__all__ = ['PatchTST_backbone'] # Cell from typing import Callable, Optional import torch from torch import nn from torch import Tensor import torch.nn.functional as F import numpy as np #from collections import OrderedDict from layers.PatchTST_layers import * from layers.revin import RevIN # Cell class PatchTST_backbone(nn.Module): def __init__(self, c_in:int, context_window:int, target_window:int, patch_len:int, stride:int, max_seq_len:Optional[int]=1024, n_layers:int=3, d_model=128, n_heads=16, d_k:Optional[int]=None, d_v:Optional[int]=None, d_ff:int=256, norm:str='BatchNorm', attn_dropout:float=0., dropout:float=0., act:str="gelu", key_padding_mask:bool='auto', padding_var:Optional[int]=None, attn_mask:Optional[Tensor]=None, res_attention:bool=True, pre_norm:bool=False, store_attn:bool=False, pe:str='zeros', learn_pe:bool=True, fc_dropout:float=0., head_dropout = 0, padding_patch = None, pretrain_head:bool=False, head_type = 'flatten', individual = False, revin = True, affine = True, subtract_last = False, verbose:bool=False, **kwargs): super().__init__() # RevIn self.revin = revin if self.revin: self.revin_layer = RevIN(c_in, affine=affine, subtract_last=subtract_last) # Patching self.patch_len = patch_len self.stride = stride self.padding_patch = padding_patch patch_num = int((context_window - patch_len)/stride + 1) if padding_patch == 'end': # can be modified to general case self.padding_patch_layer = nn.ReplicationPad1d((0, stride)) patch_num += 1 # Backbone self.backbone = TSTiEncoder(c_in, patch_num=patch_num, patch_len=patch_len, max_seq_len=max_seq_len, n_layers=n_layers, d_model=d_model, n_heads=n_heads, d_k=d_k, d_v=d_v, d_ff=d_ff, attn_dropout=attn_dropout, dropout=dropout, act=act, key_padding_mask=key_padding_mask, padding_var=padding_var, attn_mask=attn_mask, res_attention=res_attention, pre_norm=pre_norm, store_attn=store_attn, pe=pe, learn_pe=learn_pe, verbose=verbose, **kwargs) # Head self.head_nf = d_model * patch_num self.n_vars = c_in self.pretrain_head = pretrain_head self.head_type = head_type self.individual = individual if self.pretrain_head: self.head = self.create_pretrain_head(self.head_nf, c_in, fc_dropout) # custom head passed as a partial func with all its kwargs elif head_type == 'flatten': self.head = Flatten_Head(self.individual, self.n_vars, self.head_nf, target_window, head_dropout=head_dropout) def forward(self, z): # z: [bs x nvars x seq_len] # norm if self.revin: z = z.permute(0,2,1) z = self.revin_layer(z, 'norm') z = z.permute(0,2,1) # do patching if self.padding_patch == 'end': z = self.padding_patch_layer(z) z = z.unfold(dimension=-1, size=self.patch_len, step=self.stride) # z: [bs x nvars x patch_num x patch_len] z = z.permute(0,1,3,2) # z: [bs x nvars x patch_len x patch_num] # model z = self.backbone(z) # z: [bs x nvars x d_model x patch_num] z = self.head(z) # z: [bs x nvars x target_window] # denorm if self.revin: z = z.permute(0,2,1) z = self.revin_layer(z, 'denorm') z = z.permute(0,2,1) return z def create_pretrain_head(self, head_nf, vars, dropout): return nn.Sequential(nn.Dropout(dropout), nn.Conv1d(head_nf, vars, 1) ) class Flatten_Head(nn.Module): def __init__(self, individual, n_vars, nf, target_window, head_dropout=0): super().__init__() self.individual = individual self.n_vars = n_vars if self.individual: self.linears = nn.ModuleList() self.dropouts = nn.ModuleList() self.flattens = nn.ModuleList() for i in range(self.n_vars): self.flattens.append(nn.Flatten(start_dim=-2)) self.linears.append(nn.Linear(nf, target_window)) self.dropouts.append(nn.Dropout(head_dropout)) else: self.flatten = nn.Flatten(start_dim=-2) self.linear = nn.Linear(nf, target_window) self.dropout = nn.Dropout(head_dropout) def forward(self, x): # x: [bs x nvars x d_model x patch_num] if self.individual: x_out = [] for i in range(self.n_vars): z = self.flattens[i](x[:,i,:,:]) # z: [bs x d_model * patch_num] z = self.linears[i](z) # z: [bs x target_window] z = self.dropouts[i](z) x_out.append(z) x = torch.stack(x_out, dim=1) # x: [bs x nvars x target_window] else: x = self.flatten(x) x = self.linear(x) x = self.dropout(x) return x class TSTiEncoder(nn.Module): #i means channel-independent def __init__(self, c_in, patch_num, patch_len, max_seq_len=1024, n_layers=3, d_model=128, n_heads=16, d_k=None, d_v=None, d_ff=256, norm='BatchNorm', attn_dropout=0., dropout=0., act="gelu", store_attn=False, key_padding_mask='auto', padding_var=None, attn_mask=None, res_attention=True, pre_norm=False, pe='zeros', learn_pe=True, verbose=False, **kwargs): super().__init__() self.patch_num = patch_num self.patch_len = patch_len # Input encoding q_len = patch_num self.W_P = nn.Linear(patch_len, d_model) # Eq 1: projection of feature vectors onto a d-dim vector space self.seq_len = q_len # Positional encoding self.W_pos = positional_encoding(pe, learn_pe, q_len, d_model) # Residual dropout self.dropout = nn.Dropout(dropout) # Encoder self.encoder = TSTEncoder(q_len, d_model, n_heads, d_k=d_k, d_v=d_v, d_ff=d_ff, norm=norm, attn_dropout=attn_dropout, dropout=dropout, pre_norm=pre_norm, activation=act, res_attention=res_attention, n_layers=n_layers, store_attn=store_attn) def forward(self, x) -> Tensor: # x: [bs x nvars x patch_len x patch_num] n_vars = x.shape[1] # Input encoding x = x.permute(0,1,3,2) # x: [bs x nvars x patch_num x patch_len] x = self.W_P(x) # x: [bs x nvars x patch_num x d_model] u = torch.reshape(x, (x.shape[0]*x.shape[1],x.shape[2],x.shape[3])) # u: [bs * nvars x patch_num x d_model] u = self.dropout(u + self.W_pos) # u: [bs * nvars x patch_num x d_model] # Encoder z = self.encoder(u) # z: [bs * nvars x patch_num x d_model] z = torch.reshape(z, (-1,n_vars,z.shape[-2],z.shape[-1])) # z: [bs x nvars x patch_num x d_model] z = z.permute(0,1,3,2) # z: [bs x nvars x d_model x patch_num] return z # Cell class TSTEncoder(nn.Module): def __init__(self, q_len, d_model, n_heads, d_k=None, d_v=None, d_ff=None, norm='BatchNorm', attn_dropout=0., dropout=0., activation='gelu', res_attention=False, n_layers=1, pre_norm=False, store_attn=False): super().__init__() self.layers = nn.ModuleList([TSTEncoderLayer(q_len, d_model, n_heads=n_heads, d_k=d_k, d_v=d_v, d_ff=d_ff, norm=norm, attn_dropout=attn_dropout, dropout=dropout, activation=activation, res_attention=res_attention, pre_norm=pre_norm, store_attn=store_attn) for i in range(n_layers)]) self.res_attention = res_attention def forward(self, src:Tensor, key_padding_mask:Optional[Tensor]=None, attn_mask:Optional[Tensor]=None): output = src scores = None if self.res_attention: for mod in self.layers: output, scores = mod(output, prev=scores, key_padding_mask=key_padding_mask, attn_mask=attn_mask) return output else: for mod in self.layers: output = mod(output, key_padding_mask=key_padding_mask, attn_mask=attn_mask) return output class TSTEncoderLayer(nn.Module): def __init__(self, q_len, d_model, n_heads, d_k=None, d_v=None, d_ff=256, store_attn=False, norm='BatchNorm', attn_dropout=0, dropout=0., bias=True, activation="gelu", res_attention=False, pre_norm=False): super().__init__() assert not d_model%n_heads, f"d_model ({d_model}) must be divisible by n_heads ({n_heads})" d_k = d_model // n_heads if d_k is None else d_k d_v = d_model // n_heads if d_v is None else d_v # Multi-Head attention self.res_attention = res_attention self.self_attn = _MultiheadAttention(d_model, n_heads, d_k, d_v, attn_dropout=attn_dropout, proj_dropout=dropout, res_attention=res_attention) # Add & Norm self.dropout_attn = nn.Dropout(dropout) if "batch" in norm.lower(): self.norm_attn = nn.Sequential(Transpose(1,2), nn.BatchNorm1d(d_model), Transpose(1,2)) else: self.norm_attn = nn.LayerNorm(d_model) # Position-wise Feed-Forward self.ff = nn.Sequential(nn.Linear(d_model, d_ff, bias=bias), get_activation_fn(activation), nn.Dropout(dropout), nn.Linear(d_ff, d_model, bias=bias)) # Add & Norm self.dropout_ffn = nn.Dropout(dropout) if "batch" in norm.lower(): self.norm_ffn = nn.Sequential(Transpose(1,2), nn.BatchNorm1d(d_model), Transpose(1,2)) else: self.norm_ffn = nn.LayerNorm(d_model) self.pre_norm = pre_norm self.store_attn = store_attn def forward(self, src:Tensor, prev:Optional[Tensor]=None, key_padding_mask:Optional[Tensor]=None, attn_mask:Optional[Tensor]=None) -> Tensor: # Multi-Head attention sublayer if self.pre_norm: src = self.norm_attn(src) ## Multi-Head attention if self.res_attention: src2, attn, scores = self.self_attn(src, src, src, prev, key_padding_mask=key_padding_mask, attn_mask=attn_mask) else: src2, attn = self.self_attn(src, src, src, key_padding_mask=key_padding_mask, attn_mask=attn_mask) if self.store_attn: self.attn = attn ## Add & Norm src = src + self.dropout_attn(src2) # Add: residual connection with residual dropout if not self.pre_norm: src = self.norm_attn(src) # Feed-forward sublayer if self.pre_norm: src = self.norm_ffn(src) ## Position-wise Feed-Forward src2 = self.ff(src) ## Add & Norm src = src + self.dropout_ffn(src2) # Add: residual connection with residual dropout if not self.pre_norm: src = self.norm_ffn(src) if self.res_attention: return src, scores else: return src class _MultiheadAttention(nn.Module): def __init__(self, d_model, n_heads, d_k=None, d_v=None, res_attention=False, attn_dropout=0., proj_dropout=0., qkv_bias=True, lsa=False): """Multi Head Attention Layer Input shape: Q: [batch_size (bs) x max_q_len x d_model] K, V: [batch_size (bs) x q_len x d_model] mask: [q_len x q_len] """ super().__init__() d_k = d_model // n_heads if d_k is None else d_k d_v = d_model // n_heads if d_v is None else d_v self.n_heads, self.d_k, self.d_v = n_heads, d_k, d_v self.W_Q = nn.Linear(d_model, d_k * n_heads, bias=qkv_bias) self.W_K = nn.Linear(d_model, d_k * n_heads, bias=qkv_bias) self.W_V = nn.Linear(d_model, d_v * n_heads, bias=qkv_bias) # Scaled Dot-Product Attention (multiple heads) self.res_attention = res_attention self.sdp_attn = _ScaledDotProductAttention(d_model, n_heads, attn_dropout=attn_dropout, res_attention=self.res_attention, lsa=lsa) # Poject output self.to_out = nn.Sequential(nn.Linear(n_heads * d_v, d_model), nn.Dropout(proj_dropout)) def forward(self, Q:Tensor, K:Optional[Tensor]=None, V:Optional[Tensor]=None, prev:Optional[Tensor]=None, key_padding_mask:Optional[Tensor]=None, attn_mask:Optional[Tensor]=None): bs = Q.size(0) if K is None: K = Q if V is None: V = Q # Linear (+ split in multiple heads) q_s = self.W_Q(Q).view(bs, -1, self.n_heads, self.d_k).transpose(1,2) # q_s : [bs x n_heads x max_q_len x d_k] k_s = self.W_K(K).view(bs, -1, self.n_heads, self.d_k).permute(0,2,3,1) # k_s : [bs x n_heads x d_k x q_len] - transpose(1,2) + transpose(2,3) v_s = self.W_V(V).view(bs, -1, self.n_heads, self.d_v).transpose(1,2) # v_s : [bs x n_heads x q_len x d_v] # Apply Scaled Dot-Product Attention (multiple heads) if self.res_attention: output, attn_weights, attn_scores = self.sdp_attn(q_s, k_s, v_s, prev=prev, key_padding_mask=key_padding_mask, attn_mask=attn_mask) else: output, attn_weights = self.sdp_attn(q_s, k_s, v_s, key_padding_mask=key_padding_mask, attn_mask=attn_mask) # output: [bs x n_heads x q_len x d_v], attn: [bs x n_heads x q_len x q_len], scores: [bs x n_heads x max_q_len x q_len] # back to the original inputs dimensions output = output.transpose(1, 2).contiguous().view(bs, -1, self.n_heads * self.d_v) # output: [bs x q_len x n_heads * d_v] output = self.to_out(output) if self.res_attention: return output, attn_weights, attn_scores else: return output, attn_weights class _ScaledDotProductAttention(nn.Module): r"""Scaled Dot-Product Attention module (Attention is all you need by Vaswani et al., 2017) with optional residual attention from previous layer (Realformer: Transformer likes residual attention by He et al, 2020) and locality self sttention (Vision Transformer for Small-Size Datasets by Lee et al, 2021)""" def __init__(self, d_model, n_heads, attn_dropout=0., res_attention=False, lsa=False): super().__init__() self.attn_dropout = nn.Dropout(attn_dropout) self.res_attention = res_attention head_dim = d_model // n_heads self.scale = nn.Parameter(torch.tensor(head_dim ** -0.5), requires_grad=lsa) self.lsa = lsa def forward(self, q:Tensor, k:Tensor, v:Tensor, prev:Optional[Tensor]=None, key_padding_mask:Optional[Tensor]=None, attn_mask:Optional[Tensor]=None): ''' Input shape: q : [bs x n_heads x max_q_len x d_k] k : [bs x n_heads x d_k x seq_len] v : [bs x n_heads x seq_len x d_v] prev : [bs x n_heads x q_len x seq_len] key_padding_mask: [bs x seq_len] attn_mask : [1 x seq_len x seq_len] Output shape: output: [bs x n_heads x q_len x d_v] attn : [bs x n_heads x q_len x seq_len] scores : [bs x n_heads x q_len x seq_len] ''' # Scaled MatMul (q, k) - similarity scores for all pairs of positions in an input sequence attn_scores = torch.matmul(q, k) * self.scale # attn_scores : [bs x n_heads x max_q_len x q_len] # Add pre-softmax attention scores from the previous layer (optional) if prev is not None: attn_scores = attn_scores + prev # Attention mask (optional) if attn_mask is not None: # attn_mask with shape [q_len x seq_len] - only used when q_len == seq_len if attn_mask.dtype == torch.bool: attn_scores.masked_fill_(attn_mask, -np.inf) else: attn_scores += attn_mask # Key padding mask (optional) if key_padding_mask is not None: # mask with shape [bs x q_len] (only when max_w_len == q_len) attn_scores.masked_fill_(key_padding_mask.unsqueeze(1).unsqueeze(2), -np.inf) # normalize the attention weights attn_weights = F.softmax(attn_scores, dim=-1) # attn_weights : [bs x n_heads x max_q_len x q_len] attn_weights = self.attn_dropout(attn_weights) # compute the new values given the attention weights output = torch.matmul(attn_weights, v) # output: [bs x n_heads x max_q_len x d_v] if self.res_attention: return output, attn_weights, attn_scores else: return output, attn_weights