time-series.py

import matplotlib.pyplot as plt
import numpy as np
import tensorflow as tf
from tensorflow import keras


def plot_series(time, series, formats="-", start=0, end=None):
    plt.plot(time[start:end], series[start:end], formats)
    plt.xlabel("Time")
    plt.ylabel("Value")
    plt.grid(True)


def trend(time, slope=0):
    return slope * time


def seasonal_pattern(season_time):
    return np.where(season_time < 0.4, np.cos(season_time * 2 * np.pi), 1 / np.exp(3 * season_time))


def seasonality(time, period, amplitude=1, phase=0):
    season_time = ((time + phase) % period) / period
    return amplitude * seasonal_pattern(season_time)


def noise(time, noise_level=1, seed=None):
    rnd = np.random.RandomState(seed)
    return rnd.randn(len(time)) * noise_level


time = np.arange(4 * 365 + 1, dtype="float32")
baseline = 10
series = trend(time, 0.05)
amplitude = 15
slope = 0.09
noise_level = 6

series = baseline + trend(time, slope) + seasonality(time, period=365, amplitude=amplitude)
series += noise(time, noise_level, seed=42)

plot_series(time, series)


def windowed_dataset(series, window_size, batch_size, shuffle_buffer):
    dataset = tf.data.Dataset.from_tensor_slices(series)
    dataset = dataset.window(window_size + 1, shift=1, drop_remainder=True)
    dataset = dataset.flat_map(lambda window: window.batch(window_size + 1))
    dataset = dataset.shuffle(shuffle_buffer).map(lambda window: (window[:-1], window[-1]))
    dataset = dataset.batch(batch_size).prefetch(1)
    return dataset

split_time = 1000
time_train = time[:split_time]
x_train = series[:split_time]
time_valid = time[split_time:]
x_valid = series[split_time:]
window_size = 20
batch_size = 32
shuffle_buffer_size = 1000


dataset = windowed_dataset(x_train, window_size, batch_size, shuffle_buffer_size)

model = tf.keras.models.Sequential([
    tf.keras.layers.Dense(10, input_shape=[window_size], activation="relu"),
    tf.keras.layers.Dense(10, activation="relu"),
    tf.keras.layers.Dense(1)
])

model.compile(loss="mse", optimizer=tf.keras.optimizers.SGD(learning_rate=1e-6, momentum=0.9))
model.fit(dataset, epochs=100, verbose=1)

print(series[1000:1020])
print(series[1020])
print(model.predict(series[1000:1020][np.newaxis]))

forecast = []
for time in range(len(series) - window_size):
    forecast.append(
        model.predict(series[time:time + window_size][np.newaxis])
    )

forecast = forecast[split_time - window_size:]
results = np.array(forecast)[:, 0, 0]

plt.figure(figsize=(10, 6))

plot_series(time_valid, x_valid)
plot_series(time_valid, results)

print(tf.keras.metrics.mean_absolute_error(x_valid, results).numpy())