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- # coding=utf-8
- # Copyright 2023 IBM and HuggingFace Inc. team. All Rights Reserved.
- #
- # Licensed under the Apache License, Version 2.0 (the "License");
- # you may not use this file except in compliance with the License.
- # You may obtain a copy of the License at
- #
- # http://www.apache.org/licenses/LICENSE-2.0
- #
- # Unless required by applicable law or agreed to in writing, software
- # distributed under the License is distributed on an "AS IS" BASIS,
- # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
- # See the License for the specific language governing permissions and
- # limitations under the License.
- """PyTorch PatchTSMixer model."""
- import math
- from dataclasses import dataclass
- from typing import Callable, Optional, Union
- import torch
- import torch.nn as nn
- from transformers.modeling_utils import PreTrainedModel
- from transformers.utils import ModelOutput
- from ...modeling_flash_attention_utils import FlashAttentionKwargs
- from ...modeling_utils import ALL_ATTENTION_FUNCTIONS
- from ...processing_utils import Unpack
- from ...time_series_utils import NegativeBinomialOutput, NormalOutput, StudentTOutput
- from ...utils import auto_docstring, logging
- from .configuration_patchtsmixer import PatchTSMixerConfig
- logger = logging.get_logger(__name__)
- class PatchTSMixerGatedAttention(nn.Module):
- """
- Module that applies gated attention to input data.
- Args:
- in_size (`int`): The input size.
- out_size (`int`): The output size.
- """
- def __init__(self, in_size: int, out_size: int):
- super().__init__()
- self.attn_layer = nn.Linear(in_size, out_size)
- self.attn_softmax = nn.Softmax(dim=-1)
- def forward(self, inputs):
- attn_weight = self.attn_softmax(self.attn_layer(inputs))
- inputs = inputs * attn_weight
- return inputs
- # Copied from transformers.models.patchtst.modeling_patchtst.PatchTSTBatchNorm with PatchTST->PatchTSMixer
- class PatchTSMixerBatchNorm(nn.Module):
- """
- Compute batch normalization over the sequence length (time) dimension.
- """
- def __init__(self, config: PatchTSMixerConfig):
- super().__init__()
- self.batchnorm = nn.BatchNorm1d(config.d_model, eps=config.norm_eps)
- def forward(self, inputs: torch.Tensor):
- """
- Parameters:
- inputs (`torch.Tensor` of shape `(batch_size, sequence_length, d_model)`):
- input for Batch norm calculation
- Returns:
- `torch.Tensor` of shape `(batch_size, sequence_length, d_model)`
- """
- output = inputs.transpose(1, 2) # output: (batch_size, d_model, sequence_length)
- output = self.batchnorm(output)
- return output.transpose(1, 2)
- class PatchTSMixerPositionalEncoding(nn.Module):
- """
- Class for positional encoding
- """
- def __init__(self, config: PatchTSMixerConfig):
- super().__init__()
- # positional encoding: [num_patches x d_model]
- if config.use_positional_encoding:
- self.position_enc = self._init_pe(config)
- else:
- self.position_enc = nn.Parameter(torch.zeros(config.num_patches, config.d_model))
- @staticmethod
- def _init_pe(config: PatchTSMixerConfig) -> nn.Parameter:
- # Positional encoding
- if config.positional_encoding_type == "random":
- position_enc = nn.Parameter(torch.randn(config.num_patches, config.d_model), requires_grad=True)
- elif config.positional_encoding_type == "sincos":
- position_enc = torch.zeros(config.num_patches, config.d_model)
- position = torch.arange(0, config.num_patches).unsqueeze(1)
- div_term = torch.exp(torch.arange(0, config.d_model, 2) * -(math.log(10000.0) / config.d_model))
- position_enc[:, 0::2] = torch.sin(position * div_term)
- position_enc[:, 1::2] = torch.cos(position * div_term)
- position_enc = position_enc - position_enc.mean()
- position_enc = position_enc / (position_enc.std() * 10)
- position_enc = nn.Parameter(position_enc, requires_grad=False)
- else:
- raise ValueError(
- f"{config.positional_encoding_type} is not a valid positional encoder. Available types are 'random' and 'sincos'."
- )
- return position_enc
- def forward(self, patch_input: torch.Tensor):
- # hidden_state: [bs x num_channels x num_patches x d_model]
- hidden_state = patch_input + self.position_enc
- return hidden_state
- class PatchTSMixerNormLayer(nn.Module):
- """Normalization block
- Args:
- config (`PatchTSMixerConfig`):
- Configuration.
- """
- def __init__(self, config: PatchTSMixerConfig):
- super().__init__()
- self.norm_mlp = config.norm_mlp
- if "batch" in config.norm_mlp.lower():
- self.norm = PatchTSMixerBatchNorm(config)
- else:
- self.norm = nn.LayerNorm(config.d_model, eps=config.norm_eps)
- def forward(self, inputs: torch.Tensor):
- """
- Args:
- inputs (`torch.Tensor` of shape `((batch_size, num_channels, num_patches, d_model))`):
- Input to the normalization layer.
- Returns:
- `torch.Tensor` of shape `((batch_size, num_channels, num_patches, d_model))`
- """
- if "batch" in self.norm_mlp.lower():
- # reshape the data
- inputs_reshaped = torch.reshape(
- inputs,
- (
- inputs.shape[0] * inputs.shape[1],
- inputs.shape[2],
- inputs.shape[3],
- ),
- ) # inputs_reshaped: [batch_size*num_channels, num_patches, d_model]
- # inputs_reshaped: [batch_size*num_channels, num_patches, d_model]
- inputs_reshaped = self.norm(inputs_reshaped)
- # put back data to the original shape
- inputs = torch.reshape(inputs_reshaped, inputs.shape)
- else:
- inputs = self.norm(inputs)
- return inputs
- class PatchTSMixerMLP(nn.Module):
- def __init__(self, in_features, out_features, config):
- super().__init__()
- num_hidden = in_features * config.expansion_factor
- self.fc1 = nn.Linear(in_features, num_hidden)
- self.dropout1 = nn.Dropout(config.dropout)
- self.fc2 = nn.Linear(num_hidden, out_features)
- self.dropout2 = nn.Dropout(config.dropout)
- def forward(self, inputs: torch.Tensor):
- """
- Args:
- inputs (`torch.Tensor` of shape `((batch_size, num_channels, num_patches, d_model))`):
- Input to the MLP layer.
- Returns:
- `torch.Tensor` of the same shape as `inputs`
- """
- inputs = self.dropout1(nn.functional.gelu(self.fc1(inputs)))
- inputs = self.fc2(inputs)
- inputs = self.dropout2(inputs)
- return inputs
- class PatchTSMixerChannelFeatureMixerBlock(nn.Module):
- """This module mixes the features in the channel dimension.
- Args:
- config (`PatchTSMixerConfig`):
- Configuration.
- """
- def __init__(self, config: PatchTSMixerConfig):
- super().__init__()
- self.norm = PatchTSMixerNormLayer(config)
- self.gated_attn = config.gated_attn
- self.mlp = PatchTSMixerMLP(
- in_features=config.num_input_channels,
- out_features=config.num_input_channels,
- config=config,
- )
- if config.gated_attn:
- self.gating_block = PatchTSMixerGatedAttention(
- in_size=config.num_input_channels, out_size=config.num_input_channels
- )
- def forward(self, inputs: torch.Tensor):
- """
- Args:
- inputs (`torch.Tensor` of shape `((batch_size, num_channels, num_patches, d_model))`):
- input to the MLP layer
- Returns:
- `torch.Tensor` of the same shape as `inputs`
- """
- residual = inputs
- inputs = self.norm(inputs)
- inputs = inputs.permute(0, 3, 2, 1)
- if self.gated_attn:
- inputs = self.gating_block(inputs)
- inputs = self.mlp(inputs)
- inputs = inputs.permute(0, 3, 2, 1)
- out = inputs + residual
- return out
- # Copied from transformers.models.bart.modeling_bart.eager_attention_forward
- def eager_attention_forward(
- module: nn.Module,
- query: torch.Tensor,
- key: torch.Tensor,
- value: torch.Tensor,
- attention_mask: Optional[torch.Tensor],
- scaling: Optional[float] = None,
- dropout: float = 0.0,
- head_mask: Optional[torch.Tensor] = None,
- **kwargs,
- ):
- if scaling is None:
- scaling = query.size(-1) ** -0.5
- attn_weights = torch.matmul(query, key.transpose(2, 3)) * scaling
- if attention_mask is not None:
- attn_weights = attn_weights + attention_mask
- attn_weights = nn.functional.softmax(attn_weights, dim=-1)
- if head_mask is not None:
- attn_weights = attn_weights * head_mask.view(1, -1, 1, 1)
- attn_weights = nn.functional.dropout(attn_weights, p=dropout, training=module.training)
- attn_output = torch.matmul(attn_weights, value)
- attn_output = attn_output.transpose(1, 2).contiguous()
- return attn_output, attn_weights
- # Copied from transformers.models.wav2vec2.modeling_wav2vec2.Wav2Vec2Attention with Wav2Vec2->PatchTSMixer
- class PatchTSMixerAttention(nn.Module):
- """Multi-headed attention from 'Attention Is All You Need' paper"""
- def __init__(
- self,
- embed_dim: int,
- num_heads: int,
- dropout: float = 0.0,
- is_decoder: bool = False,
- bias: bool = True,
- is_causal: bool = False,
- config: Optional[PatchTSMixerConfig] = None,
- ):
- super().__init__()
- self.embed_dim = embed_dim
- self.num_heads = num_heads
- self.dropout = dropout
- self.head_dim = embed_dim // num_heads
- self.config = config
- if (self.head_dim * num_heads) != self.embed_dim:
- raise ValueError(
- f"embed_dim must be divisible by num_heads (got `embed_dim`: {self.embed_dim}"
- f" and `num_heads`: {num_heads})."
- )
- self.scaling = self.head_dim**-0.5
- self.is_decoder = is_decoder
- self.is_causal = is_causal
- self.k_proj = nn.Linear(embed_dim, embed_dim, bias=bias)
- self.v_proj = nn.Linear(embed_dim, embed_dim, bias=bias)
- self.q_proj = nn.Linear(embed_dim, embed_dim, bias=bias)
- self.out_proj = nn.Linear(embed_dim, embed_dim, bias=bias)
- def forward(
- self,
- hidden_states: torch.Tensor,
- key_value_states: Optional[torch.Tensor] = None,
- attention_mask: Optional[torch.Tensor] = None,
- layer_head_mask: Optional[torch.Tensor] = None,
- output_attentions: Optional[bool] = False,
- # TODO: we need a refactor so that the different attention modules can get their specific kwargs
- # ATM, we have mixed things encoder, decoder, and encoder-decoder attn
- **kwargs: Unpack[FlashAttentionKwargs],
- ) -> tuple[torch.Tensor, Optional[torch.Tensor], Optional[tuple[torch.Tensor]]]:
- """Input shape: Batch x Time x Channel"""
- # if key_value_states are provided this layer is used as a cross-attention layer
- # for the decoder
- is_cross_attention = key_value_states is not None
- # determine input shapes
- bsz, tgt_len = hidden_states.shape[:-1]
- src_len = key_value_states.shape[1] if is_cross_attention else tgt_len
- q_input_shape = (bsz, tgt_len, -1, self.head_dim)
- kv_input_shape = (bsz, src_len, -1, self.head_dim)
- # get query proj
- query_states = self.q_proj(hidden_states).view(*q_input_shape).transpose(1, 2)
- current_states = key_value_states if is_cross_attention else hidden_states
- key_states = self.k_proj(current_states).view(*kv_input_shape).transpose(1, 2)
- value_states = self.v_proj(current_states).view(*kv_input_shape).transpose(1, 2)
- attention_interface: Callable = eager_attention_forward
- if self.config._attn_implementation != "eager":
- attention_interface = ALL_ATTENTION_FUNCTIONS[self.config._attn_implementation]
- attn_output, attn_weights = attention_interface(
- self,
- query_states,
- key_states,
- value_states,
- attention_mask,
- dropout=0.0 if not self.training else self.dropout,
- scaling=self.scaling,
- output_attentions=output_attentions,
- head_mask=layer_head_mask,
- **kwargs,
- )
- attn_output = attn_output.reshape(bsz, tgt_len, -1).contiguous()
- attn_output = self.out_proj(attn_output)
- return attn_output, attn_weights, None
- class PatchMixerBlock(nn.Module):
- """This module mixes the patch dimension.
- Args:
- config (`PatchTSMixerConfig`):
- Configuration.
- """
- def __init__(self, config: PatchTSMixerConfig):
- super().__init__()
- self.norm = PatchTSMixerNormLayer(config)
- self.self_attn = config.self_attn
- self.gated_attn = config.gated_attn
- self.mlp = PatchTSMixerMLP(
- in_features=config.num_patches,
- out_features=config.num_patches,
- config=config,
- )
- if config.gated_attn:
- self.gating_block = PatchTSMixerGatedAttention(in_size=config.num_patches, out_size=config.num_patches)
- if config.self_attn:
- self.self_attn_layer = PatchTSMixerAttention(
- embed_dim=config.d_model,
- num_heads=config.self_attn_heads,
- dropout=config.dropout,
- config=config,
- )
- self.norm_attn = PatchTSMixerNormLayer(config)
- def forward(self, hidden_state):
- """
- Args:
- hidden_state (`torch.Tensor`): Input tensor.
- Returns:
- `torch.Tensor`: Transformed tensor.
- """
- residual = hidden_state
- hidden_state = self.norm(hidden_state)
- if self.self_attn:
- batch_size, n_vars, num_patches, d_model = hidden_state.shape
- hidden_state_reshaped = hidden_state.reshape(batch_size * n_vars, num_patches, d_model)
- x_attn, _, _ = self.self_attn_layer(hidden_state_reshaped, output_attentions=False)
- x_attn = x_attn.reshape(batch_size, n_vars, num_patches, d_model)
- # Transpose so that num_patches is the last dimension
- hidden_state = hidden_state.transpose(2, 3)
- hidden_state = self.mlp(hidden_state)
- if self.gated_attn:
- hidden_state = self.gating_block(hidden_state)
- # Transpose back
- hidden_state = hidden_state.transpose(2, 3)
- if self.self_attn:
- hidden_state = self.norm_attn(hidden_state + x_attn)
- out = hidden_state + residual
- return out
- class FeatureMixerBlock(nn.Module):
- """This module mixes the hidden feature dimension.
- Args:
- config (`PatchTSMixerConfig`):
- Configuration.
- """
- def __init__(self, config: PatchTSMixerConfig):
- super().__init__()
- self.norm = PatchTSMixerNormLayer(config)
- self.gated_attn = config.gated_attn
- self.mlp = PatchTSMixerMLP(
- in_features=config.d_model,
- out_features=config.d_model,
- config=config,
- )
- if config.gated_attn:
- self.gating_block = PatchTSMixerGatedAttention(in_size=config.d_model, out_size=config.d_model)
- def forward(self, hidden: torch.Tensor):
- """
- Args:
- hidden (`torch.Tensor` of shape `(batch_size, num_patches, d_model)`):
- Input tensor to the layer.
- Returns:
- `torch.Tensor`: Transformed tensor.
- """
- residual = hidden
- hidden = self.norm(hidden)
- hidden = self.mlp(hidden)
- if self.gated_attn:
- hidden = self.gating_block(hidden)
- out = hidden + residual
- return out
- class PatchTSMixerLayer(nn.Module):
- """
- The `PatchTSMixer` layer that does all three kinds of mixing.
- Args:
- config (`PatchTSMixerConfig`):
- Configuration.
- """
- def __init__(self, config: PatchTSMixerConfig):
- super().__init__()
- self.patch_mixer = PatchMixerBlock(config=config)
- self.feature_mixer = FeatureMixerBlock(config=config)
- self.mode = config.mode
- if config.mode == "mix_channel":
- self.channel_feature_mixer = PatchTSMixerChannelFeatureMixerBlock(config=config)
- def forward(self, hidden: torch.Tensor):
- """
- Args:
- hidden (`torch.Tensor` of shape `(batch_size, num_patches, d_model)`):
- Input tensor to the layer.
- Returns:
- `torch.Tensor`: Transformed tensor.
- """
- if self.mode == "mix_channel":
- hidden = self.channel_feature_mixer(hidden)
- hidden = self.patch_mixer(hidden)
- hidden = self.feature_mixer(hidden) # hidden: (batch_size x num_patches x d_model)
- return hidden
- class PatchTSMixerBlock(nn.Module):
- """The main computing framework of the `PatchTSMixer` model.
- Args:
- config (`PatchTSMixerConfig`):
- Configuration.
- """
- def __init__(self, config: PatchTSMixerConfig):
- super().__init__()
- num_layers = config.num_layers
- self.mixers = nn.ModuleList([PatchTSMixerLayer(config=config) for _ in range(num_layers)])
- def forward(self, hidden_state, output_hidden_states: bool = False):
- """
- Args:
- hidden_state (`torch.Tensor`): The input tensor.
- output_hidden_states (`bool`, *optional*, defaults to False.):
- Whether to output the hidden states as well.
- Returns:
- `torch.Tensor`: The embedding. `list`: List of all hidden states if `output_hidden_states` is set to
- `True`.
- """
- all_hidden_states = []
- embedding = hidden_state
- for mod in self.mixers:
- embedding = mod(embedding)
- if output_hidden_states:
- all_hidden_states.append(embedding)
- if output_hidden_states:
- return embedding, all_hidden_states
- else:
- return embedding, None
- class PatchTSMixerForPredictionHead(nn.Module):
- """Prediction Head for Forecasting
- Args:
- config (`PatchTSMixerConfig`):
- Configuration.
- """
- def __init__(self, config: PatchTSMixerConfig, distribution_output=None):
- super().__init__()
- self.prediction_channel_indices = config.prediction_channel_indices
- if self.prediction_channel_indices is not None:
- self.prediction_channel_indices.sort()
- self.dropout_layer = nn.Dropout(config.head_dropout)
- if distribution_output is None:
- self.base_forecast_block = nn.Linear((config.num_patches * config.d_model), config.prediction_length)
- else:
- self.base_forecast_block = distribution_output.get_parameter_projection(
- config.num_patches * config.d_model
- )
- self.flatten = nn.Flatten(start_dim=-2)
- def forward(self, hidden_features):
- """
- Args:
- hidden_features (`torch.Tensor` of shape `(batch_size, num_patch, d_model)` in `flatten` mode
- or `(batch_size, n_vars, num_patch, d_model)` in `common_channel`/`mix_channel` mode.): Input hidden
- features.
- Returns:
- `torch.Tensor` of shape `(batch_size, prediction_length, nvars)`.
- """
- hidden_features = self.flatten(hidden_features) # [batch_size x n_vars x num_patch * d_model]
- hidden_features = self.dropout_layer(hidden_features) # [batch_size x n_vars x num_patch * d_model]
- forecast = self.base_forecast_block(hidden_features) # [batch_size x n_vars x prediction_length]
- if isinstance(forecast, tuple):
- forecast = tuple(z.transpose(-1, -2) for z in forecast)
- else:
- forecast = forecast.transpose(-1, -2) # [batch_size x prediction_length x n_vars]
- if self.prediction_channel_indices is not None:
- if isinstance(forecast, tuple):
- forecast = tuple(z[..., self.prediction_channel_indices] for z in forecast)
- else:
- forecast = forecast[..., self.prediction_channel_indices] # [batch_size x prediction_length x n_vars]
- return forecast
- class PatchTSMixerLinearHead(nn.Module):
- """Linear head for Classification and Regression.
- Args:
- config (`PatchTSMixerConfig`):
- Configuration.
- """
- def __init__(self, config: PatchTSMixerConfig, distribution_output=None):
- super().__init__()
- self.head_aggregation = config.head_aggregation
- self.output_range = config.output_range
- if config.head_aggregation is None:
- mul_factor = config.num_patches
- else:
- mul_factor = 1
- self.distribution_output = distribution_output
- if distribution_output is None:
- self.projection = nn.Linear(
- config.d_model * config.num_input_channels * mul_factor,
- config.num_targets,
- )
- else:
- self.projection = distribution_output.get_parameter_projection(
- config.d_model * config.num_input_channels * mul_factor
- )
- if config.head_aggregation is None:
- self.flatten = nn.Flatten(start_dim=-3)
- else:
- self.flatten = nn.Flatten(start_dim=-2)
- self.dropout = nn.Dropout(config.head_dropout)
- def forward(self, hidden_features):
- """
- Args:
- hidden_features (`torch.Tensor` of shape `(batch_size x num_patch x d_model)` in `flatten` mode
- or `(batch_size x n_vars x num_patch x d_model)` in `common_channel`/`mix_channel` mode.): Input hidden
- features.
- Returns:
- `torch.Tensor` of shape `(batch_size x num_targets)`.
- """
- # batch_size x d_model x num_patch or batch_size x n_vars x d_model x num_patch
- hidden_features = hidden_features.transpose(-1, -2)
- if self.head_aggregation == "use_last":
- # batch_size x d_model (flatten) or # batch_size x n_vars x d_model (common_channel)
- hidden_features = hidden_features[..., -1]
- elif self.head_aggregation == "max_pool":
- # batch_size x n_vars x d_model or batch_size x d_model
- hidden_features = hidden_features.max(dim=-1).values
- elif self.head_aggregation == "avg_pool":
- # batch_size x n_vars x d_model or batch_size x d_model
- hidden_features = hidden_features.mean(dim=-1)
- if self.flatten:
- hidden_features = self.flatten(hidden_features)
- hidden_features = self.dropout(hidden_features)
- hidden_features = self.projection(hidden_features) # batch_size x num_targets
- if (self.distribution_output is None) and (self.output_range is not None):
- hidden_features = (
- torch.sigmoid(hidden_features) * (self.output_range[1] - self.output_range[0]) + self.output_range[0]
- )
- return hidden_features
- @auto_docstring
- class PatchTSMixerPreTrainedModel(PreTrainedModel):
- # Weight initialization
- config: PatchTSMixerConfig
- base_model_prefix = "model"
- main_input_name = "past_values"
- supports_gradient_checkpointing = False
- def _init_weights(self, module):
- """Initialize weights"""
- if isinstance(module, PatchTSMixerPositionalEncoding):
- # initialize positional encoding
- if self.config.positional_encoding_type == "random":
- nn.init.normal_(module.position_enc, mean=0.0, std=0.1)
- elif isinstance(module, (nn.LayerNorm, nn.BatchNorm1d)):
- module.bias.data.zero_()
- module.weight.data.fill_(1.0)
- elif isinstance(module, PatchTSMixerBatchNorm):
- module.batchnorm.bias.data.zero_()
- module.batchnorm.weight.data.fill_(1.0)
- elif isinstance(module, nn.Linear):
- module.weight.data.normal_(mean=0.0, std=self.config.init_std)
- if module.bias is not None:
- module.bias.data.zero_()
- class PatchTSMixerPretrainHead(nn.Module):
- """Pretraining head.
- Args:
- config (`PatchTSMixerConfig`):
- Configuration.
- """
- def __init__(self, config: PatchTSMixerConfig):
- super().__init__()
- self.dropout_layer = nn.Dropout(config.head_dropout)
- self.base_pt_block = nn.Linear(config.d_model, config.patch_length)
- def forward(self, hidden_features):
- """
- Args:
- hidden_features (`torch.Tensor` of shape `(batch_size x num_patch x d_model)` in `flatten` mode
- or `(batch_size x n_vars x num_patch x d_model)` in `common_channel`/`mix_channel` mode.): Input hidden
- features.
- Returns:
- `torch.Tensor` of shape `(batch_size x n_vars x num_patch x patch_length)`.
- """
- hidden_features = self.dropout_layer(hidden_features)
- forecast = self.base_pt_block(hidden_features) # [batch_size x n_vars x num_patch x patch_length]
- return forecast
- # Copied from transformers.models.patchtst.modeling_patchtst.random_masking
- def random_masking(
- inputs: torch.Tensor,
- mask_ratio: float,
- unmasked_channel_indices: Optional[list] = None,
- channel_consistent_masking: bool = False,
- mask_value: int = 0,
- ):
- """random_masking: Mask the input considering the control variables.
- Args:
- inputs (`torch.Tensor` of shape `(batch_size, num_channels, sequence_length, num_features)`):
- The input tensor to mask.
- mask_ratio (`float`):
- Masking ratio applied to mask the input data during random pretraining. It is the number between 0 and 1.
- unmasked_channel_indices (list, *optional*):
- Indices of channels that will not be masked.
- channel_consistent_masking (bool, *optional*, defaults to `False`):
- When true, masking will be same across all channels of a timeseries. Otherwise, masking positions will vary
- across channels.
- mask_value (int, *optional*, defaults to 0):
- Define the value of masked patches for pretraining.
- Returns:
- `tuple(torch.Tensor)`: inputs_mask, masked input, same shape as input Tensor and mask tensor of shape [bs x c x
- n]
- """
- if mask_ratio < 0 or mask_ratio >= 1:
- raise ValueError(f"Mask ratio {mask_ratio} has to be between 0 and 1.")
- batch_size, num_channels, sequence_length, num_features = inputs.shape
- device = inputs.device
- len_keep = int(sequence_length * (1 - mask_ratio))
- if channel_consistent_masking:
- noise = torch.rand(batch_size, 1, sequence_length, device=device) # noise in [0, 1], bs x 1 x L
- noise = noise.repeat(1, num_channels, 1) # bs x num_channels x time
- else:
- # noise in [0, 1], bs x num_channels x L
- noise = torch.rand(batch_size, num_channels, sequence_length, device=device)
- # mask: [bs x num_channels x num_patch]
- mask = torch.ones(batch_size, num_channels, sequence_length, device=device)
- mask[:, :, :len_keep] = 0
- # sort noise for each sample
- ids_shuffle = torch.argsort(noise, dim=-1) # ascend: small is keep, large is remove
- ids_restore = torch.argsort(ids_shuffle, dim=-1) # ids_restore: [bs x num_channels x L]
- mask = torch.gather(mask, dim=-1, index=ids_restore)
- mask = mask.unsqueeze(-1).repeat(1, 1, 1, num_features) # mask: [bs x num_channels x num_patches x patch_length]
- if unmasked_channel_indices is not None:
- mask[:, unmasked_channel_indices, :, :] = 0
- inputs_mask = inputs.masked_fill(mask.bool(), mask_value)
- return inputs_mask, mask[..., 0]
- # Copied from transformers.models.patchtst.modeling_patchtst.forecast_masking
- def forecast_masking(
- inputs: torch.Tensor,
- num_forecast_mask_patches: Union[list, int],
- unmasked_channel_indices: Optional[list] = None,
- mask_value: int = 0,
- ):
- """Forecast masking that masks the last K patches where K is from the num_forecast_mask_patches.
- If num_forecast_mask_patches is a list, samples in the batch will be randomly masked by numbers defined in the list.
- Parameters:
- inputs (`torch.Tensor`):
- Input of shape `(bs, num_channels, num_patch, patch_length)`
- num_forecast_mask_patches (`list`):
- Number of patches to be masked at the end of each batch sample. e.g. 4 or [3, 5].
- unmasked_channel_indices (`list`, *optional*):
- Indices of channels that are not masked.
- mask_value (`int`, *optional*, defaults to 0):
- Values in the masked patches will be filled by `mask_value`.
- Returns:
- `tuple(torch.Tensor)`: inputs_mask, masked input, same shape as inputs Tensor and Mask tensor of shape `(bs,
- num_channels , num_patch)` or `(bs, tsg1, tsg2, num_channels, num_patch)`
- """
- if isinstance(num_forecast_mask_patches, int):
- num_forecast_mask_patches = [num_forecast_mask_patches]
- forecast_mask_ratios = [1 for _ in num_forecast_mask_patches]
- batch_size, num_channels, sequence_length, num_features = inputs.shape
- mask = torch.zeros(batch_size, num_channels, sequence_length, device=inputs.device)
- t_list = []
- total_length = 0
- total_ratio = sum(forecast_mask_ratios)
- for patch_length, ratio in zip(num_forecast_mask_patches, forecast_mask_ratios):
- if patch_length <= 0 or patch_length >= sequence_length:
- raise ValueError(
- f"num_forecast_mask_patches {patch_length} should be greater than 0 and less than total patches."
- )
- temp_len = int(batch_size * ratio / total_ratio)
- t_list.append([patch_length, ratio, temp_len])
- total_length += temp_len
- t_list = sorted(t_list, key=lambda x: x[2])
- if total_length < batch_size:
- t_list[0][2] = t_list[0][2] + (batch_size - total_length)
- elif total_length > batch_size:
- t_list[-1][2] = t_list[-1][2] + (total_length - batch_size)
- batch1 = 0
- for patch_len, _, temp_len in t_list:
- batch2 = batch1 + temp_len
- mask[batch1:batch2, :, -patch_len:] = 1
- batch1 = batch2
- perm = torch.randperm(mask.shape[0])
- mask = mask[perm]
- mask = mask.unsqueeze(-1).repeat(1, 1, 1, num_features) # mask: [bs x num_channels x num_patch x patch_len]
- if unmasked_channel_indices is not None:
- mask[:, unmasked_channel_indices, :, :] = 0
- inputs_mask = inputs.masked_fill(mask.bool(), mask_value)
- return inputs_mask, mask[..., 0]
- # Copied from transformers.models.patchtst.modeling_patchtst.PatchTSTPatchify with PatchTST->PatchTSMixer
- class PatchTSMixerPatchify(nn.Module):
- """
- A class to patchify the time series sequence into different patches
- Returns:
- `torch.Tensor` of shape `(batch_size, num_channels, num_patches, patch_length)`
- """
- def __init__(self, config: PatchTSMixerConfig):
- super().__init__()
- self.sequence_length = config.context_length
- self.patch_length = config.patch_length
- self.patch_stride = config.patch_stride
- if self.sequence_length <= self.patch_length:
- raise ValueError(
- f"Sequence length ({self.sequence_length}) has to be greater than the patch length ({self.patch_length})"
- )
- # get the number of patches
- self.num_patches = (max(self.sequence_length, self.patch_length) - self.patch_length) // self.patch_stride + 1
- new_sequence_length = self.patch_length + self.patch_stride * (self.num_patches - 1)
- self.sequence_start = self.sequence_length - new_sequence_length
- def forward(self, past_values: torch.Tensor):
- """
- Parameters:
- past_values (`torch.Tensor` of shape `(batch_size, sequence_length, num_channels)`, *required*):
- Input for patchification
- Returns:
- `torch.Tensor` of shape `(batch_size, num_channels, num_patches, patch_length)`
- """
- sequence_length = past_values.shape[-2]
- if sequence_length != self.sequence_length:
- raise ValueError(
- f"Input sequence length ({sequence_length}) doesn't match model configuration ({self.sequence_length})."
- )
- # output: [bs x new_sequence_length x num_channels]
- output = past_values[:, self.sequence_start :, :]
- # output: [bs x num_patches x num_input_channels x patch_length]
- output = output.unfold(dimension=-2, size=self.patch_length, step=self.patch_stride)
- # output: [bs x num_input_channels x num_patches x patch_length]
- output = output.transpose(-2, -3).contiguous()
- return output
- # Copied from transformers.models.patchtst.modeling_patchtst.PatchTSTMasking with PatchTST->PatchTSMixer
- class PatchTSMixerMasking(nn.Module):
- """
- Class to perform random or forecast masking.
- Parameters:
- config (`PatchTSMixerConfig`): model config
- Returns:
- x_mask (`torch.Tensor` of shape `(batch_size, num_channels, num_patches, patch_length)`)
- Masked patched input
- mask (`torch.Tensor` of shape `(batch_size, num_channels, num_patches)`)
- Bool tensor indicating True on masked points
- """
- def __init__(self, config: PatchTSMixerConfig):
- super().__init__()
- self.random_mask_ratio = config.random_mask_ratio
- self.channel_consistent_masking = config.channel_consistent_masking
- self.mask_type = config.mask_type
- self.num_forecast_mask_patches = config.num_forecast_mask_patches
- self.unmasked_channel_indices = config.unmasked_channel_indices
- self.mask_value = config.mask_value
- if self.unmasked_channel_indices is not None:
- self.unmasked_channel_indices = sorted(self.unmasked_channel_indices)
- def forward(self, patch_input: torch.Tensor):
- """
- Parameters:
- patch_input (`torch.Tensor` of shape `(batch_size, num_channels, num_patches, patch_length)`, *required*):
- Patch input
- Return:
- masked_input (`torch.Tensor` of shape `(batch_size, num_channels, num_patches, patch_length)`)
- Masked patched input
- mask (`torch.Tensor` of shape `(batch_size, num_channels, num_patches)`)
- Bool tensor indicating True on masked points
- """
- if self.mask_type == "random":
- masked_input, mask = random_masking(
- inputs=patch_input,
- mask_ratio=self.random_mask_ratio,
- unmasked_channel_indices=self.unmasked_channel_indices,
- channel_consistent_masking=self.channel_consistent_masking,
- mask_value=self.mask_value,
- )
- elif self.mask_type == "forecast":
- masked_input, mask = forecast_masking(
- inputs=patch_input,
- num_forecast_mask_patches=self.num_forecast_mask_patches,
- unmasked_channel_indices=self.unmasked_channel_indices,
- mask_value=self.mask_value,
- )
- else:
- raise ValueError(f"Invalid mask type {self.mask_type}.")
- # mask: [bs x num_input_channels x num_patch]
- mask = mask.bool()
- return masked_input, mask
- # Copied from transformers.models.patchtst.modeling_patchtst.PatchTSTStdScaler with PatchTST->PatchTSMixer
- class PatchTSMixerStdScaler(nn.Module):
- """
- Standardize features by calculating the mean and scaling along the first dimension, and then normalizes it by
- subtracting from the mean and dividing by the standard deviation.
- """
- def __init__(self, config: PatchTSMixerConfig):
- super().__init__()
- self.dim = config.scaling_dim if hasattr(config, "scaling_dim") else 1
- self.keepdim = config.keepdim if hasattr(config, "keepdim") else True
- self.minimum_scale = config.minimum_scale if hasattr(config, "minimum_scale") else 1e-5
- def forward(
- self, data: torch.Tensor, observed_indicator: torch.Tensor
- ) -> tuple[torch.Tensor, torch.Tensor, torch.Tensor]:
- """
- Parameters:
- data (`torch.Tensor` of shape `(batch_size, sequence_length, num_input_channels)`):
- input for Batch norm calculation
- observed_indicator (`torch.BoolTensor` of shape `(batch_size, sequence_length, num_input_channels)`):
- Calculating the scale on the observed indicator.
- Returns:
- tuple of `torch.Tensor` of shapes
- (`(batch_size, sequence_length, num_input_channels)`,`(batch_size, 1, num_input_channels)`,
- `(batch_size, 1, num_input_channels)`)
- """
- denominator = observed_indicator.sum(self.dim, keepdim=self.keepdim)
- denominator = denominator.clamp_min(1.0)
- loc = (data * observed_indicator).sum(self.dim, keepdim=self.keepdim) / denominator
- variance = (((data - loc) * observed_indicator) ** 2).sum(self.dim, keepdim=self.keepdim) / denominator
- scale = torch.sqrt(variance + self.minimum_scale)
- return (data - loc) / scale, loc, scale
- # Copied from transformers.models.patchtst.modeling_patchtst.PatchTSTMeanScaler with PatchTST->PatchTSMixer
- class PatchTSMixerMeanScaler(nn.Module):
- """
- Computes a scaling factor as the weighted average absolute value along the first dimension, and scales the data
- accordingly.
- """
- def __init__(self, config: PatchTSMixerConfig):
- super().__init__()
- self.dim = config.scaling_dim if hasattr(config, "scaling_dim") else 1
- self.keepdim = config.keepdim if hasattr(config, "keepdim") else True
- self.minimum_scale = config.minimum_scale if hasattr(config, "minimum_scale") else 1e-10
- self.default_scale = config.default_scale if hasattr(config, "default_scale") else None
- def forward(
- self, data: torch.Tensor, observed_indicator: torch.Tensor
- ) -> tuple[torch.Tensor, torch.Tensor, torch.Tensor]:
- """
- Parameters:
- data (`torch.Tensor` of shape `(batch_size, sequence_length, num_input_channels)`):
- input for Batch norm calculation
- observed_indicator (`torch.BoolTensor` of shape `(batch_size, sequence_length, num_input_channels)`):
- Calculating the scale on the observed indicator.
- Returns:
- tuple of `torch.Tensor` of shapes
- (`(batch_size, sequence_length, num_input_channels)`,`(batch_size, 1, num_input_channels)`,
- `(batch_size, 1, num_input_channels)`)
- """
- ts_sum = (data * observed_indicator).abs().sum(self.dim, keepdim=True)
- num_observed = observed_indicator.sum(self.dim, keepdim=True)
- scale = ts_sum / torch.clamp(num_observed, min=1)
- # If `default_scale` is provided, we use it, otherwise we use the scale
- # of the batch.
- if self.default_scale is None:
- batch_sum = ts_sum.sum(dim=0)
- batch_observations = torch.clamp(num_observed.sum(0), min=1)
- default_scale = torch.squeeze(batch_sum / batch_observations)
- else:
- default_scale = self.default_scale * torch.ones_like(scale)
- # apply default scale where there are no observations
- scale = torch.where(num_observed > 0, scale, default_scale)
- # ensure the scale is at least `self.minimum_scale`
- scale = torch.clamp(scale, min=self.minimum_scale)
- scaled_data = data / scale
- if not self.keepdim:
- scale = scale.squeeze(dim=self.dim)
- return scaled_data, torch.zeros_like(scale), scale
- # Copied from transformers.models.patchtst.modeling_patchtst.PatchTSTNOPScaler with PatchTST->PatchTSMixer
- class PatchTSMixerNOPScaler(nn.Module):
- """
- Assigns a scaling factor equal to 1 along the first dimension, and therefore applies no scaling to the input data.
- """
- def __init__(self, config: PatchTSMixerConfig):
- super().__init__()
- self.dim = config.scaling_dim if hasattr(config, "scaling_dim") else 1
- self.keepdim = config.keepdim if hasattr(config, "keepdim") else True
- def forward(
- self, data: torch.Tensor, observed_indicator: Optional[torch.Tensor] = None
- ) -> tuple[torch.Tensor, torch.Tensor, torch.Tensor]:
- """
- Parameters:
- data (`torch.Tensor` of shape `(batch_size, sequence_length, num_input_channels)`):
- input for Batch norm calculation
- Returns:
- tuple of `torch.Tensor` of shapes
- (`(batch_size, sequence_length, num_input_channels)`,`(batch_size, 1, num_input_channels)`,
- `(batch_size, 1, num_input_channels)`)
- """
- scale = torch.ones_like(data, requires_grad=False).mean(dim=self.dim, keepdim=self.keepdim)
- loc = torch.zeros_like(data, requires_grad=False).mean(dim=self.dim, keepdim=self.keepdim)
- return data, loc, scale
- @dataclass
- @auto_docstring(
- custom_intro="""
- Base class for `PatchTSMixerEncoderOutput`, with potential hidden states.
- """
- )
- class PatchTSMixerEncoderOutput(ModelOutput):
- r"""
- last_hidden_state (`torch.FloatTensor` of shape `(batch_size, num_channels, num_patches, d_model)`):
- Hidden-state at the output of the last layer of the model.
- hidden_states (`tuple(torch.FloatTensor)`, *optional*):
- Hidden-states of the model at the output of each layer.
- """
- last_hidden_state: Optional[torch.FloatTensor] = None
- hidden_states: Optional[tuple[torch.FloatTensor]] = None
- class PatchTSMixerEncoder(PatchTSMixerPreTrainedModel):
- """
- Encoder for PatchTSMixer which inputs patched time-series and outputs patched embeddings.
- Args:
- config (`PatchTSMixerConfig`):
- Configuration.
- """
- def __init__(self, config: PatchTSMixerConfig):
- super().__init__(config)
- self.use_return_dict = config.use_return_dict
- self.patcher = nn.Linear(config.patch_length, config.d_model)
- if config.use_positional_encoding:
- self.positional_encoder = PatchTSMixerPositionalEncoding(config=config)
- else:
- self.positional_encoder = None
- self.mlp_mixer_encoder = PatchTSMixerBlock(config=config)
- # Initialize weights and apply final processing
- if config.post_init:
- self.post_init()
- @auto_docstring
- def forward(
- self,
- past_values: torch.Tensor,
- output_hidden_states: Optional[bool] = False,
- return_dict: Optional[bool] = None,
- ) -> Union[tuple, PatchTSMixerEncoderOutput]:
- r"""
- past_values (`torch.FloatTensor` of shape `(batch_size, seq_length, num_input_channels)`):
- Context values of the time series. For a pretraining task, this denotes the input time series to
- predict the masked portion. For a forecasting task, this denotes the history/past time series values.
- Similarly, for classification or regression tasks, it denotes the appropriate context values of the
- time series.
- For univariate time series, `num_input_channels` dimension should be 1. For multivariate time series,
- it is greater than 1.
- Returns:
- `torch.FloatTensor` of shape `(batch_size, n_vars, num_patches, d_model)`
- """
- return_dict = return_dict if return_dict is not None else self.use_return_dict
- # flatten [bs x num_patch x d_model]. common_channel/mix_channel: [bs x n_vars x num_patch x d_model]
- patches = self.patcher(past_values)
- # add positional encoder
- if self.positional_encoder is not None:
- patches = self.positional_encoder(patches)
- last_hidden_state, hidden_states = self.mlp_mixer_encoder(patches, output_hidden_states=output_hidden_states)
- if not return_dict:
- return tuple(
- v
- for v in [
- last_hidden_state,
- hidden_states,
- ]
- )
- return PatchTSMixerEncoderOutput(last_hidden_state=last_hidden_state, hidden_states=hidden_states)
- @dataclass
- @auto_docstring(
- custom_intro="""
- Base class for model's outputs, with potential hidden states.
- """
- )
- class PatchTSMixerModelOutput(ModelOutput):
- r"""
- last_hidden_state (`torch.FloatTensor` of shape `(batch_size, num_channels, num_patches, d_model)`):
- Hidden-state at the output of the last layer of the model.
- hidden_states (`tuple(torch.FloatTensor)`, *optional*):
- Hidden-states of the model at the output of each layer.
- patch_input (`torch.FloatTensor` of shape `(batch_size, num_channels, num_patches, patch_length)`):
- Patched input data to the model.
- mask (`torch.FloatTensor` of shape `(batch_size, num_channels, num_patches)`, *optional*):
- Bool Tensor indicating True in masked patches and False otherwise.
- loc (`torch.FloatTensor` of shape `(batch_size, 1, num_channels)`, *optional*):
- Gives the mean of the context window per channel. Used for revin denorm outside the model, if revin
- enabled.
- scale (`torch.FloatTensor` of shape `(batch_size, 1, num_channels)`, *optional*):
- Gives the std dev of the context window per channel. Used for revin denorm outside the model, if revin
- enabled.
- """
- last_hidden_state: Optional[torch.FloatTensor] = None
- hidden_states: Optional[tuple[torch.FloatTensor]] = None
- patch_input: Optional[torch.FloatTensor] = None
- mask: Optional[torch.FloatTensor] = None
- loc: Optional[torch.FloatTensor] = None
- scale: Optional[torch.FloatTensor] = None
- @auto_docstring(
- custom_intro="""
- The PatchTSMixer Model for time-series forecasting.
- """
- )
- class PatchTSMixerModel(PatchTSMixerPreTrainedModel):
- def __init__(self, config: PatchTSMixerConfig, mask_input: bool = False):
- r"""
- mask_input (bool, *optional*, defaults to `False`):
- Whether to mask the input using the [`PatchTSMixerMasking`] module.
- """
- super().__init__(config)
- self.use_return_dict = config.use_return_dict
- self.encoder = PatchTSMixerEncoder(config)
- self.patching = PatchTSMixerPatchify(config)
- if mask_input is True:
- self.masking = PatchTSMixerMasking(config)
- else:
- self.masking = None
- if config.scaling == "mean":
- self.scaler = PatchTSMixerMeanScaler(config)
- elif config.scaling == "std" or config.scaling is True:
- self.scaler = PatchTSMixerStdScaler(config)
- else:
- self.scaler = PatchTSMixerNOPScaler(config)
- # Initialize weights and apply final processing
- if config.post_init:
- self.post_init()
- @auto_docstring
- def forward(
- self,
- past_values: torch.Tensor,
- observed_mask: Optional[torch.Tensor] = None,
- output_hidden_states: Optional[bool] = False,
- return_dict: Optional[bool] = None,
- ) -> PatchTSMixerModelOutput:
- r"""
- past_values (`torch.FloatTensor` of shape `(batch_size, seq_length, num_input_channels)`):
- Context values of the time series. For a pretraining task, this denotes the input time series to predict
- the masked portion. For a forecasting task, this denotes the history/past time series values. Similarly,
- for classification or regression tasks, it denotes the appropriate context values of the time series.
- For univariate time series, `num_input_channels` dimension should be 1. For multivariate time series, it is
- greater than 1.
- observed_mask (`torch.FloatTensor` of shape `(batch_size, sequence_length, num_input_channels)`, *optional*):
- Boolean mask to indicate which `past_values` were observed and which were missing. Mask values selected
- in `[0, 1]`:
- - 1 for values that are **observed**,
- - 0 for values that are **missing** (i.e. NaNs that were replaced by zeros).
- """
- return_dict = return_dict if return_dict is not None else self.use_return_dict
- mask = None
- if observed_mask is None:
- observed_mask = torch.ones_like(past_values)
- scaled_past_values, loc, scale = self.scaler(past_values, observed_mask)
- patched_x = self.patching(scaled_past_values) # [batch_size x num_input_channels x num_patch x patch_length
- enc_input = patched_x
- if self.masking is not None:
- enc_input, mask = self.masking(patched_x)
- # enc_input: [batch_size x num_input_channels x num_patch x patch_length]
- # mask: [batch_size x num_input_channels x num_patch]
- encoder_output = self.encoder(
- enc_input,
- output_hidden_states=output_hidden_states,
- return_dict=return_dict,
- )
- if isinstance(encoder_output, tuple):
- encoder_output = PatchTSMixerEncoderOutput(*encoder_output)
- if not return_dict:
- return tuple(
- v
- for v in [
- encoder_output.last_hidden_state,
- encoder_output.hidden_states,
- patched_x,
- mask,
- loc,
- scale,
- ]
- )
- return PatchTSMixerModelOutput(
- last_hidden_state=encoder_output.last_hidden_state,
- hidden_states=encoder_output.hidden_states,
- patch_input=patched_x,
- mask=mask,
- loc=loc,
- scale=scale,
- )
- @dataclass
- @auto_docstring(
- custom_intro="""
- Output type of [`PatchTSMixerForPreTrainingOutput`].
- """
- )
- class PatchTSMixerForPreTrainingOutput(ModelOutput):
- r"""
- loss (*optional*, returned when `y` is provided, `torch.FloatTensor` of shape `()`):
- Total loss
- prediction_outputs (`torch.FloatTensor` of shape `(batch_size, num_input_channels, num_patches, patch_length)`):
- Prediction output from the pretrain head.
- last_hidden_state (`torch.FloatTensor` of shape `(batch_size, num_input_channels, num_patches, d_model)`):
- Backbone embeddings before passing through the head.
- hidden_states (`tuple(torch.FloatTensor)`, *optional*):
- Hidden-states of the model at the output of each layer.
- """
- loss: Optional[torch.FloatTensor] = None
- prediction_outputs: Optional[torch.FloatTensor] = None
- last_hidden_state: Optional[torch.FloatTensor] = None
- hidden_states: Optional[tuple[torch.FloatTensor]] = None
- @auto_docstring(
- custom_intro="""
- `PatchTSMixer` for mask pretraining.
- """
- )
- class PatchTSMixerForPretraining(PatchTSMixerPreTrainedModel):
- def __init__(self, config: PatchTSMixerConfig):
- super().__init__(config)
- self.model = PatchTSMixerModel(config, mask_input=True)
- self.head = PatchTSMixerPretrainHead(config=config)
- self.masked_loss = config.masked_loss
- self.use_return_dict = config.use_return_dict
- # Initialize weights and apply final processing
- if config.post_init:
- self.post_init()
- @auto_docstring
- def forward(
- self,
- past_values: torch.Tensor,
- observed_mask: Optional[torch.Tensor] = None,
- output_hidden_states: Optional[bool] = False,
- return_loss: bool = True,
- return_dict: Optional[bool] = None,
- ) -> PatchTSMixerForPreTrainingOutput:
- r"""
- past_values (`torch.FloatTensor` of shape `(batch_size, seq_length, num_input_channels)`):
- Context values of the time series. For a pretraining task, this denotes the input time series to predict
- the masked portion. For a forecasting task, this denotes the history/past time series values. Similarly,
- for classification or regression tasks, it denotes the appropriate context values of the time series.
- For univariate time series, `num_input_channels` dimension should be 1. For multivariate time series, it is
- greater than 1.
- observed_mask (`torch.FloatTensor` of shape `(batch_size, sequence_length, num_input_channels)`, *optional*):
- Boolean mask to indicate which `past_values` were observed and which were missing. Mask values selected
- in `[0, 1]`:
- - 1 for values that are **observed**,
- - 0 for values that are **missing** (i.e. NaNs that were replaced by zeros).
- return_loss (`bool`, *optional*):
- Whether to return the loss in the `forward` call.
- """
- return_dict = return_dict if return_dict is not None else self.use_return_dict
- if self.masked_loss is True:
- loss = torch.nn.MSELoss(reduction="none")
- else:
- loss = torch.nn.MSELoss(reduction="mean")
- # past_values: tensor [batch_size x context_length x num_input_channels]
- model_output = self.model(
- past_values,
- observed_mask=observed_mask,
- output_hidden_states=output_hidden_states,
- return_dict=return_dict,
- ) # x.last_hidden_state: [batch_size x nvars x num_patch x d_model]
- if isinstance(model_output, tuple):
- model_output = PatchTSMixerModelOutput(*model_output)
- x_hat = self.head(model_output.last_hidden_state) # tensor [batch_size x nvars x num_patch x patch_length]
- if return_loss is True:
- loss_val = loss(x_hat, model_output.patch_input)
- else:
- loss_val = None
- # calculate masked_loss
- if self.masked_loss is True and loss_val is not None:
- loss_val = (loss_val.mean(dim=-1) * model_output.mask).sum() / (model_output.mask.sum() + 1e-10)
- if not return_dict:
- return tuple(
- v
- for v in [
- loss_val,
- x_hat,
- model_output.last_hidden_state,
- model_output.hidden_states,
- ]
- )
- return PatchTSMixerForPreTrainingOutput(
- loss=loss_val,
- prediction_outputs=x_hat, # tensor [batch_size x nvars x num_patch x patch_length]
- last_hidden_state=model_output.last_hidden_state, # x: [batch_size x nvars x num_patch x d_model]
- hidden_states=model_output.hidden_states,
- )
- @dataclass
- @auto_docstring(
- custom_intro="""
- Output type of [`PatchTSMixerForPredictionOutput`].
- """
- )
- class PatchTSMixerForPredictionOutput(ModelOutput):
- r"""
- loss (*optional*, returned when `y` is provided, `torch.FloatTensor` of shape `()`):
- Total loss.
- prediction_outputs (`torch.FloatTensor` of shape `(batch_size, prediction_length, num_input_channels)`):
- Prediction output from the forecast head.
- last_hidden_state (`torch.FloatTensor` of shape `(batch_size, num_input_channels, num_patches, d_model)`):
- Backbone embeddings before passing through the head.
- hidden_states (`tuple(torch.FloatTensor)`, *optional*):
- Hidden-states of the model at the output of each layer plus the optional initial embedding outputs.
- loc (`torch.FloatTensor`, *optional* of shape `(batch_size, 1, num_input_channels)`):
- Input mean
- scale (`torch.FloatTensor`, *optional* of shape `(batch_size, 1, num_input_channels)`):
- Input std dev
- """
- loss: Optional[torch.FloatTensor] = None
- prediction_outputs: Optional[torch.FloatTensor] = None
- last_hidden_state: Optional[torch.FloatTensor] = None
- hidden_states: Optional[tuple[torch.FloatTensor]] = None
- loc: Optional[torch.FloatTensor] = None
- scale: Optional[torch.FloatTensor] = None
- @dataclass
- @auto_docstring(
- custom_intro="""
- Base class for time series model's predictions outputs that contains the sampled values from the chosen
- distribution.
- """
- )
- class SamplePatchTSMixerPredictionOutput(ModelOutput):
- r"""
- sequences (`torch.FloatTensor` of shape `(batch_size, num_samples, prediction_length, number_channels)`):
- Sampled values from the chosen distribution.
- """
- sequences: Optional[torch.FloatTensor] = None
- @dataclass
- @auto_docstring(
- custom_intro="""
- Base class for time series model's predictions outputs that contains the sampled values from the chosen
- distribution.
- """
- )
- class SamplePatchTSMixerRegressionOutput(ModelOutput):
- r"""
- sequences (`torch.FloatTensor` of shape `(batch_size, num_samples, prediction_length, number_channels)`):
- Sampled values from the chosen distribution.
- """
- sequences: Optional[torch.FloatTensor] = None
- # Copied from transformers.models.time_series_transformer.modeling_time_series_transformer.nll
- def nll(input: torch.distributions.Distribution, target: torch.Tensor) -> torch.Tensor:
- """
- Computes the negative log likelihood loss from input distribution with respect to target.
- """
- return -input.log_prob(target)
- # Copied from transformers.models.time_series_transformer.modeling_time_series_transformer.weighted_average
- def weighted_average(input_tensor: torch.Tensor, weights: Optional[torch.Tensor] = None, dim=None) -> torch.Tensor:
- """
- Computes the weighted average of a given tensor across a given `dim`, masking values associated with weight zero,
- meaning instead of `nan * 0 = nan` you will get `0 * 0 = 0`.
- Args:
- input_tensor (`torch.FloatTensor`):
- Input tensor, of which the average must be computed.
- weights (`torch.FloatTensor`, *optional*):
- Weights tensor, of the same shape as `input_tensor`.
- dim (`int`, *optional*):
- The dim along which to average `input_tensor`.
- Returns:
- `torch.FloatTensor`: The tensor with values averaged along the specified `dim`.
- """
- if weights is not None:
- weighted_tensor = torch.where(weights != 0, input_tensor * weights, torch.zeros_like(input_tensor))
- sum_weights = torch.clamp(weights.sum(dim=dim) if dim else weights.sum(), min=1.0)
- return (weighted_tensor.sum(dim=dim) if dim else weighted_tensor.sum()) / sum_weights
- else:
- return input_tensor.mean(dim=dim)
- class PatchTSMixerForPrediction(PatchTSMixerPreTrainedModel):
- r"""
- `PatchTSMixer` for forecasting application.
- Args:
- config (`PatchTSMixerConfig`):
- Configuration.
- Returns:
- `None`.
- """
- def __init__(self, config: PatchTSMixerConfig):
- super().__init__(config)
- self.loss = config.loss
- self.use_return_dict = config.use_return_dict
- self.prediction_channel_indices = config.prediction_channel_indices
- self.num_parallel_samples = config.num_parallel_samples
- if config.loss == "mse":
- self.distribution_output = None
- else:
- dim = config.prediction_length
- distribution_output_map = {
- "student_t": StudentTOutput,
- "normal": NormalOutput,
- "negative_binomial": NegativeBinomialOutput,
- }
- output_class = distribution_output_map.get(config.distribution_output, None)
- if output_class is not None:
- self.distribution_output = output_class(dim=dim)
- else:
- raise ValueError(f"Unknown distribution output {config.distribution_output}")
- self.model = PatchTSMixerModel(config)
- self.head = PatchTSMixerForPredictionHead(
- config=config,
- distribution_output=self.distribution_output,
- )
- # Initialize weights and apply final processing
- if config.post_init:
- self.post_init()
- @auto_docstring
- def forward(
- self,
- past_values: torch.Tensor,
- observed_mask: Optional[torch.Tensor] = None,
- future_values: Optional[torch.Tensor] = None,
- output_hidden_states: Optional[bool] = False,
- return_loss: bool = True,
- return_dict: Optional[bool] = None,
- ) -> PatchTSMixerForPredictionOutput:
- r"""
- past_values (`torch.FloatTensor` of shape `(batch_size, seq_length, num_input_channels)`):
- Context values of the time series. For a pretraining task, this denotes the input time series to predict
- the masked portion. For a forecasting task, this denotes the history/past time series values. Similarly,
- for classification or regression tasks, it denotes the appropriate context values of the time series.
- For univariate time series, `num_input_channels` dimension should be 1. For multivariate time series, it is
- greater than 1.
- observed_mask (`torch.FloatTensor` of shape `(batch_size, sequence_length, num_input_channels)`, *optional*):
- Boolean mask to indicate which `past_values` were observed and which were missing. Mask values selected
- in `[0, 1]`:
- - 1 for values that are **observed**,
- - 0 for values that are **missing** (i.e. NaNs that were replaced by zeros).
- future_values (`torch.FloatTensor` of shape `(batch_size, target_len, num_input_channels)` for forecasting,:
- `(batch_size, num_targets)` for regression, or `(batch_size,)` for classification, *optional*):
- Target values of the time series, that serve as labels for the model. The `future_values` is what the
- Transformer needs during training to learn to output, given the `past_values`. Note that, this is NOT
- required for a pretraining task.
- For a forecasting task, the shape is be `(batch_size, target_len, num_input_channels)`. Even if we want
- to forecast only specific channels by setting the indices in `prediction_channel_indices` parameter,
- pass the target data with all channels, as channel Filtering for both prediction and target will be
- manually applied before the loss computation.
- return_loss (`bool`, *optional*):
- Whether to return the loss in the `forward` call.
- """
- if self.loss == "mse":
- loss = nn.MSELoss(reduction="mean")
- elif self.loss == "nll":
- loss = nll
- else:
- raise ValueError("Invalid loss function: Allowed values: mse and nll")
- return_dict = return_dict if return_dict is not None else self.use_return_dict
- # past_values: tensor [batch_size x context_length x num_input_channels]
- model_output = self.model(
- past_values,
- observed_mask=observed_mask,
- output_hidden_states=output_hidden_states,
- return_dict=return_dict,
- ) # model_output: [batch_size x nvars x num_patch x d_model]
- if isinstance(model_output, tuple):
- model_output = PatchTSMixerModelOutput(*model_output)
- # tensor [batch_size x prediction_length x num_input_channels]
- y_hat = self.head(model_output.last_hidden_state)
- loss_val = None
- if self.prediction_channel_indices is not None:
- if self.distribution_output:
- distribution = self.distribution_output.distribution(
- y_hat,
- loc=model_output.loc[..., self.prediction_channel_indices],
- scale=model_output.scale[..., self.prediction_channel_indices],
- )
- if future_values is not None and return_loss is True:
- loss_val = loss(
- distribution,
- future_values[..., self.prediction_channel_indices],
- )
- # take average of the loss
- loss_val = weighted_average(loss_val)
- else:
- y_hat = (
- y_hat * model_output.scale[..., self.prediction_channel_indices]
- + model_output.loc[..., self.prediction_channel_indices]
- )
- if future_values is not None and return_loss is True:
- loss_val = loss(y_hat, future_values[..., self.prediction_channel_indices])
- else:
- if self.distribution_output:
- distribution = self.distribution_output.distribution(
- y_hat, loc=model_output.loc, scale=model_output.scale
- )
- if future_values is not None and return_loss is True:
- loss_val = loss(distribution, future_values)
- loss_val = weighted_average(loss_val)
- else:
- y_hat = y_hat * model_output.scale + model_output.loc
- if future_values is not None and return_loss is True:
- loss_val = loss(y_hat, future_values)
- if self.prediction_channel_indices is not None:
- loc = model_output.loc[..., self.prediction_channel_indices]
- scale = model_output.scale[..., self.prediction_channel_indices]
- else:
- loc = model_output.loc
- scale = model_output.scale
- if not return_dict:
- return tuple(
- v
- for v in [
- loss_val,
- y_hat,
- model_output.last_hidden_state,
- model_output.hidden_states,
- loc,
- scale,
- ]
- )
- return PatchTSMixerForPredictionOutput(
- loss=loss_val,
- prediction_outputs=y_hat, # tensor [batch_size x prediction_length x num_input_channels]
- last_hidden_state=model_output.last_hidden_state, # x: [batch_size x nvars x num_patch x d_model]
- hidden_states=model_output.hidden_states,
- loc=loc,
- scale=scale,
- )
- @torch.no_grad()
- def generate(
- self,
- past_values: torch.Tensor,
- observed_mask: Optional[torch.Tensor] = None,
- ) -> SamplePatchTSMixerPredictionOutput:
- """
- Generate sequences of sample predictions from a model with a probability distribution head.
- Args:
- past_values (`torch.FloatTensor` of shape `(batch_size, sequence_length, num_input_channels)`):
- Past values of the time series that serves as context in order to predict the future.
- observed_mask (`torch.BoolTensor` of shape `(batch_size, sequence_length, num_input_channels)`, *optional*):
- Boolean mask to indicate which `past_values` were observed and which were missing. Mask values selected
- in `[0, 1]`:
- - 1 for values that are **observed**,
- - 0 for values that are **missing** (i.e. NaNs that were replaced by zeros).
- Return:
- [`SamplePatchTSMixerPredictionOutput`] where the outputs `sequences` tensor will have shape `(batch_size,
- number of samples, prediction_length, num_input_channels)`.
- """
- # get number of samples
- num_parallel_samples = self.num_parallel_samples
- # get model output
- outputs = self(
- past_values=past_values,
- future_values=None,
- observed_mask=observed_mask,
- output_hidden_states=False,
- )
- # get distribution
- distribution = self.distribution_output.distribution(
- outputs.prediction_outputs, loc=outputs.loc, scale=outputs.scale
- )
- # get samples: list of [batch_size x prediction_length x num_channels]
- samples = [distribution.sample() for _ in range(num_parallel_samples)]
- # stack tensors
- samples = torch.stack(samples, dim=1) # [batch_size x num_samples x prediction_length x num_channels]
- return SamplePatchTSMixerPredictionOutput(sequences=samples)
- @dataclass
- @auto_docstring(
- custom_intro="""
- Output type of [`PatchTSMixerForTimeSeriesClassificationOutput`].
- """
- )
- class PatchTSMixerForTimeSeriesClassificationOutput(ModelOutput):
- r"""
- loss (*optional*, returned when `y` is provided, `torch.FloatTensor` of shape `()`):
- Total loss.
- prediction_outputs (`torch.FloatTensor` of shape `(batch_size, num_labels)`):
- Prediction output from the classification head.
- last_hidden_state (`torch.FloatTensor` of shape `(batch_size, num_input_channels, num_patches, d_model)`):
- Backbone embeddings before passing through the head.
- hidden_states (`tuple(torch.FloatTensor)`, *optional*):
- Hidden-states of the model at the output of each layer plus the optional initial embedding outputs.
- """
- loss: Optional[torch.FloatTensor] = None
- prediction_outputs: Optional[torch.FloatTensor] = None
- last_hidden_state: Optional[torch.FloatTensor] = None
- hidden_states: Optional[tuple[torch.FloatTensor]] = None
- class PatchTSMixerForTimeSeriesClassification(PatchTSMixerPreTrainedModel):
- r"""
- `PatchTSMixer` for classification application.
- Args:
- config (`PatchTSMixerConfig`):
- Configuration.
- Returns:
- `None`.
- """
- def __init__(self, config: PatchTSMixerConfig):
- super().__init__(config)
- self.model = PatchTSMixerModel(config)
- self.head = PatchTSMixerLinearHead(
- config=config,
- )
- self.use_return_dict = config.use_return_dict
- if config.scaling in ["std", "mean", True]:
- self.inject_scale = InjectScalerStatistics4D(d_model=config.d_model, num_patches=config.num_patches)
- else:
- self.inject_scale = None
- # Initialize weights and apply final processing
- if config.post_init:
- self.post_init()
- @auto_docstring
- def forward(
- self,
- past_values: torch.Tensor,
- target_values: Optional[torch.Tensor] = None,
- output_hidden_states: Optional[bool] = False,
- return_loss: bool = True,
- return_dict: Optional[bool] = None,
- ) -> PatchTSMixerForTimeSeriesClassificationOutput:
- r"""
- past_values (`torch.FloatTensor` of shape `(batch_size, seq_length, num_input_channels)`):
- Context values of the time series. For a pretraining task, this denotes the input time series to predict
- the masked portion. For a forecasting task, this denotes the history/past time series values. Similarly,
- for classification or regression tasks, it denotes the appropriate context values of the time series.
- For univariate time series, `num_input_channels` dimension should be 1. For multivariate time series, it is
- greater than 1.
- target_values (`torch.FloatTensor` of shape `(batch_size, target_len, num_input_channels)` for forecasting,
- `(batch_size, num_targets)` for regression, or `(batch_size,)` for classification, *optional*):
- Target
- values of the time series, that serve as labels for the model. The `target_values` is what the
- Transformer needs during training to learn to output, given the `past_values`. Note that, this is NOT
- required for a pretraining task.
- For a forecasting task, the shape is be `(batch_size, target_len, num_input_channels)`. Even if we want
- to forecast only specific channels by setting the indices in `prediction_channel_indices` parameter,
- pass the target data with all channels, as channel Filtering for both prediction and target will be
- manually applied before the loss computation.
- For a classification task, it has a shape of `(batch_size,)`.
- For a regression task, it has a shape of `(batch_size, num_targets)`.
- return_loss (`bool`, *optional*):
- Whether to return the loss in the `forward` call.
- """
- loss = torch.nn.CrossEntropyLoss()
- return_dict = return_dict if return_dict is not None else self.use_return_dict
- model_output = self.model(
- past_values,
- output_hidden_states=output_hidden_states,
- return_dict=return_dict,
- ) # x: [batch_size x nvars x num_patch x d_model]
- if isinstance(model_output, tuple):
- model_output = PatchTSMixerModelOutput(*model_output)
- if self.inject_scale is not None:
- model_output.last_hidden_state = self.inject_scale(
- model_output.last_hidden_state,
- loc=model_output.loc,
- scale=model_output.scale,
- ) # x: [batch_size x nvars x num_patch x d_model]
- y_hat = self.head(model_output.last_hidden_state) # tensor [batch_size x n_labels]
- if target_values is not None and return_loss is True:
- loss_val = loss(y_hat, target_values)
- else:
- loss_val = None
- if not return_dict:
- return tuple(
- v
- for v in [
- loss_val,
- y_hat,
- model_output.last_hidden_state,
- model_output.hidden_states,
- ]
- )
- return PatchTSMixerForTimeSeriesClassificationOutput(
- loss=loss_val,
- prediction_outputs=y_hat, # tensor [batch_size x n_labels]
- last_hidden_state=model_output.last_hidden_state, # x: [batch_size x nvars x num_patch x d_model]
- hidden_states=model_output.hidden_states,
- )
- @dataclass
- @auto_docstring(
- custom_intro="""
- Output type of [`PatchTSMixerForRegressionOutput`].
- """
- )
- class PatchTSMixerForRegressionOutput(ModelOutput):
- r"""
- loss (*optional*, returned when `y` is provided, `torch.FloatTensor` of shape `()`):
- Total loss.
- regression_outputs (`torch.FloatTensor` of shape `(batch_size, num_targets)`):
- Prediction output from the regression head.
- last_hidden_state (`torch.FloatTensor` of shape `(batch_size, num_input_channels, num_patches, d_model)`):
- Backbone embeddings before passing through the head.
- hidden_states (`tuple(torch.FloatTensor)`, *optional*):
- Hidden-states of the model at the output of each layer plus the optional initial embedding outputs.
- """
- loss: Optional[torch.FloatTensor] = None
- regression_outputs: Optional[torch.FloatTensor] = None
- last_hidden_state: Optional[torch.FloatTensor] = None
- hidden_states: Optional[tuple[torch.FloatTensor]] = None
- class InjectScalerStatistics4D(nn.Module):
- def __init__(self, d_model: int, num_patches: int, expansion: int = 2):
- super().__init__()
- self.inverse_trans_expansion = nn.Linear(d_model + 2, expansion * d_model)
- self.inverse_trans_compression = nn.Linear(expansion * d_model, d_model)
- self.map_scale_expansion = nn.Linear(2, 2 * expansion)
- self.map_scale_compression = nn.Linear(2 * expansion, 2)
- self.num_patches = num_patches
- def forward(self, inputs: torch.Tensor, loc: torch.Tensor, scale: torch.Tensor):
- """
- Args:
- inputs (`torch.Tensor` of shape `(batch_size, num_input_channels, num_patch, d_model)`)
- loc (`torch.Tensor` of shape `(batch_size, 1, num_input_channels)`)
- scale (`torch.Tensor` of shape `(batch_size, 1, num_input_channels)`)
- Returns:
- `torch.Tensor` of shape `(batch_size, num_input_channels, num_patch, d_model)`
- """
- mean = loc.transpose(-1, -2) # [batch_size x n_channels x 1 ]
- mean = mean.unsqueeze(-2) # [batch_size x n_channels x 1 x 1]
- mean = mean.repeat(1, 1, self.num_patches, 1) # [batch_size x n_channels x num_patch x 1]
- stdev = scale.transpose(-1, -2) # [batch_size x n_channels x 1 ]
- stdev = stdev.unsqueeze(-2) # [batch_size x n_channels x 1 x 1]
- stdev = stdev.repeat(1, 1, self.num_patches, 1) # [batch_size x n_channels x num_patch x 1]
- concat_stats = torch.cat([mean, stdev], dim=-1) # [batch_size x n_channels x num_patch x 2]
- concat_stats = self.map_scale_expansion(concat_stats) # [batch_size x n_channels x num_patch x (2*expansion)]
- concat_stats = self.map_scale_compression(concat_stats) # [batch_size x n_channels x num_patch x 2]
- inputs = torch.cat([inputs, concat_stats], dim=-1) # [batch_size x channels x num_patch x d_model+2]
- inputs = self.inverse_trans_expansion(inputs) # [batch_size x channels x num_patch x (expansion*d_model)]
- inputs = self.inverse_trans_compression(inputs) # [batch_size x channels x num_patch x d_model]
- return inputs
- @auto_docstring(
- custom_intro="""
- `PatchTSMixer` for regression application.
- """
- )
- class PatchTSMixerForRegression(PatchTSMixerPreTrainedModel):
- def __init__(self, config: PatchTSMixerConfig):
- super().__init__(config)
- self.model = PatchTSMixerModel(config)
- self.loss = config.loss
- self.distribution_output = config.distribution_output
- self.use_return_dict = config.use_return_dict
- self.num_parallel_samples = config.num_parallel_samples
- if config.loss == "mse":
- self.distribution_output = None
- else:
- distribution_output_map = {
- "student_t": StudentTOutput,
- "normal": NormalOutput,
- "negative_binomial": NegativeBinomialOutput,
- }
- output_class = distribution_output_map.get(config.distribution_output)
- if output_class is not None:
- self.distribution_output = output_class(dim=config.num_targets)
- else:
- raise ValueError(f"Unknown distribution output {config.distribution_output}")
- if config.scaling in ["std", "mean", True]:
- self.inject_scale = InjectScalerStatistics4D(d_model=config.d_model, num_patches=config.num_patches)
- else:
- self.inject_scale = None
- self.head = PatchTSMixerLinearHead(
- config=config,
- distribution_output=self.distribution_output,
- )
- # Initialize weights and apply final processing
- if config.post_init:
- self.post_init()
- @auto_docstring
- def forward(
- self,
- past_values: torch.Tensor,
- target_values: Optional[torch.Tensor] = None,
- output_hidden_states: Optional[bool] = False,
- return_loss: bool = True,
- return_dict: Optional[bool] = None,
- ) -> PatchTSMixerForRegressionOutput:
- r"""
- past_values (`torch.FloatTensor` of shape `(batch_size, seq_length, num_input_channels)`):
- Context values of the time series. For a pretraining task, this denotes the input time series to predict
- the masked portion. For a forecasting task, this denotes the history/past time series values. Similarly,
- for classification or regression tasks, it denotes the appropriate context values of the time series.
- For univariate time series, `num_input_channels` dimension should be 1. For multivariate time series, it is
- greater than 1.
- target_values (`torch.FloatTensor` of shape `(batch_size, target_len, num_input_channels)` for forecasting,
- `(batch_size, num_targets)` for regression, or `(batch_size,)` for classification, *optional*):
- Target values of the time series, that serve as labels for the model. The `target_values` is what the
- Transformer needs during training to learn to output, given the `past_values`. Note that, this is NOT
- required for a pretraining task.
- For a forecasting task, the shape is be `(batch_size, target_len, num_input_channels)`. Even if we want
- to forecast only specific channels by setting the indices in `prediction_channel_indices` parameter,
- pass the target data with all channels, as channel Filtering for both prediction and target will be
- manually applied before the loss computation.
- For a classification task, it has a shape of `(batch_size,)`.
- For a regression task, it has a shape of `(batch_size, num_targets)`.
- return_loss (`bool`, *optional*):
- Whether to return the loss in the `forward` call.
- """
- if self.loss == "mse":
- loss = nn.MSELoss(reduction="mean")
- elif self.loss == "nll":
- loss = nll
- else:
- raise ValueError("Invalid loss function: Allowed values: mse and nll")
- return_dict = return_dict if return_dict is not None else self.use_return_dict
- model_output = self.model(
- past_values,
- output_hidden_states=output_hidden_states,
- return_dict=return_dict,
- ) # model_output: [batch_size x nvars x num_patch x d_model]
- if isinstance(model_output, tuple):
- model_output = PatchTSMixerModelOutput(*model_output)
- if self.inject_scale is not None:
- model_output.last_hidden_state = self.inject_scale(
- model_output.last_hidden_state,
- loc=model_output.loc,
- scale=model_output.scale,
- ) # x: [batch_size x nvars x num_patch x d_model]
- y_hat = self.head(model_output.last_hidden_state) # [batch_size x num_targets]
- if target_values is not None and return_loss is True:
- if self.distribution_output:
- if self.distribution_output == "negative_binomial" and torch.any(target_values < 0):
- raise Exception("target_values cannot be negative for negative_binomial distribution.")
- distribution = self.distribution_output.distribution(y_hat)
- # y_hat should be a 2-tuple, each with dimension [bs, num_targets]
- y_hat = tuple(item.view(-1, self.config.num_targets) for item in y_hat)
- loss_val = loss(distribution, target_values)
- # take average of the loss
- loss_val = weighted_average(loss_val)
- else:
- loss_val = loss(y_hat, target_values)
- else:
- loss_val = None
- if not return_dict:
- return tuple(
- v
- for v in [
- loss_val,
- y_hat,
- model_output.last_hidden_state,
- model_output.hidden_states,
- ]
- )
- return PatchTSMixerForRegressionOutput(
- loss=loss_val,
- regression_outputs=y_hat, # tensor [batch_size x num_targets]
- last_hidden_state=model_output.last_hidden_state, # [batch_size x nvars x num_patch x d_model]
- hidden_states=model_output.hidden_states,
- )
- @torch.no_grad()
- def generate(
- self,
- past_values: torch.Tensor,
- ) -> SamplePatchTSMixerRegressionOutput:
- """
- Generate sequences of sample predictions from a model with a probability distribution head.
- Args:
- past_values (`torch.FloatTensor` of shape `(batch_size, sequence_length, num_input_channels)`):
- Past values of the time series that serves as context in order to predict the target values.
- Return:
- [`SamplePatchTSMixerRegressionOutput`] where the outputs `sequences` tensor will have shape `(batch_size,
- number of samples, num_targets)`.
- """
- # get number of samples
- num_parallel_samples = self.num_parallel_samples
- # get model output
- outputs = self(
- past_values=past_values,
- target_values=None,
- output_hidden_states=False,
- )
- # get distribution
- distribution = self.distribution_output.distribution(outputs.regression_outputs)
- # get samples
- samples = [
- distribution.sample() for _ in range(num_parallel_samples)
- ] # samples: list of [batch_size x num_targets]
- # stack tensors
- # [batch_size x num_samples x num_targets]
- samples = torch.stack(samples, dim=1).view(-1, num_parallel_samples, self.config.num_targets)
- return SamplePatchTSMixerRegressionOutput(sequences=samples)
- __all__ = [
- "PatchTSMixerPreTrainedModel",
- "PatchTSMixerModel",
- "PatchTSMixerForPretraining",
- "PatchTSMixerForPrediction",
- "PatchTSMixerForTimeSeriesClassification",
- "PatchTSMixerForRegression",
- ]
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