seq2seq prediction for time series

问题

I want to make a Seq2Seq model for reconstruction purpose. I want a model trained to reconstruct the normal time-series and it is assumed that such a model would do badly to reconstruct the anomalous time-series having not seen them during training.

I have some gaps in my code and also in the understanding. I took this as an orientation and did so far: traindata: input_data.shape(1000,60,1) and target_data.shape(1000,50,1) with target data being the same training data only in reversed order as sugested in the paper here. for inference: I want to predict another time series data with the trained model having the shape (3000,60,1). T Now 2 points are open: how do I specify the input data for my training model and how do I build the inference part with the stop condition ?   Please correct any mistakes.

from keras.models import Model
from keras.layers import Input
from keras.layers import LSTM
from keras.layers import Dense

num_encoder_tokens = 1#number of features
num_decoder_tokens = 1#number of features
encoder_seq_length = None
decoder_seq_length = None
batch_size = 50
epochs = 40

# same data for training 
input_seqs=()#shape (1000,60,1) with sliding windows
target_seqs=()#shape(1000,60,1) with sliding windows but reversed
x= #what has x to be ?

#data for inference 
# how do I specify the input data for my other time series ?

# Define training model
encoder_inputs = Input(shape=(encoder_seq_length,
                          num_encoder_tokens))
encoder = LSTM(128, return_state=True, return_sequences=True)
encoder_outputs = encoder(encoder_inputs)
_, encoder_states = encoder_outputs[0], encoder_outputs[1:]

decoder_inputs = Input(shape=(decoder_seq_length,
                          num_decoder_tokens))
decoder = LSTM(128, return_sequences=True)
decoder_outputs = decoder(decoder_inputs, initial_state=encoder_states)
decoder_outputs = TimeDistributed(
Dense(num_decoder_tokens, activation='tanh'))(decoder_outputs)
model = Model([encoder_inputs, decoder_inputs], decoder_outputs)

# Training
model.compile(optimizer='adam', loss='mse')
model.fit([input_seqs,x], target_seqs,
      batch_size=batch_size, epochs=epochs)


# Define sampling models for inference
encoder_model = Model(encoder_inputs, encoder_states)

decoder_state_input_h = Input(shape=(100,))
decoder_state_input_c = Input(shape=(100,))
decoder_states = [decoder_state_input_h, decoder_state_input_c]
decoder_outputs = decoder(decoder_inputs,
                      initial_state=decoder_states)
decoder_model = Model([decoder_inputs] + decoder_states,
decoder_outputs)

# Sampling loop for a batch of sequences
states_values = encoder_model.predict(input_seqs)
stop_condition = False
while not stop_condition:
    output_tokens = decoder_model.predict([target_seqs] + states_values)
#what else do I need to include here ? 
    break

回答1:

def predict_sequence(infenc, infdec, source, n_steps, cardinality):
    # encode
    state = infenc.predict(source)
    # start of sequence input
    target_seq = array([0.0 for _ in range(cardinality)]).reshape(1, 1, cardinality)
    # collect predictions
    output = list()
    for t in range(n_steps):
        # predict next char
        yhat, h, c = infdec.predict([target_seq] + state)
        # store prediction
        output.append(yhat[0,0,:])
        # update state
        state = [h, c]
        # update target sequence
        target_seq = yhat
    return array(output)

You can see that the output from every timestep is fed back to the LSTM cell externally.

回答2:

You can refer the blog and find how it is done during inference.

https://machinelearningmastery.com/develop-encoder-decoder-model-sequence-sequence-prediction-keras/

回答3:

During training, we give the data in a one shot manner. I think you understand that part.

But during the inference time, we can't do like that. We have to give the data at every time step and then return the cell states, hidden states and the loop should continue till the last word is generated

来源：https://stackoverflow.com/questions/50784540/seq2seq-prediction-for-time-series

标签

python

tensorflow

keras

time-series

lstm