""" This function is adapted from [timesfm] by [siriuz42 et al.] Original source: [https://github.com/google-research/timesfm] """ import timesfm import numpy as np class TimesFM(): def __init__(self, win_size=96, prediction_length=1, input_c=1): self.model_name = 'TimesFM' self.win_size = win_size self.prediction_length = prediction_length self.input_c = input_c self.score_list = [] def fit(self, data): for channel in range(self.input_c): data_channel = data[:, channel].reshape(-1, 1) data_win, data_target = self.create_dataset(data_channel, slidingWindow=self.win_size, predict_time_steps=self.prediction_length) # print('data_win: ', data_win.shape) # (2330, 100) # print('data_target: ', data_target.shape) # (2330, 1) # tfm = timesfm.TimesFm( # context_len=self.win_size, # horizon_len=self.prediction_length, # input_patch_len=32, # output_patch_len=128, # num_layers=20, # model_dims=1280, # backend="gpu") # tfm.load_from_checkpoint(repo_id="google/timesfm-1.0-200m") tfm = timesfm.TimesFm( hparams=timesfm.TimesFmHparams( backend="gpu", per_core_batch_size=32, horizon_len=self.prediction_length, ), checkpoint=timesfm.TimesFmCheckpoint( huggingface_repo_id="google/timesfm-1.0-200m-pytorch"), ) forecast_input = [data_win[i, :] for i in range(data_win.shape[0])] point_forecast, _ = tfm.forecast(forecast_input) print('predictions: ', point_forecast.shape) ### using mse as the anomaly score scores = (data_target.squeeze() - point_forecast.squeeze()) ** 2 # scores = np.mean(scores, axis=1) self.score_list.append(scores) scores_merge = np.mean(np.array(self.score_list), axis=0) # print('scores_merge: ', scores_merge.shape) padded_decision_scores = np.zeros(len(data)) padded_decision_scores[: self.win_size+self.prediction_length-1] = scores_merge[0] padded_decision_scores[self.win_size+self.prediction_length-1 : ]=scores_merge self.decision_scores_ = padded_decision_scores def decision_function(self, X): """ Not used, present for API consistency by convention. """ pass def create_dataset(self, X, slidingWindow, predict_time_steps=1): Xs, ys = [], [] for i in range(len(X) - slidingWindow - predict_time_steps+1): tmp = X[i : i + slidingWindow + predict_time_steps].ravel() # tmp= MinMaxScaler(feature_range=(0,1)).fit_transform(tmp.reshape(-1,1)).ravel() x = tmp[:slidingWindow] y = tmp[slidingWindow:] Xs.append(x) ys.append(y) return np.array(Xs), np.array(ys)