# models/forecast.py # PyTorch-based Time Series Forecasting Models import pandas as pd import numpy as np from typing import Literal, Tuple, Optional import torch import torch.nn as nn import torch.optim as optim from torch.utils.data import DataLoader, TensorDataset import warnings warnings.filterwarnings('ignore') ForecastModelType = Literal['lstm', 'bilstm', 'gru', 'elm', 'transformer', 'tcn', 'arima', 'prophet', 'linear'] class LSTMModel(nn.Module): """LSTM for time series forecasting""" def __init__(self, input_size: int = 1, hidden_size: int = 64, num_layers: int = 2, output_size: int = 1): super().__init__() self.lstm = nn.LSTM(input_size, hidden_size, num_layers, batch_first=True, dropout=0.2) self.fc = nn.Sequential( nn.Linear(hidden_size, 32), nn.ReLU(), nn.Linear(32, output_size) ) def forward(self, x): lstm_out, _ = self.lstm(x) out = self.fc(lstm_out[:, -1, :]) return out class BiLSTMModel(nn.Module): """Bidirectional LSTM for time series forecasting""" def __init__(self, input_size: int = 1, hidden_size: int = 64, num_layers: int = 2, output_size: int = 1): super().__init__() self.lstm = nn.LSTM(input_size, hidden_size, num_layers, batch_first=True, dropout=0.2, bidirectional=True) self.fc = nn.Sequential( nn.Linear(hidden_size * 2, 32), nn.ReLU(), nn.Linear(32, output_size) ) def forward(self, x): lstm_out, _ = self.lstm(x) out = self.fc(lstm_out[:, -1, :]) return out class GRUModel(nn.Module): """GRU for time series forecasting""" def __init__(self, input_size: int = 1, hidden_size: int = 64, num_layers: int = 2, output_size: int = 1): super().__init__() self.gru = nn.GRU(input_size, hidden_size, num_layers, batch_first=True, dropout=0.2) self.fc = nn.Sequential( nn.Linear(hidden_size, 32), nn.ReLU(), nn.Linear(32, output_size) ) def forward(self, x): gru_out, _ = self.gru(x) out = self.fc(gru_out[:, -1, :]) return out class ELMModel(nn.Module): """Extreme Learning Machine - single hidden layer with random weights""" def __init__(self, input_size: int = 10, hidden_size: int = 128, output_size: int = 1): super().__init__() # Random weights (not trained) self.W = nn.Parameter(torch.randn(input_size, hidden_size), requires_grad=False) self.b = nn.Parameter(torch.randn(hidden_size), requires_grad=False) # Output weights (trained) self.beta = nn.Parameter(torch.randn(hidden_size, output_size)) def forward(self, x): # Flatten input batch_size = x.shape[0] x_flat = x.reshape(batch_size, -1) # Hidden layer H = torch.relu(torch.matmul(x_flat, self.W) + self.b) # Output out = torch.matmul(H, self.beta) return out class TransformerModel(nn.Module): """Transformer-based model for time series forecasting""" def __init__(self, input_size: int = 1, d_model: int = 64, nhead: int = 4, num_layers: int = 2, output_size: int = 1): super().__init__() self.embedding = nn.Linear(input_size, d_model) encoder_layer = nn.TransformerEncoderLayer(d_model, nhead, dim_feedforward=256, batch_first=True, dropout=0.2) self.transformer = nn.TransformerEncoder(encoder_layer, num_layers) self.fc = nn.Sequential( nn.Linear(d_model, 32), nn.ReLU(), nn.Linear(32, output_size) ) def forward(self, x): x = self.embedding(x) x = self.transformer(x) out = self.fc(x[:, -1, :]) return out class TCNBlock(nn.Module): """Temporal Convolutional Network Block""" def __init__(self, in_channels: int, out_channels: int, kernel_size: int = 3, dilation: int = 1): super().__init__() self.conv = nn.Conv1d(in_channels, out_channels, kernel_size, padding=(kernel_size-1)*dilation, dilation=dilation) self.norm = nn.BatchNorm1d(out_channels) self.relu = nn.ReLU() self.dropout = nn.Dropout(0.2) def forward(self, x): x = self.conv(x) x = self.norm(x) x = self.relu(x) x = self.dropout(x) return x class TCNModel(nn.Module): """Temporal Convolutional Network for time series forecasting""" def __init__(self, input_size: int = 1, channels: list = None, output_size: int = 1): super().__init__() if channels is None: channels = [32, 64, 64] layers = [] in_ch = input_size for i, out_ch in enumerate(channels): layers.append(TCNBlock(in_ch, out_ch, dilation=2**i)) in_ch = out_ch self.network = nn.Sequential(*layers) self.fc = nn.Sequential( nn.AdaptiveAvgPool1d(1), nn.Flatten(), nn.Linear(channels[-1], 32), nn.ReLU(), nn.Linear(32, output_size) ) def forward(self, x): # TCN expects (batch, channels, length) x = x.transpose(1, 2) x = self.network(x) out = self.fc(x) return out class TimeSeriesForecaster: """PyTorch-based Time Series Forecaster""" def __init__(self, model_type: ForecastModelType = 'lstm', horizon: int = 7, hidden_size: int = 64, learning_rate: float = 0.001, epochs: int = 50, input_lags: int = 10): self.model_type = model_type.lower() self.horizon = horizon self.input_lags = input_lags # Number of past days to look at self.hidden_size = hidden_size self.learning_rate = learning_rate self.epochs = epochs self.model = None self.device = torch.device('cuda' if torch.cuda.is_available() else 'cpu') self.ts_data = None self.value_col = None self.scaler_min = None self.scaler_max = None def _create_sequences(self, data: np.ndarray, window_size: int = None) -> Tuple[np.ndarray, np.ndarray]: """Create sliding window sequences using input_lags as look-back window""" if window_size is None: window_size = self.input_lags X, y = [], [] for i in range(len(data) - window_size): X.append(data[i:i+window_size]) y.append(data[i+window_size]) return np.array(X), np.array(y) def _normalize(self, data: np.ndarray) -> np.ndarray: """Min-max normalization""" self.scaler_min = np.min(data) self.scaler_max = np.max(data) return (data - self.scaler_min) / (self.scaler_max - self.scaler_min + 1e-8) def _denormalize(self, data: np.ndarray) -> np.ndarray: """Reverse normalization""" return data * (self.scaler_max - self.scaler_min) + self.scaler_min def fit(self, df: pd.DataFrame, value_col: str = 'mw_max'): """Train the model""" self.ts_data = df[value_col].values.astype(np.float32) self.value_col = value_col # For statistical models if self.model_type in ['arima', 'prophet']: if self.model_type == 'arima': from statsmodels.tsa.arima.model import ARIMA self.model = ARIMA(self.ts_data, order=(7, 1, 0)).fit() else: # prophet from prophet import Prophet prophet_df = pd.DataFrame({ 'ds': df.index if isinstance(df.index, pd.DatetimeIndex) else pd.date_range(start='2024-01-01', periods=len(df)), 'y': self.ts_data }) self.model = Prophet(yearly_seasonality=True, daily_seasonality=False) self.model.fit(prophet_df) return # For linear model if self.model_type == 'linear': from sklearn.linear_model import LinearRegression X = np.arange(len(self.ts_data)).reshape(-1, 1) self.model = LinearRegression() self.model.fit(X, self.ts_data) return # For deep learning models if self.model_type not in ['lstm', 'bilstm', 'gru', 'elm', 'transformer', 'tcn']: raise ValueError(f"Unsupported model type: {self.model_type}") # Normalize data normalized_data = self._normalize(self.ts_data) # Create sequences using input_lags X, y = self._create_sequences(normalized_data, window_size=self.input_lags) X = X.reshape(X.shape[0], X.shape[1], 1) # (samples, window, features) # Convert to tensors X_tensor = torch.FloatTensor(X).to(self.device) y_tensor = torch.FloatTensor(y).reshape(-1, 1).to(self.device) # Create data loader dataset = TensorDataset(X_tensor, y_tensor) dataloader = DataLoader(dataset, batch_size=32, shuffle=True) # Create model if self.model_type == 'lstm': self.model = LSTMModel(input_size=1, hidden_size=self.hidden_size, output_size=1).to(self.device) elif self.model_type == 'bilstm': self.model = BiLSTMModel(input_size=1, hidden_size=self.hidden_size, output_size=1).to(self.device) elif self.model_type == 'gru': self.model = GRUModel(input_size=1, hidden_size=self.hidden_size, output_size=1).to(self.device) elif self.model_type == 'elm': self.model = ELMModel(input_size=self.horizon, hidden_size=128, output_size=1).to(self.device) elif self.model_type == 'transformer': self.model = TransformerModel(input_size=1, d_model=64, output_size=1).to(self.device) elif self.model_type == 'tcn': self.model = TCNModel(input_size=1, output_size=1).to(self.device) # Train optimizer = optim.Adam(self.model.parameters(), lr=self.learning_rate) criterion = nn.MSELoss() for epoch in range(self.epochs): total_loss = 0 for X_batch, y_batch in dataloader: optimizer.zero_grad() outputs = self.model(X_batch) loss = criterion(outputs, y_batch) loss.backward() optimizer.step() total_loss += loss.item() if (epoch + 1) % max(1, self.epochs // 5) == 0: print(f"Epoch {epoch+1}/{self.epochs}, Loss: {total_loss/len(dataloader):.4f}") print(f"✅ {self.model_type.upper()} model trained") def predict(self, future_steps: int = None) -> np.ndarray: """Generate forecast""" if future_steps is None: future_steps = self.horizon if self.model_type in ['arima', 'prophet']: if self.model_type == 'arima': forecast = self.model.forecast(steps=future_steps) return np.maximum(forecast.values if hasattr(forecast, 'values') else forecast, 0) else: # prophet future = self.model.make_future_dataframe(periods=future_steps) forecast = self.model.predict(future) return np.maximum(forecast['yhat'][-future_steps:].values, 0) if self.model_type == 'linear': X = np.arange(len(self.ts_data)).reshape(-1, 1) X_future = np.arange(len(self.ts_data), len(self.ts_data) + future_steps).reshape(-1, 1) pred = self.model.predict(X_future) return np.maximum(pred.flatten(), 0) if self.model_type in ['lstm', 'bilstm', 'gru', 'elm', 'transformer', 'tcn']: self.model.eval() predictions = [] normalized_data = self._normalize(self.ts_data) with torch.no_grad(): # Iteratively predict future steps current_window = normalized_data[-self.input_lags:].copy() for step in range(future_steps): window_reshaped = current_window.reshape(1, self.input_lags, 1) if self.model_type == 'elm': window_reshaped = window_reshaped.reshape(1, -1) X_tensor = torch.FloatTensor(window_reshaped).to(self.device) pred_norm = self.model(X_tensor).cpu().numpy().flatten()[0] predictions.append(pred_norm) # Update window for next prediction current_window = np.append(current_window[1:], pred_norm) # Denormalize predictions pred = np.array(predictions) pred = self._denormalize(pred) return np.maximum(pred, 0) raise ValueError("Model not trained") def get_confidence_interval(self, future_steps: int = None) -> Tuple[np.ndarray, np.ndarray]: """Get 95% confidence interval""" if future_steps is None: future_steps = self.horizon forecast = self.predict(future_steps) std = np.std(self.ts_data) margin = 1.96 * std return (forecast - margin, forecast + margin)