first commit

models/LightTS.py

@@ -0,0 +1,165 @@
+import torch
+import torch.nn as nn
+import torch.nn.functional as F
+
+
+class IEBlock(nn.Module):
+    def __init__(self, input_dim, hid_dim, output_dim, num_node):
+        super(IEBlock, self).__init__()
+
+        self.input_dim = input_dim
+        self.hid_dim = hid_dim
+        self.output_dim = output_dim
+        self.num_node = num_node
+
+        self._build()
+
+    def _build(self):
+        self.spatial_proj = nn.Sequential(
+            nn.Linear(self.input_dim, self.hid_dim),
+            nn.LeakyReLU(),
+            nn.Linear(self.hid_dim, self.hid_dim // 4)
+        )
+
+        self.channel_proj = nn.Linear(self.num_node, self.num_node)
+        torch.nn.init.eye_(self.channel_proj.weight)
+
+        self.output_proj = nn.Linear(self.hid_dim // 4, self.output_dim)
+
+    def forward(self, x):
+        x = self.spatial_proj(x.permute(0, 2, 1))
+        x = x.permute(0, 2, 1) + self.channel_proj(x.permute(0, 2, 1))
+        x = self.output_proj(x.permute(0, 2, 1))
+
+        x = x.permute(0, 2, 1)
+
+        return x
+
+
+class Model(nn.Module):
+    """
+    Paper link: https://arxiv.org/abs/2207.01186
+    """
+
+    def __init__(self, configs, chunk_size=24):
+        """
+        chunk_size: int, reshape T into [num_chunks, chunk_size]
+        """
+        super(Model, self).__init__()
+        self.task_name = configs.task_name
+        self.seq_len = configs.seq_len
+        if self.task_name == 'classification' or self.task_name == 'anomaly_detection' or self.task_name == 'imputation':
+            self.pred_len = configs.seq_len
+        else:
+            self.pred_len = configs.pred_len
+
+        if configs.task_name == 'long_term_forecast' or configs.task_name == 'short_term_forecast':
+            self.chunk_size = min(configs.pred_len, configs.seq_len, chunk_size)
+        else:
+            self.chunk_size = min(configs.seq_len, chunk_size)
+        # assert (self.seq_len % self.chunk_size == 0)
+        if self.seq_len % self.chunk_size != 0:
+            self.seq_len += (self.chunk_size - self.seq_len % self.chunk_size)  # padding in order to ensure complete division
+        self.num_chunks = self.seq_len // self.chunk_size
+
+        self.d_model = configs.d_model
+        self.enc_in = configs.enc_in
+        self.dropout = configs.dropout
+        if self.task_name == 'classification':
+            self.act = F.gelu
+            self.dropout = nn.Dropout(configs.dropout)
+            self.projection = nn.Linear(configs.enc_in * configs.seq_len, configs.num_class)
+        self._build()
+
+    def _build(self):
+        self.layer_1 = IEBlock(
+            input_dim=self.chunk_size,
+            hid_dim=self.d_model // 4,
+            output_dim=self.d_model // 4,
+            num_node=self.num_chunks
+        )
+
+        self.chunk_proj_1 = nn.Linear(self.num_chunks, 1)
+
+        self.layer_2 = IEBlock(
+            input_dim=self.chunk_size,
+            hid_dim=self.d_model // 4,
+            output_dim=self.d_model // 4,
+            num_node=self.num_chunks
+        )
+
+        self.chunk_proj_2 = nn.Linear(self.num_chunks, 1)
+
+        self.layer_3 = IEBlock(
+            input_dim=self.d_model // 2,
+            hid_dim=self.d_model // 2,
+            output_dim=self.pred_len,
+            num_node=self.enc_in
+        )
+
+        self.ar = nn.Linear(self.seq_len, self.pred_len)
+
+    def encoder(self, x):
+        B, T, N = x.size()
+
+        # padding
+        x = torch.cat([x, torch.zeros((B, self.seq_len - T, N)).to(x.device)], dim=1)
+
+        highway = self.ar(x.permute(0, 2, 1))
+        highway = highway.permute(0, 2, 1)
+
+        # continuous sampling
+        x1 = x.reshape(B, self.num_chunks, self.chunk_size, N)
+        x1 = x1.permute(0, 3, 2, 1)
+        x1 = x1.reshape(-1, self.chunk_size, self.num_chunks)
+        x1 = self.layer_1(x1)
+        x1 = self.chunk_proj_1(x1).squeeze(dim=-1)
+
+        # interval sampling
+        x2 = x.reshape(B, self.chunk_size, self.num_chunks, N)
+        x2 = x2.permute(0, 3, 1, 2)
+        x2 = x2.reshape(-1, self.chunk_size, self.num_chunks)
+        x2 = self.layer_2(x2)
+        x2 = self.chunk_proj_2(x2).squeeze(dim=-1)
+
+        x3 = torch.cat([x1, x2], dim=-1)
+
+        x3 = x3.reshape(B, N, -1)
+        x3 = x3.permute(0, 2, 1)
+
+        out = self.layer_3(x3)
+
+        out = out + highway
+        return out
+
+    def forecast(self, x_enc, x_mark_enc, x_dec, x_mark_dec):
+        return self.encoder(x_enc)
+
+    def imputation(self, x_enc, x_mark_enc, x_dec, x_mark_dec, mask):
+        return self.encoder(x_enc)
+
+    def anomaly_detection(self, x_enc):
+        return self.encoder(x_enc)
+
+    def classification(self, x_enc, x_mark_enc):
+        enc_out = self.encoder(x_enc)
+
+        # Output
+        output = enc_out.reshape(enc_out.shape[0], -1)  # (batch_size, seq_length * d_model)
+        output = self.projection(output)  # (batch_size, num_classes)
+        return output
+
+    def forward(self, x_enc, x_mark_enc, x_dec, x_mark_dec, mask=None):
+        if self.task_name == 'long_term_forecast' or self.task_name == 'short_term_forecast':
+            dec_out = self.forecast(x_enc, x_mark_enc, x_dec, x_mark_dec)
+            return dec_out[:, -self.pred_len:, :]  # [B, L, D]
+        if self.task_name == 'imputation':
+            dec_out = self.imputation(x_enc, x_mark_enc, x_dec, x_mark_dec, mask)
+            return dec_out  # [B, L, D]
+        if self.task_name == 'anomaly_detection':
+            dec_out = self.anomaly_detection(x_enc)
+            return dec_out  # [B, L, D]
+        if self.task_name == 'classification':
+            dec_out = self.classification(x_enc, x_mark_enc)
+            return dec_out  # [B, N]
+        return None