更多精彩内容详见个人量化交易专辑索引
import tensorflow as tf
import numpy as np
import matplotlib.pyplot as plt
class WindowGenerator():
def __init__(self, input_width, label_width, shift,
train_df, val_df, test_df,
label_columns=None):
# Store the raw data.
self.train_df = train_df
self.val_df = val_df
self.test_df = test_df
# Work out the label column indices.
self.label_columns = label_columns
if label_columns is not None:
self.label_columns_indices = {name: i for i, name in
enumerate(label_columns)}
self.column_indices = {name: i for i, name in
enumerate(train_df.columns)}
# Work out the window parameters.
self.input_width = input_width
self.label_width = label_width
self.shift = shift
self.total_window_size = input_width + shift
self.input_slice = slice(0, input_width)
self.input_indices = np.arange(self.total_window_size)[self.input_slice]
self.label_start = self.total_window_size - self.label_width
self.labels_slice = slice(self.label_start, None)
self.label_indices = np.arange(self.total_window_size)[self.labels_slice]
def __repr__(self):
return '\n'.join([
f'Total window size: {self.total_window_size}',
f'Input indices: {self.input_indices}',
f'Label indices: {self.label_indices}',
f'Label column name(s): {self.label_columns}'])
def split_window(self, features):
inputs = features[:, self.input_slice, :]
labels = features[:, self.labels_slice, :]
if self.label_columns is not None:
labels = tf.stack(
[labels[:, :, self.column_indices[name]] for name in self.label_columns],
axis=-1)
# Slicing doesn't preserve static shape information, so set the shapes
# manually. This way the `tf.data.Datasets` are easier to inspect.
inputs.set_shape([None, self.input_width, None])
labels.set_shape([None, self.label_width, None])
return inputs, labels
WindowGenerator.split_window = split_window
def plot(self, plot_col, dataset, model=None, max_subplots=3):
# inputs, labels = self.example
inputs, labels = next(iter(dataset))
plt.figure(figsize=(12, 8))
plot_col_index = self.column_indices[plot_col]
max_n = min(max_subplots, len(inputs))
for n in range(max_n):
plt.subplot(max_n, 1, n+1)
plt.ylabel(f'{plot_col} [normed]')
plt.plot(self.input_indices, inputs[n, :, plot_col_index],
label='Inputs', marker='.', zorder=-10)
if self.label_columns:
label_col_index = self.label_columns_indices.get(plot_col, None)
else:
label_col_index = plot_col_index
if label_col_index is None:
continue
plt.scatter(self.label_indices, labels[n, :, label_col_index],
edgecolors='k', label='Labels', c='#2ca02c', s=64)
if model is not None:
predictions = model(inputs)
plt.scatter(self.label_indices, predictions[n, :, label_col_index],
marker='X', edgecolors='k', label='Predictions',
c='#ff7f0e', s=64)
if n == 0:
plt.legend()
plt.xlabel('Time [day]')
WindowGenerator.plot = plot
def make_dataset(self, data):
data = np.array(data, dtype=np.float32)
ds = tf.keras.utils.timeseries_dataset_from_array(
data=data,
targets=None,
sequence_length=self.total_window_size,
sequence_stride=1,
shuffle=True,
batch_size=64,)
ds = ds.map(self.split_window)
return ds
WindowGenerator.make_dataset = make_dataset
@property
def train(self):
return self.make_dataset(self.train_df)
@property
def val(self):
return self.make_dataset(self.val_df)
@property
def test(self):
return self.make_dataset(self.test_df)
@property
def example(self):
"""Get and cache an example batch of `inputs, labels` for plotting."""
result = getattr(self, '_example', None)
if result is None:
# No example batch was found, so get one from the `.train` dataset
result = next(iter(self.train))
# And cache it for next time
self._example = result
return result
WindowGenerator.train = train
WindowGenerator.val = val
WindowGenerator.test = test
WindowGenerator.example = example