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MLPMultivariate

 MLPMultivariate (h, input_size, n_series, futr_exog_list=None,
                  hist_exog_list=None, stat_exog_list=None, num_layers=2,
                  hidden_size=1024, 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,
                  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, **trainer_kwargs)

*MLPMultivariate

Simple Multi Layer Perceptron architecture (MLP) for multivariate forecasting. This deep neural network has constant units through its layers, each with ReLU non-linearities, it is trained using ADAM stochastic gradient descent. The network accepts static, historic and future exogenous data, flattens the inputs and learns fully connected relationships against the target variables.

Parameters:
h: int, forecast horizon.
input_size: int, considered autorregresive inputs (lags), y=[1,2,3,4] input_size=2 -> lags=[1,2].
n_series: int, number of time-series.
stat_exog_list: str list, static exogenous columns.
hist_exog_list: str list, historic exogenous columns.
futr_exog_list: str list, future exogenous columns.
n_layers: int, number of layers for the MLP.
hidden_size: int, number of units for each layer of the MLP.
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.
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.
**trainer_kwargs: int, keyword trainer arguments inherited from PyTorch Lighning’s trainer.
*

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MLPMultivariate.fit

 MLPMultivariate.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.
test_size: int, test size for temporal cross-validation.
*

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MLPMultivariate.predict

 MLPMultivariate.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.
**data_module_kwargs: PL’s TimeSeriesDataModule args, see documentation.*

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Usage Example

import numpy as np
import pandas as pd
import pytorch_lightning as pl
import matplotlib.pyplot as plt

from neuralforecast import NeuralForecast
# from neuralforecast.models import MLP
from neuralforecast.losses.pytorch import MAE
from neuralforecast.tsdataset import TimeSeriesDataset
from neuralforecast.utils import AirPassengers, 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

model = MLPMultivariate(h=12, 
            input_size=24,
            n_series=2,
            loss = MAE(),
            scaler_type='robust',
            learning_rate=1e-3,
            max_steps=200,
            val_check_steps=10,
            early_stop_patience_steps=2)

fcst = NeuralForecast(
    models=[model],
    freq='M'
)
fcst.fit(df=Y_train_df, static_df=AirPassengersStatic, val_size=12)
forecasts = fcst.predict(futr_df=Y_test_df)

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['MLPMultivariate'], c='blue', label='median')
plt.grid()
plt.legend()
plt.plot()