etna.models.nn.DeepStateModel#

class DeepStateModel(ssm: CompositeSSM, input_size: int, encoder_length: int, decoder_length: int, num_layers: int = 1, embedding_sizes: Dict[str, Tuple[int, int]] | None = None, n_samples: int = 5, lr: float = 0.001, train_batch_size: int = 16, test_batch_size: int = 16, optimizer_params: dict | None = None, trainer_params: dict | None = None, train_dataloader_params: dict | None = None, test_dataloader_params: dict | None = None, val_dataloader_params: dict | None = None, split_params: dict | None = None)[source]#

Bases: DeepBaseModel

DeepState model.

Model needs label encoded inputs for categorical features, for that purposes use LabelEncoderTransform. Feature values that weren’t seen during fit should be set to NaN, to get this behaviour use encoder with strategy=”none”.

If there are numeric columns that are passed to embedding_sizes parameter, they will be considered only as categorical features.

Note

This model requires torch extension to be installed. Read more about this at installation page.

Init Deep State Model.

Parameters:

  • ssm (CompositeSSM) – state Space Model of the system

  • input_size (int) – size of the input feature space: features for RNN part.

  • encoder_length (int) – encoder length

  • decoder_length (int) – decoder length

  • num_layers (int) – number of layers in RNN

  • embedding_sizes (Dict[str, Tuple[int, int]] | None) – dictionary mapping categorical feature name to tuple of number of categorical classes and embedding size

  • n_samples (int) – number of samples to use in predictions generation

  • num_layers – number of layers

  • lr (float) – learning rate

  • train_batch_size (int) – batch size for training

  • test_batch_size (int) – batch size for testing

  • optimizer_params (dict | None) – parameters for optimizer for Adam optimizer (api reference torch.optim.Adam)

  • trainer_params (dict | None) – Pytorch ligthning trainer parameters (api reference pytorch_lightning.trainer.trainer.Trainer)

  • train_dataloader_params (dict | None) – parameters for train dataloader like sampler for example (api reference torch.utils.data.DataLoader)

  • test_dataloader_params (dict | None) – parameters for test dataloader

  • val_dataloader_params (dict | None) – parameters for validation dataloader

  • split_params (dict | None) –

    dictionary with parameters for torch.utils.data.random_split() for train-test splitting

    • train_size: (float) value from 0 to 1 - fraction of samples to use for training

    • generator: (Optional[torch.Generator]) - generator for reproducibile train-test splitting

    • torch_dataset_size: (Optional[int]) - number of samples in dataset, in case of dataset not implementing __len__

Methods

fit(ts)

Fit model.

forecast(ts, prediction_size[, ...])

Make predictions.

get_model()

Get model.

load(path[, ts])

Load an object.

params_to_tune()

Get default grid for tuning hyperparameters.

predict(ts, prediction_size[, return_components])

Make predictions.

raw_fit(torch_dataset)

Fit model on torch like Dataset.

raw_predict(torch_dataset)

Make inference on torch like Dataset.

save(path)

Save the object.

set_params(**params)

Return new object instance with modified parameters.

to_dict()

Collect all information about etna object in dict.

Attributes

This class stores its __init__ parameters as attributes.

context_size

Context size of the model.
fit(ts: TSDataset) → DeepBaseModel[source]#

Fit model.

Parameters:

ts (TSDataset) – TSDataset with features

Returns:

Model after fit

Return type:

DeepBaseModel

forecast(ts: TSDataset, prediction_size: int, return_components: bool = False) → TSDataset[source]#

Make predictions.

This method will make autoregressive predictions.

Parameters:

  • ts (TSDataset) – Dataset with features and expected decoder length for context

  • prediction_size (int) – Number of last timestamps to leave after making prediction. Previous timestamps will be used as a context.

  • return_components (bool) – If True additionally returns forecast components

Returns:

Dataset with predictions

Return type:

TSDataset

get_model() → DeepBaseNet[source]#

Get model.

Returns:

Torch Module

Return type:

DeepBaseNet

classmethod load(path: Path, ts: TSDataset | None = None) → Self[source]#

Load an object.

Warning

This method uses dill module which is not secure. It is possible to construct malicious data which will execute arbitrary code during loading. Never load data that could have come from an untrusted source, or that could have been tampered with.

Parameters:

  • path (Path) – Path to load object from.

  • ts (TSDataset | None) – TSDataset to set into loaded pipeline.

Returns:

Loaded object.

Return type:

Self

params_to_tune() → Dict[str, BaseDistribution][source]#

Get default grid for tuning hyperparameters.

This grid tunes parameters: lr, num_layers, encoder_length. Other parameters are expected to be set by the user.

Returns:

Grid to tune.

Return type:

Dict[str, BaseDistribution]

predict(ts: TSDataset, prediction_size: int, return_components: bool = False) → TSDataset[source]#

Make predictions.

This method will make predictions using true values instead of predicted on a previous step. It can be useful for making in-sample forecasts.

Parameters:

  • ts (TSDataset) – Dataset with features and expected decoder length for context

  • prediction_size (int) – Number of last timestamps to leave after making prediction. Previous timestamps will be used as a context.

  • return_components (bool) – If True additionally returns prediction components

Returns:

Dataset with predictions

Return type:

TSDataset

raw_fit(torch_dataset: Dataset) → DeepBaseModel[source]#

Fit model on torch like Dataset.

Parameters:

torch_dataset (Dataset) – Torch like dataset for model fit

Returns:

Model after fit

Return type:

DeepBaseModel

raw_predict(torch_dataset: Dataset) → Dict[Tuple[str, str], ndarray][source]#

Make inference on torch like Dataset.

Parameters:

torch_dataset (Dataset) – Torch like dataset for model inference

Returns:

Dictionary with predictions

Return type:

Dict[Tuple[str, str], ndarray]

save(path: Path)[source]#

Save the object.

Parameters:

path (Path) – Path to save object to.

set_params(**params: dict) → Self[source]#

Return new object instance with modified parameters.

Method also allows to change parameters of nested objects within the current object. For example, it is possible to change parameters of a model in a Pipeline.

Nested parameters are expected to be in a <component_1>.<...>.<parameter> form, where components are separated by a dot.

Parameters:

**params (dict) – Estimator parameters

Returns:

New instance with changed parameters

Return type:

Self

Examples

>>> from etna.pipeline import Pipeline
>>> from etna.models import NaiveModel
>>> from etna.transforms import AddConstTransform
>>> model = NaiveModel(lag=1)
>>> transforms = [AddConstTransform(in_column="target", value=1)]
>>> pipeline = Pipeline(model, transforms=transforms, horizon=3)
>>> pipeline.set_params(**{"model.lag": 3, "transforms.0.value": 2})
Pipeline(model = NaiveModel(lag = 3, ), transforms = [AddConstTransform(in_column = 'target', value = 2, inplace = True, out_column = None, )], horizon = 3, )
to_dict()[source]#

Collect all information about etna object in dict.

property context_size: int[source]#

Context size of the model.