import torch import torch.nn as nn from layers.Transformer_EncDec import Decoder, DecoderLayer, Encoder, EncoderLayer from layers.SelfAttention_Family import DSAttention, AttentionLayer from layers.Embed import DataEmbedding import torch.nn.functional as F class Projector(nn.Module): ''' MLP to learn the De-stationary factors Paper link: https://openreview.net/pdf?id=ucNDIDRNjjv ''' def __init__(self, enc_in, seq_len, hidden_dims, hidden_layers, output_dim, kernel_size=3): super(Projector, self).__init__() padding = 1 if torch.__version__ >= '1.5.0' else 2 self.series_conv = nn.Conv1d(in_channels=seq_len, out_channels=1, kernel_size=kernel_size, padding=padding, padding_mode='circular', bias=False) layers = [nn.Linear(2 * enc_in, hidden_dims[0]), nn.ReLU()] for i in range(hidden_layers - 1): layers += [nn.Linear(hidden_dims[i], hidden_dims[i + 1]), nn.ReLU()] layers += [nn.Linear(hidden_dims[-1], output_dim, bias=False)] self.backbone = nn.Sequential(*layers) def forward(self, x, stats): # x: B x S x E # stats: B x 1 x E # y: B x O batch_size = x.shape[0] x = self.series_conv(x) # B x 1 x E x = torch.cat([x, stats], dim=1) # B x 2 x E x = x.view(batch_size, -1) # B x 2E y = self.backbone(x) # B x O return y class Model(nn.Module): """ Paper link: https://openreview.net/pdf?id=ucNDIDRNjjv """ def __init__(self, configs): super(Model, self).__init__() self.task_name = configs.task_name self.pred_len = configs.pred_len self.seq_len = configs.seq_len self.label_len = configs.label_len # Embedding self.enc_embedding = DataEmbedding(configs.enc_in, configs.d_model, configs.embed, configs.freq, configs.dropout) # Encoder self.encoder = Encoder( [ EncoderLayer( AttentionLayer( DSAttention(False, configs.factor, attention_dropout=configs.dropout, output_attention=False), configs.d_model, configs.n_heads), configs.d_model, configs.d_ff, dropout=configs.dropout, activation=configs.activation ) for l in range(configs.e_layers) ], norm_layer=torch.nn.LayerNorm(configs.d_model) ) # Decoder if self.task_name == 'long_term_forecast' or self.task_name == 'short_term_forecast': self.dec_embedding = DataEmbedding(configs.dec_in, configs.d_model, configs.embed, configs.freq, configs.dropout) self.decoder = Decoder( [ DecoderLayer( AttentionLayer( DSAttention(True, configs.factor, attention_dropout=configs.dropout, output_attention=False), configs.d_model, configs.n_heads), AttentionLayer( DSAttention(False, configs.factor, attention_dropout=configs.dropout, output_attention=False), configs.d_model, configs.n_heads), configs.d_model, configs.d_ff, dropout=configs.dropout, activation=configs.activation, ) for l in range(configs.d_layers) ], norm_layer=torch.nn.LayerNorm(configs.d_model), projection=nn.Linear(configs.d_model, configs.c_out, bias=True) ) if self.task_name == 'imputation': self.projection = nn.Linear(configs.d_model, configs.c_out, bias=True) if self.task_name == 'anomaly_detection': self.projection = nn.Linear(configs.d_model, configs.c_out, bias=True) if self.task_name == 'classification': self.act = F.gelu self.dropout = nn.Dropout(configs.dropout) self.projection = nn.Linear(configs.d_model * configs.seq_len, configs.num_class) self.tau_learner = Projector(enc_in=configs.enc_in, seq_len=configs.seq_len, hidden_dims=configs.p_hidden_dims, hidden_layers=configs.p_hidden_layers, output_dim=1) self.delta_learner = Projector(enc_in=configs.enc_in, seq_len=configs.seq_len, hidden_dims=configs.p_hidden_dims, hidden_layers=configs.p_hidden_layers, output_dim=configs.seq_len) def forecast(self, x_enc, x_mark_enc, x_dec, x_mark_dec): x_raw = x_enc.clone().detach() # Normalization mean_enc = x_enc.mean(1, keepdim=True).detach() # B x 1 x E x_enc = x_enc - mean_enc std_enc = torch.sqrt(torch.var(x_enc, dim=1, keepdim=True, unbiased=False) + 1e-5).detach() # B x 1 x E x_enc = x_enc / std_enc # B x S x E, B x 1 x E -> B x 1, positive scalar tau = self.tau_learner(x_raw, std_enc) threshold = 80.0 tau_clamped = torch.clamp(tau, max=threshold) # avoid numerical overflow tau = tau_clamped.exp() # B x S x E, B x 1 x E -> B x S delta = self.delta_learner(x_raw, mean_enc) x_dec_new = torch.cat([x_enc[:, -self.label_len:, :], torch.zeros_like(x_dec[:, -self.pred_len:, :])], dim=1).to(x_enc.device).clone() enc_out = self.enc_embedding(x_enc, x_mark_enc) enc_out, attns = self.encoder(enc_out, attn_mask=None, tau=tau, delta=delta) dec_out = self.dec_embedding(x_dec_new, x_mark_dec) dec_out = self.decoder(dec_out, enc_out, x_mask=None, cross_mask=None, tau=tau, delta=delta) dec_out = dec_out * std_enc + mean_enc return dec_out def imputation(self, x_enc, x_mark_enc, x_dec, x_mark_dec, mask): x_raw = x_enc.clone().detach() # Normalization mean_enc = torch.sum(x_enc, dim=1) / torch.sum(mask == 1, dim=1) mean_enc = mean_enc.unsqueeze(1).detach() x_enc = x_enc - mean_enc x_enc = x_enc.masked_fill(mask == 0, 0) std_enc = torch.sqrt(torch.sum(x_enc * x_enc, dim=1) / torch.sum(mask == 1, dim=1) + 1e-5) std_enc = std_enc.unsqueeze(1).detach() x_enc /= std_enc # B x S x E, B x 1 x E -> B x 1, positive scalar tau = self.tau_learner(x_raw, std_enc) threshold = 80.0 tau_clamped = torch.clamp(tau, max=threshold) # avoid numerical overflow tau = tau_clamped.exp() # B x S x E, B x 1 x E -> B x S delta = self.delta_learner(x_raw, mean_enc) enc_out = self.enc_embedding(x_enc, x_mark_enc) enc_out, attns = self.encoder(enc_out, attn_mask=None, tau=tau, delta=delta) dec_out = self.projection(enc_out) dec_out = dec_out * std_enc + mean_enc return dec_out def anomaly_detection(self, x_enc): x_raw = x_enc.clone().detach() # Normalization mean_enc = x_enc.mean(1, keepdim=True).detach() # B x 1 x E x_enc = x_enc - mean_enc std_enc = torch.sqrt(torch.var(x_enc, dim=1, keepdim=True, unbiased=False) + 1e-5).detach() # B x 1 x E x_enc = x_enc / std_enc # B x S x E, B x 1 x E -> B x 1, positive scalar tau = self.tau_learner(x_raw, std_enc) threshold = 80.0 tau_clamped = torch.clamp(tau, max=threshold) # avoid numerical overflow tau = tau_clamped.exp() # B x S x E, B x 1 x E -> B x S delta = self.delta_learner(x_raw, mean_enc) # embedding enc_out = self.enc_embedding(x_enc, None) enc_out, attns = self.encoder(enc_out, attn_mask=None, tau=tau, delta=delta) dec_out = self.projection(enc_out) dec_out = dec_out * std_enc + mean_enc return dec_out def classification(self, x_enc, x_mark_enc): x_raw = x_enc.clone().detach() # Normalization mean_enc = x_enc.mean(1, keepdim=True).detach() # B x 1 x E std_enc = torch.sqrt( torch.var(x_enc - mean_enc, dim=1, keepdim=True, unbiased=False) + 1e-5).detach() # B x 1 x E # B x S x E, B x 1 x E -> B x 1, positive scalar tau = self.tau_learner(x_raw, std_enc) threshold = 80.0 tau_clamped = torch.clamp(tau, max=threshold) # avoid numerical overflow tau = tau_clamped.exp() # B x S x E, B x 1 x E -> B x S delta = self.delta_learner(x_raw, mean_enc) # embedding enc_out = self.enc_embedding(x_enc, None) enc_out, attns = self.encoder(enc_out, attn_mask=None, tau=tau, delta=delta) # Output output = self.act(enc_out) # the output transformer encoder/decoder embeddings don't include non-linearity output = self.dropout(output) output = output * x_mark_enc.unsqueeze(-1) # zero-out padding embeddings # (batch_size, seq_length * d_model) output = output.reshape(output.shape[0], -1) # (batch_size, num_classes) output = self.projection(output) 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, L, D] return None