laywerrobot/lib/python3.6/site-packages/tensorflow/contrib/timeseries/examples/multivariate.py
2020-08-27 21:55:39 +02:00

117 lines
5 KiB
Python

# Copyright 2017 The TensorFlow Authors. 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.
# ==============================================================================
"""A multivariate TFTS example.
Fits a multivariate model, exports it, and visualizes the learned correlations
by iteratively predicting and sampling from the predictions.
"""
from __future__ import absolute_import
from __future__ import division
from __future__ import print_function
from os import path
import tempfile
import numpy
import tensorflow as tf
try:
import matplotlib # pylint: disable=g-import-not-at-top
matplotlib.use("TkAgg") # Need Tk for interactive plots.
from matplotlib import pyplot # pylint: disable=g-import-not-at-top
HAS_MATPLOTLIB = True
except ImportError:
# Plotting requires matplotlib, but the unit test running this code may
# execute in an environment without it (i.e. matplotlib is not a build
# dependency). We'd still like to test the TensorFlow-dependent parts of this
# example, namely train_and_predict.
HAS_MATPLOTLIB = False
_MODULE_PATH = path.dirname(__file__)
_DATA_FILE = path.join(_MODULE_PATH, "data/multivariate_level.csv")
def multivariate_train_and_sample(
csv_file_name=_DATA_FILE, export_directory=None, training_steps=500):
"""Trains, evaluates, and exports a multivariate model."""
estimator = tf.contrib.timeseries.StructuralEnsembleRegressor(
periodicities=[], num_features=5)
reader = tf.contrib.timeseries.CSVReader(
csv_file_name,
column_names=((tf.contrib.timeseries.TrainEvalFeatures.TIMES,)
+ (tf.contrib.timeseries.TrainEvalFeatures.VALUES,) * 5))
train_input_fn = tf.contrib.timeseries.RandomWindowInputFn(
# Larger window sizes generally produce a better covariance matrix.
reader, batch_size=4, window_size=64)
estimator.train(input_fn=train_input_fn, steps=training_steps)
evaluation_input_fn = tf.contrib.timeseries.WholeDatasetInputFn(reader)
current_state = estimator.evaluate(input_fn=evaluation_input_fn, steps=1)
values = [current_state["observed"]]
times = [current_state[tf.contrib.timeseries.FilteringResults.TIMES]]
# Export the model so we can do iterative prediction and filtering without
# reloading model checkpoints.
if export_directory is None:
export_directory = tempfile.mkdtemp()
input_receiver_fn = estimator.build_raw_serving_input_receiver_fn()
export_location = estimator.export_savedmodel(
export_directory, input_receiver_fn)
with tf.Graph().as_default():
numpy.random.seed(1) # Make the example a bit more deterministic
with tf.Session() as session:
signatures = tf.saved_model.loader.load(
session, [tf.saved_model.tag_constants.SERVING], export_location)
for _ in range(100):
current_prediction = (
tf.contrib.timeseries.saved_model_utils.predict_continuation(
continue_from=current_state, signatures=signatures,
session=session, steps=1))
next_sample = numpy.random.multivariate_normal(
# Squeeze out the batch and series length dimensions (both 1).
mean=numpy.squeeze(current_prediction["mean"], axis=[0, 1]),
cov=numpy.squeeze(current_prediction["covariance"], axis=[0, 1]))
# Update model state so that future predictions are conditional on the
# value we just sampled.
filtering_features = {
tf.contrib.timeseries.TrainEvalFeatures.TIMES: current_prediction[
tf.contrib.timeseries.FilteringResults.TIMES],
tf.contrib.timeseries.TrainEvalFeatures.VALUES: next_sample[
None, None, :]}
current_state = (
tf.contrib.timeseries.saved_model_utils.filter_continuation(
continue_from=current_state,
session=session,
signatures=signatures,
features=filtering_features))
values.append(next_sample[None, None, :])
times.append(current_state["times"])
all_observations = numpy.squeeze(numpy.concatenate(values, axis=1), axis=0)
all_times = numpy.squeeze(numpy.concatenate(times, axis=1), axis=0)
return all_times, all_observations
def main(unused_argv):
if not HAS_MATPLOTLIB:
raise ImportError(
"Please install matplotlib to generate a plot from this example.")
all_times, all_observations = multivariate_train_and_sample()
# Show where sampling starts on the plot
pyplot.axvline(1000, linestyle="dotted")
pyplot.plot(all_times, all_observations)
pyplot.show()
if __name__ == "__main__":
tf.app.run(main=main)