深度学习 / 默认 · 2月 19, 2022 0

PyTorch Lightning,训练金价走势时序任务LSTM, Timeseries, Clean code

内容纲要

Import dependencies

# Re-loads all imports every time the cell is ran. 
%load_ext autoreload
%autoreload 2

from time import time

import numpy as np
import pandas as pd
pd.options.display.float_format = '{:,.5f}'.format

from IPython.display import display

# Sklearn tools
from sklearn.model_selection import train_test_split
from sklearn.preprocessing import StandardScaler

# Neural Networks
import torch
import torch.nn as nn

from torch.utils.data import Dataset, DataLoader

import pytorch_lightning as pl
from pytorch_lightning import Trainer, seed_everything
from pytorch_lightning.loggers.csv_logs import CSVLogger

# Plotting
%matplotlib inline
import matplotlib.pyplot as plt

# Input data files are available in the read-only "../input/" directory
# For example, running this (by clicking run or pressing Shift+Enter) will list all files under the input directory

import os
for dirname, _, filenames in os.walk('/kaggle/input'):
    for filename in filenames:
        print(os.path.join(dirname, filename))
/kaggle/input/electric-power-consumption-data-set/household_power_consumption.txt

Prediction task

We are going to predict hourly levels of global active power one step ahead.

TimeseriesDataset

class TimeseriesDataset(Dataset):   
    '''
    Custom Dataset subclass. 
    Serves as input to DataLoader to transform X 
      into sequence data using rolling window. 
    DataLoader using this dataset will output batches 
      of (batch_size, seq_len, n_features) shape.
    Suitable as an input to RNNs. 
    '''
    def __init__(self, X: np.ndarray, y: np.ndarray, seq_len: int = 1):
        self.X = torch.tensor(X).float()
        self.y = torch.tensor(y).float()
        self.seq_len = seq_len

    def __len__(self):
        return self.X.__len__() - (self.seq_len-1)

    def __getitem__(self, index):
        return (self.X[index:index+self.seq_len], self.y[index+self.seq_len-1])

DataModule

class PowerConsumptionDataModule(pl.LightningDataModule):
    '''
    PyTorch Lighting DataModule subclass:
    https://pytorch-lightning.readthedocs.io/en/latest/datamodules.html

    Serves the purpose of aggregating all data loading 
      and processing work in one place.
    '''

    def __init__(self, seq_len = 1, batch_size = 128, num_workers=0):
        super().__init__()
        self.seq_len = seq_len
        self.batch_size = batch_size
        self.num_workers = num_workers
        self.X_train = None
        self.y_train = None
        self.X_val = None
        self.y_val = None
        self.X_test = None
        self.X_test = None
        self.columns = None
        self.preprocessing = None

    def prepare_data(self):
        pass

    def setup(self, stage=None):
        '''
        Data is resampled to hourly intervals.
        Both 'np.nan' and '?' are converted to 'np.nan'
        'Date' and 'Time' columns are merged into 'dt' index
        '''

        if stage == 'fit' and self.X_train is not None:
            return 
        if stage == 'test' and self.X_test is not None:
            return
        if stage is None and self.X_train is not None and self.X_test is not None:  
            return

        path = '/kaggle/input/electric-power-consumption-data-set/household_power_consumption.txt'

        df = pd.read_csv(
            path, 
            sep=';', 
            parse_dates={'dt' : ['Date', 'Time']}, 
            infer_datetime_format=True, 
            low_memory=False, 
            na_values=['nan','?'], 
            index_col='dt'
        )

        df_resample = df.resample('h').mean()

        X = df_resample.dropna().copy()
        y = X['Global_active_power'].shift(-1).ffill()
        self.columns = X.columns

        X_cv, X_test, y_cv, y_test = train_test_split(
            X, y, test_size=0.2, shuffle=False
        )

        X_train, X_val, y_train, y_val = train_test_split(
            X_cv, y_cv, test_size=0.25, shuffle=False
        )

        preprocessing = StandardScaler()
        preprocessing.fit(X_train)

        if stage == 'fit' or stage is None:
            self.X_train = preprocessing.transform(X_train)
            self.y_train = y_train.values.reshape((-1, 1))
            self.X_val = preprocessing.transform(X_val)
            self.y_val = y_val.values.reshape((-1, 1))

        if stage == 'test' or stage is None:
            self.X_test = preprocessing.transform(X_test)
            self.y_test = y_test.values.reshape((-1, 1))

    def train_dataloader(self):
        train_dataset = TimeseriesDataset(self.X_train, 
                                          self.y_train, 
                                          seq_len=self.seq_len)
        train_loader = DataLoader(train_dataset, 
                                  batch_size = self.batch_size, 
                                  shuffle = False, 
                                  num_workers = self.num_workers)

        return train_loader

    def val_dataloader(self):
        val_dataset = TimeseriesDataset(self.X_val, 
                                        self.y_val, 
                                        seq_len=self.seq_len)
        val_loader = DataLoader(val_dataset, 
                                batch_size = self.batch_size, 
                                shuffle = False, 
                                num_workers = self.num_workers)

        return val_loader

    def test_dataloader(self):
        test_dataset = TimeseriesDataset(self.X_test, 
                                         self.y_test, 
                                         seq_len=self.seq_len)
        test_loader = DataLoader(test_dataset, 
                                 batch_size = self.batch_size, 
                                 shuffle = False, 
                                 num_workers = self.num_workers)

        return test_loader

Model

Implement LSTM regressor using pytorch-lighting module

class LSTMRegressor(pl.LightningModule):
    '''
    Standard PyTorch Lightning module:
    https://pytorch-lightning.readthedocs.io/en/latest/lightning_module.html
    '''
    def __init__(self, 
                 n_features, 
                 hidden_size, 
                 seq_len, 
                 batch_size,
                 num_layers, 
                 dropout, 
                 learning_rate,
                 criterion):
        super(LSTMRegressor, self).__init__()
        self.n_features = n_features
        self.hidden_size = hidden_size
        self.seq_len = seq_len
        self.batch_size = batch_size
        self.num_layers = num_layers
        self.dropout = dropout
        self.criterion = criterion
        self.learning_rate = learning_rate

        self.lstm = nn.LSTM(input_size=n_features, 
                            hidden_size=hidden_size,
                            num_layers=num_layers, 
                            dropout=dropout, 
                            batch_first=True)
        self.linear = nn.Linear(hidden_size, 1)

    def forward(self, x):
        # lstm_out = (batch_size, seq_len, hidden_size)
        lstm_out, _ = self.lstm(x)
        y_pred = self.linear(lstm_out[:,-1])
        return y_pred

    def configure_optimizers(self):
        return torch.optim.Adam(self.parameters(), lr=self.learning_rate)

    def training_step(self, batch, batch_idx):
        x, y = batch
        y_hat = self(x)
        loss = self.criterion(y_hat, y)
        result = pl.TrainResult(loss)
        result.log('train_loss', loss)
        return result

    def validation_step(self, batch, batch_idx):
        x, y = batch
        y_hat = self(x)
        loss = self.criterion(y_hat, y)
        result = pl.EvalResult(checkpoint_on=loss)
        result.log('val_loss', loss)
        return result

    def test_step(self, batch, batch_idx):
        x, y = batch
        y_hat = self(x)
        loss = self.criterion(y_hat, y)
        result = pl.EvalResult()
        result.log('test_loss', loss)
        return result

Parameters

'''
All parameters are aggregated in one place.
This is useful for reporting experiment params to experiment tracking software
'''

p = dict(
    seq_len = 24,
    batch_size = 70, 
    criterion = nn.MSELoss(),
    max_epochs = 10,
    n_features = 7,
    hidden_size = 100,
    num_layers = 2,
    dropout = 0.2,
    learning_rate = 0.001,
)

Train loop

seed_everything(1)

csv_logger = CSVLogger('./', name='lstm', version='0'),

trainer = Trainer(
    max_epochs=p['max_epochs'],
    logger=csv_logger,
    gpus=1,
    row_log_interval=1,
    progress_bar_refresh_rate=2,
)

model = LSTMRegressor(
    n_features = p['n_features'],
    hidden_size = p['hidden_size'],
    seq_len = p['seq_len'],
    batch_size = p['batch_size'],
    criterion = p['criterion'],
    num_layers = p['num_layers'],
    dropout = p['dropout'],
    learning_rate = p['learning_rate']
)

dm = PowerConsumptionDataModule(
    seq_len = p['seq_len'],
    batch_size = p['batch_size']
)

trainer.fit(model, dm)
trainer.test(model, datamodule=dm)
GPU available: True, used: True
TPU available: False, using: 0 TPU cores
CUDA_VISIBLE_DEVICES: [0]

  | Name      | Type    | Params
--------------------------------------
0 | criterion | MSELoss | 0     
1 | lstm      | LSTM    | 124 K 
2 | linear    | Linear  | 101   

HBox(children=(FloatProgress(value=1.0, bar_style='info', description='Validation sanity check', layout=Layout…

HBox(children=(FloatProgress(value=1.0, bar_style='info', description='Training', layout=Layout(flex='2'), max…

HBox(children=(FloatProgress(value=1.0, bar_style='info', description='Validating', layout=Layout(flex='2'), m…

HBox(children=(FloatProgress(value=1.0, bar_style='info', description='Validating', layout=Layout(flex='2'), m…

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Saving latest checkpoint..

HBox(children=(FloatProgress(value=1.0, bar_style='info', description='Testing', layout=Layout(flex='2'), max=…

--------------------------------------------------------------------------------
DATALOADER:0 TEST RESULTS
{'test_loss': tensor(0.2447, device='cuda:0')}
--------------------------------------------------------------------------------

[{'test_loss': 0.24472205340862274}]

Plot report

metrics = pd.read_csv('./lstm/0/metrics.csv')
train_loss = metrics[['train_loss', 'step', 'epoch']][~np.isnan(metrics['train_loss'])]
val_loss = metrics[['val_loss', 'epoch']][~np.isnan(metrics['val_loss'])]
test_loss = metrics['test_loss'].iloc[-1]

fig, axes = plt.subplots(1, 2, figsize=(16, 5), dpi=100)
axes[0].set_title('Train loss per batch')
axes[0].plot(train_loss['step'], train_loss['train_loss'])
axes[1].set_title('Validation loss per epoch')
axes[1].plot(val_loss['epoch'], val_loss['val_loss'], color='orange')
plt.show(block = True)

print('MSE:')
print(f"Train loss: {train_loss['train_loss'].iloc[-1]:.3f}")
print(f"Val loss:   {val_loss['val_loss'].iloc[-1]:.3f}")
print(f'Test loss:  {test_loss:.3f}')

png

MSE:
Train loss: 0.312
Val loss:   0.264
Test loss:  0.245
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