import torch import torch.nn as nn import torch.nn.functional as F import torch.fft from layers.Embed import DataEmbedding from layers.Conv_Blocks import Inception_Block_V1 def FFT_for_Period(x, k=2): # [B, T, C] xf = torch.fft.rfft(x, dim=1) # find period by amplitudes frequency_list = abs(xf).mean(0).mean(-1) frequency_list[0] = 0 _, top_list = torch.topk(frequency_list, k) top_list = top_list.detach().cpu().numpy() period = x.shape[1] // top_list return period, abs(xf).mean(-1)[:, top_list] class TimesBlock(nn.Module): def __init__(self, configs): super(TimesBlock, self).__init__() self.seq_len = configs.seq_len self.pred_len = configs.pred_len self.k = configs.top_k # parameter-efficient design self.conv = nn.Sequential( Inception_Block_V1(configs.d_model, configs.d_ff, num_kernels=configs.num_kernels), nn.GELU(), Inception_Block_V1(configs.d_ff, configs.d_model, num_kernels=configs.num_kernels) ) def forward(self, x): B, T, N = x.size() period_list, period_weight = FFT_for_Period(x, self.k) res = [] for i in range(self.k): period = period_list[i] # padding if (self.seq_len + self.pred_len) % period != 0: length = ( ((self.seq_len + self.pred_len) // period) + 1) * period padding = torch.zeros([x.shape[0], (length - (self.seq_len + self.pred_len)), x.shape[2]]).to(x.device) out = torch.cat([x, padding], dim=1) else: length = (self.seq_len + self.pred_len) out = x # reshape out = out.reshape(B, length // period, period, N).permute(0, 3, 1, 2).contiguous() # 2D conv: from 1d Variation to 2d Variation out = self.conv(out) # reshape back out = out.permute(0, 2, 3, 1).reshape(B, -1, N) res.append(out[:, :(self.seq_len + self.pred_len), :]) res = torch.stack(res, dim=-1) # adaptive aggregation period_weight = F.softmax(period_weight, dim=1) period_weight = period_weight.unsqueeze( 1).unsqueeze(1).repeat(1, T, N, 1) res = torch.sum(res * period_weight, -1) # residual connection res = res + x return res class Model(nn.Module): """ Paper link: https://openreview.net/pdf?id=ju_Uqw384Oq """ def __init__(self, configs): super(Model, self).__init__() self.configs = configs self.task_name = configs.task_name self.seq_len = configs.seq_len self.label_len = configs.label_len self.pred_len = configs.pred_len self.model = nn.ModuleList([TimesBlock(configs) for _ in range(configs.e_layers)]) self.enc_embedding = DataEmbedding(configs.enc_in, configs.d_model, configs.embed, configs.freq, configs.dropout) self.layer = configs.e_layers self.layer_norm = nn.LayerNorm(configs.d_model) if self.task_name == 'long_term_forecast' or self.task_name == 'short_term_forecast': self.predict_linear = nn.Linear( self.seq_len, self.pred_len + self.seq_len) self.projection = nn.Linear( configs.d_model, configs.c_out, bias=True) if self.task_name == 'imputation' or 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) def forecast(self, x_enc, x_mark_enc, x_dec, x_mark_dec): # Normalization from Non-stationary Transformer means = x_enc.mean(1, keepdim=True).detach() x_enc = x_enc.sub(means) stdev = torch.sqrt( torch.var(x_enc, dim=1, keepdim=True, unbiased=False) + 1e-5) x_enc = x_enc.div(stdev) # embedding enc_out = self.enc_embedding(x_enc, x_mark_enc) # [B,T,C] enc_out = self.predict_linear(enc_out.permute(0, 2, 1)).permute( 0, 2, 1) # align temporal dimension # TimesNet for i in range(self.layer): enc_out = self.layer_norm(self.model[i](enc_out)) # project back dec_out = self.projection(enc_out) # De-Normalization from Non-stationary Transformer dec_out = dec_out.mul( (stdev[:, 0, :].unsqueeze(1).repeat( 1, self.pred_len + self.seq_len, 1))) dec_out = dec_out.add( (means[:, 0, :].unsqueeze(1).repeat( 1, self.pred_len + self.seq_len, 1))) return dec_out def imputation(self, x_enc, x_mark_enc, x_dec, x_mark_dec, mask): # Normalization from Non-stationary Transformer means = torch.sum(x_enc, dim=1) / torch.sum(mask == 1, dim=1) means = means.unsqueeze(1).detach() x_enc = x_enc.sub(means) x_enc = x_enc.masked_fill(mask == 0, 0) stdev = torch.sqrt(torch.sum(x_enc * x_enc, dim=1) / torch.sum(mask == 1, dim=1) + 1e-5) stdev = stdev.unsqueeze(1).detach() x_enc = x_enc.div(stdev) # embedding enc_out = self.enc_embedding(x_enc, x_mark_enc) # [B,T,C] # TimesNet for i in range(self.layer): enc_out = self.layer_norm(self.model[i](enc_out)) # project back dec_out = self.projection(enc_out) # De-Normalization from Non-stationary Transformer dec_out = dec_out.mul( (stdev[:, 0, :].unsqueeze(1).repeat( 1, self.pred_len + self.seq_len, 1))) dec_out = dec_out.add( (means[:, 0, :].unsqueeze(1).repeat( 1, self.pred_len + self.seq_len, 1))) return dec_out def anomaly_detection(self, x_enc): # Normalization from Non-stationary Transformer means = x_enc.mean(1, keepdim=True).detach() x_enc = x_enc.sub(means) stdev = torch.sqrt( torch.var(x_enc, dim=1, keepdim=True, unbiased=False) + 1e-5) x_enc = x_enc.div(stdev) # embedding enc_out = self.enc_embedding(x_enc, None) # [B,T,C] # TimesNet for i in range(self.layer): enc_out = self.layer_norm(self.model[i](enc_out)) # project back dec_out = self.projection(enc_out) # De-Normalization from Non-stationary Transformer dec_out = dec_out.mul( (stdev[:, 0, :].unsqueeze(1).repeat( 1, self.pred_len + self.seq_len, 1))) dec_out = dec_out.add( (means[:, 0, :].unsqueeze(1).repeat( 1, self.pred_len + self.seq_len, 1))) return dec_out def classification(self, x_enc, x_mark_enc): # embedding enc_out = self.enc_embedding(x_enc, None) # [B,T,C] # TimesNet for i in range(self.layer): enc_out = self.layer_norm(self.model[i](enc_out)) # Output # the output transformer encoder/decoder embeddings don't include non-linearity output = self.act(enc_out) output = self.dropout(output) # zero-out padding embeddings output = output * x_mark_enc.unsqueeze(-1) # (batch_size, seq_length * d_model) output = output.reshape(output.shape[0], -1) output = self.projection(output) # (batch_size, num_classes) return output def forward(self, x_enc, x_mark_enc=None, x_dec=None, x_mark_dec=None, 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