t81_558_class_10_1_timeseries.ipynb

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    "# T81-558: Applications of Deep Neural Networks\n",
    "**Module 10: Time Series in Keras**  \n",
    "**Part 10.1: Time Series Data Encoding for Deep Learning**\n",
    "* Instructor: [Jeff Heaton](https://sites.wustl.edu/jeffheaton/), McKelvey School of Engineering, [Washington University in St. Louis](https://engineering.wustl.edu/Programs/Pages/default.aspx)\n",
    "* For more information visit the [class website](https://sites.wustl.edu/jeffheaton/t81-558/)."
   ]
  },
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   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# Module 10 Material\n",
    "\n",
    "* **Part 10.1: Time Series Data Encoding for Deep Learning** [[Video]]() [[Notebook]](t81_558_class_10_1_timeseries.ipynb)\n",
    "* Part 10.2: Programming LSTM with Keras and TensorFlow [[Video]]() [[Notebook]](t81_558_class_10_2_lstm.ipynb)\n",
    "* Part 10.3: Text Generation with Keras and TensorFlow [[Video]]() [[Notebook]](t81_558_class_10_3_text_generation.ipynb)\n",
    "* Part 10.4: Image Captioning with Keras and TensorFlow [[Video]]() [[Notebook]](t81_558_class_10_4_captioning.ipynb)\n",
    "* Part 10.5: Temporal CNN in Keras and TensorFlow [[Video]]() [[Notebook]](t81_558_class_10_5_temporal_cnn.ipynb)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# Part 10.1: Time Series Data Encoding for Deep Learning, TensorFlow and Keras\n",
    "\n",
    "Previously we trained neural networks with input ($x$) and expected output ($y$).  $X$ was a matrix, the rows were training examples and the columns were values to be predicted.  The definition of $x$ will be expanded and y will stay the same.\n",
    "\n",
    "Dimensions of training set ($x$):\n",
    "* Axis 1: Training set elements (sequences) (must be of the same size as $y$ size)\n",
    "* Axis 2: Members of sequence\n",
    "* Axis 3: Features in data (like input neurons)\n",
    "\n",
    "Previously, we might take as input a single stock price, to predict if we should buy (1), sell (-1), or hold (0)."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "[[32], [41], [39], [20], [15]]\n",
      "[1, -1, 0, -1, 1]\n"
     ]
    }
   ],
   "source": [
    "# \n",
    "\n",
    "x = [\n",
    "    [32],\n",
    "    [41],\n",
    "    [39],\n",
    "    [20],\n",
    "    [15]\n",
    "]\n",
    "\n",
    "y = [\n",
    "    1,\n",
    "    -1,\n",
    "    0,\n",
    "    -1,\n",
    "    1\n",
    "]\n",
    "\n",
    "print(x)\n",
    "print(y)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "This is essentially building a CSV file from scratch, to see it as a data frame, use the following:"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "[32 41 39 20 15]\n"
     ]
    },
    {
     "data": {
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       "    .dataframe thead th {\n",
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       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>x</th>\n",
       "      <th>y</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>32</td>\n",
       "      <td>1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>41</td>\n",
       "      <td>-1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>39</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>20</td>\n",
       "      <td>-1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>15</td>\n",
       "      <td>1</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "    x  y\n",
       "0  32  1\n",
       "1  41 -1\n",
       "2  39  0\n",
       "3  20 -1\n",
       "4  15  1"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "from IPython.display import display, HTML\n",
    "import pandas as pd\n",
    "import numpy as np\n",
    "\n",
    "x = np.array(x)\n",
    "print(x[:,0])\n",
    "\n",
    "\n",
    "df = pd.DataFrame({'x':x[:,0], 'y':y})\n",
    "display(df)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "You might want to put volume in with the stock price.  "
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "[[32, 1383], [41, 2928], [39, 8823], [20, 1252], [15, 1532]]\n",
      "[1, -1, 0, -1, 1]\n"
     ]
    }
   ],
   "source": [
    "x = [\n",
    "    [32,1383],\n",
    "    [41,2928],\n",
    "    [39,8823],\n",
    "    [20,1252],\n",
    "    [15,1532]\n",
    "]\n",
    "\n",
    "y = [\n",
    "    1,\n",
    "    -1,\n",
    "    0,\n",
    "    -1,\n",
    "    1\n",
    "]\n",
    "\n",
    "print(x)\n",
    "print(y)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "Again, very similar to what we did before.  The following shows this as a data frame."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 5,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "[32 41 39 20 15]\n"
     ]
    },
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
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       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>price</th>\n",
       "      <th>volume</th>\n",
       "      <th>y</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>32</td>\n",
       "      <td>1383</td>\n",
       "      <td>1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>41</td>\n",
       "      <td>2928</td>\n",
       "      <td>-1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>39</td>\n",
       "      <td>8823</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>20</td>\n",
       "      <td>1252</td>\n",
       "      <td>-1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>15</td>\n",
       "      <td>1532</td>\n",
       "      <td>1</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "   price  volume  y\n",
       "0     32    1383  1\n",
       "1     41    2928 -1\n",
       "2     39    8823  0\n",
       "3     20    1252 -1\n",
       "4     15    1532  1"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "from IPython.display import display, HTML\n",
    "import pandas as pd\n",
    "import numpy as np\n",
    "\n",
    "x = np.array(x)\n",
    "print(x[:,0])\n",
    "\n",
    "\n",
    "df = pd.DataFrame({'price':x[:,0], 'volume':x[:,1], 'y':y})\n",
    "display(df)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "Now we get to sequence format.  We want to predict something over a sequence, so the data format needs to add a dimension.  A maximum sequence length must be specified, but the individual sequences can be of any length."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 6,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "[[[32, 1383], [41, 2928], [39, 8823], [20, 1252], [15, 1532]], [[35, 8272], [32, 1383], [41, 2928], [39, 8823], [20, 1252]], [[37, 2738], [35, 8272], [32, 1383], [41, 2928], [39, 8823]], [[34, 2845], [37, 2738], [35, 8272], [32, 1383], [41, 2928]], [[32, 2345], [34, 2845], [37, 2738], [35, 8272], [32, 1383]]]\n",
      "[1, -1, 0, -1, 1]\n"
     ]
    }
   ],
   "source": [
    "x = [\n",
    "    [[32,1383],[41,2928],[39,8823],[20,1252],[15,1532]],\n",
    "    [[35,8272],[32,1383],[41,2928],[39,8823],[20,1252]],\n",
    "    [[37,2738],[35,8272],[32,1383],[41,2928],[39,8823]],\n",
    "    [[34,2845],[37,2738],[35,8272],[32,1383],[41,2928]],\n",
    "    [[32,2345],[34,2845],[37,2738],[35,8272],[32,1383]],\n",
    "]\n",
    "\n",
    "y = [\n",
    "    1,\n",
    "    -1,\n",
    "    0,\n",
    "    -1,\n",
    "    1\n",
    "]\n",
    "\n",
    "print(x)\n",
    "print(y)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "Even if there is only one feature (price), the 3rd dimension must be used:"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 7,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "[[[32], [41], [39], [20], [15]], [[35], [32], [41], [39], [20]], [[37], [35], [32], [41], [39]], [[34], [37], [35], [32], [41]], [[32], [34], [37], [35], [32]]]\n",
      "[1, -1, 0, -1, 1]\n"
     ]
    }
   ],
   "source": [
    "x = [\n",
    "    [[32],[41],[39],[20],[15]],\n",
    "    [[35],[32],[41],[39],[20]],\n",
    "    [[37],[35],[32],[41],[39]],\n",
    "    [[34],[37],[35],[32],[41]],\n",
    "    [[32],[34],[37],[35],[32]],\n",
    "]\n",
    "\n",
    "y = [\n",
    "    1,\n",
    "    -1,\n",
    "    0,\n",
    "    -1,\n",
    "    1\n",
    "]\n",
    "\n",
    "print(x)\n",
    "print(y)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# Module 10 Assignment\n",
    "\n",
    "You can find the first assignment here: [assignment 10](https://github.com/jeffheaton/t81_558_deep_learning/blob/master/assignments/assignment_yourname_class10.ipynb)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  }
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