import torch import torch.nn as nn import torch.nn.functional as F import numpy as np import math from math import sqrt class TriangularCausalMask(): def __init__(self, B, L, device="cpu"): mask_shape = [B, 1, L, L] with torch.no_grad(): self._mask = torch.triu(torch.ones(mask_shape, dtype=torch.bool), diagonal=1).to(device) @property def mask(self): return self._mask 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 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 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(nn.Module): def __init__(self, c_in, d_model, embed_type='fixed', freq='h', dropout=0.1): super(DataEmbedding, self).__init__() self.value_embedding = TokenEmbedding(c_in=c_in, d_model=d_model) self.position_embedding = PositionalEmbedding(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) + self.position_embedding(x) else: x = self.value_embedding( x) + self.temporal_embedding(x_mark) + self.position_embedding(x) return self.dropout(x) class AttentionLayer(nn.Module): def __init__(self, attention, d_model, n_heads, d_keys=None, d_values=None): super(AttentionLayer, self).__init__() d_keys = d_keys or (d_model // n_heads) d_values = d_values or (d_model // n_heads) self.inner_attention = attention 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, tau=None, delta=None): 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_attention( queries, keys, values, attn_mask, tau=tau, delta=delta ) out = out.view(B, L, -1) return self.out_projection(out), attn class FullAttention(nn.Module): def __init__(self, mask_flag=True, factor=5, scale=None, attention_dropout=0.1, output_attention=False): super(FullAttention, self).__init__() self.scale = scale self.mask_flag = mask_flag self.output_attention = output_attention self.dropout = nn.Dropout(attention_dropout) def forward(self, queries, keys, values, attn_mask, tau=None, delta=None): B, L, H, E = queries.shape _, S, _, D = values.shape scale = self.scale or 1. / sqrt(E) scores = torch.einsum("blhe,bshe->bhls", queries, keys) if self.mask_flag: if attn_mask is None: attn_mask = TriangularCausalMask(B, L, device=queries.device) scores.masked_fill_(attn_mask.mask, -np.inf) A = self.dropout(torch.softmax(scale * scores, dim=-1)) V = torch.einsum("bhls,bshd->blhd", A, values) if self.output_attention: return V.contiguous(), A else: return V.contiguous(), None class ConvLayer(nn.Module): def __init__(self, c_in): super(ConvLayer, self).__init__() self.downConv = nn.Conv1d(in_channels=c_in, out_channels=c_in, kernel_size=3, padding=2, padding_mode='circular') self.norm = nn.BatchNorm1d(c_in) self.activation = nn.ELU() self.maxPool = nn.MaxPool1d(kernel_size=3, stride=2, padding=1) def forward(self, x): x = self.downConv(x.permute(0, 2, 1)) x = self.norm(x) x = self.activation(x) x = self.maxPool(x) x = x.transpose(1, 2) return x class EncoderLayer(nn.Module): def __init__(self, attention, d_model, d_ff=None, 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) self.conv2 = nn.Conv1d(in_channels=d_ff, out_channels=d_model, kernel_size=1) self.norm1 = nn.LayerNorm(d_model) self.norm2 = nn.LayerNorm(d_model) self.dropout = nn.Dropout(dropout) self.activation = F.relu if activation == "relu" else F.gelu def forward(self, x, attn_mask=None, tau=None, delta=None): new_x, attn = self.attention( x, x, x, attn_mask=attn_mask, tau=tau, delta=delta ) x = x + self.dropout(new_x) y = x = self.norm1(x) y = self.dropout(self.activation(self.conv1(y.transpose(-1, 1)))) y = self.dropout(self.conv2(y).transpose(-1, 1)) return self.norm2(x + y), attn class Encoder(nn.Module): 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, tau=None, delta=None): # x [B, L, D] attns = [] if self.conv_layers is not None: for i, (attn_layer, conv_layer) in enumerate(zip(self.attn_layers, self.conv_layers)): delta = delta if i == 0 else None x, attn = attn_layer(x, attn_mask=attn_mask, tau=tau, delta=delta) x = conv_layer(x) attns.append(attn) x, attn = self.attn_layers[-1](x, tau=tau, delta=None) attns.append(attn) else: for attn_layer in self.attn_layers: x, attn = attn_layer(x, attn_mask=attn_mask, tau=tau, delta=delta) attns.append(attn) if self.norm is not None: x = self.norm(x) return x, attns class DecoderLayer(nn.Module): def __init__(self, self_attention, cross_attention, d_model, d_ff=None, 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) self.conv2 = nn.Conv1d(in_channels=d_ff, out_channels=d_model, kernel_size=1) self.norm1 = nn.LayerNorm(d_model) self.norm2 = nn.LayerNorm(d_model) self.norm3 = nn.LayerNorm(d_model) self.dropout = nn.Dropout(dropout) self.activation = F.relu if activation == "relu" else F.gelu def forward(self, x, cross, x_mask=None, cross_mask=None, tau=None, delta=None): x = x + self.dropout(self.self_attention( x, x, x, attn_mask=x_mask, tau=tau, delta=None )[0]) x = self.norm1(x) x = x + self.dropout(self.cross_attention( x, cross, cross, attn_mask=cross_mask, tau=tau, delta=delta )[0]) y = x = self.norm2(x) y = self.dropout(self.activation(self.conv1(y.transpose(-1, 1)))) y = self.dropout(self.conv2(y).transpose(-1, 1)) return self.norm3(x + y) class Decoder(nn.Module): 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, tau=None, delta=None): for layer in self.layers: x = layer(x, cross, x_mask=x_mask, cross_mask=cross_mask, tau=tau, delta=delta) if self.norm is not None: x = self.norm(x) if self.projection is not None: x = self.projection(x) return x class Transformer(nn.Module): """ Vanilla Transformer with O(L^2) complexity Paper link: https://proceedings.neurips.cc/paper/2017/file/3f5ee243547dee91fbd053c1c4a845aa-Paper.pdf """ def __init__( self, enc_in, dec_in, c_out, pred_len, output_attention = False, data_idx = [0,3,4,5,6,7], time_idx = [1,2], d_model = 16, factor = 3, n_heads = 4, d_ff = 512, d_layers = 3, e_layers = 3, activation = 'gelu', dropout = 0.1 ): super(Transformer, self).__init__() self.pred_len = pred_len self.output_attention = output_attention # save indices self.data_idx = data_idx self.time_idx = time_idx self.dec_in = dec_in # Embedding self.enc_embedding = DataEmbedding(enc_in, d_model,'fixed', 'h', dropout) # Encoder self.encoder = Encoder( [ EncoderLayer( AttentionLayer( FullAttention(False, factor, attention_dropout=dropout, output_attention=output_attention), d_model, n_heads), d_model, d_ff, dropout=dropout, activation=activation ) for l in range(e_layers) ], norm_layer=torch.nn.LayerNorm(d_model) ) # Decoder self.dec_embedding = DataEmbedding(dec_in, d_model,'fixed', 'h', dropout) self.decoder = Decoder( [ DecoderLayer( AttentionLayer( FullAttention(True, factor, attention_dropout=dropout, output_attention=False), d_model, n_heads), AttentionLayer( FullAttention(False, factor, attention_dropout=dropout, output_attention=False), d_model, n_heads), d_model, d_ff, dropout=dropout, activation=activation, ) for l in range(d_layers) ], norm_layer=torch.nn.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): # Embedding enc_out = self.enc_embedding(x_enc, x_mark_enc) enc_out, attns = self.encoder(enc_out, attn_mask=None) dec_out = self.dec_embedding(x_dec, x_mark_dec) dec_out = self.decoder(dec_out, enc_out, x_mask=None, cross_mask=None) return dec_out 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 return self.forecast(x_enc,x_mark_enc,x_dec,x_mark_dec)[:,-1,[0]]