from typing import Dict
from typing import List
from typing import Optional
import numpy as np
import pandas as pd
from catboost import CatBoostRegressor
from catboost import Pool
from etna.distributions import BaseDistribution
from etna.distributions import FloatDistribution
from etna.distributions import IntDistribution
from etna.models.base import BaseAdapter
from etna.models.base import NonPredictionIntervalContextIgnorantAbstractModel
from etna.models.mixins import MultiSegmentModelMixin
from etna.models.mixins import NonPredictionIntervalContextIgnorantModelMixin
from etna.models.mixins import PerSegmentModelMixin
[docs]class _CatBoostAdapter(BaseAdapter):
def __init__(
self,
iterations: Optional[int] = None,
depth: Optional[int] = None,
learning_rate: Optional[float] = None,
logging_level: Optional[str] = "Silent",
l2_leaf_reg: Optional[float] = None,
thread_count: Optional[int] = None,
**kwargs,
):
self.model = CatBoostRegressor(
iterations=iterations,
depth=depth,
learning_rate=learning_rate,
logging_level=logging_level,
thread_count=thread_count,
l2_leaf_reg=l2_leaf_reg,
**kwargs,
)
self._categorical = None
def _prepare_float_category_columns(self, df: pd.DataFrame):
df[self._float_category_columns] = df[self._float_category_columns].astype(str).astype("category")
def _prepare_pool(self, features: pd.DataFrame, target: np.ndarray) -> Pool:
"""Prepare pool for CatBoost model."""
columns_dtypes = features.dtypes
category_columns_dtypes = columns_dtypes[columns_dtypes == "category"]
self._categorical = category_columns_dtypes.index.tolist()
# select only columns with float categories
float_category_columns_dtypes_indices = [
idx
for idx, x in enumerate(category_columns_dtypes)
if issubclass(x.categories.dtype.type, (float, np.floating))
]
float_category_columns_dtypes = category_columns_dtypes.iloc[float_category_columns_dtypes_indices]
float_category_columns = float_category_columns_dtypes.index
self._float_category_columns = float_category_columns
self._prepare_float_category_columns(features)
train_pool = Pool(features, target, cat_features=self._categorical)
return train_pool
[docs] def fit(self, df: pd.DataFrame, regressors: List[str]) -> "_CatBoostAdapter":
"""
Fit Catboost model.
Parameters
----------
df:
Features dataframe
regressors:
List of the columns with regressors(ignored in this model)
Returns
-------
:
Fitted model
"""
df = df.sort_values(by="timestamp")
features = df.drop(columns=["timestamp", "target"])
target = df["target"]
train_pool = self._prepare_pool(features, target.values)
self.model.fit(train_pool)
return self
[docs] def predict(self, df: pd.DataFrame) -> np.ndarray:
"""
Compute predictions from a Catboost model.
Parameters
----------
df:
Features dataframe
Returns
-------
:
Array with predictions
"""
features = df.drop(columns=["timestamp", "target"])
self._prepare_float_category_columns(features)
predict_pool = Pool(features, cat_features=self._categorical)
pred = self.model.predict(predict_pool)
return pred
[docs] def get_model(self) -> CatBoostRegressor:
"""Get internal catboost.CatBoostRegressor model that is used inside etna class.
Returns
-------
result:
Internal model
"""
return self.model
[docs] def forecast_components(self, df: pd.DataFrame) -> pd.DataFrame:
"""Estimate forecast components.
Parameters
----------
df:
features dataframe
Returns
-------
:
dataframe with forecast components
"""
return self.predict_components(df=df)
[docs] def predict_components(self, df: pd.DataFrame) -> pd.DataFrame:
"""Estimate prediction components.
Parameters
----------
df:
features dataframe
Returns
-------
:
dataframe with prediction components
"""
features = df.drop(columns=["timestamp", "target"])
prediction = self.model.predict(features)
pool = self._prepare_pool(features, prediction)
shap_values = self.model.get_feature_importance(pool, type="ShapValues")
# encapsulate expected contribution into components
components = shap_values[:, :-1] + shap_values[:, -1, np.newaxis] / (shap_values.shape[1] - 1)
component_names = [f"target_component_{name}" for name in features.columns]
return pd.DataFrame(data=components, columns=component_names)
def _params_to_tune(self) -> Dict[str, BaseDistribution]:
"""Get default grid for tuning hyperparameters.
This grid tunes parameters: ``learning_rate``, ``depth``, ``random_strength``, ``l2_leaf_reg``.
Other parameters are expected to be set by the user.
Returns
-------
:
Grid to tune.
"""
return {
"learning_rate": FloatDistribution(low=1e-4, high=0.5, log=True),
"depth": IntDistribution(low=1, high=11),
"random_strength": FloatDistribution(low=1e-5, high=10, log=True),
"l2_leaf_reg": FloatDistribution(low=0.1, high=200, log=True),
}
[docs]class CatBoostPerSegmentModel(
PerSegmentModelMixin,
NonPredictionIntervalContextIgnorantModelMixin,
NonPredictionIntervalContextIgnorantAbstractModel,
):
"""Class for holding per segment Catboost model.
Examples
--------
>>> from etna.datasets import generate_periodic_df
>>> from etna.datasets import TSDataset
>>> from etna.models import CatBoostPerSegmentModel
>>> from etna.transforms import LagTransform
>>> classic_df = generate_periodic_df(
... periods=100,
... start_time="2020-01-01",
... n_segments=4,
... period=7,
... sigma=3
... )
>>> df = TSDataset.to_dataset(df=classic_df)
>>> ts = TSDataset(df, freq="D")
>>> horizon = 7
>>> transforms = [
... LagTransform(in_column="target", lags=[horizon, horizon+1, horizon+2])
... ]
>>> ts.fit_transform(transforms=transforms)
>>> future = ts.make_future(horizon, transforms=transforms)
>>> model = CatBoostPerSegmentModel()
>>> model.fit(ts=ts)
CatBoostPerSegmentModel(iterations = None, depth = None, learning_rate = None,
logging_level = 'Silent', l2_leaf_reg = None, thread_count = None, )
>>> forecast = model.forecast(future)
>>> forecast.inverse_transform(transforms)
>>> pd.options.display.float_format = '{:,.2f}'.format
>>> forecast[:, :, "target"]
segment segment_0 segment_1 segment_2 segment_3
feature target target target target
timestamp
2020-04-10 9.00 9.00 4.00 6.00
2020-04-11 5.00 2.00 7.00 9.00
2020-04-12 0.00 4.00 7.00 9.00
2020-04-13 0.00 5.00 9.00 7.00
2020-04-14 1.00 2.00 1.00 6.00
2020-04-15 5.00 7.00 4.00 7.00
2020-04-16 8.00 6.00 2.00 0.00
"""
def __init__(
self,
iterations: Optional[int] = None,
depth: Optional[int] = None,
learning_rate: Optional[float] = None,
logging_level: Optional[str] = "Silent",
l2_leaf_reg: Optional[float] = None,
thread_count: Optional[int] = None,
**kwargs,
):
"""Create instance of CatBoostPerSegmentModel with given parameters.
Parameters
----------
iterations:
The maximum number of trees that can be built when solving
machine learning problems. When using other parameters that
limit the number of iterations, the final number of trees
may be less than the number specified in this parameter.
depth:
Depth of the tree. The range of supported values depends
on the processing unit type and the type of the selected loss function:
* CPU — Any integer up to 16.
* GPU — Any integer up to 8 pairwise modes (YetiRank, PairLogitPairwise and
QueryCrossEntropy) and up to 16 for all other loss functions.
learning_rate:
The learning rate. Used for reducing the gradient step.
If None the value is defined automatically depending on the number of iterations.
logging_level:
The logging level to output to stdout.
Possible values:
* Silent — Do not output any logging information to stdout.
* Verbose — Output the following data to stdout:
* optimized metric
* elapsed time of training
* remaining time of training
* Info — Output additional information and the number of trees.
* Debug — Output debugging information.
l2_leaf_reg:
Coefficient at the L2 regularization term of the cost function.
Any positive value is allowed.
thread_count:
The number of threads to use during the training.
* For CPU. Optimizes the speed of execution. This parameter doesn't affect results.
* For GPU. The given value is used for reading the data from the hard drive and does
not affect the training.
During the training one main thread and one thread for each GPU are used.
"""
self.iterations = iterations
self.depth = depth
self.learning_rate = learning_rate
self.logging_level = logging_level
self.l2_leaf_reg = l2_leaf_reg
self.thread_count = thread_count
self.kwargs = kwargs
super().__init__(
base_model=_CatBoostAdapter(
iterations=iterations,
depth=depth,
learning_rate=learning_rate,
logging_level=logging_level,
thread_count=thread_count,
l2_leaf_reg=l2_leaf_reg,
**kwargs,
)
)
[docs] def params_to_tune(self) -> Dict[str, BaseDistribution]:
"""Get default grid for tuning hyperparameters.
This grid tunes parameters: ``learning_rate``, ``depth``, ``random_strength``, ``l2_leaf_reg``.
Other parameters are expected to be set by the user.
Returns
-------
:
Grid to tune.
"""
return self._base_model._params_to_tune()
[docs]class CatBoostMultiSegmentModel(
MultiSegmentModelMixin,
NonPredictionIntervalContextIgnorantModelMixin,
NonPredictionIntervalContextIgnorantAbstractModel,
):
"""Class for holding Catboost model for all segments.
Examples
--------
>>> from etna.datasets import generate_periodic_df
>>> from etna.datasets import TSDataset
>>> from etna.models import CatBoostMultiSegmentModel
>>> from etna.transforms import LagTransform
>>> classic_df = generate_periodic_df(
... periods=100,
... start_time="2020-01-01",
... n_segments=4,
... period=7,
... sigma=3
... )
>>> df = TSDataset.to_dataset(df=classic_df)
>>> ts = TSDataset(df, freq="D")
>>> horizon = 7
>>> transforms = [
... LagTransform(in_column="target", lags=[horizon, horizon+1, horizon+2])
... ]
>>> ts.fit_transform(transforms=transforms)
>>> future = ts.make_future(horizon, transforms=transforms)
>>> model = CatBoostMultiSegmentModel()
>>> model.fit(ts=ts)
CatBoostMultiSegmentModel(iterations = None, depth = None, learning_rate = None,
logging_level = 'Silent', l2_leaf_reg = None, thread_count = None, )
>>> forecast = model.forecast(future)
>>> forecast.inverse_transform(transforms)
>>> pd.options.display.float_format = '{:,.2f}'.format
>>> forecast[:, :, "target"].round()
segment segment_0 segment_1 segment_2 segment_3
feature target target target target
timestamp
2020-04-10 9.00 9.00 4.00 6.00
2020-04-11 5.00 2.00 7.00 9.00
2020-04-12 -0.00 4.00 7.00 9.00
2020-04-13 0.00 5.00 9.00 7.00
2020-04-14 1.00 2.00 1.00 6.00
2020-04-15 5.00 7.00 4.00 7.00
2020-04-16 8.00 6.00 2.00 0.00
"""
def __init__(
self,
iterations: Optional[int] = None,
depth: Optional[int] = None,
learning_rate: Optional[float] = None,
logging_level: Optional[str] = "Silent",
l2_leaf_reg: Optional[float] = None,
thread_count: Optional[int] = None,
**kwargs,
):
"""Create instance of CatBoostMultiSegmentModel with given parameters.
Parameters
----------
iterations:
The maximum number of trees that can be built when solving
machine learning problems. When using other parameters that
limit the number of iterations, the final number of trees
may be less than the number specified in this parameter.
depth:
Depth of the tree. The range of supported values depends
on the processing unit type and the type of the selected loss function:
* CPU — Any integer up to 16.
* GPU — Any integer up to 8 pairwise modes (YetiRank, PairLogitPairwise and
QueryCrossEntropy) and up to 16 for all other loss functions.
learning_rate:
The learning rate. Used for reducing the gradient step.
If None the value is defined automatically depending on the number of iterations.
logging_level:
The logging level to output to stdout.
Possible values:
* Silent — Do not output any logging information to stdout.
* Verbose — Output the following data to stdout:
* optimized metric
* elapsed time of training
* remaining time of training
* Info — Output additional information and the number of trees.
* Debug — Output debugging information.
l2_leaf_reg:
Coefficient at the L2 regularization term of the cost function.
Any positive value is allowed.
thread_count:
The number of threads to use during the training.
* For CPU. Optimizes the speed of execution. This parameter doesn't affect results.
* For GPU. The given value is used for reading the data from the hard drive and does
not affect the training.
During the training one main thread and one thread for each GPU are used.
"""
self.iterations = iterations
self.depth = depth
self.learning_rate = learning_rate
self.logging_level = logging_level
self.l2_leaf_reg = l2_leaf_reg
self.thread_count = thread_count
self.kwargs = kwargs
super().__init__(
base_model=_CatBoostAdapter(
iterations=iterations,
depth=depth,
learning_rate=learning_rate,
logging_level=logging_level,
thread_count=thread_count,
l2_leaf_reg=l2_leaf_reg,
**kwargs,
)
)
[docs] def params_to_tune(self) -> Dict[str, BaseDistribution]:
"""Get default grid for tuning hyperparameters.
This grid tunes parameters: ``learning_rate``, ``depth``, ``random_strength``, ``l2_leaf_reg``.
Other parameters are expected to be set by the user.
Returns
-------
:
Grid to tune.
"""
return self._base_model._params_to_tune()