import tensorflow.keras as tf import numpy as np from sklearn.preprocessing import StandardScaler verbose = 0 def predict_series(values, r1_nodes=5, r2_nodes=0, fc1_nodes=0, steps=20, use_lstm=True, *args, **kwargs): train = np.array(values) train_last_value = train[-1] train = train[1:] - train[:-1] sc = StandardScaler() train = sc.fit_transform(train.reshape(-1, 1)) T = 25 X = [] Y = [] for t in range(len(train) - T): x = train[t:t + T] X.append(x) Y.append(train[t + T]) X = np.array(X).reshape(-1, T, 1) Y = np.array(Y) nb_stats = 0 """ X_temp = np.zeros(X.size + nb_stats * len(X)).reshape(-1, T + nb_stats) step_size = 1 / (len(X) + steps) def update_stats(row): new_stat = row[T:] new_stat[0] += step_size # number of sample minimum = min(row[:T]) # minimum value, and when it occurred if minimum < row[T + 1]: new_stat[1], new_stat[2] = minimum, new_stat[0] maximum = max(row[:T]) # maximum value, and when it occurred if maximum > row[T + 3]: new_stat[3], new_stat[4] = maximum, new_stat[0] new_stat[5] = (row[T + 5] * row[T] + row[T - 1]) / (new_stat[0]) # rolling average difference10 = row[T - 1] - row[T - 11] # the biggest difference within 10 items if difference10 > row[T + 6]: new_stat[6], new_stat[7] = difference10, new_stat[0] if difference10 < row[T + 8]: new_stat[8], new_stat[9] = difference10, new_stat[0] abs_difference10 = abs(difference10) # the biggest absolute difference within 10 items if abs_difference10 > row[T + 10]: new_stat[10], new_stat[11] = abs_difference10, new_stat[0] if abs_difference10 < row[T + 12]: new_stat[12], new_stat[13] = abs_difference10, new_stat[0] return new_stat X_temp[0] = X[0] #np.append(X[0])#, [0, np.inf, 0, -np.inf, 0]) #, 0, -np.inf, 0, +np.inf, 0, 0, 0, np.inf, 0]) for i in range(1, len(X)): X_temp[i] = np.append(X[i][:T], X_temp[i - 1][T:]) X_temp[i][T:] = update_stats(X_temp[i]) """ #X = X_temp[1:].reshape(-1, T + nb_stats, 1) #Y = Y[1:] i = tf.layers.Input(shape=(T + nb_stats, 1)) if use_lstm: rnn_layer = tf.layers.LSTM else: rnn_layer = tf.layers.GRU if r2_nodes: x = rnn_layer(r1_nodes, return_sequences=True)(i) x = rnn_layer(r2_nodes)(x) else: x = rnn_layer(r1_nodes)(i) if fc1_nodes: x = tf.layers.Dense(fc1_nodes, activation='relu')(x) x = tf.layers.Dense(1)(x) model = tf.models.Model(i, x) """lr_schedule = tf.optimizers.schedules.ExponentialDecay( initial_learning_rate=0.2, decay_steps=10, decay_rate=0.8) optimizer = tf.optimizers.Ftrl(learning_rate=0.001, learning_rate_power=-0.1)""" #for i in range(0, 500, 10): #print('{}: {}'.format(i, lr_schedule(i))) model.compile( loss='mse', #tf.losses.LogCosh(), optimizer=tf.optimizers.Adamax(lr=0.1) #LogCosh()'sgd' ) callbacks = [tf.callbacks.EarlyStopping(patience=150, monitor='loss', restore_best_weights=True)] r = model.fit( X, Y, epochs=500, callbacks=callbacks, verbose=verbose, validation_split=0.0 ) pred = np.array([]) last_x = X[-1] for _ in range(steps): p = model.predict(last_x.reshape(1, -1, 1))[0, 0] pred = np.append(pred, p) #last_x[:T] = np.roll(last_x[:T], -1) #last_x[T - 1] = p #last_x[T:] = update_stats(last_x) last_x = np.roll(last_x, -1) last_x[-1] = p pred = sc.inverse_transform(pred.reshape(-1, 1)) # pred = np.array(pred).astype('float64') # pred = list(pred) # logging.info(pred) pred.reshape(-1) pred[0] = train_last_value + pred[0] for i in range(1, len(pred)): pred[i] += pred[i-1] result = {'result': list(pred.reshape(-1)), 'epochs': r.epoch[-1] + 1, 'loss': min(r.history['loss']), 'loss_last': r.history['loss'][-1]} return result if __name__ == "__main__": from time import time t1 = time() verbose = 2 data = np.sin(np.arange(0.0, 28.0, 0.35)*2) result = predict_series(data, steps=66, r1_nodes=14, r2_nodes=14, fc1_nodes=20) print('exec time: {:8.3f}'.format(time()-t1)) #print(result['result'][:2]) print(print(result['epochs'], result['loss'])) import seaborn as sns sns.lineplot(x=range(30), y=data[-30:], color='r') sns.lineplot(x=range(30, 30+len(result['result'])), y=result['result'], color='b')