Implemented Non Autorgressive Quantile Regression
This commit is contained in:
@@ -12,6 +12,8 @@ class NrvDataset(Dataset):
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self.nrv = torch.tensor(dataframe['nrv'].to_numpy(), dtype=torch.float32)
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self.load_forecast = torch.tensor(dataframe['load_forecast'].to_numpy(), dtype=torch.float32)
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self.total_load = torch.tensor(dataframe['total_load'].to_numpy(), dtype=torch.float32)
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self.pv_gen_forecast = torch.tensor(dataframe['pv_forecast'].to_numpy(), dtype=torch.float32)
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self.wind_gen_forecast = torch.tensor(dataframe['wind_forecast'].to_numpy(), dtype=torch.float32)
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self.sequence_length = sequence_length
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self.predict_sequence_length = predict_sequence_length
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@@ -45,10 +47,26 @@ class NrvDataset(Dataset):
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load_history = self.total_load[actual_idx:actual_idx+self.sequence_length]
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features.append(load_history.view(-1))
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if self.data_config.PV_HISTORY:
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pv_history = self.pv_gen_forecast[actual_idx:actual_idx+self.sequence_length]
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features.append(pv_history.view(-1))
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if self.data_config.WIND_HISTORY:
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wind_history = self.wind_gen_forecast[actual_idx:actual_idx+self.sequence_length]
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features.append(wind_history.view(-1))
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if self.data_config.LOAD_FORECAST:
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load_forecast = self.load_forecast[actual_idx+self.sequence_length:actual_idx+self.sequence_length+self.predict_sequence_length]
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features.append(load_forecast.view(-1))
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if self.data_config.PV_FORECAST:
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pv_forecast = self.pv_gen_forecast[actual_idx+self.sequence_length:actual_idx+self.sequence_length+self.predict_sequence_length]
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features.append(pv_forecast.view(-1))
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if self.data_config.WIND_FORECAST:
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wind_forecast = self.wind_gen_forecast[actual_idx+self.sequence_length:actual_idx+self.sequence_length+self.predict_sequence_length]
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features.append(wind_forecast.view(-1))
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if not features:
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raise ValueError("No features are configured to be included in the dataset.")
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@@ -75,10 +93,28 @@ class NrvDataset(Dataset):
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load_history = self.total_load[idx:idx+self.sequence_length]
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features.append(load_history.view(-1))
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if self.data_config.PV_HISTORY:
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pv_history = self.pv_gen_forecast[idx:idx+self.sequence_length]
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features.append(pv_history.view(-1))
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if self.data_config.WIND_HISTORY:
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wind_history = self.wind_gen_forecast[idx:idx+self.sequence_length]
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features.append(wind_history.view(-1))
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if self.data_config.LOAD_FORECAST:
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load_forecast = self.load_forecast[idx+self.sequence_length:idx+self.sequence_length+self.predict_sequence_length]
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features.append(load_forecast.view(-1))
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if self.data_config.PV_FORECAST:
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pv_forecast = self.pv_gen_forecast[idx+self.sequence_length:idx+self.sequence_length+self.predict_sequence_length]
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features.append(pv_forecast.view(-1))
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if self.data_config.WIND_FORECAST:
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wind_forecast = self.wind_gen_forecast[idx+self.sequence_length:idx+self.sequence_length+self.predict_sequence_length]
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features.append(wind_forecast.view(-1))
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target = self.nrv[idx+self.sequence_length:idx+self.sequence_length+self.predict_sequence_length]
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if len(features) == 0:
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@@ -9,11 +9,24 @@ import pytz
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history_data_path = "../../data/history-quarter-hour-data.csv"
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forecast_data_path = "../../data/load_forecast.csv"
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pv_forecast_data_path = "../../data/pv_gen_forecast.csv"
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wind_forecast_data_path = "../../data/wind_gen_forecast.csv"
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class DataConfig:
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NRV_HISTORY: bool = True
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LOAD_FORECAST: bool = True
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LOAD_HISTORY: bool = False
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def __init__(self):
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self.NRV_HISTORY: bool = True
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### LOAD ###
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self.LOAD_FORECAST: bool = True
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self.LOAD_HISTORY: bool = False
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### PV ###
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self.PV_FORECAST: bool = False
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self.PV_HISTORY: bool = False
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### WIND ###
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self.WIND_FORECAST: bool = False
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self.WIND_HISTORY: bool = False
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class DataProcessor:
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def __init__(self, data_config: DataConfig):
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@@ -26,8 +39,12 @@ class DataProcessor:
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self.history_features = self.get_nrv_history()
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self.future_features = self.get_load_forecast()
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self.pv_forecast = self.get_pv_forecast()
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self.wind_forecast = self.get_wind_forecast()
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self.all_features = self.history_features.merge(self.future_features, on='datetime', how='left')
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self.all_features = self.all_features.merge(self.pv_forecast, on='datetime', how='left')
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self.all_features = self.all_features.merge(self.wind_forecast, on='datetime', how='left')
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self.data_config = data_config
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@@ -69,6 +86,31 @@ class DataProcessor:
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df.sort_values(by="datetime", inplace=True)
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return df
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def get_pv_forecast(self):
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df = pd.read_csv(pv_forecast_data_path, delimiter=';')
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df = df.rename(columns={'dayahead11hforecast': 'pv_forecast', 'Datetime': 'datetime'})
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df = df[['datetime', 'pv_forecast']]
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df = df.groupby('datetime').mean().reset_index()
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df['datetime'] = pd.to_datetime(df['datetime'], utc=True)
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df.sort_values(by="datetime", inplace=True)
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return df
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def get_wind_forecast(self):
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df = pd.read_csv(wind_forecast_data_path, delimiter=';')
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df = df.rename(columns={'dayaheadforecast': 'wind_forecast', 'datetime': 'datetime'})
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df = df[['datetime', 'wind_forecast']]
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# remove nan rows
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df = df[~df['wind_forecast'].isnull()]
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df = df.groupby('datetime').mean().reset_index()
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df['datetime'] = pd.to_datetime(df['datetime'], utc=True)
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df.sort_values(by="datetime", inplace=True)
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return df
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def set_batch_size(self, batch_size: int):
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self.batch_size = batch_size
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@@ -1 +1 @@
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from .pinball_loss import PinballLoss
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from .pinball_loss import PinballLoss, NonAutoRegressivePinballLoss
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@@ -2,32 +2,30 @@ import torch
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from torch import nn
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class PinballLoss(nn.Module):
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"""
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Calculates the quantile loss function.
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Attributes
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----------
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self.pred : torch.tensor
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Predictions.
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self.target : torch.tensor
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Target to predict.
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self.quantiles : torch.tensor
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"""
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def __init__(self, quantiles):
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super(PinballLoss, self).__init__()
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self.quantiles_tensor = quantiles
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self.quantiles = quantiles.tolist()
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self.quantiles_tensor = torch.tensor(quantiles, dtype=torch.float32)
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def forward(self, pred, target):
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"""
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Computes the loss for the given prediction.
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"""
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error = target - pred
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upper = self.quantiles_tensor * error
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upper = self.quantiles_tensor * error
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lower = (self.quantiles_tensor - 1) * error
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losses = torch.max(lower, upper)
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loss = torch.mean(torch.sum(losses, dim=1))
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loss = torch.mean(torch.mean(losses, dim=0))
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return loss
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class NonAutoRegressivePinballLoss(nn.Module):
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def __init__(self, quantiles):
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super(NonAutoRegressivePinballLoss, self).__init__()
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self.quantiles_tensor = torch.tensor(quantiles, dtype=torch.float32)
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def forward(self, pred, target):
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pred = pred.reshape(-1, 96, len(self.quantiles_tensor))
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target_expanded = target.unsqueeze(2)
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error = target_expanded - pred
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upper = self.quantiles_tensor * error
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lower = (self.quantiles_tensor - 1) * error
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losses = torch.max(lower, upper)
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loss = torch.mean(losses)
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return loss
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196189
src/notebooks/training.ipynb
196189
src/notebooks/training.ipynb
File diff suppressed because it is too large
Load Diff
@@ -19,7 +19,12 @@ class AutoRegressiveTrainer(Trainer):
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fig = make_subplots(rows=rows, cols=cols, subplot_titles=[f'Sample {i+1}' for i in range(num_samples)])
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for i, idx in enumerate(sample_indices):
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initial, predictions, target = self.auto_regressive(data_loader, idx)
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auto_regressive_output = self.auto_regressive(data_loader, idx)
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if len(auto_regressive_output) == 3:
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initial, predictions, target = auto_regressive_output
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else:
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initial, predictions, _, target = auto_regressive_output
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sub_fig = self.get_plot(initial, target, predictions, show_legend=(i == 0))
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row = i + 1
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@@ -5,13 +5,15 @@ from trainers.trainer import Trainer
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from trainers.autoregressive_trainer import AutoRegressiveTrainer
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from data.preprocessing import DataProcessor
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from utils.clearml import ClearMLHelper
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from losses import PinballLoss
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from losses import PinballLoss, NonAutoRegressivePinballLoss
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from plotly.subplots import make_subplots
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import plotly.graph_objects as go
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import numpy as np
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from tqdm import tqdm
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import matplotlib.pyplot as plt
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class QuantileTrainer(AutoRegressiveTrainer):
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class AutoRegressiveQuantileTrainer(AutoRegressiveTrainer):
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def __init__(self, model: torch.nn.Module, optimizer: torch.optim.Optimizer, data_processor: DataProcessor, quantiles: list, device: torch.device, clearml_helper: ClearMLHelper = None, debug: bool = True):
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quantiles_tensor = torch.tensor(quantiles)
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quantiles_tensor = quantiles_tensor.to(device)
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@@ -26,29 +28,29 @@ class QuantileTrainer(AutoRegressiveTrainer):
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transformed_metrics = { metric.__class__.__name__: 0.0 for metric in self.metrics_to_track }
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with torch.no_grad():
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for inputs, targets in dataloader:
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inputs, targets = inputs.to(self.device), targets
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outputs = self.model(inputs)
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total_amount_samples = len(dataloader.dataset) - 95
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for idx in tqdm(range(total_amount_samples)):
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_, outputs, samples, targets = self.auto_regressive(dataloader, idx)
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samples = []
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for output in outputs:
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samples.append(self.sample_from_dist(self.quantiles.cpu().numpy(), output.cpu().numpy()))
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samples = torch.tensor(samples).to(self.device).reshape(-1, 1)
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inversed_samples = torch.tensor(self.data_processor.inverse_transform(samples))
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inversed_targets = torch.tensor(self.data_processor.inverse_transform(targets.reshape(-1, 1)))
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inversed_targets = torch.tensor(self.data_processor.inverse_transform(targets))
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outputs = outputs.to(self.device)
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targets = targets.to(self.device)
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samples = samples.to(self.device)
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for metric in self.metrics_to_track:
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if metric.__class__ != PinballLoss:
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transformed_metrics[metric.__class__.__name__] += metric(samples, targets.view(-1, 1).to(self.device))
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transformed_metrics[metric.__class__.__name__] += metric(samples, targets)
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metrics[metric.__class__.__name__] += metric(inversed_samples, inversed_targets)
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else:
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transformed_metrics[metric.__class__.__name__] += metric(outputs, targets.view(-1, 1).to(self.device))
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transformed_metrics[metric.__class__.__name__] += metric(outputs, targets)
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for metric in self.metrics_to_track:
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metrics[metric.__class__.__name__] /= len(dataloader)
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transformed_metrics[metric.__class__.__name__] /= len(dataloader)
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metrics[metric.__class__.__name__] /= total_amount_samples
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transformed_metrics[metric.__class__.__name__] /= total_amount_samples
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for metric_name, metric_value in metrics.items():
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if PinballLoss.__name__ in metric_name:
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@@ -125,12 +127,12 @@ class QuantileTrainer(AutoRegressiveTrainer):
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sample = self.sample_from_dist(self.quantiles.cpu(), prediction.squeeze(-1).cpu().numpy())
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predictions_sampled.append(sample)
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return initial_sequence.cpu(), torch.stack(predictions_full).cpu(), torch.stack(target_full).cpu()
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return initial_sequence.cpu(), torch.stack(predictions_full).cpu(), torch.tensor(predictions_sampled).reshape(-1, 1), torch.stack(target_full).cpu()
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@staticmethod
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def sample_from_dist(quantiles, output_values):
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# Interpolate the inverse CDF
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inverse_cdf = interp1d(quantiles, output_values, kind='quadratic', bounds_error=False, fill_value="extrapolate")
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inverse_cdf = interp1d(quantiles, output_values, kind='linear', bounds_error=False, fill_value="extrapolate")
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# generate one random uniform number
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uniform_random_numbers = np.random.uniform(0, 1, 1000)
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@@ -141,4 +143,141 @@ class QuantileTrainer(AutoRegressiveTrainer):
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# Return the mean of the samples
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return np.mean(samples)
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def plot_quantile_percentages(self, task, data_loader, train: bool = True, iteration: int = None):
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total = 0
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quantile_counter = {q: 0 for q in self.quantiles.cpu().numpy()}
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with torch.no_grad():
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for inputs, targets in data_loader:
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inputs = inputs.to("cuda")
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output = self.model(inputs)
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# output shape: (batch_size, num_quantiles)
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# target shape: (batch_size, 1)
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for i, q in enumerate(self.quantiles.cpu().numpy()):
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quantile_counter[q] += np.sum(targets.squeeze(-1).cpu().numpy() < output[:, i].cpu().numpy())
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total += len(targets)
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# to numpy array of length len(quantiles)
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percentages = np.array([quantile_counter[q] / total for q in self.quantiles.cpu().numpy()])
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bar_width = 0.35
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index = np.arange(len(self.quantiles.cpu().numpy()))
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# Plotting the bars
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fig, ax = plt.subplots(figsize=(15, 10))
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bar1 = ax.bar(index, self.quantiles.cpu().numpy(), bar_width, label='Ideal', color='brown')
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bar2 = ax.bar(index + bar_width, percentages, bar_width, label='NN model', color='blue')
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# Adding the percentage values above the bars for bar2
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for rect in bar2:
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height = rect.get_height()
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ax.text(rect.get_x() + rect.get_width() / 2., 1.005 * height,
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f'{height:.2}', ha='center', va='bottom') # Format the number as a percentage
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series_name = "Training Set" if train else "Test Set"
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# Adding labels and title
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ax.set_xlabel('Quantile')
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ax.set_ylabel('Fraction of data under quantile forecast')
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ax.set_title(f'Quantile Performance Comparison ({series_name})')
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ax.set_xticks(index + bar_width / 2)
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ax.set_xticklabels(self.quantiles.cpu().numpy())
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ax.legend()
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task.get_logger().report_matplotlib_figure(title='Quantile Performance Comparison', series=series_name, report_image=True, figure=plt, iteration=iteration)
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plt.close()
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class NonAutoRegressiveQuantileRegression(Trainer):
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def __init__(self, model: torch.nn.Module, optimizer: torch.optim.Optimizer, data_processor: DataProcessor, quantiles: list, device: torch.device, clearml_helper: ClearMLHelper = None, debug: bool = True):
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quantiles_tensor = torch.tensor(quantiles)
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quantiles_tensor = quantiles_tensor.to(device)
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self.quantiles = quantiles
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criterion = NonAutoRegressivePinballLoss(quantiles=quantiles_tensor)
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super().__init__(model=model, optimizer=optimizer, criterion=criterion, data_processor=data_processor, device=device, clearml_helper=clearml_helper, debug=debug)
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@staticmethod
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def sample_from_dist(quantiles, output_values):
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reshaped_values = output_values.reshape(-1, len(quantiles))
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samples = []
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for row in reshaped_values:
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inverse_cdf = interp1d(quantiles, row, kind='linear', bounds_error=False, fill_value="extrapolate")
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uniform_random_numbers = np.random.uniform(0, 1, 1000)
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new_samples = inverse_cdf(uniform_random_numbers)
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samples.append(np.mean(new_samples))
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return np.array(samples)
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def log_final_metrics(self, task, dataloader, train: bool = True):
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metrics = { metric.__class__.__name__: 0.0 for metric in self.metrics_to_track }
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transformed_metrics = { metric.__class__.__name__: 0.0 for metric in self.metrics_to_track }
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with torch.no_grad():
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for inputs, targets in dataloader:
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inputs, targets = inputs.to(self.device), targets
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outputs = self.model(inputs)
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outputted_samples = [self.sample_from_dist(self.quantiles.cpu(), output.cpu().numpy()) for output in outputs]
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# to tensor
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outputted_samples = torch.tensor(outputted_samples)
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inversed_outputs = torch.tensor(self.data_processor.inverse_transform(outputted_samples))
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inversed_inputs = torch.tensor(self.data_processor.inverse_transform(targets))
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# set on same device
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inversed_outputs = inversed_outputs.to(self.device)
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inversed_inputs = inversed_inputs.to(self.device)
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outputted_samples = outputted_samples.to(self.device)
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for metric in self.metrics_to_track:
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transformed_metrics[metric.__class__.__name__] += metric(outputted_samples, targets.to(self.device))
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metrics[metric.__class__.__name__] += metric(inversed_outputs, inversed_inputs)
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for metric in self.metrics_to_track:
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metrics[metric.__class__.__name__] /= len(dataloader)
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transformed_metrics[metric.__class__.__name__] /= len(dataloader)
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for metric_name, metric_value in metrics.items():
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if train:
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metric_name = f'train_{metric_name}'
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else:
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metric_name = f'test_{metric_name}'
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task.get_logger().report_single_value(name=metric_name, value=metric_value)
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for metric_name, metric_value in transformed_metrics.items():
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if train:
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metric_name = f'train_transformed_{metric_name}'
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else:
|
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metric_name = f'test_transformed_{metric_name}'
|
||||
|
||||
task.get_logger().report_single_value(name=metric_name, value=metric_value)
|
||||
|
||||
|
||||
def get_plot(self, current_day, next_day, predictions, show_legend: bool = True):
|
||||
fig = go.Figure()
|
||||
|
||||
# Convert to numpy for plotting
|
||||
current_day_np = current_day.view(-1).cpu().numpy()
|
||||
next_day_np = next_day.view(-1).cpu().numpy()
|
||||
|
||||
# reshape predictions to (n, len(quantiles))$
|
||||
predictions_np = predictions.cpu().numpy().reshape(-1, len(self.quantiles))
|
||||
|
||||
# Add traces for current and next day
|
||||
fig.add_trace(go.Scatter(x=np.arange(96), y=current_day_np, name="Current Day"))
|
||||
fig.add_trace(go.Scatter(x=96 + np.arange(96), y=next_day_np, name="Next Day"))
|
||||
|
||||
for i, q in enumerate(self.quantiles):
|
||||
fig.add_trace(go.Scatter(x=96 + np.arange(96), y=predictions_np[:, i],
|
||||
name=f"Prediction (Q={q})", line=dict(dash='dash')))
|
||||
|
||||
# Update the layout
|
||||
fig.update_layout(title="Predictions and Quantiles", showlegend=show_legend)
|
||||
|
||||
return fig
|
||||
|
||||
|
||||
@@ -67,6 +67,8 @@ class Trainer:
|
||||
task.connect(self.criterion, name="criterion")
|
||||
task.connect(self.data_processor, name="data_processor")
|
||||
|
||||
task.connect(self.data_processor.data_config, name="data_features")
|
||||
|
||||
return task
|
||||
|
||||
def random_samples(self, train: bool = True, num_samples: int = 10):
|
||||
@@ -82,58 +84,68 @@ class Trainer:
|
||||
|
||||
|
||||
def train(self, epochs: int):
|
||||
train_loader, test_loader = self.data_processor.get_dataloaders(predict_sequence_length=self.model.output_size)
|
||||
try:
|
||||
train_loader, test_loader = self.data_processor.get_dataloaders(predict_sequence_length=self.model.output_size)
|
||||
|
||||
train_samples = self.random_samples(train=True)
|
||||
test_samples = self.random_samples(train=False)
|
||||
train_samples = self.random_samples(train=True)
|
||||
test_samples = self.random_samples(train=False)
|
||||
|
||||
task = self.init_clearml_task()
|
||||
task = self.init_clearml_task()
|
||||
|
||||
self.best_score = None
|
||||
counter = 0
|
||||
self.best_score = None
|
||||
counter = 0
|
||||
|
||||
for epoch in range(1, epochs + 1):
|
||||
self.model.train()
|
||||
running_loss = 0.0
|
||||
for epoch in range(1, epochs + 1):
|
||||
self.model.train()
|
||||
running_loss = 0.0
|
||||
|
||||
for inputs, targets in train_loader:
|
||||
inputs, targets = inputs.to(self.device), targets.to(self.device)
|
||||
for inputs, targets in train_loader:
|
||||
inputs, targets = inputs.to(self.device), targets.to(self.device)
|
||||
|
||||
self.optimizer.zero_grad()
|
||||
output = self.model(inputs)
|
||||
self.optimizer.zero_grad()
|
||||
output = self.model(inputs)
|
||||
|
||||
loss = self.criterion(output, targets)
|
||||
loss.backward()
|
||||
self.optimizer.step()
|
||||
loss = self.criterion(output, targets)
|
||||
loss.backward()
|
||||
self.optimizer.step()
|
||||
|
||||
running_loss += loss.item()
|
||||
|
||||
running_loss += loss.item()
|
||||
|
||||
|
||||
running_loss /= len(train_loader.dataset)
|
||||
test_loss = self.test(test_loader)
|
||||
running_loss /= len(train_loader.dataset)
|
||||
test_loss = self.test(test_loader)
|
||||
|
||||
if self.patience is not None:
|
||||
if self.best_score is None or test_loss < self.best_score + self.delta:
|
||||
self.save_checkpoint(test_loss, task, epoch)
|
||||
counter = 0
|
||||
else:
|
||||
counter += 1
|
||||
if counter >= self.patience:
|
||||
print('Early stopping triggered')
|
||||
break
|
||||
if self.patience is not None:
|
||||
if self.best_score is None or test_loss < self.best_score + self.delta:
|
||||
self.save_checkpoint(test_loss, task, epoch)
|
||||
counter = 0
|
||||
else:
|
||||
counter += 1
|
||||
if counter >= self.patience:
|
||||
print('Early stopping triggered')
|
||||
break
|
||||
|
||||
if task:
|
||||
task.get_logger().report_scalar(title=self.criterion.__class__.__name__, series="train", value=running_loss, iteration=epoch)
|
||||
task.get_logger().report_scalar(title=self.criterion.__class__.__name__, series="test", value=test_loss, iteration=epoch)
|
||||
|
||||
|
||||
if epoch % self.plot_every_n_epochs == 0:
|
||||
self.debug_plots(task, True, train_loader, train_samples, epoch)
|
||||
self.debug_plots(task, False, test_loader, test_samples, epoch)
|
||||
|
||||
if hasattr(self, 'plot_quantile_percentages'):
|
||||
self.plot_quantile_percentages(task, train_loader, True, epoch)
|
||||
self.plot_quantile_percentages(task, test_loader, False, epoch)
|
||||
|
||||
if task:
|
||||
task.get_logger().report_scalar(title=self.criterion.__class__.__name__, series="train", value=running_loss, iteration=epoch)
|
||||
task.get_logger().report_scalar(title=self.criterion.__class__.__name__, series="test", value=test_loss, iteration=epoch)
|
||||
|
||||
|
||||
if epoch % self.plot_every_n_epochs == 0:
|
||||
self.debug_plots(task, True, train_loader, train_samples, epoch)
|
||||
self.debug_plots(task, False, test_loader, test_samples, epoch)
|
||||
|
||||
if task:
|
||||
self.finish_training(task=task)
|
||||
task.close()
|
||||
self.finish_training(task=task)
|
||||
task.close()
|
||||
except Exception:
|
||||
if task:
|
||||
task.close()
|
||||
task.set_archived(True)
|
||||
raise
|
||||
|
||||
|
||||
def log_final_metrics(self, task, dataloader, train: bool = True):
|
||||
@@ -178,10 +190,12 @@ class Trainer:
|
||||
self.model.load_state_dict(torch.load('checkpoint.pt'))
|
||||
self.model.eval()
|
||||
|
||||
transformed_train_loader, transformed_test_loader = self.data_processor.get_dataloaders(predict_sequence_length=self.model.output_size)
|
||||
train_loader, test_loader = self.data_processor.get_dataloaders(predict_sequence_length=self.model.output_size)
|
||||
|
||||
# self.log_final_metrics(task, transformed_train_loader, train=True)
|
||||
self.log_final_metrics(task, transformed_test_loader, train=False)
|
||||
if not hasattr(self, 'plot_quantile_percentages'):
|
||||
self.log_final_metrics(task, train_loader, train=True)
|
||||
|
||||
self.log_final_metrics(task, test_loader, train=False)
|
||||
|
||||
|
||||
def test(self, test_loader: torch.utils.data.DataLoader):
|
||||
@@ -242,9 +256,9 @@ class Trainer:
|
||||
fig.add_trace(trace, row=row, col=col)
|
||||
|
||||
|
||||
loss = self.criterion(predictions.to(self.device), target.squeeze(-1).to(self.device)).item()
|
||||
# loss = self.criterion(predictions.to(self.device), target.squeeze(-1).to(self.device)).item()
|
||||
|
||||
fig['layout']['annotations'][i].update(text=f"{loss.__class__.__name__}: {loss:.6f}")
|
||||
# fig['layout']['annotations'][i].update(text=f"{loss.__class__.__name__}: {loss:.6f}")
|
||||
|
||||
# y axis same for all plots
|
||||
fig.update_yaxes(range=[-1, 1], col=1)
|
||||
|
||||
Reference in New Issue
Block a user