prophet-rb 0.2.3 → 0.3.0

checksums.yaml

@@ -1,7 +1,7 @@
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data/CHANGELOG.md

@@ -1,3 +1,16 @@
+## 0.3.0 (2021-04-24)
+
+- Switched to precompiled models
+- Dropped support for Ruby < 2.7
+
+## 0.2.5 (2021-07-28)
+
+- Added `anomalies` method
+
+## 0.2.4 (2021-04-02)
+
+- Added support for flat growth
+
 ## 0.2.3 (2020-10-14)
 
 - Added support for times to `forecast` method

data/README.md

@@ -10,14 +10,14 @@ Supports:
 
 And gracefully handles missing data
 
-[![Build Status](https://travis-ci.org/ankane/prophet.svg?branch=master)](https://travis-ci.org/ankane/prophet) [![Build status](https://ci.appveyor.com/api/projects/status/8ahmsvvhum4ivnmv/branch/master?svg=true)](https://ci.appveyor.com/project/ankane/prophet/branch/master)
+[![Build Status](https://github.com/ankane/prophet-ruby/workflows/build/badge.svg?branch=master)](https://github.com/ankane/prophet-ruby/actions)
 
 ## Installation
 
 Add this line to your application’s Gemfile:
 
 ```ruby
-gem 'prophet-rb'
+gem "prophet-rb"
 ```
 
 ## Simple API
@@ -48,6 +48,12 @@ series = User.group_by_day(:created_at).count
 Prophet.forecast(series)
 ```
 
+Detect anomalies in a time series
+
+```ruby
+Prophet.anomalies(series)
+```
+
 ## Advanced API
 
 Check out the [Prophet documentation](https://facebook.github.io/prophet/docs/quick_start.html) for a great explanation of all of the features. The advanced API follows the Python API and supports the same features. It uses [Rover](https://github.com/ankane/rover) for data frames.
@@ -289,23 +295,23 @@ This library was ported from the [Prophet Python library](https://github.com/fac
 
 ## History
 
-View the [changelog](https://github.com/ankane/prophet/blob/master/CHANGELOG.md)
+View the [changelog](https://github.com/ankane/prophet-ruby/blob/master/CHANGELOG.md)
 
 ## Contributing
 
 Everyone is encouraged to help improve this project. Here are a few ways you can help:
 
-- [Report bugs](https://github.com/ankane/prophet/issues)
-- Fix bugs and [submit pull requests](https://github.com/ankane/prophet/pulls)
+- [Report bugs](https://github.com/ankane/prophet-ruby/issues)
+- Fix bugs and [submit pull requests](https://github.com/ankane/prophet-ruby/pulls)
 - Write, clarify, or fix documentation
 - Suggest or add new features
 
 To get started with development:
 
 ```sh
-git clone https://github.com/ankane/prophet.git
-cd prophet
+git clone https://github.com/ankane/prophet-ruby.git
+cd prophet-ruby
 bundle install
-bundle exec ruby ext/prophet/extconf.rb
+bundle exec rake vendor:all
 bundle exec rake test
 ```

data/lib/prophet/forecaster.rb

@@ -75,8 +75,8 @@ module Prophet
     end
 
     def validate_inputs
-      if !["linear", "logistic"].include?(@growth)
-        raise ArgumentError, "Parameter \"growth\" should be \"linear\" or \"logistic\"."
+      if !["linear", "logistic", "flat"].include?(@growth)
+        raise ArgumentError, "Parameter \"growth\" should be \"linear\", \"logistic\", or \"flat\"."
       end
       if @changepoint_range < 0 || @changepoint_range > 1
         raise ArgumentError, "Parameter \"changepoint_range\" must be in [0, 1]"
@@ -143,7 +143,7 @@ module Prophet
     def setup_dataframe(df, initialize_scales: false)
       if df.include?("y")
         df["y"] = df["y"].map(&:to_f)
-        raise ArgumentError "Found infinity in column y." unless df["y"].all?(&:finite?)
+        raise ArgumentError, "Found infinity in column y." unless df["y"].all?(&:finite?)
       end
       # TODO support integers
 
@@ -602,6 +602,12 @@ module Prophet
       [k, m]
     end
 
+    def flat_growth_init(df)
+      k = 0
+      m = df["y_scaled"].mean
+      [k, m]
+    end
+
     def fit(df, **kwargs)
       raise Error, "Prophet object can only be fit once" if @history
 
@@ -624,6 +630,8 @@ module Prophet
 
       set_changepoints
 
+      trend_indicator = {"linear" => 0, "logistic" => 1, "flat" => 2}
+
       dat = {
         "T" => history.shape[0],
         "K" => seasonal_features.shape[1],
@@ -634,7 +642,7 @@ module Prophet
         "X" => seasonal_features,
         "sigmas" => prior_scales,
         "tau" => @changepoint_prior_scale,
-        "trend_indicator" => @growth == "logistic" ? 1 : 0,
+        "trend_indicator" => trend_indicator[@growth],
         "s_a" => component_cols["additive_terms"],
         "s_m" => component_cols["multiplicative_terms"]
       }
@@ -642,6 +650,9 @@ module Prophet
       if @growth == "linear"
         dat["cap"] = Numo::DFloat.zeros(@history.shape[0])
         kinit = linear_growth_init(history)
+      elsif @growth == "flat"
+        dat["cap"] = Numo::DFloat.zeros(@history.shape[0])
+        kinit = flat_growth_init(history)
       else
         dat["cap"] = history["cap_scaled"]
         kinit = logistic_growth_init(history)
@@ -655,7 +666,7 @@ module Prophet
         "sigma_obs" => 1
       }
 
-      if history["y"].min == history["y"].max && @growth == "linear"
+      if history["y"].min == history["y"].max && (@growth == "linear" || @growth == "flat")
         # Nothing to fit.
         @params = stan_init
         @params["sigma_obs"] = 1e-9
@@ -741,6 +752,11 @@ module Prophet
       cap.to_numo / (1 + Numo::NMath.exp(-k_t * (t - m_t)))
     end
 
+    def flat_trend(t, m)
+      m_t = m * t.new_ones
+      m_t
+    end
+
     def predict_trend(df)
       k = @params["k"].mean(nan: true)
       m = @params["m"].mean(nan: true)
@@ -749,9 +765,11 @@ module Prophet
       t = Numo::NArray.asarray(df["t"].to_a)
       if @growth == "linear"
         trend = piecewise_linear(t, deltas, k, m, @changepoints_t)
-      else
+      elsif @growth == "logistic"
         cap = df["cap_scaled"]
         trend = piecewise_logistic(t, cap, deltas, k, m, @changepoints_t)
+      elsif @growth == "flat"
+        trend = flat_trend(t, m)
       end
 
       trend * @y_scale + Numo::NArray.asarray(df["floor"].to_a)
@@ -887,9 +905,11 @@ module Prophet
 
       if @growth == "linear"
         trend = piecewise_linear(t, deltas, k, m, changepoint_ts)
-      else
+      elsif @growth == "logistic"
         cap = df["cap_scaled"]
         trend = piecewise_logistic(t, cap, deltas, k, m, changepoint_ts)
+      elsif @growth == "flat"
+        trend = flat_trend(t, m)
       end
 
       trend * @y_scale + Numo::NArray.asarray(df["floor"].to_a)

data/lib/prophet/stan_backend.rb

@@ -6,7 +6,8 @@ module Prophet
     end
 
     def load_model
-      model_file = File.expand_path("../../stan_model/prophet_model.bin", __dir__)
+      model_file = File.expand_path("../../vendor/prophet-#{platform}/bin/prophet", __dir__)
+      raise Error, "Platform not supported yet" unless File.exist?(model_file)
       CmdStan::Model.new(exe_file: model_file)
     end
 
@@ -132,5 +133,23 @@ module Prophet
       stan_init["beta"] = stan_init["beta"].to_a
       [stan_init, stan_data]
     end
+
+    def platform
+      if Gem.win_platform?
+        "windows"
+      elsif RbConfig::CONFIG["host_os"] =~ /darwin/i
+        if RbConfig::CONFIG["host_cpu"] =~ /arm|aarch64/i
+          "mac-arm"
+        else
+          "mac"
+        end
+      else
+        if RbConfig::CONFIG["host_cpu"] =~ /arm|aarch64/i
+          "linux-arm"
+        else
+          "linux"
+        end
+      end
+    end
   end
 end

data/lib/prophet/version.rb

@@ -1,3 +1,3 @@
 module Prophet
-  VERSION = "0.2.3"
+  VERSION = "0.3.0"
 end

data/lib/prophet.rb

@@ -83,4 +83,14 @@ module Prophet
     end
     result.map { |v| [v["ds"], v["yhat"]] }.to_h
   end
+
+  def self.anomalies(series)
+    df = Rover::DataFrame.new(series.map { |k, v| {"ds" => k, "y" => v} })
+    m = Prophet.new(interval_width: 0.99)
+    m.logger.level = ::Logger::FATAL # no logging
+    m.fit(df)
+    forecast = m.predict(df)
+    # filter df["ds"] to ensure dates/times in same format as input
+    df["ds"][(df["y"] < forecast["yhat_lower"]) | (df["y"] > forecast["yhat_upper"])].to_a
+  end
 end

data/stan/unix/prophet.stan

@@ -73,6 +73,15 @@ functions {
   ) {
     return (k + A * delta) .* t + (m + A * (-t_change .* delta));
   }
+
+  // Flat trend function
+
+  vector flat_trend(
+    real m,
+    int T
+  ) {
+    return rep_vector(m, T);
+  }
 }
 
 data {
@@ -86,7 +95,7 @@ data {
   matrix[T,K] X;        // Regressors
   vector[K] sigmas;     // Scale on seasonality prior
   real<lower=0> tau;    // Scale on changepoints prior
-  int trend_indicator;  // 0 for linear, 1 for logistic
+  int trend_indicator;  // 0 for linear, 1 for logistic, 2 for flat
   vector[K] s_a;        // Indicator of additive features
   vector[K] s_m;        // Indicator of multiplicative features
 }
@@ -104,6 +113,17 @@ parameters {
   vector[K] beta;           // Regressor coefficients
 }
 
+transformed parameters {
+  vector[T] trend;
+  if (trend_indicator == 0) {
+    trend = linear_trend(k, m, delta, t, A, t_change);
+  } else if (trend_indicator == 1) {
+    trend = logistic_trend(k, m, delta, t, cap, A, t_change, S);
+  } else if (trend_indicator == 2) {
+    trend = flat_trend(m, T);
+  }
+}
+
 model {
   //priors
   k ~ normal(0, 5);
@@ -113,19 +133,10 @@ model {
   beta ~ normal(0, sigmas);
 
   // Likelihood
-  if (trend_indicator == 0) {
-    y ~ normal(
-      linear_trend(k, m, delta, t, A, t_change)
-      .* (1 + X * (beta .* s_m))
-      + X * (beta .* s_a),
-      sigma_obs
-    );
-  } else if (trend_indicator == 1) {
-    y ~ normal(
-      logistic_trend(k, m, delta, t, cap, A, t_change, S)
-      .* (1 + X * (beta .* s_m))
-      + X * (beta .* s_a),
-      sigma_obs
-    );
-  }
+  y ~ normal(
+  trend
+  .* (1 + X * (beta .* s_m))
+  + X * (beta .* s_a),
+  sigma_obs
+  );
 }

data/stan/win/prophet.stan

@@ -47,7 +47,7 @@ functions {
     }
     return gamma;
   }
-  
+
   real[] logistic_trend(
     real k,
     real m,
@@ -94,6 +94,17 @@ functions {
     }
     return Y;
   }
+
+   // Flat trend function
+
+    real[] flat_trend(
+    real m,
+    int T
+  ) {
+    return rep_array(m, T);
+  }
+
+
 }
 
 data {
@@ -107,7 +118,7 @@ data {
   real X[T,K];         // Regressors
   vector[K] sigmas;     // Scale on seasonality prior
   real<lower=0> tau;    // Scale on changepoints prior
-  int trend_indicator;  // 0 for linear, 1 for logistic
+  int trend_indicator;  // 0 for linear, 1 for logistic, 2 for flat
   real s_a[K];          // Indicator of additive features
   real s_m[K];          // Indicator of multiplicative features
 }
@@ -135,6 +146,8 @@ transformed parameters {
     trend = linear_trend(k, m, delta, t, A, t_change, S, T);
   } else if (trend_indicator == 1) {
     trend = logistic_trend(k, m, delta, t, cap, A, t_change, S, T);
+  } else if (trend_indicator == 2){
+    trend = flat_trend(m, T);
   }
 
   for (i in 1:K) {

data/vendor/prophet-linux/lib/libtbb.so

@@ -0,0 +1 @@
+INPUT (libtbb.so.2)

data/vendor/prophet-linux/lib/libtbbmalloc.so

@@ -0,0 +1 @@
+INPUT (libtbbmalloc.so.2)

data/vendor/prophet-linux/lib/libtbbmalloc_proxy.so

@@ -0,0 +1 @@
+INPUT (libtbbmalloc_proxy.so.2)

data/vendor/prophet-linux/licenses/boost-license.txt

@@ -0,0 +1,23 @@
+Boost Software License - Version 1.0 - August 17th, 2003
+
+Permission is hereby granted, free of charge, to any person or organization
+obtaining a copy of the software and accompanying documentation covered by
+this license (the "Software") to use, reproduce, display, distribute,
+execute, and transmit the Software, and to prepare derivative works of the
+Software, and to permit third-parties to whom the Software is furnished to
+do so, all subject to the following:
+
+The copyright notices in the Software and this entire statement, including
+the above license grant, this restriction and the following disclaimer,
+must be included in all copies of the Software, in whole or in part, and
+all derivative works of the Software, unless such copies or derivative
+works are solely in the form of machine-executable object code generated by
+a source language processor.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE, TITLE AND NON-INFRINGEMENT. IN NO EVENT
+SHALL THE COPYRIGHT HOLDERS OR ANYONE DISTRIBUTING THE SOFTWARE BE LIABLE
+FOR ANY DAMAGES OR OTHER LIABILITY, WHETHER IN CONTRACT, TORT OR OTHERWISE,
+ARISING FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER
+DEALINGS IN THE SOFTWARE.

data/vendor/prophet-linux/licenses/cli11-license.txt

@@ -0,0 +1,25 @@
+CLI11 1.8 Copyright (c) 2017-2019 University of Cincinnati, developed by Henry
+Schreiner under NSF AWARD 1414736. All rights reserved.
+
+Redistribution and use in source and binary forms of CLI11, with or without
+modification, are permitted provided that the following conditions are met:
+
+1. Redistributions of source code must retain the above copyright notice, this
+   list of conditions and the following disclaimer.
+2. Redistributions in binary form must reproduce the above copyright notice,
+   this list of conditions and the following disclaimer in the documentation
+   and/or other materials provided with the distribution.
+3. Neither the name of the copyright holder nor the names of its contributors
+   may be used to endorse or promote products derived from this software without
+   specific prior written permission.
+
+THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS" AND
+ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE IMPLIED
+WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE
+DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT HOLDER OR CONTRIBUTORS BE LIABLE FOR
+ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES
+(INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES;
+LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON
+ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
+(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS
+SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.

data/vendor/prophet-linux/licenses/cmdstan-license.txt

@@ -0,0 +1,27 @@
+Copyright (c) 2014, Stan
+All rights reserved.
+
+Redistribution and use in source and binary forms, with or without modification,
+are permitted provided that the following conditions are met:
+
+* Redistributions of source code must retain the above copyright notice, this
+  list of conditions and the following disclaimer.
+
+* Redistributions in binary form must reproduce the above copyright notice, this
+  list of conditions and the following disclaimer in the documentation and/or
+  other materials provided with the distribution.
+
+* Neither the name of the {organization} nor the names of its
+  contributors may be used to endorse or promote products derived from
+  this software without specific prior written permission.
+
+THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS" AND
+ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE IMPLIED
+WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE
+DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT HOLDER OR CONTRIBUTORS BE LIABLE FOR
+ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES
+(INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES;
+LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON
+ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
+(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS
+SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.

data/vendor/prophet-linux/licenses/eigen-bsd-license.txt

@@ -0,0 +1,26 @@
+/*
+ Copyright (c) 2011, Intel Corporation. All rights reserved.
+
+ Redistribution and use in source and binary forms, with or without modification,
+ are permitted provided that the following conditions are met:
+
+ * Redistributions of source code must retain the above copyright notice, this
+   list of conditions and the following disclaimer.
+ * Redistributions in binary form must reproduce the above copyright notice,
+   this list of conditions and the following disclaimer in the documentation
+   and/or other materials provided with the distribution.
+ * Neither the name of Intel Corporation nor the names of its contributors may
+   be used to endorse or promote products derived from this software without
+   specific prior written permission.
+
+ THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS" AND
+ ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE IMPLIED
+ WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE
+ DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT OWNER OR CONTRIBUTORS BE LIABLE FOR
+ ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES
+ (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES;
+ LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON
+ ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
+ (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS
+ SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
+*/