attn) x, attn = self.attn_layers[-1](x) attns.append(attn) else: for attn_layer in self.attn_layers: x, attn = attn_layer(x, attn_mask=attn_mask) attns.append(attn) if self.norm is not None: x = self.norm(x) return x, attns class DecoderLayer(nn.Module): """ Autoformer decoder layer with the progressive decomposition architecture """ def __init__(self, self_attention, cross_attention, d_model, c_out, d_ff=None, moving_avg=25, dropout=0.1, activation="relu"): super(DecoderLayer, self).__init__() d_ff = d_ff or 4 * d_model self.self_attention = self_attention self.cross_attention = cross_attention self.conv1 = nn.Conv1d(in_channels=d_model, out_channels=d_ff, kernel_size=1, bias=False) self.conv2 = nn.Conv1d(in_channels=d_ff, out_channels=d_model, kernel_size=1, bias=False) self.decomp1 = series_decomp(moving_avg) self.decomp2 = series_decomp(moving_avg) self.decomp3 = series_decomp(moving_avg) self.dropout = nn.Dropout(dropout) self.projection = nn.Conv1d(in_channels=d_model, out_channels=c_out, kernel_size=3, stride=1, padding=1, padding_mode='circular', bias=False) self.activation = F.relu if activation == "relu" else F.gelu def forward(self, x, cross, x_mask=None, cross_mask=None): x = x + self.dropout(self.self_attention( x, x, x, attn_mask=x_mask )[0]) x, trend1 = self.decomp1(x) x = x + self.dropout(self.cross_attention( x, cross, cross, attn_mask=cross_mask )[0]) x, trend2 = self.decomp2(x) y = x y = self.dropout(self.activation(self.conv1(y.transpose(-1, 1)))) y = self.dropout(self.conv2(y).transpose(-1, 1)) x, trend3 = self.decomp3(x + y) residual_trend = trend1 + trend2 + trend3 residual_trend = self.projection(residual_trend.permute(0, 2, 1)).transpose(1, 2) return x, residual_trend class Decoder(nn.Module): """ Autoformer encoder """ def __init__(self, layers, norm_layer=None, projection=None): super(Decoder, self).__init__() self.layers = nn.ModuleList(layers) self.norm = norm_layer self.projection = projection def forward(self, x, cross, x_mask=None, cross_mask=None, trend=None): for layer in self.layers: x, residual_trend = layer(x, cross, x_mask=x_mask, cross_mask=cross_mask) trend = trend + residual_trend if self.norm is not None: x = self.norm(x) if self.projection is not None: x = self.projection(x) return x, trend class FixedEmbedding(nn.Module): def __init__(self, c_in, d_model): super(FixedEmbedding, self).__init__() w = torch.zeros(c_in, d_model).float() w.require_grad = False position = torch.arange(0, c_in).float().unsqueeze(1) div_term = (torch.arange(0, d_model, 2).float() * -(math.log(10000.0) / d_model)).exp() w[:, 0::2] = torch.sin(position * div_term) w[:, 1::2] = torch.cos(position * div_term) self.emb = nn.Embedding(c_in, d_model) self.emb.weight = nn.Parameter(w, requires_grad=False) def forward(self, x): return self.emb(x).detach() class TemporalEmbedding(nn.Module): def __init__(self, d_model, embed_type='fixed', freq='h'): super(TemporalEmbedding, self).__init__() hour_size = 96 weekday_size = 7 Embed = FixedEmbedding if embed_type == 'fixed' else nn.Embedding self.hour_embed = Embed(hour_size, d_model) self.weekday_embed = Embed(weekday_size, d_model) def forward(self, x): x = x.long() hour_x = self.hour_embed(x[:, :, 0]) weekday_x = self.weekday_embed(x[:, :, 1]) return hour_x + weekday_x class PositionalEmbedding(nn.Module): def __init__(self, d_model, max_len=5000): super(PositionalEmbedding, self).__init__() # Compute the positional encodings once in log space. pe = torch.zeros(max_len, d_model).float() pe.require_grad = False position = torch.arange(0, max_len).float().unsqueeze(1) div_term = (torch.arange(0, d_model, 2).float() * -(math.log(10000.0) / d_model)).exp() pe[:, 0::2] = torch.sin(position * div_term) pe[:, 1::2] = torch.cos(position * div_term) pe = pe.unsqueeze(0) self.register_buffer('pe', pe) def forward(self, x): return self.pe[:, :x.size(1)] class TokenEmbedding(nn.Module): def __init__(self, c_in, d_model): super(TokenEmbedding, self).__init__() padding = 1 if torch.__version__ >= '1.5.0' else 2 self.tokenConv = nn.Conv1d(in_channels=c_in, out_channels=d_model, kernel_size=3, padding=padding, padding_mode='circular', bias=False) for m in self.modules(): if isinstance(m, nn.Conv1d): nn.init.kaiming_normal_( m.weight, mode='fan_in', nonlinearity='leaky_relu') def forward(self, x): x = self.tokenConv(x.permute(0, 2, 1)).transpose(1, 2) return x class DataEmbedding_wo_pos(nn.Module): def __init__(self, c_in, d_model, embed_type='fixed', freq='h', dropout=0.1): super(DataEmbedding_wo_pos, self).__init__() self.value_embedding = TokenEmbedding(c_in=c_in, d_model=d_model) self.temporal_embedding = TemporalEmbedding(d_model=d_model, embed_type=embed_type, freq=freq) self.dropout = nn.Dropout(p=dropout) def forward(self, x, x_mark): if x_mark is None: x = self.value_embedding(x) else: x = self.value_embedding(x) + self.temporal_embedding(x_mark) return self.dropout(x) class Autoformer(nn.Module): """ Autoformer is the first method to achieve the series-wise connection, with inherent O(LlogL) complexity Paper link: https://openreview.net/pdf?id=I55UqU-M11y """ def __init__( self, enc_in, dec_in, c_out, pred_len, seq_len, d_model = 64, data_idx = [0,3,4,5,6,7], time_idx = [1,2], output_attention = False, moving_avg_val = 25, factor = 3, n_heads = 4, d_ff = 512, d_layers = 3, e_layers = 3, activation = 'gelu', dropout = 0.1 ): super(Autoformer, self).__init__() self.seq_len = seq_len self.pred_len = pred_len self.output_attention = output_attention self.data_idx = data_idx self.time_idx = time_idx dec_in = enc_in # encoder and decoder shapes should be the same self.dec_in = dec_in self.label_len = self.seq_len//2 # Decomp kernel_size = moving_avg_val self.decomp = series_decomp(kernel_size) # Embedding self.enc_embedding = DataEmbedding_wo_pos(enc_in, d_model, 'fixed','h', dropout) # Encoder self.encoder = Encoder( [ EncoderLayer( AutoCorrelationLayer( AutoCorrelation(False, factor, attention_dropout=dropout, output_attention=output_attention), d_model, n_heads), d_model, d_ff, moving_avg=moving_avg_val, dropout=dropout, activation=activation ) for l in range(e_layers) ], norm_layer=my_Layernorm(d_model) ) # Decoder self.dec_embedding = DataEmbedding_wo_pos(dec_in, d_model, 'fixed','h', dropout) self.decoder = Decoder( [ DecoderLayer( AutoCorrelationLayer( AutoCorrelation(True, factor, attention_dropout=dropout, output_attention=False), d_model, n_heads), AutoCorrelationLayer( AutoCorrelation(False, factor, attention_dropout=dropout, output_attention=False), d_model, n_heads), d_model, c_out, d_ff, moving_avg=moving_avg_val, dropout=dropout, activation=activation, ) for l in range(d_layers) ], norm_layer=my_Layernorm(d_model), projection=nn.Linear(d_model, c_out, bias=True) ) def forecast(self, x_enc, x_mark_enc, x_dec, x_mark_dec): # decomp init mean = torch.mean(x_enc, dim=1).unsqueeze(1).repeat(1, self.pred_len, 1) zeros = torch.zeros([x_mark_dec.shape[0], self.pred_len,self.dec_in], device=x_enc.device) seasonal_init, trend_init = self.decomp(x_enc) # decoder input trend_init = torch.cat([trend_init[:, -self.label_len:, :], mean], dim=1) seasonal_init = torch.cat([seasonal_init[:, -self.label_len:, :], zeros], dim=1) # enc enc_out = self.enc_embedding(x_enc, x_mark_enc) enc_out, attns = self.encoder(enc_out, attn_mask=None) # dec x_mark_dec = torch.cat([x_mark_enc,x_mark_dec],dim=1)[:,-(self.label_len+self.pred_len):,:] dec_out = self.dec_embedding(seasonal_init, x_mark_dec) seasonal_part, trend_part = self.decoder(dec_out, enc_out, x_mask=None, cross_mask=None, trend=trend_init) dec_out = trend_part + seasonal_part return dec_out[:, -self.pred_len:, :] def forward(self, x, fut_time): x_enc = x[:,:,self.data_idx] x_mark_enc = x[:,:,self.time_idx] # x_dec = torch.zeros((fut_time.shape[0],fut_time.shape[1],self.dec_in),dtype=fut_time.dtype,device=fut_time.device) x_mark_dec = fut_time # not necessary to generate decoder input # return self.forecast(x_enc, x_mark_enc, x_dec, x_mark_dec)[:,-1,[0]] # [B, 1] return self.forecast(x_enc, x_mark_enc, None, x_mark_dec)[:,-1,[0]] # [B, 1]