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ai-content-maker/.venv/Lib/site-packages/transformers/models/patchtst/modeling_patchtst.py

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2024-05-03 04:18:51 +03:00
# coding=utf-8
# Copyright 2023 IBM & Hugging Face. 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 PatchTST model."""
import math
from dataclasses import dataclass
from typing import Optional, Tuple, Union
import torch
from torch import nn
from ...activations import ACT2CLS
from ...modeling_outputs import BaseModelOutput
from ...modeling_utils import PreTrainedModel
from ...time_series_utils import NegativeBinomialOutput, NormalOutput, StudentTOutput
from ...utils import ModelOutput, add_start_docstrings, logging
from .configuration_patchtst import PatchTSTConfig
logger = logging.get_logger(__name__)
_CONFIG_FOR_DOC = "PatchTSTConfig"
from ..deprecated._archive_maps import PATCHTST_PRETRAINED_MODEL_ARCHIVE_LIST # noqa: F401, E402
# Copied from transformers.models.bart.modeling_bart.BartAttention with Bart->PatchTST
class PatchTSTAttention(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[PatchTSTConfig] = 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 _shape(self, tensor: torch.Tensor, seq_len: int, bsz: int):
return tensor.view(bsz, seq_len, self.num_heads, self.head_dim).transpose(1, 2).contiguous()
def forward(
self,
hidden_states: torch.Tensor,
key_value_states: Optional[torch.Tensor] = None,
past_key_value: Optional[Tuple[torch.Tensor]] = None,
attention_mask: Optional[torch.Tensor] = None,
layer_head_mask: Optional[torch.Tensor] = None,
output_attentions: bool = False,
) -> 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
bsz, tgt_len, _ = hidden_states.size()
# get query proj
query_states = self.q_proj(hidden_states) * self.scaling
# get key, value proj
# `past_key_value[0].shape[2] == key_value_states.shape[1]`
# is checking that the `sequence_length` of the `past_key_value` is the same as
# the provided `key_value_states` to support prefix tuning
if (
is_cross_attention
and past_key_value is not None
and past_key_value[0].shape[2] == key_value_states.shape[1]
):
# reuse k,v, cross_attentions
key_states = past_key_value[0]
value_states = past_key_value[1]
elif is_cross_attention:
# cross_attentions
key_states = self._shape(self.k_proj(key_value_states), -1, bsz)
value_states = self._shape(self.v_proj(key_value_states), -1, bsz)
elif past_key_value is not None:
# reuse k, v, self_attention
key_states = self._shape(self.k_proj(hidden_states), -1, bsz)
value_states = self._shape(self.v_proj(hidden_states), -1, bsz)
key_states = torch.cat([past_key_value[0], key_states], dim=2)
value_states = torch.cat([past_key_value[1], value_states], dim=2)
else:
# self_attention
key_states = self._shape(self.k_proj(hidden_states), -1, bsz)
value_states = self._shape(self.v_proj(hidden_states), -1, bsz)
if self.is_decoder:
# if cross_attention save Tuple(torch.Tensor, torch.Tensor) of all cross attention key/value_states.
# Further calls to cross_attention layer can then reuse all cross-attention
# key/value_states (first "if" case)
# if uni-directional self-attention (decoder) save Tuple(torch.Tensor, torch.Tensor) of
# all previous decoder key/value_states. Further calls to uni-directional self-attention
# can concat previous decoder key/value_states to current projected key/value_states (third "elif" case)
# if encoder bi-directional self-attention `past_key_value` is always `None`
past_key_value = (key_states, value_states)
proj_shape = (bsz * self.num_heads, -1, self.head_dim)
query_states = self._shape(query_states, tgt_len, bsz).view(*proj_shape)
key_states = key_states.reshape(*proj_shape)
value_states = value_states.reshape(*proj_shape)
src_len = key_states.size(1)
attn_weights = torch.bmm(query_states, key_states.transpose(1, 2))
if attn_weights.size() != (bsz * self.num_heads, tgt_len, src_len):
raise ValueError(
f"Attention weights should be of size {(bsz * self.num_heads, tgt_len, src_len)}, but is"
f" {attn_weights.size()}"
)
if attention_mask is not None:
if attention_mask.size() != (bsz, 1, tgt_len, src_len):
raise ValueError(
f"Attention mask should be of size {(bsz, 1, tgt_len, src_len)}, but is {attention_mask.size()}"
)
attn_weights = attn_weights.view(bsz, self.num_heads, tgt_len, src_len) + attention_mask
attn_weights = attn_weights.view(bsz * self.num_heads, tgt_len, src_len)
attn_weights = nn.functional.softmax(attn_weights, dim=-1)
if layer_head_mask is not None:
if layer_head_mask.size() != (self.num_heads,):
raise ValueError(
f"Head mask for a single layer should be of size {(self.num_heads,)}, but is"
f" {layer_head_mask.size()}"
)
attn_weights = layer_head_mask.view(1, -1, 1, 1) * attn_weights.view(bsz, self.num_heads, tgt_len, src_len)
attn_weights = attn_weights.view(bsz * self.num_heads, tgt_len, src_len)
if output_attentions:
# this operation is a bit awkward, but it's required to
# make sure that attn_weights keeps its gradient.
# In order to do so, attn_weights have to be reshaped
# twice and have to be reused in the following
attn_weights_reshaped = attn_weights.view(bsz, self.num_heads, tgt_len, src_len)
attn_weights = attn_weights_reshaped.view(bsz * self.num_heads, tgt_len, src_len)
else:
attn_weights_reshaped = None
attn_probs = nn.functional.dropout(attn_weights, p=self.dropout, training=self.training)
attn_output = torch.bmm(attn_probs, value_states)
if attn_output.size() != (bsz * self.num_heads, tgt_len, self.head_dim):
raise ValueError(
f"`attn_output` should be of size {(bsz * self.num_heads, tgt_len, self.head_dim)}, but is"
f" {attn_output.size()}"
)
attn_output = attn_output.view(bsz, self.num_heads, tgt_len, self.head_dim)
attn_output = attn_output.transpose(1, 2)
# Use the `embed_dim` from the config (stored in the class) rather than `hidden_state` because `attn_output` can be
# partitioned across GPUs when using tensor-parallelism.
attn_output = attn_output.reshape(bsz, tgt_len, self.embed_dim)
attn_output = self.out_proj(attn_output)
return attn_output, attn_weights_reshaped, past_key_value
class PatchTSTBatchNorm(nn.Module):
"""
Compute batch normalization over the sequence length (time) dimension.
"""
def __init__(self, config: PatchTSTConfig):
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)
def random_masking(
inputs: torch.Tensor,
mask_ratio: float,
unmasked_channel_indices: 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]
def forecast_masking(
inputs: torch.Tensor,
num_forecast_mask_patches: Union[list, int],
unmasked_channel_indices: 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]
class PatchTSTPatchify(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: PatchTSTConfig):
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
class PatchTSTMasking(nn.Module):
"""
Class to perform random or forecast masking.
Parameters:
config (`PatchTSTConfig`): 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: PatchTSTConfig):
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
class PatchTSTEncoderLayer(nn.Module):
"""
PatchTST encoder layer
"""
def __init__(self, config: PatchTSTConfig):
super().__init__()
self.channel_attention = config.channel_attention
# Multi-Head attention
self.self_attn = PatchTSTAttention(
embed_dim=config.d_model,
num_heads=config.num_attention_heads,
dropout=config.attention_dropout,
)
# Add & Norm of the sublayer 1
self.dropout_path1 = nn.Dropout(config.path_dropout) if config.path_dropout > 0 else nn.Identity()
if config.norm_type == "batchnorm":
self.norm_sublayer1 = PatchTSTBatchNorm(config)
elif config.norm_type == "layernorm":
self.norm_sublayer1 = nn.LayerNorm(config.d_model, eps=config.norm_eps)
else:
raise ValueError(f"{config.norm_type} is not a supported norm layer type.")
# Add & Norm of the sublayer 2
if self.channel_attention:
self.dropout_path2 = nn.Dropout(config.path_dropout) if config.path_dropout > 0 else nn.Identity()
if config.norm_type == "batchnorm":
self.norm_sublayer2 = PatchTSTBatchNorm(config)
elif config.norm_type == "layernorm":
self.norm_sublayer2 = nn.LayerNorm(config.d_model, eps=config.norm_eps)
else:
raise ValueError(f"{config.norm_type} is not a supported norm layer type.")
# Position-wise Feed-Forward
self.ff = nn.Sequential(
nn.Linear(config.d_model, config.ffn_dim, bias=config.bias),
ACT2CLS[config.activation_function](),
nn.Dropout(config.ff_dropout) if config.ff_dropout > 0 else nn.Identity(),
nn.Linear(config.ffn_dim, config.d_model, bias=config.bias),
)
# Add & Norm of sublayer 3
self.dropout_path3 = nn.Dropout(config.path_dropout) if config.path_dropout > 0 else nn.Identity()
if config.norm_type == "batchnorm":
self.norm_sublayer3 = PatchTSTBatchNorm(config)
elif config.norm_type == "layernorm":
self.norm_sublayer3 = nn.LayerNorm(config.d_model, eps=config.norm_eps)
else:
raise ValueError(f"{config.norm_type} is not a supported norm layer type.")
self.pre_norm = config.pre_norm
def forward(self, hidden_state: torch.Tensor, output_attentions: Optional[bool] = None):
"""
Parameters:
hidden_state (`torch.Tensor` of shape `(batch_size, num_channels, sequence_length, d_model)`, *required*):
Past values of the time series
output_attentions (`bool`, *optional*):
Whether or not to return the output attention of all layers
Return:
`torch.Tensor` of shape `(batch_size, num_channels, sequence_length, d_model)`
"""
batch_size, num_input_channels, sequence_length, d_model = hidden_state.shape
# First sublayer: attention across time
# hidden_states: [(bs*num_channels) x sequence_length x d_model]
hidden_state = hidden_state.view(batch_size * num_input_channels, sequence_length, d_model)
if self.pre_norm:
## Norm and Multi-Head attention and Add residual connection
attn_output, attn_weights, _ = self.self_attn(
hidden_states=self.norm_sublayer1(hidden_state), output_attentions=output_attentions
)
# Add: residual connection with residual dropout
hidden_state = hidden_state + self.dropout_path1(attn_output)
else:
## Multi-Head attention and Add residual connection and Norm - Standard Transformer from BERT
attn_output, attn_weights, _ = self.self_attn(
hidden_states=hidden_state, output_attentions=output_attentions
)
# hidden_states: [(bs*num_channels) x sequence_length x d_model]
hidden_state = self.norm_sublayer1(hidden_state + self.dropout_path1(attn_output))
# hidden_state: [bs x num_channels x sequence_length x d_model]
hidden_state = hidden_state.reshape(batch_size, num_input_channels, sequence_length, d_model)
# second sublayer: attention across variable at any given time
if self.channel_attention:
# hidden_state: [bs x sequence_length x num_channels x d_model]
hidden_state = hidden_state.transpose(2, 1).contiguous()
# hidden_state: [(bs*sequence_length) x num_channels x d_model]
hidden_state = hidden_state.view(batch_size * sequence_length, num_input_channels, d_model)
if self.pre_norm:
## Norm and Multi-Head attention and Add residual connection
attn_output, channel_attn_weights, _ = self.self_attn(
hidden_states=self.norm_sublayer2(hidden_state), output_attentions=output_attentions
)
# Add: residual connection with residual dropout
hidden_state = hidden_state + self.dropout_path2(attn_output)
else:
## Multi-Head attention and Add residual connection and Norm
attn_output, channel_attn_weights, _ = self.self_attn(
hidden_states=hidden_state, output_attentions=output_attentions
)
# hidden_states: [(bs*sequence_length) x num_channels x d_model]
hidden_state = self.norm_sublayer2(hidden_state + self.dropout_path2(attn_output))
# Reshape hidden state
# hidden_state: [bs x sequence_length x num_channels x d_model]
hidden_state = hidden_state.reshape(batch_size, sequence_length, num_input_channels, d_model)
# hidden_state: [bs x num_channels x sequence_length x d_model]
hidden_state = hidden_state.transpose(1, 2).contiguous()
# Third sublayer: mixing across hidden
# hidden_state: [(batch_size*num_channels) x sequence_length x d_model]
hidden_state = hidden_state.view(batch_size * num_input_channels, sequence_length, d_model)
if self.pre_norm:
## Norm and Position-wise Feed-Forward and Add residual connection
# Add: residual connection with residual dropout
hidden_state = hidden_state + self.dropout_path3(self.ff(self.norm_sublayer3(hidden_state)))
else:
## Position-wise Feed-Forward and Add residual connection and Norm
# Add: residual connection with residual dropout
hidden_state = self.norm_sublayer3(hidden_state + self.dropout_path3(self.ff(hidden_state)))
# [bs x num_channels x sequence_length x d_model]
hidden_state = hidden_state.reshape(batch_size, num_input_channels, sequence_length, d_model)
outputs = (hidden_state,)
if output_attentions:
outputs += (attn_weights, channel_attn_weights) if self.channel_attention else (attn_weights,)
return outputs
class PatchTSTPreTrainedModel(PreTrainedModel):
config_class = PatchTSTConfig
base_model_prefix = "model"
main_input_name = "past_values"
supports_gradient_checkpointing = False
def _init_weights(self, module):
"""
Initialize weights
"""
if isinstance(module, PatchTSTPositionalEncoding):
# initialize cls_token
if self.config.use_cls_token:
nn.init.normal_(module.cls_token, std=0.02)
# 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):
module.bias.data.zero_()
module.weight.data.fill_(1.0)
elif isinstance(module, PatchTSTBatchNorm):
module.batchnorm.bias.data.zero_()
module.batchnorm.weight.data.fill_(1.0)
elif isinstance(module, (nn.Linear, nn.Conv1d)):
module.weight.data.normal_(mean=0.0, std=self.config.init_std)
if module.bias is not None:
module.bias.data.zero_()
def _set_gradient_checkpointing(self, module, value=False):
if isinstance(module, (PatchTSTEncoder)):
module.gradient_checkpointing = value
class PatchTSTEmbedding(nn.Module):
def __init__(self, config: PatchTSTConfig):
super().__init__()
self.num_input_channels = config.num_input_channels
self.share_embedding = config.share_embedding
# Input encoding: projection of feature vectors onto a d-dim vector space
if self.share_embedding:
self.input_embedding = nn.Linear(config.patch_length, config.d_model)
else:
self.input_embedding = nn.ModuleList()
for _ in range(config.num_input_channels):
self.input_embedding.append(nn.Linear(config.patch_length, config.d_model))
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 for embedding
return:
`torch.Tensor` of shape `(batch_size, num_channels, num_patches, d_model)`
"""
# Input encoding
num_input_channels = patch_input.shape[1]
if num_input_channels != self.num_input_channels:
raise ValueError(
f"The defined number of input channels ({self.num_input_channels}) in the config "
f"has to be the same as the number of channels in the batch input ({num_input_channels})"
)
if self.share_embedding:
embeddings = self.input_embedding(patch_input) # x: [bs x num_channels x num_patches x d_model]
else:
embeddings = [self.input_embedding[i](patch_input[:, i, :, :]) for i in range(num_input_channels)]
embeddings = torch.stack(embeddings, dim=1)
return embeddings
class PatchTSTPositionalEncoding(nn.Module):
"""
Class for positional encoding
"""
def __init__(self, config: PatchTSTConfig, num_patches: int):
super().__init__()
self.use_cls_token = config.use_cls_token
self.num_input_channels = config.num_input_channels
if config.use_cls_token:
# cls_token: [1 x num_input_channels x 1 x d_model]
self.cls_token = nn.Parameter(torch.zeros(1, 1, 1, config.d_model))
num_patches += 1
# postional encoding: [num_patches x d_model]
self.position_enc = self._init_pe(config, num_patches)
# Positional dropout
self.positional_dropout = (
nn.Dropout(config.positional_dropout) if config.positional_dropout > 0 else nn.Identity()
)
@staticmethod
def _init_pe(config: PatchTSTConfig, num_patches: int) -> nn.Parameter:
# Positional encoding
if config.positional_encoding_type == "random":
position_enc = nn.Parameter(torch.randn(num_patches, config.d_model), requires_grad=True)
elif config.positional_encoding_type == "sincos":
position_enc = torch.zeros(num_patches, config.d_model)
position = torch.arange(0, 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):
if self.use_cls_token:
# patch_input: [bs x num_channels x num_patches x d_model]
patch_input = self.positional_dropout(patch_input + self.position_enc[1:, :])
# append cls token where cls_token: [1 x num_channels x 1 x d_model]
cls_token = self.cls_token + self.position_enc[:1, :]
# get the same copy of cls_token for all the samples in batch: [bs x num_channels x 1 x d_model]
cls_tokens = cls_token.expand(patch_input.shape[0], self.num_input_channels, -1, -1)
# hidden_state: [bs x num_channels x (num_patches+1) x d_model]
hidden_state = torch.cat((cls_tokens, patch_input), dim=2)
else:
# hidden_state: [bs x num_channels x num_patches x d_model]
hidden_state = self.positional_dropout(patch_input + self.position_enc)
return hidden_state
class PatchTSTEncoder(PatchTSTPreTrainedModel):
"""
PatchTST Encoder
"""
def __init__(self, config: PatchTSTConfig, num_patches: int):
super().__init__(config)
self.gradient_checkpointing = False
# Input embedding: projection of feature vectors onto a d-dim vector space
self.embedder = PatchTSTEmbedding(config)
# Positional encoding
self.positional_encoder = PatchTSTPositionalEncoding(config, num_patches)
# Encoder
self.layers = nn.ModuleList([PatchTSTEncoderLayer(config) for i in range(config.num_hidden_layers)])
# Initialize weights and apply final processing
self.post_init()
def forward(
self,
patch_input: torch.Tensor,
output_hidden_states: Optional[bool] = None,
output_attentions: Optional[bool] = None,
) -> BaseModelOutput:
"""
Parameters:
patch_input (`torch.Tensor` of shape `(batch_size, num_channels, num_patches, patch_length)`, *required*):
Past values of the time series
output_hidden_states (bool, optional): Indicates if hidden states should be outputted.
output_attentions (bool, optional): Indicates if attentions should be outputted.
return:
`BaseModelOutput`
"""
output_attentions = output_attentions if output_attentions is not None else self.config.output_attentions
output_hidden_states = (
output_hidden_states if output_hidden_states is not None else self.config.output_hidden_states
)
# Input embedding
patch_input = self.embedder(patch_input)
# Positional encoding
hidden_state = self.positional_encoder(patch_input)
encoder_states = () if output_hidden_states else None
all_attentions = () if output_attentions else None
for encoder_layer in self.layers:
if output_hidden_states:
encoder_states = encoder_states + (hidden_state,)
layer_outputs = encoder_layer(hidden_state=hidden_state, output_attentions=output_attentions)
# get hidden state. hidden_state shape is [bs x num_channels x num_patches x d_model]
# or [bs x num_channels x (num_patches+1) x d_model] if use cls_token
hidden_state = layer_outputs[0]
# append attention matrix at each layer
if output_attentions:
all_attentions = all_attentions + (layer_outputs[1],)
# return past_values, hidden_states
return BaseModelOutput(last_hidden_state=hidden_state, hidden_states=encoder_states, attentions=all_attentions)
PATCHTST_START_DOCSTRING = r"""
This model inherits from [`PreTrainedModel`]. Check the superclass documentation for the generic methods the
library implements for all its model (such as downloading or saving, resizing the input embeddings, pruning heads
etc.)
This model is also a PyTorch [torch.nn.Module](https://pytorch.org/docs/stable/nn.html#torch.nn.Module) subclass.
Use it as a regular PyTorch Module and refer to the PyTorch documentation for all matter related to general usage
and behavior.
Parameters:
config ([`PatchTSTConfig`]):
Model configuration class with all the parameters of the model. Initializing with a config file does not
load the weights associated with the model, only the configuration. Check out the
[`~PreTrainedModel.from_pretrained`] method to load the model weights.
"""
@dataclass
class PatchTSTModelOutput(ModelOutput):
"""
Base class for model's outputs, with potential hidden states.
Parameters:
last_hidden_state (`torch.FloatTensor` of shape `(batch_size, num_channels, num_patches, patch_length)`):
Sequence of hidden-states at the output of the last layer of the model.
hidden_states (`tuple(torch.FloatTensor)`, *optional*, returned when `output_hidden_states=True` is passed or when `config.output_hidden_states=True`):
Tuple of `torch.FloatTensor` (one for the output of the embeddings, if the model has an embedding layer, +
one for the output of each layer) of shape `(batch_size, num_channels, height, width)`. Hidden-states of
the model at the output of each layer plus the optional initial embedding outputs.
mask: (`torch.FloatTensor` of shape `(batch_size, num_channels, num_patches)`, *optional*)
Bool masked tensor indicating which patches are masked
loc: (`torch.FloatTensor` of shape `(batch_size, 1, num_channels)`, *optional*)
Mean of the input data (batch_size, sequence_length, num_channels) over the sequence_length
scale: (`torch.FloatTensor` of shape `(batch_size, 1, num_channels)`, *optional*)
Std of the input data (batch_size, sequence_length, num_channels) over the sequence_length
patch_input (`torch.FloatTensor` of shape `(batch_size, num_channels, num_patches, patch_length)`):
Patched input to the Transformer
"""
last_hidden_state: torch.FloatTensor = None
hidden_states: Optional[Tuple[torch.FloatTensor]] = None
attentions: Optional[Tuple[torch.FloatTensor]] = None
mask: torch.FloatTensor = None
loc: torch.FloatTensor = None
scale: torch.FloatTensor = None
patch_input: torch.FloatTensor = None
@dataclass
class PatchTSTForPretrainingOutput(ModelOutput):
"""
Output type of [`PatchTSTForPretraining`].
Parameters:
loss (*optional*, returned when `labels` is provided, `torch.FloatTensor` of shape `(1,)`):
MSE loss.
prediction_outputs (`torch.FloatTensor` of shape `(batch_size, sequence_length, config.vocab_size)`):
Prediction outputs of the time series modeling heads.
hidden_states (`tuple(torch.FloatTensor)`, *optional*, returned when `output_hidden_states=True` is passed or when `config.output_hidden_states=True`):
Tuple of `torch.FloatTensor` (one for the output of the embeddings + one for the output of each layer) of
shape `(batch_size, sequence_length, hidden_size)`.
Hidden-states of the model at the output of each layer plus the initial embedding outputs.
attentions (`tuple(torch.FloatTensor)`, *optional*, returned when `output_attentions=True` is passed or when `config.output_attentions=True`):
Tuple of `torch.FloatTensor` (one for each layer) of shape `(batch_size, num_heads, sequence_length,
sequence_length)`.
Attentions weights after the attention softmax, used to compute the weighted average in the self-attention
heads.
"""
loss: Optional[torch.FloatTensor] = None
prediction_output: torch.FloatTensor = None
hidden_states: Optional[Tuple[torch.FloatTensor]] = None
attentions: Optional[Tuple[torch.FloatTensor]] = None
@dataclass
class PatchTSTForRegressionOutput(ModelOutput):
"""
Output type of [`PatchTSTForRegression`].
Parameters:
loss (*optional*, returned when `labels` is provided, `torch.FloatTensor` of shape `(1,)`):
MSE loss.
regression_outputs (`torch.FloatTensor` of shape `(batch_size, num_targets)`):
Regression outputs of the time series modeling heads.
hidden_states (`tuple(torch.FloatTensor)`, *optional*, returned when `output_hidden_states=True` is passed or when `config.output_hidden_states=True`):
Tuple of `torch.FloatTensor` (one for the output of the embeddings + one for the output of each layer) of
shape `(batch_size, sequence_length, hidden_size)`.
Hidden-states of the model at the output of each layer plus the initial embedding outputs.
attentions (`tuple(torch.FloatTensor)`, *optional*, returned when `output_attentions=True` is passed or when `config.output_attentions=True`):
Tuple of `torch.FloatTensor` (one for each layer) of shape `(batch_size, num_heads, sequence_length,
sequence_length)`.
Attentions weights after the attention softmax, used to compute the weighted average in the self-attention
heads.
"""
loss: Optional[torch.FloatTensor] = None
regression_outputs: torch.FloatTensor = None
hidden_states: Optional[Tuple[torch.FloatTensor]] = None
attentions: Optional[Tuple[torch.FloatTensor]] = None
@dataclass
class PatchTSTForPredictionOutput(ModelOutput):
"""
Output type of [`PatchTSTForPrediction`].
Parameters:
loss (*optional*, returned when `labels` is provided, `torch.FloatTensor` of shape `(1,)`):
MSE loss.
prediction_outputs (`torch.FloatTensor` of shape `(batch_size, prediction_length, -1)`):
Prediction outputs of the time series modeling heads.
hidden_states (`tuple(torch.FloatTensor)`, *optional*, returned when `output_hidden_states=True` is passed or when `config.output_hidden_states=True`):
Tuple of `torch.FloatTensor` (one for the output of the embeddings + one for the output of each layer) of
shape `(batch_size, sequence_length, hidden_size)`.
Hidden-states of the model at the output of each layer plus the initial embedding outputs.
attentions (`tuple(torch.FloatTensor)`, *optional*, returned when `output_attentions=True` is passed or when `config.output_attentions=True`):
Tuple of `torch.FloatTensor` (one for each layer) of shape `(batch_size, num_heads, sequence_length,
sequence_length)`.
Attentions weights after the attention softmax, used to compute the weighted average in the self-attention
heads.
loc: (`torch.FloatTensor` of shape `(batch_size, 1, num_channels)`, *optional*)
Mean of the input data (batch_size, sequence_length, num_channels) over the sequence_length
scale: (`torch.FloatTensor` of shape `(batch_size, 1, num_channels)`, *optional*)
Std of the input data (batch_size, sequence_length, num_channels) over the sequence_length
"""
loss: Optional[torch.FloatTensor] = None
prediction_outputs: torch.FloatTensor = None
hidden_states: Optional[Tuple[torch.FloatTensor]] = None
attentions: Optional[Tuple[torch.FloatTensor]] = None
loc: torch.FloatTensor = None
scale: torch.FloatTensor = None
@dataclass
class PatchTSTForClassificationOutput(ModelOutput):
"""
Output type of [`PatchTSTForClassification`].
Parameters:
loss (*optional*, returned when `labels` is provided, `torch.FloatTensor` of shape `(1,)`):
Total loss as the sum of the masked language modeling loss and the next sequence prediction
(classification) loss.
prediction_logits (`torch.FloatTensor` of shape `(batch_size, num_targets)`):
Prediction scores of the PatchTST modeling head (scores before SoftMax).
hidden_states (`tuple(torch.FloatTensor)`, *optional*, returned when `output_hidden_states=True` is passed or when `config.output_hidden_states=True`):
Tuple of `torch.FloatTensor` (one for the output of the embeddings + one for the output of each layer) of
shape `(batch_size, sequence_length, hidden_size)`.
Hidden-states of the model at the output of each layer plus the initial embedding outputs.
attentions (`tuple(torch.FloatTensor)`, *optional*, returned when `output_attentions=True` is passed or when `config.output_attentions=True`):
Tuple of `torch.FloatTensor` (one for each layer) of shape `(batch_size, num_heads, sequence_length,
sequence_length)`.
Attentions weights after the attention softmax, used to compute the weighted average in the self-attention
heads.
"""
loss: Optional[torch.FloatTensor] = None
prediction_logits: torch.FloatTensor = None
hidden_states: Optional[Tuple[torch.FloatTensor]] = None
attentions: Optional[Tuple[torch.FloatTensor]] = None
@dataclass
class SamplePatchTSTOutput(ModelOutput):
"""
Base class for time series model's predictions outputs that contains the sampled values from the chosen
distribution.
Parameters:
sequences `(batch_size, num_samples, prediction_length, num_targets)`):
Sampled values from the chosen distribution.
"""
sequences: 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)
# Copied from transformers.models.time_series_transformer.modeling_time_series_transformer.TimeSeriesStdScaler with TimeSeriesTransformer->PatchTST,TimeSeries->PatchTST
class PatchTSTStdScaler(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: PatchTSTConfig):
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.time_series_transformer.modeling_time_series_transformer.TimeSeriesMeanScaler with TimeSeriesTransformer->PatchTST,TimeSeries->PatchTST
class PatchTSTMeanScaler(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: PatchTSTConfig):
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.time_series_transformer.modeling_time_series_transformer.TimeSeriesNOPScaler with TimeSeriesTransformer->PatchTST,TimeSeries->PatchTST
class PatchTSTNOPScaler(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: PatchTSTConfig):
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: 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
class PatchTSTScaler(nn.Module):
def __init__(self, config: PatchTSTConfig):
super().__init__()
if config.scaling == "mean" or config.scaling is True:
self.scaler = PatchTSTMeanScaler(config)
elif config.scaling == "std":
self.scaler = PatchTSTStdScaler(config)
else:
self.scaler = PatchTSTNOPScaler(config)
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 scaler 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, um_input_channels)`)
"""
data, loc, scale = self.scaler(data, observed_indicator)
return data, loc, scale
@add_start_docstrings(
"The bare PatchTST Model outputting raw hidden-states without any specific head.",
PATCHTST_START_DOCSTRING,
)
class PatchTSTModel(PatchTSTPreTrainedModel):
def __init__(self, config: PatchTSTConfig):
super().__init__(config)
self.scaler = PatchTSTScaler(config)
self.patchifier = PatchTSTPatchify(config)
self.do_mask_input = config.do_mask_input
# get num_patches information from PatchTSTPatchify
num_patches = self.patchifier.num_patches
if self.do_mask_input:
self.masking = PatchTSTMasking(config)
else:
self.masking = nn.Identity()
self.encoder = PatchTSTEncoder(config, num_patches=num_patches)
# Initialize weights and apply final processing
self.post_init()
def forward(
self,
past_values: torch.Tensor,
past_observed_mask: Optional[torch.Tensor] = None,
future_values: Optional[torch.Tensor] = None,
output_hidden_states: Optional[bool] = None,
output_attentions: Optional[bool] = None,
return_dict: Optional[bool] = None,
) -> Union[Tuple, PatchTSTModelOutput]:
r"""
Parameters:
past_values (`torch.Tensor` of shape `(bs, sequence_length, num_input_channels)`, *required*):
Input sequence to the model
past_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).
future_values (`torch.BoolTensor` of shape `(batch_size, prediction_length, num_input_channels)`, *optional*):
Future target values associated with the `past_values`
output_hidden_states (`bool`, *optional*):
Whether or not to return the hidden states of all layers
output_attentions (`bool`, *optional*):
Whether or not to return the output attention of all layers
return_dict (`bool`, *optional*):
Whether or not to return a `ModelOutput` instead of a plain tuple.
Returns:
`PatchTSTModelOutput` or tuple of `torch.Tensor` (if `return_dict`=False or `config.return_dict`=False)
Examples:
```python
>>> from huggingface_hub import hf_hub_download
>>> import torch
>>> from transformers import PatchTSTModel
>>> file = hf_hub_download(
... repo_id="hf-internal-testing/etth1-hourly-batch", filename="train-batch.pt", repo_type="dataset"
... )
>>> batch = torch.load(file)
>>> model = PatchTSTModel.from_pretrained("namctin/patchtst_etth1_pretrain")
>>> # during training, one provides both past and future values
>>> outputs = model(
... past_values=batch["past_values"],
... future_values=batch["future_values"],
... )
>>> last_hidden_state = outputs.last_hidden_state
```"""
return_dict = return_dict if return_dict is not None else self.config.use_return_dict
output_attentions = output_attentions if output_attentions is not None else self.config.output_attentions
output_hidden_states = (
output_hidden_states if output_hidden_states is not None else self.config.output_hidden_states
)
if past_observed_mask is None:
past_observed_mask = torch.ones_like(past_values)
# x: tensor [bs x sequence_length x num_input_channels]
scaled_past_values, loc, scale = self.scaler(past_values, past_observed_mask)
# patched_values: [bs x num_input_channels x num_patches x patch_length] for pretrain
patched_values = self.patchifier(scaled_past_values)
if self.do_mask_input:
masked_values, mask = self.masking(patched_values)
else:
masked_values, mask = self.masking(patched_values), None
encoder_output = self.encoder(
patch_input=masked_values, output_hidden_states=output_hidden_states, output_attentions=output_attentions
)
if not return_dict:
outputs = (encoder_output.last_hidden_state, encoder_output.hidden_states, encoder_output.attentions)
outputs = outputs + (mask, loc, scale, patched_values)
return tuple(v for v in outputs if v is not None)
return PatchTSTModelOutput(
last_hidden_state=encoder_output.last_hidden_state,
hidden_states=encoder_output.hidden_states,
attentions=encoder_output.attentions,
mask=mask,
loc=loc,
scale=scale,
patch_input=patched_values,
)
class PatchTSTMaskPretrainHead(nn.Module):
"""
Pretraining head for mask modelling
"""
def __init__(self, config: PatchTSTConfig):
super().__init__()
self.dropout = nn.Dropout(config.dropout)
self.linear = nn.Linear(config.d_model, config.patch_length)
self.use_cls_token = config.use_cls_token
def forward(self, embedding: torch.Tensor) -> torch.Tensor:
"""
Parameters:
embedding (`torch.Tensor` of shape `(bs, num_channels, num_patches, d_model)` or
`(bs, num_channels, num_patches+1, d_model)` if `cls_token` is set to True, *required*):
Embedding from the model
Returns:
`torch.Tensor` of shape `(bs, num_channels, num_patches, d_model)` or
`(bs, num_channels, num_patches+1, d_model)` if `cls_token` is set to True
"""
embedding = self.linear(self.dropout(embedding)) # [bs x num_channels x num_patches x patch_length]
if self.use_cls_token:
embedding = embedding[:, :, 1:, :] # remove the first cls token
return embedding
@add_start_docstrings(
"The PatchTST for pretrain model.",
PATCHTST_START_DOCSTRING,
)
class PatchTSTForPretraining(PatchTSTPreTrainedModel):
def __init__(self, config: PatchTSTConfig):
super().__init__(config)
config.do_mask_input = True
self.model = PatchTSTModel(config=config)
self.head = PatchTSTMaskPretrainHead(config)
# Initialize weights and apply final processing
self.post_init()
def forward(
self,
past_values: torch.Tensor,
past_observed_mask: Optional[torch.Tensor] = None,
output_hidden_states: Optional[bool] = None,
output_attentions: Optional[bool] = None,
return_dict: Optional[bool] = None,
) -> Union[Tuple, PatchTSTForPretrainingOutput]:
r"""
Parameters:
past_values (`torch.Tensor` of shape `(bs, sequence_length, num_input_channels)`, *required*):
Input sequence to the model
past_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).
output_hidden_states (`bool`, *optional*):
Whether or not to return the hidden states of all layers
output_attentions (`bool`, *optional*):
Whether or not to return the output attention of all layers
return_dict (`bool`, *optional*): Whether or not to return a `ModelOutput` instead of a plain tuple.
Returns:
`PatchTSTForPretrainingOutput` or tuple of `torch.Tensor` (if `return_dict`=False or
`config.return_dict`=False)
Examples:
```python
>>> from huggingface_hub import hf_hub_download
>>> import torch
>>> from transformers import PatchTSTConfig, PatchTSTForPretraining
>>> file = hf_hub_download(
... repo_id="hf-internal-testing/etth1-hourly-batch", filename="train-batch.pt", repo_type="dataset"
... )
>>> batch = torch.load(file)
>>> # Config for random mask pretraining
>>> config = PatchTSTConfig(
... num_input_channels=7,
... context_length=512,
... patch_length=12,
... stride=12,
... mask_type='random',
... random_mask_ratio=0.4,
... use_cls_token=True,
... )
>>> # Config for forecast mask pretraining
>>> config = PatchTSTConfig(
... num_input_channels=7,
... context_length=512,
... patch_length=12,
... stride=12,
... mask_type='forecast',
... num_forecast_mask_patches=5,
... use_cls_token=True,
... )
>>> model = PatchTSTForPretraining(config)
>>> # during training, one provides both past and future values
>>> outputs = model(past_values=batch["past_values"])
>>> loss = outputs.loss
>>> loss.backward()
```"""
return_dict = return_dict if return_dict is not None else self.config.use_return_dict
# past_values: [bs x num_channels x num_patches x d_model] or
# [bs x num_channels x (num_patches+1) x d_model] if use cls_token
model_output = self.model(
past_values=past_values,
past_observed_mask=past_observed_mask,
output_hidden_states=output_hidden_states,
output_attentions=output_attentions,
return_dict=True,
)
# last_hidden_state: [bs x num_channels x num_patches x patch_length] or
# [bs x num_channels x (num_patches+1) x patch_length] if use cls_token
x_hat = self.head(model_output.last_hidden_state)
# calculate masked_loss
loss = nn.MSELoss(reduction="none")
loss_val = loss(x_hat, model_output.patch_input)
masked_loss = (loss_val.mean(dim=-1) * model_output.mask).sum() / (model_output.mask.sum() + 1e-10)
encoder_states = model_output.hidden_states
if not return_dict:
outputs = (x_hat,) + model_output[1:-4]
outputs = (masked_loss,) + outputs if masked_loss is not None else outputs
return outputs
return PatchTSTForPretrainingOutput(
loss=masked_loss, prediction_output=x_hat, hidden_states=encoder_states, attentions=model_output.attentions
)
class PatchTSTClassificationHead(nn.Module):
def __init__(self, config: PatchTSTConfig):
super().__init__()
self.use_cls_token = config.use_cls_token
self.pooling_type = config.pooling_type
self.flatten = nn.Flatten(start_dim=1)
self.dropout = nn.Dropout(config.head_dropout) if config.head_dropout > 0 else nn.Identity()
self.linear = nn.Linear(config.num_input_channels * config.d_model, config.num_targets)
def forward(self, embedding: torch.Tensor):
"""
Parameters:
embedding (`torch.Tensor` of shape `(bs, num_channels, num_patches, d_model)` or
`(bs, num_channels, num_patches+1, d_model)` if `cls_token` is set to True, *required*):
Embedding from the model
Returns:
`torch.Tensor` of shape `(bs, num_targets)`
"""
if self.use_cls_token:
# use the first output token, pooled_embedding: bs x num_channels x d_model
pooled_embedding = embedding[:, :, 0, :]
elif self.pooling_type == "mean":
# pooled_embedding: [bs x num_channels x d_model]
pooled_embedding = embedding.mean(dim=2)
elif self.pooling_type == "max":
# pooled_embedding: [bs x num_channels x d_model]
pooled_embedding = embedding.max(dim=2).values
else:
raise ValueError(f"pooling operator {self.pooling_type} is not implemented yet")
# pooled_embedding: bs x num_channels * d_model
pooled_embedding = self.flatten(pooled_embedding)
# output: bs x n_classes
output = self.linear(self.dropout(pooled_embedding))
return output
@add_start_docstrings(
"The PatchTST for classification model.",
PATCHTST_START_DOCSTRING,
)
class PatchTSTForClassification(PatchTSTPreTrainedModel):
def __init__(self, config: PatchTSTConfig):
super().__init__(config)
# Turn off masking
if config.do_mask_input:
logger.warning("Setting `do_mask_input` parameter to False.")
config.do_mask_input = False
self.model = PatchTSTModel(config)
self.head = PatchTSTClassificationHead(config)
# Initialize weights and apply final processing
self.post_init()
def forward(
self,
past_values: torch.Tensor,
target_values: torch.Tensor = None,
past_observed_mask: Optional[bool] = None,
output_hidden_states: Optional[bool] = None,
output_attentions: Optional[bool] = None,
return_dict: Optional[bool] = None,
) -> Union[tuple, PatchTSTForClassificationOutput]:
r"""
Parameters:
past_values (`torch.Tensor` of shape `(bs, sequence_length, num_input_channels)`, *required*):
Input sequence to the model
target_values (`torch.Tensor`, *optional*):
Labels associates with the `past_values`
past_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).
output_hidden_states (`bool`, *optional*):
Whether or not to return the hidden states of all layers
output_attentions (`bool`, *optional*):
Whether or not to return the output attention of all layers
return_dict (`bool`, *optional*):
Whether or not to return a `ModelOutput` instead of a plain tuple.
Returns:
`PatchTSTForClassificationOutput` or tuple of `torch.Tensor` (if `return_dict`=False or
`config.return_dict`=False)
Examples:
```python
>>> from transformers import PatchTSTConfig, PatchTSTForClassification
>>> # classification task with two input channel2 and 3 classes
>>> config = PatchTSTConfig(
... num_input_channels=2,
... num_targets=3,
... context_length=512,
... patch_length=12,
... stride=12,
... use_cls_token=True,
... )
>>> model = PatchTSTForClassification(config=config)
>>> # during inference, one only provides past values
>>> past_values = torch.randn(20, 512, 2)
>>> outputs = model(past_values=past_values)
>>> labels = outputs.prediction_logits
```"""
return_dict = return_dict if return_dict is not None else self.config.use_return_dict
model_output = self.model(
past_values=past_values,
past_observed_mask=past_observed_mask,
output_hidden_states=output_hidden_states,
output_attentions=output_attentions,
return_dict=True,
)
y_hat = self.head(model_output.last_hidden_state)
loss_val = None
if target_values is not None:
loss = nn.CrossEntropyLoss()
loss_val = loss(y_hat, target_values)
if not return_dict:
outputs = (y_hat,) + model_output[1:-3]
outputs = (loss_val,) + outputs if loss_val is not None else outputs
return outputs
return PatchTSTForClassificationOutput(
loss=loss_val,
prediction_logits=y_hat,
hidden_states=model_output.hidden_states,
attentions=model_output.attentions,
)
@add_start_docstrings(
"The PatchTST for regression Model.",
PATCHTST_START_DOCSTRING,
)
class PatchTSTPredictionHead(nn.Module):
def __init__(self, config: PatchTSTConfig, num_patches, distribution_output=None):
super().__init__()
self.share_projection = config.share_projection
self.num_input_channels = config.num_input_channels
self.use_cls_token = config.use_cls_token
self.pooling_type = config.pooling_type
if self.pooling_type or self.use_cls_token:
head_dim = config.d_model
else:
head_dim = config.d_model * num_patches
if not self.share_projection:
# if each channel has its own head
self.projections = nn.ModuleList()
self.dropouts = nn.ModuleList()
self.flattens = nn.ModuleList()
for i in range(self.num_input_channels):
self.flattens.append(nn.Flatten(start_dim=2))
if distribution_output is None:
# use linear head
self.projections.append(nn.Linear(head_dim, config.prediction_length))
else:
# use distribution head
self.projections.append(distribution_output.get_parameter_projection(head_dim))
self.dropouts.append(nn.Dropout(config.head_dropout) if config.head_dropout > 0 else nn.Identity())
else:
# all the channels share the same head
self.flatten = nn.Flatten(start_dim=2)
if distribution_output is None:
# use linear head
self.projection = nn.Linear(head_dim, config.prediction_length)
else:
# use distribution head
self.projection = distribution_output.get_parameter_projection(head_dim)
self.dropout = nn.Dropout(config.head_dropout) if config.head_dropout > 0 else nn.Identity()
def forward(self, embedding: torch.Tensor):
"""
Parameters:
embedding (`torch.Tensor` of shape `(bs, num_channels, num_patches, d_model)` or
`(bs, num_channels, num_patches+1, d_model)` if `cls_token` is set to True, *required*):
Embedding from the model
Returns:
`torch.Tensor` of shape `(bs, forecast_len, num_channels)`
"""
if self.use_cls_token:
# pooled_embedding: [bs x num_channels x d_model]
pooled_embedding = embedding[:, :, 0, :]
else:
if self.pooling_type == "mean":
# pooled_embedding: [bs x num_channels x d_model]
pooled_embedding = embedding.mean(dim=2)
elif self.pooling_type == "max":
# pooled_embedding: [bs x num_channels x d_model]
pooled_embedding = embedding.max(dim=2).values
else:
# pooled_embedding: [bs x num_channels x num_patches x d_model]
pooled_embedding = embedding
if not self.share_projection:
output = []
for i in range(self.num_input_channels):
# pooled_embedding: [bs x (d_model * num_patches)] or [bs x d_model)]
pooled_embedding = self.flattens[i](pooled_embedding[:, i, :])
pooled_embedding = self.dropouts[i](pooled_embedding)
# pooled_embedding: [bs x forecast_len]
# or tuple ([bs x forecast_len], [bs x forecast_len]) if using distribution head
pooled_embedding = self.projections[i](pooled_embedding)
output.append(pooled_embedding)
# output: [bs x num_channels x forecast_len]
output = torch.stack(output, dim=1)
else:
# pooled_embedding: [bs x num_channels x (d_model * num_patches)] or [bs x num_channels x d_model)]
pooled_embedding = self.flatten(pooled_embedding)
pooled_embedding = self.dropout(pooled_embedding)
# output: [bs x num_channels x forecast_len] or
# tuple ([bs x num_channels x forecast_len], [bs x num_channels x forecast_len]) if using distribution head
output = self.projection(pooled_embedding)
if isinstance(output, tuple):
# output: ([bs x forecast_len x num_channels], [bs x forecast_len x num_channels])
output = tuple(z.transpose(2, 1) for z in output)
else:
output = output.transpose(2, 1) # [bs x forecast_len x num_channels]
return output
@add_start_docstrings(
"The PatchTST for prediction model.",
PATCHTST_START_DOCSTRING,
)
class PatchTSTForPrediction(PatchTSTPreTrainedModel):
def __init__(self, config: PatchTSTConfig):
super().__init__(config)
# Turn off masking
if config.do_mask_input:
logger.warning("Setting `do_mask_input` parameter to False.")
config.do_mask_input = False
self.model = PatchTSTModel(config)
if config.loss == "mse":
self.distribution_output = None
else:
if config.distribution_output == "student_t":
self.distribution_output = StudentTOutput(dim=config.prediction_length)
elif config.distribution_output == "normal":
self.distribution_output = NormalOutput(dim=config.prediction_length)
elif config.distribution_output == "negative_binomial":
self.distribution_output = NegativeBinomialOutput(dim=config.prediction_length)
else:
raise ValueError(f"Unknown distribution output {config.distribution_output}")
self.head = PatchTSTPredictionHead(
config, self.model.patchifier.num_patches, distribution_output=self.distribution_output
)
# Initialize weights and apply final processing
self.post_init()
def forward(
self,
past_values: torch.Tensor,
past_observed_mask: Optional[torch.Tensor] = None,
future_values: Optional[torch.Tensor] = None,
output_hidden_states: Optional[bool] = None,
output_attentions: Optional[bool] = None,
return_dict: Optional[bool] = None,
) -> Union[Tuple, PatchTSTForPredictionOutput]:
r"""
Parameters:
past_values (`torch.Tensor` of shape `(bs, sequence_length, num_input_channels)`, *required*):
Input sequence to the model
past_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).
future_values (`torch.Tensor` of shape `(bs, forecast_len, num_input_channels)`, *optional*):
Future target values associated with the `past_values`
output_hidden_states (`bool`, *optional*):
Whether or not to return the hidden states of all layers
output_attentions (`bool`, *optional*):
Whether or not to return the output attention of all layers
return_dict (`bool`, *optional*):
Whether or not to return a `ModelOutput` instead of a plain tuple.
Returns:
`PatchTSTForPredictionOutput` or tuple of `torch.Tensor` (if `return_dict`=False or
`config.return_dict`=False)
Examples:
```python
>>> from huggingface_hub import hf_hub_download
>>> import torch
>>> from transformers import PatchTSTConfig, PatchTSTForPrediction
>>> file = hf_hub_download(
... repo_id="hf-internal-testing/etth1-hourly-batch", filename="train-batch.pt", repo_type="dataset"
... )
>>> batch = torch.load(file)
>>> # Prediction task with 7 input channels and prediction length is 96
>>> model = PatchTSTForPrediction.from_pretrained("namctin/patchtst_etth1_forecast")
>>> # during training, one provides both past and future values
>>> outputs = model(
... past_values=batch["past_values"],
... future_values=batch["future_values"],
... )
>>> loss = outputs.loss
>>> loss.backward()
>>> # during inference, one only provides past values, the model outputs future values
>>> outputs = model(past_values=batch["past_values"])
>>> prediction_outputs = outputs.prediction_outputs
```"""
return_dict = return_dict if return_dict is not None else self.config.use_return_dict
# get model output
model_output = self.model(
past_values=past_values,
past_observed_mask=past_observed_mask,
output_hidden_states=output_hidden_states,
output_attentions=output_attentions,
return_dict=True,
)
# get output head
y_hat = self.head(model_output.last_hidden_state)
loss_val = None
if self.distribution_output:
y_hat_out = y_hat
else:
y_hat_out = y_hat * model_output.scale + model_output.loc
if future_values is not None:
if self.distribution_output:
distribution = self.distribution_output.distribution(
y_hat, loc=model_output.loc, scale=model_output.scale
)
loss_val = nll(distribution, future_values)
# take average of the loss
loss_val = weighted_average(loss_val)
else:
loss = nn.MSELoss(reduction="mean")
loss_val = loss(y_hat_out, future_values)
loc = model_output.loc
scale = model_output.scale
if not return_dict:
outputs = (y_hat_out,) + model_output[1:-1]
outputs = (loss_val,) + outputs if loss_val is not None else outputs
return outputs
return PatchTSTForPredictionOutput(
loss=loss_val,
prediction_outputs=y_hat_out,
hidden_states=model_output.hidden_states,
attentions=model_output.attentions,
loc=loc,
scale=scale,
)
def generate(
self,
past_values: torch.Tensor,
past_observed_mask: Optional[torch.Tensor] = None,
) -> SamplePatchTSTOutput:
"""
Generate sequences of sample predictions from a model with a probability distribution head.
Parameters:
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.
past_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:
[`SamplePatchTSTOutput`] where the outputs `sequences` tensor will have shape `(batch_size, number of
samples, prediction_length, 1)` or `(batch_size, number of samples, prediction_length, num_input_channels)`
for multivariate predictions.
"""
# get number of samples
num_parallel_samples = self.config.num_parallel_samples
# get model output
outputs = self(
past_values=past_values,
future_values=None,
past_observed_mask=past_observed_mask,
output_hidden_states=False,
)
if self.distribution_output:
# get distribution
distribution = self.distribution_output.distribution(
outputs.prediction_outputs, loc=outputs.loc, scale=outputs.scale
)
# get samples: list of [bs x forecast_len x num_channels]
samples = [distribution.sample() for _ in range(num_parallel_samples)]
# samples: [bs x num_samples x forecast_len x num_channels]
samples = torch.stack(samples, dim=1)
else:
samples = outputs.prediction_outputs.unsqueeze(1)
return SamplePatchTSTOutput(sequences=samples)
class PatchTSTRegressionHead(nn.Module):
"""
Regression head
"""
def __init__(self, config: PatchTSTConfig, distribution_output=None):
super().__init__()
self.y_range = config.output_range
self.use_cls_token = config.use_cls_token
self.pooling_type = config.pooling_type
self.distribution_output = distribution_output
head_dim = config.num_input_channels * config.d_model
self.flatten = nn.Flatten(start_dim=1)
self.dropout = nn.Dropout(config.head_dropout) if config.head_dropout > 0 else nn.Identity()
if distribution_output is None:
self.projection = nn.Linear(head_dim, config.num_targets)
else:
self.projection = distribution_output.get_parameter_projection(head_dim)
def forward(self, embedding: torch.Tensor):
"""
Parameters:
embedding (`torch.Tensor` of shape `(bs, num_channels, num_patches, d_model)` or
`(bs, num_channels, num_patches+1, d_model)` if `cls_token` is set to True, *required*):
Embedding from the model
Returns:
`torch.Tensor` of shape `(bs, output_dim)`
"""
if self.use_cls_token:
# use the first output token, pooled_embedding: [bs x num_channels x d_model]
pooled_embedding = embedding[:, :, 0, :]
elif self.pooling_type == "mean":
# pooled_embedding: [bs x num_channels x d_model]
pooled_embedding = embedding.mean(dim=2)
elif self.pooling_type == "max":
# pooled_embedding: [bs x num_channels x d_model]
pooled_embedding = embedding.max(dim=2).values
else:
raise ValueError(f"pooling operator {self.pooling_type} is not implemented yet")
# flatten the input
# pooled_embedding: bs x (num_channels * d_model)
pooled_embedding = self.dropout(self.flatten(pooled_embedding))
# projection
# output: bs x output_dim or a tuple of this shape for distribution head
output = self.projection(pooled_embedding)
# apply sigmoid to bound the output if required
if (self.distribution_output is None) & (self.y_range is not None): # linear head
output = torch.sigmoid(output) * (self.y_range[1] - self.y_range[0]) + self.y_range[0]
return output
@add_start_docstrings(
"The PatchTST for regression model.",
PATCHTST_START_DOCSTRING,
)
class PatchTSTForRegression(PatchTSTPreTrainedModel):
def __init__(self, config: PatchTSTConfig):
super().__init__(config)
# Turn off masking
if config.do_mask_input:
logger.warning("Setting `do_mask_input` parameter to False.")
config.do_mask_input = False
self.model = PatchTSTModel(config)
if config.loss == "mse":
self.distribution_output = None
else:
if config.distribution_output == "student_t":
self.distribution_output = StudentTOutput(dim=config.num_targets)
elif config.distribution_output == "normal":
self.distribution_output = NormalOutput(dim=config.num_targets)
elif config.distribution_output == "negative_binomial":
self.distribution_output = NegativeBinomialOutput(dim=config.num_targets)
else:
raise ValueError(f"Unknown distribution output {config.distribution_output}")
self.head = PatchTSTRegressionHead(config, self.distribution_output)
# Initialize weights and apply final processing
self.post_init()
def forward(
self,
past_values: torch.Tensor,
target_values: torch.Tensor = None,
past_observed_mask: Optional[torch.Tensor] = None,
output_hidden_states: Optional[bool] = None,
output_attentions: Optional[bool] = None,
return_dict: Optional[bool] = None,
) -> Union[tuple, PatchTSTForRegressionOutput]:
r"""
Parameters:
past_values (`torch.Tensor` of shape `(bs, sequence_length, num_input_channels)`, *required*):
Input sequence to the model
target_values (`torch.Tensor` of shape `(bs, num_input_channels)`):
Target values associates with the `past_values`
past_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).
output_hidden_states (`bool`, *optional*):
Whether or not to return the hidden states of all layers
output_attentions (`bool`, *optional*):
Whether or not to return the output attention of all layers
return_dict (`bool`, *optional*):
Whether or not to return a `ModelOutput` instead of a plain tuple.
Returns:
`PatchTSTForRegressionOutput` or tuple of `torch.Tensor` (if `return_dict`=False or
`config.return_dict`=False)
Examples:
```python
>>> from transformers import PatchTSTConfig, PatchTSTForRegression
>>> # Regression task with 6 input channels and regress 2 targets
>>> model = PatchTSTForRegression.from_pretrained("namctin/patchtst_etth1_regression")
>>> # during inference, one only provides past values, the model outputs future values
>>> past_values = torch.randn(20, 512, 6)
>>> outputs = model(past_values=past_values)
>>> regression_outputs = outputs.regression_outputs
```"""
return_dict = return_dict if return_dict is not None else self.config.use_return_dict
model_output = self.model(
past_values=past_values,
past_observed_mask=past_observed_mask,
output_hidden_states=output_hidden_states,
output_attentions=output_attentions,
return_dict=True,
)
# get output head. y_hat is of shape [bs x num_targets] or tuple of this shape
y_hat = self.head(model_output.last_hidden_state)
loss = None
if target_values is not None:
if self.distribution_output:
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 = nll(distribution, target_values)
# take average of the loss
loss = weighted_average(loss)
else:
loss = nn.MSELoss(reduction="mean")
loss = loss(y_hat, target_values)
if not return_dict:
# hidden_states, attentions, mask
outputs = (y_hat,) + model_output[1:-3]
outputs = (loss,) + outputs if loss is not None else outputs
return outputs
return PatchTSTForRegressionOutput(
loss=loss,
regression_outputs=y_hat,
hidden_states=model_output.hidden_states,
attentions=model_output.attentions,
)
def generate(
self,
past_values: torch.Tensor,
past_observed_mask: Optional[torch.Tensor] = None,
) -> SamplePatchTSTOutput:
"""
Generate sequences of sample predictions from a model with a probability distribution head.
Parameters:
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.
past_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:
[`SamplePatchTSTOutput`] where the outputs `sequences` tensor will have shape `(batch_size, number of
samples, num_targets)`.
"""
# get number of samples
num_parallel_samples = self.config.num_parallel_samples
# get model output
outputs = self(
past_values=past_values,
target_values=None,
past_observed_mask=past_observed_mask,
output_hidden_states=False,
)
# get distribution
distribution = self.distribution_output.distribution(outputs.regression_outputs)
# get samples: list of [bs x num_targets]
samples = [distribution.sample() for _ in range(num_parallel_samples)]
# samples: [bs x num_samples x num_targets]
samples = torch.stack(samples, dim=1).view(-1, num_parallel_samples, self.config.num_targets)
return SamplePatchTSTOutput(sequences=samples)