lstm_predictor.py

import numpy as np
import pandas as pd
import tensorflow as tf
from tensorflow.python.framework import dtypes
from tensorflow.contrib import learn

import logging
logging.basicConfig(level=logging.INFO)

def x_sin(x):
    return x * np.sin(x)


def sin_cos(x):
    return pd.DataFrame(dict(a=np.sin(x), b=np.cos(x)), index=x)


def rnn_data(data, time_steps, labels=False):
    """
    creates new data frame based on previous observation
      * example:
        l = [1, 2, 3, 4, 5]
        time_steps = 2
        -> labels == False [[1, 2], [2, 3], [3, 4]]
        -> labels == True [2, 3, 4, 5]
    """
    rnn_df = []
    for i in range(len(data) - time_steps):
        if labels:
            try:
                rnn_df.append(data.iloc[i + time_steps].as_matrix())
            except AttributeError:
                rnn_df.append(data.iloc[i + time_steps])
        else:
            data_ = data.iloc[i: i + time_steps].as_matrix()
            rnn_df.append(data_ if len(data_.shape) > 1 else [[i] for i in data_])
    return np.array(rnn_df)


def split_data(data, val_size=0.1, test_size=0.1):
    """
    splits data to training, validation and testing parts
    """
    ntest = int(round(len(data) * (1 - test_size)))
    nval = int(round(len(data.iloc[:ntest]) * (1 - val_size)))

    df_train, df_val, df_test = data.iloc[:nval], data.iloc[nval:ntest], data.iloc[ntest:]

    return df_train, df_val, df_test


def prepare_data(data, time_steps, labels=False, val_size=0.05, test_size=0.05):
    """
    Given the number of `time_steps` and some data,
    prepares training, validation and test data for an lstm cell.
    """
    df_train, df_val, df_test = split_data(data, val_size, test_size)
    return (rnn_data(df_train, time_steps, labels=labels),
            rnn_data(df_val, time_steps, labels=labels),
            rnn_data(df_test, time_steps, labels=labels))


def generate_data(fct, x, time_steps, seperate=False):
    """generates data with based on a function fct"""
    data = fct(x)
    if not isinstance(data, pd.DataFrame):
        data = pd.DataFrame(data)
    train_x, val_x, test_x = prepare_data(data['a'] if seperate else data, time_steps)
    train_y, val_y, test_y = prepare_data(data['b'] if seperate else data, time_steps, labels=True)
    return dict(train=train_x, val=val_x, test=test_x), dict(train=train_y, val=val_y, test=test_y)

def load_csvdata(rawdata, time_steps, seperate=False):
    data = rawdata
    if not isinstance(data, pd.DataFrame):
        data = pd.DataFrame(data)
    train_x, val_x, test_x = prepare_data(data['a'] if seperate else data, time_steps)
    train_y, val_y, test_y = prepare_data(data['b'] if seperate else data, time_steps, labels=True)
    return dict(train=train_x, val=val_x, test=test_x), dict(train=train_y, val=val_y, test=test_y)

def lstm_model(time_steps, rnn_layers, dense_layers=None):
    """
    Creates a deep model based on:
        * stacked lstm cells
        * an optional dense layers
    :param time_steps: the number of time steps the model will be looking at.
    :param rnn_layers: list of int or dict
                         * list of int: the steps used to instantiate the `BasicLSTMCell` cell
                         * list of dict: [{steps: int, keep_prob: int}, ...]
    :param dense_layers: list of nodes for each layer
    :return: the model definition
    """

    def lstm_cells(layers):
        if isinstance(layers[0], dict):
            return [tf.nn.rnn_cell.DropoutWrapper(tf.nn.rnn_cell.BasicLSTMCell(layer['steps'],
                                                                               state_is_tuple=True),
                                                  layer['keep_prob'])
                    if layer.get('keep_prob') else tf.nn.rnn_cell.BasicLSTMCell(layer['steps'],
                                                                                state_is_tuple=True)
                    for layer in layers]
        return [tf.nn.rnn_cell.BasicLSTMCell(steps, state_is_tuple=True) for steps in layers]

    def dnn_layers(input_layers, layers):
        if layers and isinstance(layers, dict):
            return learn.ops.dnn(input_layers,
                                 layers['layers'],
                                 activation=layers.get('activation'),
                                 dropout=layers.get('dropout'))
        elif layers:
            return learn.ops.dnn(input_layers, layers)
        else:
            return input_layers

    def _lstm_model(X, y):
        stacked_lstm = tf.nn.rnn_cell.MultiRNNCell(lstm_cells(rnn_layers), state_is_tuple=True)
        x_ = learn.ops.split_squeeze(1, time_steps, X)
        output, layers = tf.nn.rnn(stacked_lstm, x_, dtype=dtypes.float32)
        output = dnn_layers(output[-1], dense_layers)
        return learn.models.linear_regression(output, y)

    return _lstm_model