SOFTSSharp - Nixtla

SOFTSSharp extends SOFTS by stochastically adding variable-position embeddings and multiple dropout layers inside the STAD aggregation-redistribution component, aiming to improve forecasting accuracy while preserving linear complexity.

Figure 1. Architecture of SOFTSSharp

1. SOFTSSharp

`SOFTSSharp`

SOFTSSharp(
    h,
    input_size,
    n_series,
    futr_exog_list=None,
    hist_exog_list=None,
    stat_exog_list=None,
    exclude_insample_y=False,
    hidden_size=512,
    d_core=512,
    e_layers=2,
    d_ff=2048,
    dropout=0.1,
    pe_keep_prob=0.5,
    use_norm=True,
    loss=MAE(),
    valid_loss=None,
    max_steps=1000,
    learning_rate=0.001,
    num_lr_decays=-1,
    early_stop_patience_steps=-1,
    val_monitor="ptl/val_loss",
    val_check_steps=100,
    batch_size=32,
    valid_batch_size=None,
    windows_batch_size=32,
    inference_windows_batch_size=32,
    start_padding_enabled=False,
    training_data_availability_threshold=0.0,
    step_size=1,
    scaler_type="identity",
    random_seed=1,
    drop_last_loader=False,
    alias=None,
    optimizer=None,
    optimizer_kwargs=None,
    lr_scheduler=None,
    lr_scheduler_kwargs=None,
    dataloader_kwargs=None,
    **trainer_kwargs
)

Bases: BaseModel SOFTSSharp SOFTS# (SOFTSSharp) extends SOFTS by stochastically adding variable-position embeddings and multiple dropout layers inside the STAD component. Parameters:

Name	Type	Description	Default
`h`	`int`	Forecast horizon.	required
`input_size`	`int`	Autoregressive inputs size.	required
`n_series`	`int`	Number of time-series.	required
`hidden_size`	`int`	Dimension of the model.	`512`
`d_core`	`int`	Dimension of core in STADSharp.	`512`
`e_layers`	`int`	Number of encoder layers.	`2`
`d_ff`	`int`	Dimension of fully-connected layer.	`2048`
`dropout`	`float`	Dropout rate.	`0.1`
`pe_keep_prob`	`float`	probability of applying variable-position encoding during training. During inference, the positional encoding is scaled by this value.	`0.5`
`use_norm`	`bool`	Whether to normalize or not.	`True`
`loss`	`PyTorch module`	Instantiated train loss class from losses collection.	`MAE()`
`valid_loss`	`PyTorch module`	Instantiated valid loss class from losses collection.	`None`
`max_steps`	`int`	Maximum number of training steps.	`1000`
`learning_rate`	`float`	Learning rate between (0, 1).	`0.001`
`num_lr_decays`	`int`	Number of learning rate decays, evenly distributed across max_steps.	`-1`
`early_stop_patience_steps`	`int`	Number of validation iterations before early stopping.	`-1`
`val_monitor`	`str`	Metric to monitor for early stopping.	`‘ptl/val_loss’`
`val_check_steps`	`int`	Number of training steps between every validation loss check.	`100`
`batch_size`	`int`	Number of different series in each batch.	`32`
`valid_batch_size`	`int`	Number of different series in each validation and test batch, if None uses batch_size.	`None`
`windows_batch_size`	`int`	Number of windows to sample in each training batch, default uses all.	`32`
`inference_windows_batch_size`	`int`	Number of windows to sample in each inference batch, -1 uses all.	`32`
`start_padding_enabled`	`bool`	If True, the model will pad the time series with zeros at the beginning, by input size.	`False`
`step_size`	`int`	Step size between each window of temporal data.	`1`
`scaler_type`	`str`	Type of scaler for temporal inputs normalization.	`‘identity’`
`random_seed`	`int`	Random seed for pytorch initializer and numpy generators.	`1`
`drop_last_loader`	`bool`	If True `TimeSeriesDataLoader` drops last non-full batch.	`False`
`alias`	`str`	Optional custom name of the model.	`None`

`SOFTSSharp.fit`

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:

Name	Type	Description	Default
`dataset`	`TimeSeriesDataset`	NeuralForecast’s `TimeSeriesDataset`, see documentation.	required
`val_size`	`int`	Validation size for temporal cross-validation.	`0`
`random_seed`	`int`	Random seed for pytorch initializer and numpy generators, overwrites model.init’s.	`None`
`test_size`	`int`	Test size for temporal cross-validation.	`0`

Returns:

Type	Description
None

`SOFTSSharp.predict`

predict(
    dataset,
    test_size=None,
    step_size=1,
    random_seed=None,
    quantiles=None,
    h=None,
    explainer_config=None,
    **data_module_kwargs
)

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

Name	Type	Description	Default
`dataset`	`TimeSeriesDataset`	NeuralForecast’s `TimeSeriesDataset`, see documentation.	required
`test_size`	`int`	Test size for temporal cross-validation.	`None`
`step_size`	`int`	Step size between each window.	`1`
`random_seed`	`int`	Random seed for pytorch initializer and numpy generators, overwrites model.init’s.	`None`
`quantiles`	`list`	Target quantiles to predict.	`None`
`h`	`int`	Prediction horizon, if None, uses the model’s fitted horizon. Defaults to None.	`None`
`explainer_config`	`dict`	configuration for explanations.	`None`
`**data_module_kwargs`	`dict`	PL’s TimeSeriesDataModule args, see documentation.

Returns:

Type	Description
None

Usage example

import pandas as pd
import matplotlib.pyplot as plt

from neuralforecast import NeuralForecast
from neuralforecast.models import SOFTSSharp
from neuralforecast.utils import AirPassengersPanel, AirPassengersStatic
from neuralforecast.losses.pytorch import MASE

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

model = SOFTSSharp(h=12,
                   input_size=24,
                   n_series=2,
                   hidden_size=256,
                   d_core=256,
                   e_layers=2,
                   d_ff=64,
                   dropout=0.1,
                   pe_keep_prob=0.5,
                   use_norm=True,
                   loss=MASE(seasonality=4),
                   early_stop_patience_steps=3,
                   batch_size=32)

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

fig, ax = plt.subplots(1, 1, figsize = (20, 7))
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['SOFTSSharp'], c='blue', label='Forecast')
ax.set_title('AirPassengers Forecast', fontsize=22)
ax.set_ylabel('Monthly Passengers', fontsize=20)
ax.set_xlabel('Year', fontsize=20)
ax.legend(prop={'size': 15})
ax.grid()

2. Auxiliary functions

`PositionalEmbedding`

PositionalEmbedding(d_series, max_len=5000)

Bases: Module

`STADSharp`

STADSharp(d_series, d_core, dropout_rate=0.1, pe_keep_prob=0.5)

Bases: Module STar Aggregate Dispatch Module with stochastic variable-position encoding.

Documentation Index

​1. SOFTSSharp

​SOFTSSharp

​SOFTSSharp.fit

​SOFTSSharp.predict

​Usage example

​2. Auxiliary functions

​PositionalEmbedding

​STADSharp