feat: add TimesNet_Q and xPatch models with Q matrix transformations

models/xPatch_Q/xPatch_Q.py

@@ -0,0 +1,146 @@
+import torch
+import torch.nn as nn
+import math
+import numpy as np
+import os
+
+from layers.decomp import DECOMP
+from .network import Network
+from layers.revin import RevIN
+
+class Model(nn.Module):
+    """
+    xPatch with Q matrix transformation
+    - Applies RevIN normalization first
+    - Applies input Q matrix transformation after RevIN normalization (based on dataset and seq_len)
+    - Uses original xPatch logic (decomposition + dual stream network)
+    - Applies output Q matrix transformation before RevIN denormalization (based on dataset and pred_len)
+    """
+    
+    def __init__(self, configs):
+        super(Model, self).__init__()
+
+        # Parameters
+        seq_len = configs.seq_len   # lookback window L
+        pred_len = configs.pred_len # prediction length (96, 192, 336, 720)
+        c_in = configs.enc_in       # input channels
+
+        # Patching
+        patch_len = configs.patch_len
+        stride = configs.stride
+        padding_patch = configs.padding_patch
+
+        # Store for Q matrix transformations
+        self.seq_len = seq_len
+        self.pred_len = pred_len
+        
+        # Load Q matrices
+        self.load_Q_matrices(configs)
+
+        # Normalization
+        self.revin = configs.revin
+        self.revin_layer = RevIN(c_in, affine=True, subtract_last=False)
+
+        # Moving Average
+        self.ma_type = configs.ma_type
+        alpha = configs.alpha       # smoothing factor for EMA (Exponential Moving Average)
+        beta = configs.beta         # smoothing factor for DEMA (Double Exponential Moving Average)
+
+        self.decomp = DECOMP(self.ma_type, alpha, beta)
+        self.net = Network(seq_len, pred_len, patch_len, stride, padding_patch)
+
+    def load_Q_matrices(self, configs):
+        """Load pre-computed Q matrices for input and output transformations"""
+        # Get dataset name from configs, default to ETTm1 if not specified
+        dataset_name = getattr(configs, 'dataset', 'ETTm1')
+        
+        # Input Q matrix (seq_len)
+        input_q_path = f'cov_mats/{dataset_name}/{dataset_name}_{configs.seq_len}_ratio1.0.npy'
+        # Output Q matrix (pred_len) 
+        output_q_path = f'cov_mats/{dataset_name}/{dataset_name}_{configs.pred_len}_ratio1.0.npy'
+        
+        device = torch.device("cuda:0" if torch.cuda.is_available() else "cpu")
+        
+        if os.path.exists(input_q_path):
+            Q_input = np.load(input_q_path)
+            self.register_buffer('Q_input', torch.FloatTensor(Q_input).to(device))
+            print(f"Loaded input Q matrix from {input_q_path}, shape: {Q_input.shape}")
+        else:
+            print(f"Warning: Input Q matrix not found at {input_q_path}, using identity matrix")
+            self.register_buffer('Q_input', torch.eye(configs.seq_len).to(device))
+            
+        if os.path.exists(output_q_path):
+            Q_output = np.load(output_q_path)
+            self.register_buffer('Q_output', torch.FloatTensor(Q_output).to(device))
+            print(f"Loaded output Q matrix from {output_q_path}, shape: {Q_output.shape}")
+        else:
+            print(f"Warning: Output Q matrix not found at {output_q_path}, using identity matrix")
+            self.register_buffer('Q_output', torch.eye(configs.pred_len).to(device))
+
+    def apply_input_Q_transformation(self, x):
+        """
+        Apply input Q matrix transformation after RevIN normalization
+        Input: x with shape [B, T, N] where T = seq_len
+        Output: transformed x with shape [B, T, N]
+        """
+        B, T, N = x.size()
+        assert T == self.seq_len, f"Expected seq_len {self.seq_len}, got {T}"
+        
+        # Transpose to [B, N, T] for matrix multiplication
+        x_transposed = x.transpose(-1, -2)  # [B, N, T]
+        
+        # Apply input Q transformation: einsum 'bnt,tv->bnv'
+        # x_transposed: [B, N, T], Q_input.T: [T, T] -> result: [B, N, T]
+        x_trans = torch.einsum('bnt,tv->bnv', x_transposed, self.Q_input.transpose(-1, -2))
+        
+        # Transpose back to [B, T, N]
+        x_transformed = x_trans.transpose(-1, -2)  # [B, T, N]
+        
+        return x_transformed
+
+    def apply_output_Q_transformation(self, x):
+        """
+        Apply output Q matrix transformation to prediction output
+        Input: x with shape [B, pred_len, N]
+        Output: transformed x with shape [B, pred_len, N]
+        """
+        B, T, N = x.size()
+        assert T == self.pred_len, f"Expected pred_len {self.pred_len}, got {T}"
+        
+        # Transpose to [B, N, T] for matrix multiplication
+        x_transposed = x.transpose(-1, -2)  # [B, N, pred_len]
+        
+        # Apply output Q transformation: einsum 'bnt,tv->bnv'
+        # x_transposed: [B, N, pred_len], Q_output: [pred_len, pred_len] -> result: [B, N, pred_len]
+        x_trans = torch.einsum('bnt,tv->bnv', x_transposed, self.Q_output)
+        
+        # Transpose back to [B, pred_len, N]
+        x_transformed = x_trans.transpose(-1, -2)  # [B, pred_len, N]
+        
+        return x_transformed
+
+    def forward(self, x):
+        # x: [Batch, Input, Channel]
+
+        # RevIN Normalization
+        if self.revin:
+            x = self.revin_layer(x, 'norm')
+
+        # Apply input Q matrix transformation after RevIN normalization
+        x_transformed = self.apply_input_Q_transformation(x)
+
+        # xPatch processing with Q-transformed input
+        if self.ma_type == 'reg':   # If no decomposition, directly pass the input to the network
+            output = self.net(x_transformed, x_transformed)
+        else:
+            seasonal_init, trend_init = self.decomp(x_transformed)
+            output = self.net(seasonal_init, trend_init)
+
+        # Apply output Q matrix transformation to the prediction
+        output_transformed = self.apply_output_Q_transformation(output)
+
+        # RevIN Denormalization
+        if self.revin:
+            output_transformed = self.revin_layer(output_transformed, 'denorm')
+
+        return output_transformed