BiTCN

Bidirectional Temporal Convolutional Network (BiTCN) is a forecasting architecture based on two temporal convolutional networks (TCNs). The first network (‘forward’) encodes future covariates of the time series, whereas the second network (‘backward’) encodes past observations and covariates. This method allows to preserve the temporal information of sequence data, and is computationally more efficient than common RNN methods (LSTM, GRU, …). As compared to Transformer-based methods, BiTCN has a lower space complexity, i.e. it requires orders of magnitude less parameters.

This model may be a good choice if you seek a small model (small amount of trainable parameters) with few hyperparameters to tune (only 2).

References
-Olivier Sprangers, Sebastian Schelter, Maarten de Rijke (2023). Parameter-Efficient Deep Probabilistic Forecasting. International Journal of Forecasting 39, no. 1 (1 January 2023): 332–45. URL: https://doi.org/10.1016/j.ijforecast.2021.11.011.
-Shaojie Bai, Zico Kolter, Vladlen Koltun. (2018). An Empirical Evaluation of Generic Convolutional and Recurrent Networks for Sequence Modeling. Computing Research Repository, abs/1803.01271. URL: https://arxiv.org/abs/1803.01271.
-van den Oord, A., Dieleman, S., Zen, H., Simonyan, K., Vinyals, O., Graves, A., Kalchbrenner, N., Senior, A. W., & Kavukcuoglu, K. (2016). Wavenet: A generative model for raw audio. Computing Research Repository, abs/1609.03499. URL: http://arxiv.org/abs/1609.03499. arXiv:1609.03499.

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1. Auxiliary Functions

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TCNCell

 TCNCell (in_channels, out_channels, kernel_size, padding, dilation, mode,
          groups, dropout)

Temporal Convolutional Network Cell, consisting of CustomConv1D modules.

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CustomConv1d

 CustomConv1d (in_channels, out_channels, kernel_size, padding=0,
               dilation=1, mode='backward', groups=1)

Forward- and backward looking Conv1D

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2. BiTCN

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BiTCN

 BiTCN (h:int, input_size:int, hidden_size:int=16, dropout:float=0.5,
        futr_exog_list=None, hist_exog_list=None, stat_exog_list=None,
        exclude_insample_y=False, loss=MAE(), valid_loss=None,
        max_steps:int=1000, learning_rate:float=0.001,
        num_lr_decays:int=-1, early_stop_patience_steps:int=-1,
        val_check_steps:int=100, batch_size:int=32,
        valid_batch_size:Optional[int]=None, windows_batch_size=1024,
        inference_windows_batch_size=1024, start_padding_enabled=False,
        step_size:int=1, scaler_type:str='identity', random_seed:int=1,
        num_workers_loader:int=0, drop_last_loader:bool=False,
        optimizer=None, optimizer_kwargs=None, lr_scheduler=None,
        lr_scheduler_kwargs=None, dataloader_kwargs=None,
        **trainer_kwargs)

*BiTCN

Bidirectional Temporal Convolutional Network (BiTCN) is a forecasting architecture based on two temporal convolutional networks (TCNs). The first network (‘forward’) encodes future covariates of the time series, whereas the second network (‘backward’) encodes past observations and covariates. This is a univariate model.

Parameters:
h: int, forecast horizon.
input_size: int, considered autorregresive inputs (lags), y=[1,2,3,4] input_size=2 -> lags=[1,2].
hidden_size: int=16, units for the TCN’s hidden state size.
dropout: float=0.1, dropout rate used for the dropout layers throughout the architecture.
futr_exog_list: str list, future exogenous columns.
hist_exog_list: str list, historic exogenous columns.
stat_exog_list: str list, static exogenous columns.
exclude_insample_y: bool=False, the model skips the autoregressive features y[t-input_size:t] if True.
loss: PyTorch module, instantiated train loss class from losses collection.
valid_loss: PyTorch module=loss, instantiated valid loss class from losses collection.
max_steps: int=1000, maximum number of training steps.
learning_rate: float=1e-3, Learning rate between (0, 1).
num_lr_decays: int=-1, Number of learning rate decays, evenly distributed across max_steps.
early_stop_patience_steps: int=-1, Number of validation iterations before early stopping.
val_check_steps: int=100, Number of training steps between every validation loss check.
batch_size: int=32, number of different series in each batch.
valid_batch_size: int=None, number of different series in each validation and test batch, if None uses batch_size.
windows_batch_size: int=1024, number of windows to sample in each training batch, default uses all.
inference_windows_batch_size: int=-1, number of windows to sample in each inference batch, -1 uses all.
start_padding_enabled: bool=False, if True, the model will pad the time series with zeros at the beginning, by input size.
step_size: int=1, step size between each window of temporal data.
scaler_type: str=‘identity’, type of scaler for temporal inputs normalization see temporal scalers.
random_seed: int=1, random_seed for pytorch initializer and numpy generators.
num_workers_loader: int=os.cpu_count(), workers to be used by TimeSeriesDataLoader.
drop_last_loader: bool=False, if True TimeSeriesDataLoader drops last non-full batch.
alias: str, optional, Custom name of the model.
optimizer: Subclass of ‘torch.optim.Optimizer’, optional, user specified optimizer instead of the default choice (Adam).
optimizer_kwargs: dict, optional, list of parameters used by the user specified optimizer.
lr_scheduler: Subclass of ‘torch.optim.lr_scheduler.LRScheduler’, optional, user specified lr_scheduler instead of the default choice (StepLR).
lr_scheduler_kwargs: dict, optional, list of parameters used by the user specified lr_scheduler.
dataloader_kwargs: dict, optional, list of parameters passed into the PyTorch Lightning dataloader by the TimeSeriesDataLoader.
**trainer_kwargs: int, keyword trainer arguments inherited from PyTorch Lighning’s trainer.

References

• Olivier Sprangers, Sebastian Schelter, Maarten de Rijke (2023). Parameter-Efficient Deep Probabilistic Forecasting. International Journal of Forecasting 39, no. 1 (1 January 2023): 332–45. URL: https://doi.org/10.1016/j.ijforecast.2021.11.011.
  *

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BiTCN.fit

 BiTCN.fit (dataset, val_size=0, test_size=0, random_seed=None,
            distributed_config=None)

*Fit.

The fit method, optimizes the neural network’s weights using the initialization parameters (learning_rate, windows_batch_size, …) and the loss function as defined during the initialization. Within fit we use a PyTorch Lightning Trainer that inherits the initialization’s self.trainer_kwargs, to customize its inputs, see PL’s trainer arguments.

The method is designed to be compatible with SKLearn-like classes and in particular to be compatible with the StatsForecast library.

By default the model is not saving training checkpoints to protect disk memory, to get them change enable_checkpointing=True in __init__.

Parameters:
dataset: NeuralForecast’s TimeSeriesDataset, see documentation.
val_size: int, validation size for temporal cross-validation.
random_seed: int=None, random_seed for pytorch initializer and numpy generators, overwrites model.__init__’s.
test_size: int, test size for temporal cross-validation.
*

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BiTCN.predict

 BiTCN.predict (dataset, test_size=None, step_size=1, random_seed=None,
                **data_module_kwargs)

*Predict.

Neural network prediction with PL’s Trainer execution of predict_step.

Parameters:
dataset: NeuralForecast’s TimeSeriesDataset, see documentation.
test_size: int=None, test size for temporal cross-validation.
step_size: int=1, Step size between each window.
random_seed: int=None, random_seed for pytorch initializer and numpy generators, overwrites model.__init__’s.
**data_module_kwargs: PL’s TimeSeriesDataModule args, see documentation.*

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Usage Example

import pandas as pd
import matplotlib.pyplot as plt

from neuralforecast import NeuralForecast
from neuralforecast.models import BiTCN
from neuralforecast.losses.pytorch import GMM
from neuralforecast.utils import AirPassengersPanel, AirPassengersStatic

Y_train_df = AirPassengersPanel[AirPassengersPanel.ds<AirPassengersPanel['ds'].values[-12]] # 132 train
Y_test_df = AirPassengersPanel[AirPassengersPanel.ds>=AirPassengersPanel['ds'].values[-12]].reset_index(drop=True) # 12 test

fcst = NeuralForecast(
    models=[
            BiTCN(h=12,
                input_size=24,
                loss=GMM(n_components=7, return_params=True, level=[80,90]),
                max_steps=100,
                scaler_type='standard',
                futr_exog_list=['y_[lag12]'],
                hist_exog_list=None,
                stat_exog_list=['airline1'],
                ),     
    ],
    freq='M'
)
fcst.fit(df=Y_train_df, static_df=AirPassengersStatic)
forecasts = fcst.predict(futr_df=Y_test_df)

# Plot quantile predictions
Y_hat_df = forecasts.reset_index(drop=False).drop(columns=['unique_id','ds'])
plot_df = pd.concat([Y_test_df, Y_hat_df], axis=1)
plot_df = pd.concat([Y_train_df, plot_df])

plot_df = plot_df[plot_df.unique_id=='Airline1'].drop('unique_id', axis=1)
plt.plot(plot_df['ds'], plot_df['y'], c='black', label='True')
plt.plot(plot_df['ds'], plot_df['BiTCN-median'], c='blue', label='median')
plt.fill_between(x=plot_df['ds'][-12:], 
                 y1=plot_df['BiTCN-lo-90'][-12:].values,
                 y2=plot_df['BiTCN-hi-90'][-12:].values,
                 alpha=0.4, label='level 90')
plt.legend()
plt.grid()