ScoreGradPred

ScoreGrad: Multivariate Probabilistic Time Series Forecasting with Continuous Energy-based Generative Models Paper

Dependencies

See requirements

Usage

ScoreGrad is based on GluonTS and PytorchTS

Load datasets

dataset = get_dataset("electricity_nips", regenerate=False)
train_grouper = MultivariateGrouper(max_target_dim=min(2000, int(dataset.metadata.feat_static_cat[0].cardinality)))

test_grouper = MultivariateGrouper(num_test_dates=int(len(dataset.test)/len(dataset.train)),
                                   max_target_dim=min(2000, int(dataset.metadata.feat_static_cat[0].cardinality)))

dataset_train = train_grouper(dataset.train)
dataset_test = test_grouper(dataset.test)

Create estimator

• Configuration for dataset can be set in folder config, we list a demo for Electricity

estimator = ScoreGradEstimator(
    input_size=config.input_size,
    freq=dataset.metadata.freq,
    prediction_length=dataset.metadata.prediction_length,
    target_dim=int(dataset.metadata.feat_static_cat[0].cardinality),
    context_length=dataset.metadata.prediction_length,
    num_layers=config.num_layers,
    num_cells=config.num_cells,
    cell_type='GRU',
    num_parallel_samples=config.num_parallel_samples,
    dropout_rate=config.dropout_rate,
    conditioning_length=config.conditioning_length,
    diff_steps=config.modeling.num_scales,
    beta_min=config.modeling.beta_min,
    beta_end=config.modeling.beta_max,
    residual_layers=config.modeling.residual_layers,
    residual_channels=config.modeling.residual_channels,
    dilation_cycle_length=config.modeling.dilation_cycle_length,
    scaling=config.modeling.scaling,
    md_type=config.modeling.md_type,
    continuous=config.training.continuous,
    reduce_mean=config.reduce_mean,
    likelihood_weighting=config.likelihood_weighting,
    config=config,
    trainer=Trainer(
        epochs=config.epochs,
        batch_size=config.batch_size,
        num_batches_per_epoch=config.num_batches_per_epoch,
        learning_rate=config.learning_rate,
        decay=config.weight_decay,
        device=config.device,
        wandb_mode='disabled',
        config=config)
)

Train or load model for prediction

if config.train:
    train_output = estimator.train_model(dataset_train, num_workers=0)
    predictor = train_output.predictor

else:
    assert config.path is not None
    trainnet = estimator.create_training_network(config.device)
    trainnet.load_state_dict(torch.load(config.path))
    transformation = estimator.create_transformation()
    predictor = estimator.create_predictor(transformation, trainnet, config.device)

Prediction and evaluation

forecast_it, ts_it = make_evaluation_predictions(dataset=dataset_test,
                                                 predictor=predictor,
                                                 num_samples=100)
forecasts = list(forecast_it)
targets = list(ts_it)


evaluator = MultivariateEvaluator(quantiles=(np.arange(20)/20.0)[1:],
                                  target_agg_funcs={'sum': np.sum})

agg_metric, item_metrics = evaluator(targets, forecasts, num_series=len(dataset_test))

Evaluation on Electricity

python run_elec.py --data elec --name ddpm_c --beta1 0.01 --beta2 15 --scale 200 --epochs 40 --batch 64

Fast sampling option

• We add a conditional ODE sampler for acceleration of the prediction process. It takes only around 20 steps for sampling and it can increase the prediciton speed by up to 4.9 times without performance degradation.