import torch from torch import nn import torch.nn.functional as F import math from math import sqrt import numpy as np # Modified from: https://github.com/thuml/Time-Series-Library # Modified by Shourya Bose, shbose@ucsc.edu class PositionalEmbedding(nn.Module): def __init__(self, d_model, max_len=5000): super(PositionalEmbedding, self).__init__() # Compute the positional encodings once in log space. pe = torch.zeros(max_len, d_model).float() pe.require_grad = False position = torch.arange(0, max_len).float().unsqueeze(1) div_term = (torch.arange(0, d_model, 2).float() * -(math.log(10000.0) / d_model)).exp() pe[:, 0::2] = torch.sin(position * div_term) pe[:, 1::2] = torch.cos(position * div_term) pe = pe.unsqueeze(0) self.register_buffer('pe', pe) def forward(self, x): return self.pe[:, :x.size(1)] class PatchEmbedding(nn.Module): def __init__(self, d_model, patch_len, stride, padding, dropout): super(PatchEmbedding, self).__init__() # Patching self.patch_len = patch_len self.stride = stride self.padding_patch_layer = nn.ReplicationPad1d((0, padding)) # Backbone, Input encoding: projection of feature vectors onto a d-dim vector space self.value_embedding = nn.Linear(patch_len, d_model, bias=False) # Positional embedding self.position_embedding = PositionalEmbedding(d_model) # Residual dropout self.dropout = nn.Dropout(dropout) def forward(self, x): # do patching n_vars = x.shape[1] x = self.padding_patch_layer(x) x = x.unfold(dimension=-1, size=self.patch_len, step=self.stride) x = torch.reshape(x, (x.shape[0] * x.shape[1], x.shape[2], x.shape[3])) # Input encoding x = self.value_embedding(x) + self.position_embedding(x) return self.dropout(x), n_vars class AttentionLayer(nn.Module): def __init__(self, attention, d_model, n_heads, d_keys=None, d_values=None): super(AttentionLayer, self).__init__() d_keys = d_keys or (d_model // n_heads) d_values = d_values or (d_model // n_heads) self.inner_attention = attention self.query_projection = nn.Linear(d_model, d_keys * n_heads) self.key_projection = nn.Linear(d_model, d_keys * n_heads) self.value_projection = nn.Linear(d_model, d_values * n_heads) self.out_projection = nn.Linear(d_values * n_heads, d_model) self.n_heads = n_heads def forward(self, queries, keys, values, attn_mask, tau=None, delta=None): B, L, _ = queries.shape _, S, _ = keys.shape H = self.n_heads queries = self.query_projection(queries).view(B, L, H, -1) keys = self.key_projection(keys).view(B, S, H, -1) values = self.value_projection(values).view(B, S, H, -1) out, attn = self.inner_attention( queries, keys, values, attn_mask, tau=tau, delta=delta ) out = out.view(B, L, -1) return self.out_projection(out), attn class FullAttention(nn.Module): def __init__(self, mask_flag=True, factor=5, scale=None, attention_dropout=0.1, output_attention=False): super(FullAttention, self).__init__() self.scale = scale self.mask_flag = mask_flag self.output_attention = output_attention self.dropout = nn.Dropout(attention_dropout) def forward(self, queries, keys, values, attn_mask, tau=None, delta=None): B, L, H, E = queries.shape _, S, _, D = values.shape scale = self.scale or 1. / sqrt(E) scores = torch.einsum("blhe,bshe->bhls", queries, keys) if self.mask_flag: if attn_mask is None: attn_mask = TriangularCausalMask(B, L, device=queries.device) scores.masked_fill_(attn_mask.mask, -np.inf) A = self.dropout(torch.softmax(scale * scores, dim=-1)) V = torch.einsum("bhls,bshd->blhd", A, values) if self.output_attention: return V.contiguous(), A else: return V.contiguous(), None class TriangularCausalMask(): def __init__(self, B, L, device="cpu"): mask_shape = [B, 1, L, L] with torch.no_grad(): self._mask = torch.triu(torch.ones(mask_shape, dtype=torch.bool), diagonal=1).to(device) @property def mask(self): return self._mask class FullAttention(nn.Module): def __init__(self, mask_flag=True, factor=5, scale=None, attention_dropout=0.1, output_attention=False): super(FullAttention, self).__init__() self.scale = scale self.mask_flag = mask_flag self.output_attention = output_attention self.dropout = nn.Dropout(attention_dropout) def forward(self, queries, keys, values, attn_mask, tau=None, delta=None): B, L, H, E = queries.shape _, S, _, D = values.shape scale = self.scale or 1. / sqrt(E) scores = torch.einsum("blhe,bshe->bhls", queries, keys) if self.mask_flag: if attn_mask is None: attn_mask = TriangularCausalMask(B, L, device=queries.device) scores.masked_fill_(attn_mask.mask, -np.inf) A = self.dropout(torch.softmax(scale * scores, dim=-1)) V = torch.einsum("bhls,bshd->blhd", A, values) if self.output_attention: return V.contiguous(), A else: return V.contiguous(), None class AttentionLayer(nn.Module): def __init__(self, attention, d_model, n_heads, d_keys=None, d_values=None): super(AttentionLayer, self).__init__() d_keys = d_keys or (d_model // n_heads) d_values = d_values or (d_model // n_heads) self.inner_attention = attention self.query_projection = nn.Linear(d_model, d_keys * n_heads) self.key_projection = nn.Linear(d_model, d_keys * n_heads) self.value_projection = nn.Linear(d_model, d_values * n_heads) self.out_projection = nn.Linear(d_values * n_heads, d_model) self.n_heads = n_heads def forward(self, queries, keys, values, attn_mask, tau=None, delta=None): B, L, _ = queries.shape _, S, _ = keys.shape H = self.n_heads queries = self.query_projection(queries).view(B, L, H, -1) keys = self.key_projection(keys).view(B, S, H, -1) values = self.value_projection(values).view(B, S, H, -1) out, attn = self.inner_attention( queries, keys, values, attn_mask, tau=tau, delta=delta ) out = out.view(B, L, -1) return self.out_projection(out), attn class EncoderLayer(nn.Module): def __init__(self, attention, d_model, d_ff=None, dropout=0.1, activation="relu"): super(EncoderLayer, self).__init__() d_ff = d_ff or 4 * d_model self.attention = attention self.conv1 = nn.Conv1d(in_channels=d_model, out_channels=d_ff, kernel_size=1) self.conv2 = nn.Conv1d(in_channels=d_ff, out_channels=d_model, kernel_size=1) self.norm1 = nn.LayerNorm(d_model) self.norm2 = nn.LayerNorm(d_model) self.dropout = nn.Dropout(dropout) self.activation = F.relu if activation == "relu" else F.gelu def forward(self, x, attn_mask=None, tau=None, delta=None): new_x, attn = self.attention( x, x, x, attn_mask=attn_mask, tau=tau, delta=delta ) x = x + self.dropout(new_x) y = x = self.norm1(x) y = self.dropout(self.activation(self.conv1(y.transpose(-1, 1)))) y = self.dropout(self.conv2(y).transpose(-1, 1)) return self.norm2(x + y), attn class Encoder(nn.Module): def __init__(self, attn_layers, conv_layers=None, norm_layer=None): super(Encoder, self).__init__() self.attn_layers = nn.ModuleList(attn_layers) self.conv_layers = nn.ModuleList(conv_layers) if conv_layers is not None else None self.norm = norm_layer def forward(self, x, attn_mask=None, tau=None, delta=None): # x [B, L, D] attns = [] if self.conv_layers is not None: for i, (attn_layer, conv_layer) in enumerate(zip(self.attn_layers, self.conv_layers)): delta = delta if i == 0 else None x, attn = attn_layer(x, attn_mask=attn_mask, tau=tau, delta=delta) x = conv_layer(x) attns.append(attn) x, attn = self.attn_layers[-1](x, tau=tau, delta=None) attns.append(attn) else: for attn_layer in self.attn_layers: x, attn = attn_layer(x, attn_mask=attn_mask, tau=tau, delta=delta) attns.append(attn) if self.norm is not None: x = self.norm(x) return x, attns class Transpose(nn.Module): def __init__(self, *dims, contiguous=False): super().__init__() self.dims, self.contiguous = dims, contiguous def forward(self, x): if self.contiguous: return x.transpose(*self.dims).contiguous() else: return x.transpose(*self.dims) class FlattenHead(nn.Module): def __init__(self, n_vars, nf, target_window, head_dropout=0): super().__init__() self.n_vars = n_vars self.flatten = nn.Flatten(start_dim=-2) self.linear = nn.Linear(nf, target_window) self.dropout = nn.Dropout(head_dropout) def forward(self, x): # x: [bs x nvars x d_model x patch_num] x = self.flatten(x) x = self.linear(x) x = self.dropout(x) return x class PatchTST(nn.Module): """ Paper link: https://arxiv.org/pdf/2211.14730.pdf """ def __init__( self, enc_in, dec_in, # unused c_out, # unused pred_len, seq_len, d_model = 64, patch_len = 16, stride = 8, data_idx = [0,3,4,5,6,7], time_idx = [1,2], output_attention = False, factor = 3, n_heads = 4, d_ff = 512, e_layers = 3, activation = 'gelu', dropout = 0.1 ): #(self, configs, patch_len=16, stride=8): """ patch_len: int, patch len for patch_embedding stride: int, stride for patch_embedding """ super().__init__() self.seq_len = seq_len self.pred_len = pred_len self.data_idx = data_idx self.time_idx = time_idx self.dec_in = dec_in padding = stride # patching and embedding self.patch_embedding = PatchEmbedding( d_model, patch_len, stride, padding, dropout) # Encoder self.encoder = Encoder( [ EncoderLayer( AttentionLayer( FullAttention(False, factor, attention_dropout=dropout, output_attention=output_attention), d_model, n_heads), d_model, d_ff, dropout=dropout, activation=activation ) for l in range(e_layers) ], norm_layer=nn.Sequential(Transpose(1,2), nn.BatchNorm1d(d_model), Transpose(1,2)) ) # Prediction Head self.head_nf = d_model * \ int((seq_len - patch_len) / stride + 2) self.head = FlattenHead(enc_in, self.head_nf,pred_len, head_dropout=dropout) def forecast(self, x_enc, x_mark_enc, x_dec, x_mark_dec): # Normalization from Non-stationary Transformer means = x_enc.mean(1, keepdim=True).detach() x_enc = x_enc - means stdev = torch.sqrt( torch.var(x_enc, dim=1, keepdim=True, unbiased=False) + 1e-5) x_enc /= stdev # do patching and embedding x_enc = x_enc.permute(0, 2, 1) # u: [bs * nvars x patch_num x d_model] enc_out, n_vars = self.patch_embedding(x_enc) # Encoder # z: [bs * nvars x patch_num x d_model] enc_out, attns = self.encoder(enc_out) # z: [bs x nvars x patch_num x d_model] enc_out = torch.reshape( enc_out, (-1, n_vars, enc_out.shape[-2], enc_out.shape[-1])) # z: [bs x nvars x d_model x patch_num] enc_out = enc_out.permute(0, 1, 3, 2) # Decoder dec_out = self.head(enc_out) # z: [bs x nvars x target_window] dec_out = dec_out.permute(0, 2, 1) # De-Normalization from Non-stationary Transformer dec_out = dec_out * \ (stdev[:, 0, :].unsqueeze(1).repeat(1, self.pred_len, 1)) dec_out = dec_out + \ (means[:, 0, :].unsqueeze(1).repeat(1, self.pred_len, 1)) return dec_out def forward(self, x, fut_time): x_enc = x[:,:,self.data_idx] x_mark_enc = x[:,:,self.time_idx] x_dec = torch.zeros((fut_time.shape[0],fut_time.shape[1],self.dec_in),dtype=fut_time.dtype,device=fut_time.device) x_mark_dec = fut_time return self.forecast(x_enc,x_mark_enc,x_dec,x_mark_dec)[:,-1,[0]]