nbeats-pytorch 1.4.0

N-Beats

N-BEATS: Neural basis expansion analysis for interpretable time series forecasting

• Implementation in Keras by @eljdos (Jean-Sébastien Dhr)
• Implementation in Pytorch by @philipperemy (Philippe Remy)
• https://arxiv.org/abs/1905.10437

N-Beats at the beginning of the training

Trust me, after a few more steps, the green curve (predictions) matches the ground truth exactly :-)

Installation

From PyPI

Install Keras: pip install nbeats-keras.

Install Pytorch: pip install nbeats-pytorch.

From the sources

Installation is based on a MakeFile. Make sure you are in a virtualenv and have python3 installed.

Command to install N-Beats with Keras: make install-keras

Command to install N-Beats with Pytorch: make install-pytorch

Run on the GPU

To force the utilization of the GPU (Tensorflow), run: pip uninstall -y tensorflow && pip install tensorflow-gpu.

Example

Jupyter notebook: NBeats.ipynb: make run-jupyter.

Here is a toy example on how to use this model (train and predict):

import warnings

import numpy as np

from nbeats_keras.model import NBeatsNet as NBeatsKeras
from nbeats_pytorch.model import NBeatsNet as NBeatsPytorch

warnings.filterwarnings(action='ignore', message='Setting attributes')


def main():
    # https://keras.io/layers/recurrent/
    num_samples, time_steps, input_dim, output_dim = 50_000, 10, 1, 1

    # Definition of the model.
    model_keras = NBeatsKeras(backcast_length=time_steps, forecast_length=output_dim,
                              stack_types=(NBeatsKeras.GENERIC_BLOCK, NBeatsKeras.GENERIC_BLOCK),
                              nb_blocks_per_stack=2, thetas_dim=(4, 4), share_weights_in_stack=True,
                              hidden_layer_units=64)

    model_pytorch = NBeatsPytorch(backcast_length=time_steps, forecast_length=output_dim,
                                  stack_types=(NBeatsPytorch.GENERIC_BLOCK, NBeatsPytorch.GENERIC_BLOCK),
                                  nb_blocks_per_stack=2, thetas_dim=(4, 4), share_weights_in_stack=True,
                                  hidden_layer_units=64)

    # Definition of the objective function and the optimizer.
    model_keras.compile(loss='mae', optimizer='adam')
    model_pytorch.compile(loss='mae', optimizer='adam')

    # Definition of the data. The problem to solve is to find f such as | f(x) - y | -> 0.
    # where f = np.mean.
    x = np.random.uniform(size=(num_samples, time_steps, input_dim))
    y = np.mean(x, axis=1, keepdims=True)

    # Split data into training and testing datasets.
    c = num_samples // 10
    x_train, y_train, x_test, y_test = x[c:], y[c:], x[:c], y[:c]
    test_size = len(x_test)

    # Train the model.
    print('Keras training...')
    model_keras.fit(x_train, y_train, validation_data=(x_test, y_test), epochs=20, batch_size=128)
    print('Pytorch training...')
    model_pytorch.fit(x_train, y_train, validation_data=(x_test, y_test), epochs=20, batch_size=128)

    # Save the model for later.
    model_keras.save('n_beats_model.h5')
    model_pytorch.save('n_beats_pytorch.th')

    # Predict on the testing set (forecast).
    predictions_keras_forecast = model_keras.predict(x_test)
    predictions_pytorch_forecast = model_pytorch.predict(x_test)
    np.testing.assert_equal(predictions_keras_forecast.shape, (test_size, model_keras.forecast_length, output_dim))
    np.testing.assert_equal(predictions_pytorch_forecast.shape, (test_size, model_pytorch.forecast_length, output_dim))

    # Predict on the testing set (backcast).
    predictions_keras_backcast = model_keras.predict(x_test, return_backcast=True)
    predictions_pytorch_backcast = model_pytorch.predict(x_test, return_backcast=True)
    np.testing.assert_equal(predictions_keras_backcast.shape, (test_size, model_keras.backcast_length, output_dim))
    np.testing.assert_equal(predictions_pytorch_backcast.shape, (test_size, model_pytorch.backcast_length, output_dim))

    # Load the model.
    model_keras_2 = NBeatsKeras.load('n_beats_model.h5')
    model_pytorch_2 = NBeatsPytorch.load('n_beats_pytorch.th')

    np.testing.assert_almost_equal(predictions_keras_forecast, model_keras_2.predict(x_test))
    np.testing.assert_almost_equal(predictions_pytorch_forecast, model_pytorch_2.predict(x_test))


if __name__ == '__main__':
    main()

Citation

@misc{NBeatsPRemy,
  author = {Philippe Remy},
  title = {N-BEATS: Neural basis expansion analysis for interpretable time series forecasting},
  year = {2020},
  publisher = {GitHub},
  journal = {GitHub repository},
  howpublished = {\url{https://github.com/philipperemy/n-beats}},
}