LSTM Autoencoder for time series prediction

问题

I am trying to build an LSTM Autoencoder to predict Time Series data. Since I am new to Python I have mistakes in the decoding part. I tried to build it up like here and Keras. I could not understand the difference between the given examples at all. The code that I have right now looks like:

Question 1: is how to choose the batch_size and input_dimension when each sample has 2000 values?

Question 2: How to get this LSTM Autoencoder working (the model and the prediction) ? This ist just the model, but how to predict? That it is predicting from the lets say starting from sample 10 on till the end of the data?

Mydata has in total 1500 samples, I would go with 10 time steps (or more if better), and each sample has 2000 Values. If you need more information I would include them as well later.

trainX = np.reshape(data, (1500, 10,2000))

from keras.layers import *
from keras.models import Model
from keras.layers import Input, LSTM, RepeatVector

parameter

timesteps=10
input_dim=2000
units=100 #choosen unit number randomly
batch_size=2000 
epochs=20

Model

inpE = Input((timesteps,input_dim)) 
outE = LSTM(units = units, return_sequences=False)(inpE)
encoder = Model(inpE,outE) 
inpD = RepeatVector(timesteps)(outE)
outD1 = LSTM(input_dim, return_sequences=True)(outD
decoder = Model(inpD,outD) 
autoencoder = Model(inpE, outD)
autoencoder.compile(loss='mean_squared_error',
          optimizer='rmsprop',
          metrics=['accuracy'])
autoencoder.fit(trainX, trainX,
      batch_size=batch_size,
      epochs=epochs)
encoderPredictions = encoder.predict(trainX)

回答1:

The LSTM model that I use is this one:

def get_model(n_dimensions):
    inputs = Input(shape=(timesteps, input_dim))
    encoded = LSTM(n_dimensions, return_sequences=False, name="encoder")(inputs)
    decoded = RepeatVector(timesteps)(encoded)
    decoded = LSTM(input_dim, return_sequences=True, name='decoder')(decoded)

    autoencoder = Model(inputs, decoded)
    encoder = Model(inputs, encoded)
    return autoencoder, encoder

autoencoder, encoder = get_model(n_dimensions)
autoencoder.compile(optimizer='rmsprop', loss='mse', 
                    metrics=['acc', 'cosine_proximity'])

history = autoencoder.fit(x, x, batch_size=100, epochs=100)
encoded = encoder.predict(x)

It works with the data that have, x is of size (3000, 180, 40), that is 3000 samples, timesteps=180 and input_dim=40.

来源：https://stackoverflow.com/questions/49945857/lstm-autoencoder-for-time-series-prediction

标签

python

keras

lstm