import torch import torch.nn as nn import torch.nn.functional as F import torch.fft as fft from einops import rearrange, reduce, repeat import math, random from scipy.fftpack import next_fast_len class Transform: def __init__(self, sigma): self.sigma = sigma @torch.no_grad() def transform(self, x): return self.jitter(self.shift(self.scale(x))) def jitter(self, x): return x + (torch.randn(x.shape).to(x.device) * self.sigma) def scale(self, x): return x * (torch.randn(x.size(-1)).to(x.device) * self.sigma + 1) def shift(self, x): return x + (torch.randn(x.size(-1)).to(x.device) * self.sigma) def conv1d_fft(f, g, dim=-1): N = f.size(dim) M = g.size(dim) fast_len = next_fast_len(N + M - 1) F_f = fft.rfft(f, fast_len, dim=dim) F_g = fft.rfft(g, fast_len, dim=dim) F_fg = F_f * F_g.conj() out = fft.irfft(F_fg, fast_len, dim=dim) out = out.roll((-1,), dims=(dim,)) idx = torch.as_tensor(range(fast_len - N, fast_len)).to(out.device) out = out.index_select(dim, idx) return out class ExponentialSmoothing(nn.Module): def __init__(self, dim, nhead, dropout=0.1, aux=False): super().__init__() self._smoothing_weight = nn.Parameter(torch.randn(nhead, 1)) self.v0 = nn.Parameter(torch.randn(1, 1, nhead, dim)) self.dropout = nn.Dropout(dropout) if aux: self.aux_dropout = nn.Dropout(dropout) def forward(self, values, aux_values=None): b, t, h, d = values.shape init_weight, weight = self.get_exponential_weight(t) output = conv1d_fft(self.dropout(values), weight, dim=1) output = init_weight * self.v0 + output if aux_values is not None: aux_weight = weight / (1 - self.weight) * self.weight aux_output = conv1d_fft(self.aux_dropout(aux_values), aux_weight) output = output + aux_output return output def get_exponential_weight(self, T): # Generate array [0, 1, ..., T-1] powers = torch.arange(T, dtype=torch.float, device=self.weight.device) # (1 - \alpha) * \alpha^t, for all t = T-1, T-2, ..., 0] weight = (1 - self.weight) * (self.weight ** torch.flip(powers, dims=(0,))) # \alpha^t for all t = 1, 2, ..., T init_weight = self.weight ** (powers + 1) return rearrange(init_weight, 'h t -> 1 t h 1'), \ rearrange(weight, 'h t -> 1 t h 1') @property def weight(self): return torch.sigmoid(self._smoothing_weight) class Feedforward(nn.Module): def __init__(self, d_model, dim_feedforward, dropout=0.1, activation='sigmoid'): # Implementation of Feedforward model super().__init__() self.linear1 = nn.Linear(d_model, dim_feedforward, bias=False) self.dropout1 = nn.Dropout(dropout) self.linear2 = nn.Linear(dim_feedforward, d_model, bias=False) self.dropout2 = nn.Dropout(dropout) self.activation = getattr(F, activation) def forward(self, x): x = self.linear2(self.dropout1(self.activation(self.linear1(x)))) return self.dropout2(x) class GrowthLayer(nn.Module): def __init__(self, d_model, nhead, d_head=None, dropout=0.1): super().__init__() self.d_head = d_head or (d_model // nhead) self.d_model = d_model self.nhead = nhead self.z0 = nn.Parameter(torch.randn(self.nhead, self.d_head)) self.in_proj = nn.Linear(self.d_model, self.d_head * self.nhead) self.es = ExponentialSmoothing(self.d_head, self.nhead, dropout=dropout) self.out_proj = nn.Linear(self.d_head * self.nhead, self.d_model) assert self.d_head * self.nhead == self.d_model, "d_model must be divisible by nhead" def forward(self, inputs): """ :param inputs: shape: (batch, seq_len, dim) :return: shape: (batch, seq_len, dim) """ b, t, d = inputs.shape values = self.in_proj(inputs).view(b, t, self.nhead, -1) values = torch.cat([repeat(self.z0, 'h d -> b 1 h d', b=b), values], dim=1) values = values[:, 1:] - values[:, :-1] out = self.es(values) out = torch.cat([repeat(self.es.v0, '1 1 h d -> b 1 h d', b=b), out], dim=1) out = rearrange(out, 'b t h d -> b t (h d)') return self.out_proj(out) class FourierLayer(nn.Module): def __init__(self, d_model, pred_len, k=None, low_freq=1): super().__init__() self.d_model = d_model self.pred_len = pred_len self.k = k self.low_freq = low_freq def forward(self, x): """x: (b, t, d)""" b, t, d = x.shape x_freq = fft.rfft(x, dim=1) if t % 2 == 0: x_freq = x_freq[:, self.low_freq:-1] f = fft.rfftfreq(t)[self.low_freq:-1] else: x_freq = x_freq[:, self.low_freq:] f = fft.rfftfreq(t)[self.low_freq:] x_freq, index_tuple = self.topk_freq(x_freq) f = repeat(f, 'f -> b f d', b=x_freq.size(0), d=x_freq.size(2)) f = rearrange(f[index_tuple], 'b f d -> b f () d').to(x_freq.device) return self.extrapolate(x_freq, f, t) def extrapolate(self, x_freq, f, t): x_freq = torch.cat([x_freq, x_freq.conj()], dim=1) f = torch.cat([f, -f], dim=1) t_val = rearrange(torch.arange(t + self.pred_len, dtype=torch.float), 't -> () () t ()').to(x_freq.device) amp = rearrange(x_freq.abs() / t, 'b f d -> b f () d') phase = rearrange(x_freq.angle(), 'b f d -> b f () d') x_time = amp * torch.cos(2 * math.pi * f * t_val + phase) return reduce(x_time, 'b f t d -> b t d', 'sum') def topk_freq(self, x_freq): values, indices = torch.topk(x_freq.abs(), self.k, dim=1, largest=True, sorted=True) mesh_a, mesh_b = torch.meshgrid(torch.arange(x_freq.size(0)), torch.arange(x_freq.size(2))) index_tuple = (mesh_a.unsqueeze(1).to(indices.device), indices, mesh_b.unsqueeze(1).to(indices.device)) x_freq = x_freq[index_tuple] return x_freq, index_tuple class LevelLayer(nn.Module): def __init__(self, d_model, c_out, dropout=0.1): super().__init__() self.d_model = d_model self.c_out = c_out self.es = ExponentialSmoothing(1, self.c_out, dropout=dropout, aux=True) self.growth_pred = nn.Linear(self.d_model, self.c_out) self.season_pred = nn.Linear(self.d_model, self.c_out) def forward(self, level, growth, season): b, t, _ = level.shape growth = self.growth_pred(growth).view(b, t, self.c_out, 1) season = self.season_pred(season).view(b, t, self.c_out, 1) growth = growth.view(b, t, self.c_out, 1) season = season.view(b, t, self.c_out, 1) level = level.view(b, t, self.c_out, 1) out = self.es(level - season, aux_values=growth) out = rearrange(out, 'b t h d -> b t (h d)') return out class EncoderLayer(nn.Module): def __init__(self, d_model, nhead, c_out, seq_len, pred_len, k, dim_feedforward=None, dropout=0.1, activation='sigmoid', layer_norm_eps=1e-5): super().__init__() self.d_model = d_model self.nhead = nhead self.c_out = c_out self.seq_len = seq_len self.pred_len = pred_len dim_feedforward = dim_feedforward or 4 * d_model self.dim_feedforward = dim_feedforward self.growth_layer = GrowthLayer(d_model, nhead, dropout=dropout) self.seasonal_layer = FourierLayer(d_model, pred_len, k=k) self.level_layer = LevelLayer(d_model, c_out, dropout=dropout) # Implementation of Feedforward model self.ff = Feedforward(d_model, dim_feedforward, dropout=dropout, activation=activation) self.norm1 = nn.LayerNorm(d_model, eps=layer_norm_eps) self.norm2 = nn.LayerNorm(d_model, eps=layer_norm_eps) self.dropout1 = nn.Dropout(dropout) self.dropout2 = nn.Dropout(dropout) def forward(self, res, level, attn_mask=None): season = self._season_block(res) res = res - season[:, :-self.pred_len] growth = self._growth_block(res) res = self.norm1(res - growth[:, 1:]) res = self.norm2(res + self.ff(res)) level = self.level_layer(level, growth[:, :-1], season[:, :-self.pred_len]) return res, level, growth, season def _growth_block(self, x): x = self.growth_layer(x) return self.dropout1(x) def _season_block(self, x): x = self.seasonal_layer(x) return self.dropout2(x) class Encoder(nn.Module): def __init__(self, layers): super().__init__() self.layers = nn.ModuleList(layers) def forward(self, res, level, attn_mask=None): growths = [] seasons = [] for layer in self.layers: res, level, growth, season = layer(res, level, attn_mask=None) growths.append(growth) seasons.append(season) return level, growths, seasons class DampingLayer(nn.Module): def __init__(self, pred_len, nhead, dropout=0.1): super().__init__() self.pred_len = pred_len self.nhead = nhead self._damping_factor = nn.Parameter(torch.randn(1, nhead)) self.dropout = nn.Dropout(dropout) def forward(self, x): x = repeat(x, 'b 1 d -> b t d', t=self.pred_len) b, t, d = x.shape powers = torch.arange(self.pred_len).to(self._damping_factor.device) + 1 powers = powers.view(self.pred_len, 1) damping_factors = self.damping_factor ** powers damping_factors = damping_factors.cumsum(dim=0) x = x.view(b, t, self.nhead, -1) x = self.dropout(x) * damping_factors.unsqueeze(-1) return x.view(b, t, d) @property def damping_factor(self): return torch.sigmoid(self._damping_factor) class DecoderLayer(nn.Module): def __init__(self, d_model, nhead, c_out, pred_len, dropout=0.1): super().__init__() self.d_model = d_model self.nhead = nhead self.c_out = c_out self.pred_len = pred_len self.growth_damping = DampingLayer(pred_len, nhead, dropout=dropout) self.dropout1 = nn.Dropout(dropout) def forward(self, growth, season): growth_horizon = self.growth_damping(growth[:, -1:]) growth_horizon = self.dropout1(growth_horizon) seasonal_horizon = season[:, -self.pred_len:] return growth_horizon, seasonal_horizon class Decoder(nn.Module): def __init__(self, layers): super().__init__() self.d_model = layers[0].d_model self.c_out = layers[0].c_out self.pred_len = layers[0].pred_len self.nhead = layers[0].nhead self.layers = nn.ModuleList(layers) self.pred = nn.Linear(self.d_model, self.c_out) def forward(self, growths, seasons): growth_repr = [] season_repr = [] for idx, layer in enumerate(self.layers): growth_horizon, season_horizon = layer(growths[idx], seasons[idx]) growth_repr.append(growth_horizon) season_repr.append(season_horizon) growth_repr = sum(growth_repr) season_repr = sum(season_repr) return self.pred(growth_repr), self.pred(season_repr)