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af8acc4760
* add distribution head to forecasting
* formatting
* Add generate function for forecasting
* Add generate function to prediction task
* formatting
* use argsort
* add past_observed_mask ordering
* fix arguments
* docs
* add back test_model_outputs_equivalence test
* formatting
* cleanup
* formatting
* use ACT2CLS
* formatting
* fix add_start_docstrings decorator
* add distribution head and generate function to regression task
add distribution head and generate function to regression task. Also made add PatchTSTForForecastingOutput, PatchTSTForRegressionOutput.
* add distribution head and generate function to regression task
add distribution head and generate function to regression task. Also made add PatchTSTForForecastingOutput, PatchTSTForRegressionOutput.
* fix typos
* add forecast_masking
* fixed tests
* use set_seed
* fix doc test
* formatting
* Update docs/source/en/model_doc/patchtst.md
Co-authored-by: NielsRogge <48327001+NielsRogge@users.noreply.github.com>
* better var names
* rename PatchTSTTranspose
* fix argument names and docs string
* remove compute_num_patches and unused class
* remove assert
* renamed to PatchTSTMasking
* use num_labels for classification
* use num_labels
* use default num_labels from super class
* move model_type after docstring
* renamed PatchTSTForMaskPretraining
* bs -> batch_size
* more review fixes
* use hidden_state
* rename encoder layer and block class
* remove commented seed_number
* edit docstring
* Add docstring
* formatting
* use past_observed_mask
* doc suggestion
* make fix-copies
* use Args:
* add docstring
* add docstring
* change some variable names and add PatchTST before some class names
* formatting
* fix argument types
* fix tests
* change x variable to patch_input
* format
* formatting
* fix-copies
* Update tests/models/patchtst/test_modeling_patchtst.py
Co-authored-by: Patrick von Platen <patrick.v.platen@gmail.com>
* move loss to forward
* Update src/transformers/models/patchtst/modeling_patchtst.py
Co-authored-by: Patrick von Platen <patrick.v.platen@gmail.com>
* Update src/transformers/models/patchtst/modeling_patchtst.py
Co-authored-by: Patrick von Platen <patrick.v.platen@gmail.com>
* Update src/transformers/models/patchtst/modeling_patchtst.py
Co-authored-by: Patrick von Platen <patrick.v.platen@gmail.com>
* Update src/transformers/models/patchtst/modeling_patchtst.py
Co-authored-by: Patrick von Platen <patrick.v.platen@gmail.com>
* Update src/transformers/models/patchtst/modeling_patchtst.py
Co-authored-by: Patrick von Platen <patrick.v.platen@gmail.com>
* formatting
* fix a bug when pre_norm is set to True
* output_hidden_states is set to False as default
* set pre_norm=True as default
* format docstring
* format
* output_hidden_states is None by default
* add missing docs
* better var names
* docstring: remove default to False in output_hidden_states
* change labels name to target_values in regression task
* format
* fix tests
* change to forecast_mask_ratios and random_mask_ratio
* change mask names
* change future_values to target_values param in the prediction class
* remove nn.Sequential and make PatchTSTBatchNorm class
* black
* fix argument name for prediction
* add output_attentions option
* add output_attentions to PatchTSTEncoder
* formatting
* Add attention output option to all classes
* Remove PatchTSTEncoderBlock
* create PatchTSTEmbedding class
* use config in PatchTSTPatchify
* Use config in PatchTSTMasking class
* add channel_attn_weights
* Add PatchTSTScaler class
* add output_attentions arg to test function
* format
* Update doc with image patchtst.md
* fix-copies
* rename Forecast <-> Prediction
* change name of a few parameters to match with PatchTSMixer.
* Remove *ForForecasting class to match with other time series models.
* make style
* Remove PatchTSTForForecasting in the test
* remove PatchTSTForForecastingOutput class
* change test_forecast_head to test_prediction_head
* style
* fix docs
* fix tests
* change num_labels to num_targets
* Remove PatchTSTTranspose
* remove arguments in PatchTSTMeanScaler
* remove arguments in PatchTSTStdScaler
* add config as an argument to all the scaler classes
* reformat
* Add norm_eps for batchnorm and layernorm
* reformat.
* reformat
* edit docstring
* update docstring
* change variable name pooling to pooling_type
* fix output_hidden_states as tuple
* fix bug when calling PatchTSTBatchNorm
* change stride to patch_stride
* create PatchTSTPositionalEncoding class and restructure the PatchTSTEncoder
* formatting
* initialize scalers with configs
* edit output_hidden_states
* style
* fix forecast_mask_patches doc string
* doc improvements
* move summary to the start
* typo
* fix docstring
* turn off masking when using prediction, regression, classification
* return scaled output
* adjust output when using distribution head
* remove _num_patches function in the config
* get config.num_patches from patchifier init
* add output_attentions docstring, remove tuple in output_hidden_states
* change SamplePatchTSTPredictionOutput and SamplePatchTSTRegressionOutput to SamplePatchTSTOutput
* remove print("model_class: ", model_class)
* change encoder_attention_heads to num_attention_heads
* change norm to norm_layer
* change encoder_layers to num_hidden_layers
* change shared_embedding to share_embedding, shared_projection to share_projection
* add output_attentions
* more robust check of norm_type
* change dropout_path to path_dropout
* edit docstring
* remove positional_encoding function and add _init_pe in PatchTSTPositionalEncoding
* edit shape of cls_token and initialize it
* add a check on the num_input_channels.
* edit head_dim in the Prediction class to allow the use of cls_token
* remove some positional_encoding_type options, remove learn_pe arg, initalize pe
* change Exception to ValueError
* format
* norm_type is "batchnorm"
* make style
* change cls_token shape
* Change forecast_mask_patches to num_mask_patches. Remove forecast_mask_ratios.
* Bring PatchTSTClassificationHead on top of PatchTSTForClassification
* change encoder_ffn_dim to ffn_dim and edit the docstring.
* update variable names to match with the config
* add generation tests
* change num_mask_patches to num_forecast_mask_patches
* Add examples explaining the use of these models
* make style
* Revert "Revert "[time series] Add PatchTST (#25927)" (#27486)"
This reverts commit 78f6ed6c70.
* make style
* fix default std scaler's minimum_scale
* fix docstring
* close code blocks
* Update docs/source/en/model_doc/patchtst.md
Co-authored-by: amyeroberts <22614925+amyeroberts@users.noreply.github.com>
* Update tests/models/patchtst/test_modeling_patchtst.py
Co-authored-by: amyeroberts <22614925+amyeroberts@users.noreply.github.com>
* Update src/transformers/models/patchtst/modeling_patchtst.py
Co-authored-by: amyeroberts <22614925+amyeroberts@users.noreply.github.com>
* Update src/transformers/models/patchtst/configuration_patchtst.py
Co-authored-by: amyeroberts <22614925+amyeroberts@users.noreply.github.com>
* Update src/transformers/models/patchtst/modeling_patchtst.py
Co-authored-by: amyeroberts <22614925+amyeroberts@users.noreply.github.com>
* Update src/transformers/models/patchtst/modeling_patchtst.py
Co-authored-by: amyeroberts <22614925+amyeroberts@users.noreply.github.com>
* Update src/transformers/models/patchtst/modeling_patchtst.py
Co-authored-by: amyeroberts <22614925+amyeroberts@users.noreply.github.com>
* Update src/transformers/models/patchtst/modeling_patchtst.py
Co-authored-by: amyeroberts <22614925+amyeroberts@users.noreply.github.com>
* Update src/transformers/models/patchtst/modeling_patchtst.py
Co-authored-by: amyeroberts <22614925+amyeroberts@users.noreply.github.com>
* Update src/transformers/models/patchtst/modeling_patchtst.py
Co-authored-by: amyeroberts <22614925+amyeroberts@users.noreply.github.com>
* Update src/transformers/models/patchtst/modeling_patchtst.py
Co-authored-by: amyeroberts <22614925+amyeroberts@users.noreply.github.com>
* fix tests
* add add_start_docstrings
* move examples to the forward's docstrings
* update prepare_batch
* update test
* fix test_prediction_head
* fix generation test
* use seed to create generator
* add output_hidden_states and config.num_patches
* add loc and scale args in PatchTSTForPredictionOutput
* edit outputs if if not return_dict
* use self.share_embedding to check instead checking type.
* remove seed
* make style
* seed is an optional int
* fix test
* generator device
* Fix assertTrue test
* swap order of items in outputs when return_dict=False.
* add mask_type and random_mask_ratio to unittest
* Update modeling_patchtst.py
* add add_start_docstrings for regression model
* make style
* update model path
* Edit the ValueError comment in forecast_masking
* update examples
* make style
* fix commented code
* update examples: remove config from from_pretrained call
* Edit example outputs
* Set default target_values to None
* remove config setting in regression example
* Update configuration_patchtst.py
* Update configuration_patchtst.py
* remove config from examples
* change default d_model and ffn_dim
* norm_eps default
* set has_attentions to Trye and define self.seq_length = self.num_patche
* update docstring
* change variable mask_input to do_mask_input
* fix blank space.
* change logger.debug to logger.warning.
* remove unused PATCHTST_INPUTS_DOCSTRING
* remove all_generative_model_classes
* set test_missing_keys=True
* remove undefined params in the docstring.
---------
Co-authored-by: nnguyen <nnguyen@us.ibm.com>
Co-authored-by: NielsRogge <48327001+NielsRogge@users.noreply.github.com>
Co-authored-by: Patrick von Platen <patrick.v.platen@gmail.com>
Co-authored-by: Nam Nguyen <namctin@gmail.com>
Co-authored-by: Wesley Gifford <79663411+wgifford@users.noreply.github.com>
Co-authored-by: amyeroberts <22614925+amyeroberts@users.noreply.github.com>
3.5 KiB
3.5 KiB
PatchTST
Overview
The PatchTST model was proposed in A Time Series is Worth 64 Words: Long-term Forecasting with Transformers by Yuqi Nie, Nam H. Nguyen, Phanwadee Sinthong and Jayant Kalagnanam.
At a high level the model vectorizes time series into patches of a given size and encodes the resulting sequence of vectors via a Transformer that then outputs the prediction length forecast via an appropriate head. The model is illustrated in the following figure:
The abstract from the paper is the following:
We propose an efficient design of Transformer-based models for multivariate time series forecasting and self-supervised representation learning. It is based on two key components: (i) segmentation of time series into subseries-level patches which are served as input tokens to Transformer; (ii) channel-independence where each channel contains a single univariate time series that shares the same embedding and Transformer weights across all the series. Patching design naturally has three-fold benefit: local semantic information is retained in the embedding; computation and memory usage of the attention maps are quadratically reduced given the same look-back window; and the model can attend longer history. Our channel-independent patch time series Transformer (PatchTST) can improve the long-term forecasting accuracy significantly when compared with that of SOTA Transformer-based models. We also apply our model to self-supervised pre-training tasks and attain excellent fine-tuning performance, which outperforms supervised training on large datasets. Transferring of masked pre-trained representation on one dataset to others also produces SOTA forecasting accuracy.
This model was contributed by namctin, gsinthong, diepi, vijaye12, wmgifford, and kashif. The original code can be found here.
Usage tips
The model can also be used for time series classification and time series regression. See the respective [PatchTSTForClassification] and [PatchTSTForRegression] classes.
PatchTSTConfig
autodoc PatchTSTConfig
PatchTSTModel
autodoc PatchTSTModel - forward
PatchTSTForPrediction
autodoc PatchTSTForPrediction - forward
PatchTSTForClassification
autodoc PatchTSTForClassification - forward
PatchTSTForPretraining
autodoc PatchTSTForPretraining - forward
PatchTSTForRegression
autodoc PatchTSTForRegression - forward