tcn-sequence-models 0.0.8

TCN based models for time series forecasting.

TCN_Seq2Seq

Implementation of different TCN based Sequence-to-Sequence models for timeseries forecasting. Currently, only works for a numerical class label.

The project includes wrapper classes for the models that add some additional features like simple saving and loading of the trained models and automated hyperparameter tuning. Also, there is functionality for basic data preprocessing as well as saving and loading the preprocessing configurations.
The project is written in Python 3.8 using Tensorflow 2.5.0

TCN_Seq2Seq is on PyPI, so you can use pip to install it.

pip install --upgrade pip
pip install tcn-sequence-models

Models

Three models exist:

1. TCN-TCN model with attention.

The structure of the TCN-TCN model with attention can be seen below.

2. "Normal" TCN-TCN model without attention.

The structure of the "normal" TCN-TCN model without attention can be seen below.

There are two versions of the TCN-TCN models, an autoregressive model and a none-autoregressive model.

Autoregressive model: For training, teacher-forcing is used for the decoder. In addition to other decoder input data that is defined by the user, always the ground truth of the previous time step is added as an additional feature. For example at position x(n+1) the ground truth at position x(n) is added as an additional input. During inference, the predictions of the previous time step is used instead. The autoregressive model can be trained fast in a parallel way. However, inference is slow because the decoder needs to be passed m times when the output length is m.

None-regressive model: For the none-regressive model only the input features are used for the decoder that the user provides. If the user does not provide any features for the decoder, a dummy feature is created with all 1s so that the decoder has some input. Without any input the model would not work. This model is fast during training and inference.

3. TCN-RNN model.

The architecture of the TCN-RNN model can be seen in the following image:

TCN blocks

The TCN blocks use as many layers as needed to get a connection from first timestep's input to last timestep's output. The padding mode in the models can be set by the user. If padding is set to 'causal', a timestep only gets information from the previous timesteps. If set to 'same' or 'valid', also information from future timesteps are used which might improve the predictions.

The encoder of the "normal" TCN-TCN model will always have "causal" padding since only the last output of the encoder is used. Also, for the decoder of the TCN-TCN models in the autoregressive mode, padding will always be causal. The picture below shows the TCN block with 'causal' padding.

One TCN cell (residual block) is structured like this (when choosing ReLu as activation function):

Inputs

The models expect input sequences for the encoder and optionally for the decoder.

Examples

For examples, please refer to the notebooks.