Multi-Step LSTM预测(2)
关联教程:
多步预测的LSTM网络
数据准备
1、变成具有稳定性数据
2、缩放数据
LSTM模型预测过程
1、数据预测处理,准备数据
2、定义模型
3、训练模型
4、预测
5、数据逆变换
6、评估
代码
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from pandas import DataFrame
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from pandas import Series
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from pandas import concat
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from pandas import read_csv
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from pandas import datetime
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from sklearn.metrics import mean_squared_error
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from sklearn.preprocessing import MinMaxScaler
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from keras.models import Sequential
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from keras.layers import Dense
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from keras.layers import LSTM
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from math import sqrt
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from matplotlib import pyplot
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from numpy import array
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# date-time parsing function for loading the dataset
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def parser(x):
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return datetime.strptime( '190'+x, '%Y-%m')
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# convert time series into supervised learning problem
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def series_to_supervised(data, n_in=1, n_out=1, dropnan=True):
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n_vars = 1 if type(data) is list else data.shape[ 1]
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df = DataFrame(data)
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cols, names = list(), list()
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# input sequence (t-n, ... t-1)
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for i in range(n_in, 0, -1):
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cols.append(df.shift(i))
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names += [( 'var%d(t-%d)' % (j+ 1, i)) for j in range(n_vars)]
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# forecast sequence (t, t+1, ... t+n)
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for i in range( 0, n_out):
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cols.append(df.shift(-i))
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if i == 0:
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names += [( 'var%d(t)' % (j+ 1)) for j in range(n_vars)]
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else:
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names += [( 'var%d(t+%d)' % (j+ 1, i)) for j in range(n_vars)]
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# put it all together
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agg = concat(cols, axis= 1)
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agg.columns = names
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# drop rows with NaN values
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if dropnan:
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agg.dropna(inplace= True)
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return agg
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# create a differenced series
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def difference(dataset, interval=1):
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diff = list()
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for i in range(interval, len(dataset)):
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value = dataset[i] - dataset[i - interval]
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diff.append(value)
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return Series(diff)
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# transform series into train and test sets for supervised learning
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def prepare_data(series, n_test, n_lag, n_seq):
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# extract raw values
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raw_values = series.values
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# transform data to be stationary
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diff_series = difference(raw_values, 1)
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diff_values = diff_series.values
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diff_values = diff_values.reshape(len(diff_values), 1)
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# rescale values to -1, 1
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scaler = MinMaxScaler(feature_range=( -1, 1))
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scaled_values = scaler.fit_transform(diff_values)
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scaled_values = scaled_values.reshape(len(scaled_values), 1)
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# transform into supervised learning problem X, y
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supervised = series_to_supervised(scaled_values, n_lag, n_seq)
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supervised_values = supervised.values
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# split into train and test sets
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train, test = supervised_values[ 0:-n_test], supervised_values[-n_test:]
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return scaler, train, test
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# fit an LSTM network to training data
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def fit_lstm(train, n_lag, n_seq, n_batch, nb_epoch, n_neurons):
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# reshape training into [samples, timesteps, features]
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X, y = train[:, 0:n_lag], train[:, n_lag:]
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X = X.reshape(X.shape[ 0], 1, X.shape[ 1])
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# design network
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model = Sequential()
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model.add(LSTM(n_neurons, batch_input_shape=(n_batch, X.shape[ 1], X.shape[ 2]), stateful= True))
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model.add(Dense(y.shape[ 1]))
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model.compile(loss= 'mean_squared_error', optimizer= 'adam')
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# fit network
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for i in range(nb_epoch):
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model.fit(X, y, epochs= 1, batch_size=n_batch, verbose= 0, shuffle= False)
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model.reset_states()
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return model
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# make one forecast with an LSTM,
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def forecast_lstm(model, X, n_batch):
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# reshape input pattern to [samples, timesteps, features]
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X = X.reshape( 1, 1, len(X))
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# make forecast
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forecast = model.predict(X, batch_size=n_batch)
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# convert to array
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return [x for x in forecast[ 0, :]]
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# evaluate the persistence model
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def make_forecasts(model, n_batch, train, test, n_lag, n_seq):
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forecasts = list()
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for i in range(len(test)):
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X, y = test[i, 0:n_lag], test[i, n_lag:]
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# make forecast
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forecast = forecast_lstm(model, X, n_batch)
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# store the forecast
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forecasts.append(forecast)
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return forecasts
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# invert differenced forecast
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def inverse_difference(last_ob, forecast):
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# invert first forecast
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inverted = list()
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inverted.append(forecast[ 0] + last_ob)
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# propagate difference forecast using inverted first value
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for i in range( 1, len(forecast)):
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inverted.append(forecast[i] + inverted[i -1])
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return inverted
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# inverse data transform on forecasts
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def inverse_transform(series, forecasts, scaler, n_test):
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inverted = list()
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for i in range(len(forecasts)):
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# create array from forecast
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forecast = array(forecasts[i])
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forecast = forecast.reshape( 1, len(forecast))
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# invert scaling
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inv_scale = scaler.inverse_transform(forecast)
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inv_scale = inv_scale[ 0, :]
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# invert differencing
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index = len(series) - n_test + i - 1
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last_ob = series.values[index]
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inv_diff = inverse_difference(last_ob, inv_scale)
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# store
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inverted.append(inv_diff)
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return inverted
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# evaluate the RMSE for each forecast time step
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def evaluate_forecasts(test, forecasts, n_lag, n_seq):
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for i in range(n_seq):
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actual = [row[i] for row in test]
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predicted = [forecast[i] for forecast in forecasts]
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rmse = sqrt(mean_squared_error(actual, predicted))
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print( 't+%d RMSE: %f' % ((i+ 1), rmse))
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# plot the forecasts in the context of the original dataset
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def plot_forecasts(series, forecasts, n_test):
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# plot the entire dataset in blue
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pyplot.plot(series.values)
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# plot the forecasts in red
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for i in range(len(forecasts)):
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off_s = len(series) - n_test + i - 1
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off_e = off_s + len(forecasts[i]) + 1
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xaxis = [x for x in range(off_s, off_e)]
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yaxis = [series.values[off_s]] + forecasts[i]
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pyplot.plot(xaxis, yaxis, color= 'red')
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# show the plot
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pyplot.show()
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# load dataset
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series = read_csv( 'shampoo-sales.csv', header= 0, parse_dates=[ 0], index_col= 0, squeeze= True, date_parser=parser)
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# configure
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n_lag = 1
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n_seq = 3
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n_test = 10
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n_epochs = 1500
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n_batch = 1
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n_neurons = 1
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# prepare data
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scaler, train, test = prepare_data(series, n_test, n_lag, n_seq)
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# fit model
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model = fit_lstm(train, n_lag, n_seq, n_batch, n_epochs, n_neurons)
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# make forecasts
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forecasts = make_forecasts(model, n_batch, train, test, n_lag, n_seq)
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# inverse transform forecasts and test
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forecasts = inverse_transform(series, forecasts, scaler, n_test+ 2)
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actual = [row[n_lag:] for row in test]
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actual = inverse_transform(series, actual, scaler, n_test+ 2)
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# evaluate forecasts
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evaluate_forecasts(actual, forecasts, n_lag, n_seq)
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# plot forecasts
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plot_forecasts(series, forecasts, n_test+ 2)