from arch.unitroot import ADF from scipy.stats import entropy import numpy as np import torch import argparse from datasets import load_from_disk def adf_evaluator(x): return ADF(x).stat def forecastability_evaluator(x, seq_len=256): x = torch.tensor(x).squeeze() # L forecastability_list = [] for i in range(max(x.shape[0]-seq_len, 0) // seq_len + 1): start_idx = i * seq_len end_idx = min(start_idx + seq_len, x.shape[0]) window = x[start_idx:end_idx] amps = torch.abs(torch.fft.rfft(window)) amp = torch.sum(amps) forecastability = 1 - entropy(amps/amp, base=len(amps)) forecastability_list.append(forecastability) np_forecastability_list = np.array(forecastability_list) # replace nan with 1 np_forecastability_list[np.isnan(np_forecastability_list)] = 1 return np.mean(np_forecastability_list) def save_log(path, content): with open(path, 'a') as f: f.write(content) if __name__ == '__main__': parser = argparse.ArgumentParser(description='Dataset Evaluation') parser.add_argument('--root_path', type=str, required=True, help='Root path of the dataset, e.g. ./data/bdg-2_bear') parser.add_argument('--log_path', type=str, required=False, default='log.txt', help='Path to save the log file') args = parser.parse_args() print("Evaluate dataset at ", args.root_path) dataset = load_from_disk(args.root_path) print(dataset) series_list = dataset['target'] if not isinstance(series_list[0][0], list): series_list = [series_list] time_point_list = [] adf_stat_list = [] forecastability_list = [] for i in range(len(series_list)): for j in range(len(series_list[i])): try: series = series_list[i][j] # fill missing value with 0 for evaluation series = [0 if np.isnan(x) else x for x in series] adf_stat = adf_evaluator(series) forecastability = forecastability_evaluator(series) forecastability_list.append(forecastability) adf_stat_list.append(adf_stat) time_point_list.append(len(series)) except Exception as e: save_log(args.log_path, f'Error: {args.root_path} {i} {j}\n'+str(e)+'\n') continue time_point_list = np.array(time_point_list) adf_stat_list = np.array(adf_stat_list) forecastability_list = np.array(forecastability_list) time_points = np.sum(time_point_list) weighted_adf = np.sum(adf_stat_list * time_point_list) / time_points weighted_forecastability = np.sum(forecastability_list * time_point_list) / time_points print("Weighted ADF:", weighted_adf) print("Weighted Forecastability:", weighted_forecastability) print("Total Time Points:", time_points) print("Finish evaluation ", args.root_path) save_log(args.log_path, f"root_path: {args.root_path}\n Weighted ADF: {weighted_adf}\n Weighted Forecastability: {weighted_forecastability}\n Total Time Points: {time_points}\n\n")