etna.models.nn.TFTModel#

class TFTModel(*args, **kwargs)[source]#

Bases: _DeepCopyMixin, PytorchForecastingMixin, SavePytorchForecastingMixin, PredictionIntervalContextRequiredAbstractModel

Wrapper for pytorch_forecasting.models.temporal_fusion_transformer.TemporalFusionTransformer.

Note

This model requires torch extension to be installed. Read more about this at installation page.

Notes

We save pytorch_forecasting.data.timeseries.TimeSeriesDataSet in instance to use it in the model. It`s not right pattern of using Transforms and TSDataset.

Initialize TFT wrapper.

Parameters:

decoder_length – Decoder length.
encoder_length (int) – Encoder length.
dataset_builder (etna.models.nn.utils.PytorchForecastingDatasetBuilder) – Dataset builder for PytorchForecasting.
train_batch_size (int) – Train batch size.
test_batch_size (int) – Test batch size.
lr – Learning rate.
hidden_size – Hidden size of network which can range from 8 to 512.
lstm_layers – Number of LSTM layers.
attention_head_size – Number of attention heads.
dropout – Dropout rate.
hidden_continuous_size – Hidden size for processing continuous variables.
loss – Loss function taking prediction and targets. Defaults to pytorch_forecasting.metrics.QuantileLoss.
trainer_kwargs – Additional arguments for pytorch_lightning Trainer.
quantiles_kwargs – Additional arguments for computing quantiles, look at to_quantiles() method for your loss.

Methods

`fit`(ts)	Fit model.
`forecast`(ts, prediction_size[, ...])	Make predictions.
`get_model`()	Get internal model that is used inside etna class.
`load`(path[, ts])	Load an object.
`params_to_tune`()	Get default grid for tuning hyperparameters.
`predict`(ts, prediction_size[, ...])	Make predictions.
`save`(path)	Save the object.
`set_params`(**params)	Return new object instance with modified parameters.
`to_dict`()	Collect all information about etna object in dict.

Attributes

This class stores its __init__ parameters as attributes.

`context_size`	Context size of the model.
`trainer_params`
`dataset_builder`
`train_batch_size`
`test_batch_size`
`encoder_length`
`trainer`

fit(ts: TSDataset)[source]#

Fit model.

Parameters:: ts (TSDataset) – TSDataset to fit.
Returns:: model

forecast(ts: TSDataset, prediction_size: int, prediction_interval: bool = False, quantiles: Sequence[float] = (0.025, 0.975), return_components: bool = False) → TSDataset[source]#

Make predictions.

This method will make autoregressive predictions.

Parameters:

ts (TSDataset) – Dataset with features
prediction_size (int) – Number of last timestamps to leave after making prediction. Previous timestamps will be used as a context for models that require it.
prediction_interval (bool) – If True returns prediction interval for forecast
quantiles (Sequence[float]) – Levels of prediction distribution. By default 2.5% and 97.5% are taken to form a 95% prediction interval
return_components (bool) – If True additionally returns forecast components

Returns:

TSDataset with predictions.

Return type:

TSDataset

get_model() → Any[source]#

Get internal model that is used inside etna class.

Model is the instance of pytorch_forecasting.models.temporal_fusion_transformer.TemporalFusionTransformer.

Returns:: Internal model
Return type:: Any

classmethod load(path: Path, ts: TSDataset | None = None) → Self[source]#

Load an object.

Warning

This method uses dill module which is not secure. It is possible to construct malicious data which will execute arbitrary code during loading. Never load data that could have come from an untrusted source, or that could have been tampered with.

Parameters:

path (Path) – Path to load object from.
ts (TSDataset | None) – TSDataset to set into loaded pipeline.

Returns:

Loaded object.

Return type:

Self

params_to_tune() → Dict[str, BaseDistribution][source]#

Get default grid for tuning hyperparameters.

This grid tunes parameters: hidden_size, lstm_layers, dropout, attention_head_size, lr. Other parameters are expected to be set by the user.

Returns:: Grid to tune.
Return type:: Dict[str, BaseDistribution]

predict(ts: TSDataset, prediction_size: int, prediction_interval: bool = False, quantiles: Sequence[float] = (0.025, 0.975), return_components: bool = False) → TSDataset[source]#

Make predictions.

This method will make predictions using true values instead of predicted on a previous step. It can be useful for making in-sample forecasts.

Parameters:

ts (TSDataset) – Dataset with features
prediction_size (int) – Number of last timestamps to leave after making prediction. Previous timestamps will be used as a context.
prediction_interval (bool) – If True returns prediction interval for forecast
quantiles (Sequence[float]) – Levels of prediction distribution. By default 2.5% and 97.5% are taken to form a 95% prediction interval
return_components (bool) – If True additionally returns prediction components

Returns:

TSDataset with predictions.

Return type:

TSDataset

save(path: Path)[source]#

Save the object.

Parameters:: path (Path) – Path to save object to.

set_params(**params: dict) → Self[source]#

Return new object instance with modified parameters.

Method also allows to change parameters of nested objects within the current object. For example, it is possible to change parameters of a model in a Pipeline.

Nested parameters are expected to be in a <component_1>.<...>.<parameter> form, where components are separated by a dot.

Parameters:: **params (dict) – Estimator parameters
Returns:: New instance with changed parameters
Return type:: Self

Examples

>>> from etna.pipeline import Pipeline
>>> from etna.models import NaiveModel
>>> from etna.transforms import AddConstTransform
>>> model = NaiveModel(lag=1)
>>> transforms = [AddConstTransform(in_column="target", value=1)]
>>> pipeline = Pipeline(model, transforms=transforms, horizon=3)
>>> pipeline.set_params(**{"model.lag": 3, "transforms.0.value": 2})
Pipeline(model = NaiveModel(lag = 3, ), transforms = [AddConstTransform(in_column = 'target', value = 2, inplace = True, out_column = None, )], horizon = 3, )

to_dict()[source]#: Collect all information about etna object in dict.

property context_size: int[source]#: Context size of the model.