forecasting_with_machine__learning.ipynb

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  "metadata": {
    "colab": {
      "name": "forecasting_with_machine _learning.ipynb",
      "provenance": [],
      "collapsed_sections": [
        "vidayERjaO5q"
      ],
      "include_colab_link": true
    },
    "kernelspec": {
      "name": "python3",
      "display_name": "Python 3"
    },
    "accelerator": "GPU"
  },
  "cells": [
    {
      "cell_type": "markdown",
      "metadata": {
        "id": "view-in-github",
        "colab_type": "text"
      },
      "source": [
        "<a href=\"https://colab.research.google.com/github/sanikamal/time-series-analysis-and-forecasting-atoz/blob/master/forecasting_with_machine__learning.ipynb\" target=\"_parent\"><img src=\"https://colab.research.google.com/assets/colab-badge.svg\" alt=\"Open In Colab\"/></a>"
      ]
    },
    {
      "cell_type": "markdown",
      "metadata": {
        "colab_type": "text",
        "id": "yHG6wUbvifuX"
      },
      "source": [
        "# Forecasting with machine learning"
      ]
    },
    {
      "cell_type": "markdown",
      "metadata": {
        "colab_type": "text",
        "id": "vidayERjaO5q"
      },
      "source": [
        "## Setup"
      ]
    },
    {
      "cell_type": "code",
      "metadata": {
        "id": "0Psx97LS0Seq",
        "colab_type": "code",
        "colab": {}
      },
      "source": [
        "# !pip install --upgrade tensorflow"
      ],
      "execution_count": 0,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "colab_type": "code",
        "id": "gqWabzlJ63nL",
        "colab": {}
      },
      "source": [
        "import numpy as np\n",
        "import matplotlib.pyplot as plt\n",
        "import tensorflow as tf\n",
        "\n",
        "keras = tf.keras"
      ],
      "execution_count": 0,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "colab_type": "code",
        "id": "cg1hfKCPldZG",
        "colab": {}
      },
      "source": [
        "def plot_series(time, series, format=\"-\", start=0, end=None, label=None):\n",
        "    plt.plot(time[start:end], series[start:end], format, label=label)\n",
        "    plt.xlabel(\"Time\")\n",
        "    plt.ylabel(\"Value\")\n",
        "    if label:\n",
        "        plt.legend(fontsize=14)\n",
        "    plt.grid(True)\n",
        "    \n",
        "def trend(time, slope=0):\n",
        "    return slope * time\n",
        "  \n",
        "  \n",
        "def seasonal_pattern(season_time):\n",
        "    \"\"\"Just an arbitrary pattern, you can change it if you wish\"\"\"\n",
        "    return np.where(season_time < 0.4,\n",
        "                    np.cos(season_time * 2 * np.pi),\n",
        "                    1 / np.exp(3 * season_time))\n",
        "\n",
        "  \n",
        "def seasonality(time, period, amplitude=1, phase=0):\n",
        "    \"\"\"Repeats the same pattern at each period\"\"\"\n",
        "    season_time = ((time + phase) % period) / period\n",
        "    return amplitude * seasonal_pattern(season_time)\n",
        "  \n",
        "  \n",
        "def white_noise(time, noise_level=1, seed=None):\n",
        "    rnd = np.random.RandomState(seed)\n",
        "    return rnd.randn(len(time)) * noise_level"
      ],
      "execution_count": 0,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "colab_type": "code",
        "id": "iL2DDjV3lel6",
        "colab": {}
      },
      "source": [
        "time = np.arange(4 * 365 + 1)\n",
        "\n",
        "slope = 0.05\n",
        "baseline = 10\n",
        "amplitude = 40\n",
        "series = baseline + trend(time, slope) + seasonality(time, period=365, amplitude=amplitude)\n",
        "\n",
        "noise_level = 5\n",
        "noise = white_noise(time, noise_level, seed=42)\n",
        "\n",
        "series += noise\n",
        "\n",
        "plt.figure(figsize=(10, 6))\n",
        "plot_series(time, series)\n",
        "plt.show()"
      ],
      "execution_count": 0,
      "outputs": []
    },
    {
      "cell_type": "markdown",
      "metadata": {
        "colab_type": "text",
        "id": "ViWVB9qd8OIR"
      },
      "source": [
        "## Forecasting with Machine Learning\n",
        "\n",
        "First, we will train a model to forecast the next step given the previous 20 steps, therefore, we need to create a dataset of 20-step windows for training."
      ]
    },
    {
      "cell_type": "code",
      "metadata": {
        "colab_type": "code",
        "id": "1tl-0BOKkEtk",
        "colab": {}
      },
      "source": [
        "def window_dataset(series, window_size, batch_size=32,\n",
        "                   shuffle_buffer=1000):\n",
        "    dataset = tf.data.Dataset.from_tensor_slices(series)\n",
        "    dataset = dataset.window(window_size + 1, shift=1, drop_remainder=True)\n",
        "    dataset = dataset.flat_map(lambda window: window.batch(window_size + 1))\n",
        "    dataset = dataset.shuffle(shuffle_buffer)\n",
        "    dataset = dataset.map(lambda window: (window[:-1], window[-1]))\n",
        "    dataset = dataset.batch(batch_size).prefetch(1)\n",
        "    return dataset"
      ],
      "execution_count": 0,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "colab_type": "code",
        "id": "Zmp1JXKxk9Vb",
        "colab": {}
      },
      "source": [
        "split_time = 1000\n",
        "time_train = time[:split_time]\n",
        "x_train = series[:split_time]\n",
        "time_valid = time[split_time:]\n",
        "x_valid = series[split_time:]"
      ],
      "execution_count": 0,
      "outputs": []
    },
    {
      "cell_type": "markdown",
      "metadata": {
        "colab_type": "text",
        "id": "T1IvwAFn8OIc"
      },
      "source": [
        "### Linear Model"
      ]
    },
    {
      "cell_type": "code",
      "metadata": {
        "colab_type": "code",
        "id": "ieOKdcEQ0A6k",
        "colab": {}
      },
      "source": [
        "keras.backend.clear_session()\n",
        "tf.random.set_seed(42)\n",
        "np.random.seed(42)\n",
        "\n",
        "window_size = 30\n",
        "train_set = window_dataset(x_train, window_size)\n",
        "valid_set = window_dataset(x_valid, window_size)\n",
        "\n",
        "model = keras.models.Sequential([\n",
        "  keras.layers.Dense(1, input_shape=[window_size])\n",
        "])\n",
        "optimizer = keras.optimizers.SGD(lr=1e-5, momentum=0.9)\n",
        "model.compile(loss=keras.losses.Huber(),\n",
        "              optimizer=optimizer,\n",
        "              metrics=[\"mae\"])\n",
        "model.fit(train_set, epochs=100, validation_data=valid_set)"
      ],
      "execution_count": 0,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "colab_type": "code",
        "id": "N3N8AGRM8OIc",
        "colab": {}
      },
      "source": [
        "keras.backend.clear_session()\n",
        "tf.random.set_seed(42)\n",
        "np.random.seed(42)\n",
        "\n",
        "window_size = 30\n",
        "train_set = window_dataset(x_train, window_size)\n",
        "\n",
        "model = keras.models.Sequential([\n",
        "  keras.layers.Dense(1, input_shape=[window_size])\n",
        "])\n",
        "\n",
        "lr_schedule = keras.callbacks.LearningRateScheduler(\n",
        "    lambda epoch: 1e-6 * 10**(epoch / 30))\n",
        "optimizer = keras.optimizers.SGD(lr=1e-6, momentum=0.9)\n",
        "model.compile(loss=keras.losses.Huber(),\n",
        "              optimizer=optimizer,\n",
        "              metrics=[\"mae\"])\n",
        "history = model.fit(train_set, epochs=100, callbacks=[lr_schedule])"
      ],
      "execution_count": 0,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "colab_type": "code",
        "id": "PF9e7IDm8OId",
        "colab": {}
      },
      "source": [
        "plt.semilogx(history.history[\"lr\"], history.history[\"loss\"])\n",
        "plt.axis([1e-6, 1e-3, 0, 20])"
      ],
      "execution_count": 0,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "colab_type": "code",
        "id": "uMNwyIFE8OIf",
        "colab": {}
      },
      "source": [
        "keras.backend.clear_session()\n",
        "tf.random.set_seed(42)\n",
        "np.random.seed(42)\n",
        "\n",
        "window_size = 30\n",
        "train_set = window_dataset(x_train, window_size)\n",
        "valid_set = window_dataset(x_valid, window_size)\n",
        "\n",
        "model = keras.models.Sequential([\n",
        "  keras.layers.Dense(1, input_shape=[window_size])\n",
        "])\n",
        "optimizer = keras.optimizers.SGD(lr=1e-5, momentum=0.9)\n",
        "model.compile(loss=keras.losses.Huber(),\n",
        "              optimizer=optimizer,\n",
        "              metrics=[\"mae\"])\n",
        "early_stopping = keras.callbacks.EarlyStopping(patience=10)\n",
        "model.fit(train_set, epochs=500,\n",
        "          validation_data=valid_set,\n",
        "          callbacks=[early_stopping])"
      ],
      "execution_count": 0,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "colab_type": "code",
        "id": "_eaAX9g_jS5W",
        "colab": {}
      },
      "source": [
        "def model_forecast(model, series, window_size):\n",
        "    ds = tf.data.Dataset.from_tensor_slices(series)\n",
        "    ds = ds.window(window_size, shift=1, drop_remainder=True)\n",
        "    ds = ds.flat_map(lambda w: w.batch(window_size))\n",
        "    ds = ds.batch(32).prefetch(1)\n",
        "    forecast = model.predict(ds)\n",
        "    return forecast"
      ],
      "execution_count": 0,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "colab_type": "code",
        "id": "FnIWROQ08OIj",
        "colab": {}
      },
      "source": [
        "lin_forecast = model_forecast(model, series[split_time - window_size:-1], window_size)[:, 0]"
      ],
      "execution_count": 0,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "colab_type": "code",
        "id": "xd7Tj_fA8OIk",
        "colab": {}
      },
      "source": [
        "lin_forecast.shape"
      ],
      "execution_count": 0,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "colab_type": "code",
        "id": "F-nftslfgQJs",
        "colab": {}
      },
      "source": [
        "plt.figure(figsize=(10, 6))\n",
        "plot_series(time_valid, x_valid)\n",
        "plot_series(time_valid, lin_forecast)"
      ],
      "execution_count": 0,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "colab_type": "code",
        "id": "W4E_jXktf7iv",
        "colab": {}
      },
      "source": [
        "keras.metrics.mean_absolute_error(x_valid, lin_forecast).numpy()"
      ],
      "execution_count": 0,
      "outputs": []
    },
    {
      "cell_type": "markdown",
      "metadata": {
        "colab_type": "text",
        "id": "9nEM33dZ8OIp"
      },
      "source": [
        "### Dense Model Forecasting"
      ]
    },
    {
      "cell_type": "code",
      "metadata": {
        "colab_type": "code",
        "id": "RhGTv4G_8OIp",
        "colab": {}
      },
      "source": [
        "keras.backend.clear_session()\n",
        "tf.random.set_seed(42)\n",
        "np.random.seed(42)\n",
        "\n",
        "window_size = 30\n",
        "train_set = window_dataset(x_train, window_size)\n",
        "\n",
        "model = keras.models.Sequential([\n",
        "  keras.layers.Dense(10, activation=\"relu\", input_shape=[window_size]),\n",
        "  keras.layers.Dense(10, activation=\"relu\"),\n",
        "  keras.layers.Dense(1)\n",
        "])\n",
        "\n",
        "lr_schedule = keras.callbacks.LearningRateScheduler(\n",
        "    lambda epoch: 1e-7 * 10**(epoch / 20))\n",
        "optimizer = keras.optimizers.SGD(lr=1e-7, momentum=0.9)\n",
        "model.compile(loss=keras.losses.Huber(),\n",
        "              optimizer=optimizer,\n",
        "              metrics=[\"mae\"])\n",
        "history = model.fit(train_set, epochs=100, callbacks=[lr_schedule])"
      ],
      "execution_count": 0,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "colab_type": "code",
        "id": "5g-nC_em8OIq",
        "colab": {}
      },
      "source": [
        "plt.semilogx(history.history[\"lr\"], history.history[\"loss\"])\n",
        "plt.axis([1e-7, 5e-3, 0, 30])"
      ],
      "execution_count": 0,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "colab_type": "code",
        "id": "B7t0VrCH8OIr",
        "colab": {}
      },
      "source": [
        "keras.backend.clear_session()\n",
        "tf.random.set_seed(42)\n",
        "np.random.seed(42)\n",
        "\n",
        "window_size = 30\n",
        "train_set = window_dataset(x_train, window_size)\n",
        "valid_set = window_dataset(x_valid, window_size)\n",
        "\n",
        "model = keras.models.Sequential([\n",
        "  keras.layers.Dense(10, activation=\"relu\", input_shape=[window_size]),\n",
        "  keras.layers.Dense(10, activation=\"relu\"),\n",
        "  keras.layers.Dense(1)\n",
        "])\n",
        "\n",
        "optimizer = keras.optimizers.SGD(lr=1e-5, momentum=0.9)\n",
        "model.compile(loss=keras.losses.Huber(),\n",
        "              optimizer=optimizer,\n",
        "              metrics=[\"mae\"])\n",
        "early_stopping = keras.callbacks.EarlyStopping(patience=10)\n",
        "model.fit(train_set, epochs=500,\n",
        "          validation_data=valid_set,\n",
        "          callbacks=[early_stopping])"
      ],
      "execution_count": 0,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "colab_type": "code",
        "id": "RqQbX6DZ8OIu",
        "colab": {}
      },
      "source": [
        "dense_forecast = model_forecast(\n",
        "    model,\n",
        "    series[split_time - window_size:-1],\n",
        "    window_size)[:, 0]"
      ],
      "execution_count": 0,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "colab_type": "code",
        "id": "98zwAuIo8OIv",
        "colab": {}
      },
      "source": [
        "plt.figure(figsize=(10, 6))\n",
        "plot_series(time_valid, x_valid)\n",
        "plot_series(time_valid, dense_forecast)"
      ],
      "execution_count": 0,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "colab_type": "code",
        "id": "EgkELN-58OIw",
        "colab": {}
      },
      "source": [
        "keras.metrics.mean_absolute_error(x_valid, dense_forecast).numpy()"
      ],
      "execution_count": 0,
      "outputs": []
    }
  ]
}