feat(nbeats): add parameter coefficient to backcast loss

jolibrain · Feb 22, 2021 · 35b3c31 · 35b3c31
1 parent 6597b53
commit 35b3c31
Show file tree

Hide file tree

Showing 2 changed files with 16 additions and 5 deletions.
diff --git a/src/backends/torch/native/native_factory.cc b/src/backends/torch/native/native_factory.cc
@@ -50,12 +50,18 @@ namespace dd
     if (tdef.find("nbeats") != std::string::npos)
       {
         std::vector<std::string> p;
+        double bc_loss_coef = 1;
         if (template_params.has("stackdef"))
           {
             p = template_params.get("stackdef")
                     .get<std::vector<std::string>>();
           }
-        return new NBeats(inputc, p);
+        if (template_params.has("backcast_loss_coef"))
+          {
+            bc_loss_coef
+                = template_params.get("backcast_loss_coef").get<double>();
+          }
+        return new NBeats(inputc, p, bc_loss_coef);
       }
     else if (tdef.find("ttransformer") != std::string::npos)
       return new TTransformer(inputc, template_params, logger);

diff --git a/src/backends/torch/native/templates/nbeats.h b/src/backends/torch/native/templates/nbeats.h
@@ -297,7 +297,7 @@ namespace dd
     }
 
     NBeats(const CSVTSTorchInputFileConn &inputc,
-           std::vector<std::string> stackdef,
+           std::vector<std::string> stackdef, double backcast_loss_coef = 1,
            std::vector<BlockType> stackTypes = NBEATS_DEFAULT_STACK_TYPES,
            int nb_blocks_per_stack = NBEATS_DEFAULT_NB_BLOCKS,
            int data_size = NBEATS_DEFAULT_DATA_SIZE,
@@ -311,7 +311,8 @@ namespace dd
           _hidden_layer_units(hidden_layer_units),
           _nb_blocks_per_stack(nb_blocks_per_stack),
           _share_weights_in_stack(share_weights_in_stack),
-          _stack_types(stackTypes), _thetas_dims(thetas_dims)
+          _stack_types(stackTypes), _thetas_dims(thetas_dims),
+          _backcast_loss_coef(backcast_loss_coef)
     {
       parse_stackdef(stackdef);
       update_params(inputc);
@@ -413,12 +414,14 @@ namespace dd
       torch::Tensor y_pred = torch::slice(output, 1, _backcast_length,
                                           _backcast_length + _forecast_length);
       torch::Tensor input_zeros = torch::zeros_like(input_real);
+
       if (loss.empty() || loss == "L1" || loss == "l1")
         return torch::l1_loss(y_pred, target)
-               + torch::l1_loss(x_pred, input_zeros);
+               + torch::l1_loss(x_pred, input_zeros) * _backcast_loss_coef;
       if (loss == "L2" || loss == "l2" || loss == "eucl")
         return torch::mse_loss(y_pred, target)
-               + torch::mse_loss(x_pred, input_zeros);
+               + torch::mse_loss(x_pred, input_zeros) * _backcast_loss_coef;
+
       throw MLLibBadParamException("unknown loss " + loss);
     }
 
@@ -435,6 +438,8 @@ namespace dd
     bool _share_weights_in_stack = NBEATS_DEFAULT_SHARE_WEIGHTS;
     std::vector<BlockType> _stack_types = NBEATS_DEFAULT_STACK_TYPES;
     std::vector<int> _thetas_dims = NBEATS_DEFAULT_THETAS;
+    double _backcast_loss_coef
+        = 1; /** < Coefficient applied to backcast loss */
 
     std::vector<Stack> _stacks;
     torch::nn::Linear _fcn{ nullptr };