使用CNN+BiLSTM+Attention进行多维时间序列预测可以提高预测的准确性。这种模型结构可以捕捉到时间序列中的长期依赖关系和局部相关性,同时对不同维度的特征进行建模。下面是使用Keras实现CNN+BiLSTM+Attention的多维时间序列预测的示例代码。
```python
from keras.models import Model
from keras.layers import Input, Conv1D, MaxPooling1D, Flatten, Dense, LSTM, Bidirectional, Dropout, concatenate, Permute, Reshape, Multiply
from keras.optimizers import Adam
from keras.callbacks import EarlyStopping, ReduceLROnPlateau
from keras import backend as K
def attention_3d_block(inputs):
a = Permute((2, 1))(inputs)
a = Dense(TIME_STEPS, activation='softmax')(a)
a_probs = Permute((2, 1))(a)
output_attention_mul = Multiply()([inputs, a_probs])
return output_attention_mul
def build_model():
main_inputs = Input(shape=(TIME_STEPS, INPUT_DIM, ))
cnn1 = Conv1D(filters=64, kernel_size=3, activation='relu', padding='same')(main_inputs)
cnn1 = MaxPooling1D(pool_size=2)(cnn1)
cnn1 = Dropout(0.2)(cnn1)
cnn2 = Conv1D(filters=128, kernel_size=3, activation='relu', padding='same')(cnn1)
cnn2 = MaxPooling1D(pool_size=2)(cnn2)
cnn2 = Dropout(0.2)(cnn2)
cnn3 = Conv1D(filters=256, kernel_size=3, activation='relu', padding='same')(cnn2)
cnn3 = MaxPooling1D(pool_size=2)(cnn3)
cnn3 = Dropout(0.2)(cnn3)
lstm = Bidirectional(LSTM(units=128, return_sequences=True, dropout=0.5))(cnn3)
attention_mul = attention_3d_block(lstm)
attention_mul = Flatten()(attention_mul)
dense1 = Dense(units=64, activation='relu')(attention_mul)
dense1 = Dropout(0.5)(dense1)
dense2 = Dense(units=1, activation='linear')(dense1)
model = Model(inputs=main_inputs, outputs=dense2)
model.compile(optimizer=Adam(lr=0.001), loss='mse')
return model
```
在这个模型中,我们使用了三个卷积层、一个双向LSTM层和一个Attention层。卷积层用于提取时间序列的局部特征,LSTM层用于捕捉时间序列的长期依赖关系,Attention层用于加强对LSTM的关注。
我们使用了EarlyStopping和ReduceLROnPlateau两个回调函数来帮助我们控制模型的训练过程。其中EarlyStopping用于防止过拟合,ReduceLROnPlateau用于调整学习率。
```python
# 训练模型
model = build_model()
early_stopping = EarlyStopping(monitor='val_loss', patience=10)
reduce_lr = ReduceLROnPlateau(monitor='val_loss', factor=0.1, patience=5)
history = model.fit(X_train, y_train, batch_size=BATCH_SIZE, epochs=EPOCHS, validation_data=(X_val, y_val), callbacks=[early_stopping, reduce_lr])
# 预测结果
y_pred = model.predict(X_test)
# 评估模型
score = model.evaluate(X_test, y_test, batch_size=BATCH_SIZE)
print('Test loss:', score)
```
在训练过程中,我们可以通过调用fit函数来训练模型。在预测时,我们可以使用predict函数来进行预测。在评估模型时,我们可以使用evaluate函数来计算模型的损失。