prophet-rb 0.3.1 → 0.4.1
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- checksums.yaml +4 -4
- data/CHANGELOG.md +17 -2
- data/LICENSE.txt +1 -1
- data/README.md +149 -2
- data/data-raw/LICENSE-holidays.txt +20 -0
- data/data-raw/README.md +3 -0
- data/data-raw/generated_holidays.csv +29302 -61443
- data/lib/prophet/diagnostics.rb +349 -0
- data/lib/prophet/forecaster.rb +214 -4
- data/lib/prophet/holidays.rb +6 -10
- data/lib/prophet/plot.rb +56 -6
- data/lib/prophet/stan_backend.rb +10 -1
- data/lib/prophet/version.rb +1 -1
- data/lib/prophet.rb +23 -7
- data/stan/{unix/prophet.stan → prophet.stan} +8 -7
- data/vendor/aarch64-linux/bin/prophet +0 -0
- data/vendor/aarch64-linux/lib/libtbb.so.2 +0 -0
- data/vendor/aarch64-linux/lib/libtbbmalloc.so.2 +0 -0
- data/vendor/aarch64-linux/lib/libtbbmalloc_proxy.so.2 +0 -0
- data/vendor/aarch64-linux/licenses/sundials-license.txt +25 -63
- data/vendor/aarch64-linux/licenses/sundials-notice.txt +21 -0
- data/vendor/arm64-darwin/bin/prophet +0 -0
- data/vendor/arm64-darwin/lib/libtbb.dylib +0 -0
- data/vendor/arm64-darwin/lib/libtbbmalloc.dylib +0 -0
- data/vendor/arm64-darwin/licenses/sundials-license.txt +25 -63
- data/vendor/arm64-darwin/licenses/sundials-notice.txt +21 -0
- data/vendor/x86_64-darwin/bin/prophet +0 -0
- data/vendor/x86_64-darwin/lib/libtbb.dylib +0 -0
- data/vendor/x86_64-darwin/lib/libtbbmalloc.dylib +0 -0
- data/vendor/x86_64-darwin/licenses/sundials-license.txt +25 -63
- data/vendor/x86_64-darwin/licenses/sundials-notice.txt +21 -0
- data/vendor/x86_64-linux/bin/prophet +0 -0
- data/vendor/x86_64-linux/lib/libtbb.so.2 +0 -0
- data/vendor/x86_64-linux/lib/libtbbmalloc.so.2 +0 -0
- data/vendor/x86_64-linux/lib/libtbbmalloc_proxy.so.2 +0 -0
- data/vendor/x86_64-linux/licenses/sundials-license.txt +25 -63
- data/vendor/x86_64-linux/licenses/sundials-notice.txt +21 -0
- metadata +10 -4
- data/stan/win/prophet.stan +0 -175
data/lib/prophet/plot.rb
CHANGED
@@ -111,6 +111,61 @@ module Prophet
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artists
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end
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def self.plot_cross_validation_metric(df_cv, metric:, rolling_window: 0.1, ax: nil, figsize: [10, 6], color: "b", point_color: "gray")
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if ax.nil?
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fig = plt.figure(facecolor: "w", figsize: figsize)
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ax = fig.add_subplot(111)
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else
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fig = ax.get_figure
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end
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# Get the metric at the level of individual predictions, and with the rolling window.
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df_none = Diagnostics.performance_metrics(df_cv, metrics: [metric], rolling_window: -1)
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df_h = Diagnostics.performance_metrics(df_cv, metrics: [metric], rolling_window: rolling_window)
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# Some work because matplotlib does not handle timedelta
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# Target ~10 ticks.
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tick_w = df_none["horizon"].max * 1e9 / 10.0
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# Find the largest time resolution that has <1 unit per bin.
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dts = ["D", "h", "m", "s", "ms", "us", "ns"]
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dt_names = ["days", "hours", "minutes", "seconds", "milliseconds", "microseconds", "nanoseconds"]
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dt_conversions = [
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24 * 60 * 60 * 10 ** 9,
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60 * 60 * 10 ** 9,
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60 * 10 ** 9,
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10 ** 9,
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10 ** 6,
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10 ** 3,
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1.0
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]
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# TODO update
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i = 0
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# dts.each_with_index do |dt, i|
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# if np.timedelta64(1, dt) < np.timedelta64(tick_w, "ns")
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# break
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# end
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# end
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x_plt = df_none["horizon"] * 1e9 / dt_conversions[i].to_f
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x_plt_h = df_h["horizon"] * 1e9 / dt_conversions[i].to_f
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ax.plot(x_plt.to_a, df_none[metric].to_a, ".", alpha: 0.1, c: point_color)
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ax.plot(x_plt_h.to_a, df_h[metric].to_a, "-", c: color)
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ax.grid(true)
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ax.set_xlabel("Horizon (#{dt_names[i]})")
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ax.set_ylabel(metric)
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fig
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end
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def self.plt
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begin
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require "matplotlib/pyplot"
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rescue LoadError
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raise Error, "Install the matplotlib gem for plots"
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end
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Matplotlib::Pyplot
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end
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private
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def plot_forecast_component(fcst, name, ax: nil, uncertainty: true, plot_cap: false, figsize: [10, 6])
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end
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def plt
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-
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require "matplotlib/pyplot"
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rescue LoadError
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raise Error, "Install the matplotlib gem for plots"
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end
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Matplotlib::Pyplot
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Plot.plt
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end
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def dates
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data/lib/prophet/stan_backend.rb
CHANGED
@@ -13,6 +13,11 @@ module Prophet
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def fit(stan_init, stan_data, **kwargs)
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stan_init, stan_data = prepare_data(stan_init, stan_data)
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if !kwargs[:inits] && kwargs[:init]
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kwargs[:inits] = prepare_data(kwargs.delete(:init), stan_data)[0]
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end
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kwargs[:algorithm] ||= stan_data["T"] < 100 ? "Newton" : "LBFGS"
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iterations = 10000
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@@ -49,6 +54,10 @@ module Prophet
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def sampling(stan_init, stan_data, samples, **kwargs)
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stan_init, stan_data = prepare_data(stan_init, stan_data)
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if !kwargs[:inits] && kwargs[:init]
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kwargs[:inits] = prepare_data(kwargs.delete(:init), stan_data)[0]
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end
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kwargs[:chains] ||= 4
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kwargs[:warmup_iters] ||= samples / 2
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@@ -128,7 +137,7 @@ module Prophet
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stan_data["t_change"] = stan_data["t_change"].to_a
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stan_data["s_a"] = stan_data["s_a"].to_a
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stan_data["s_m"] = stan_data["s_m"].to_a
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-
stan_data["X"] = stan_data["X"].to_numo.to_a
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stan_data["X"] = stan_data["X"].respond_to?(:to_numo) ? stan_data["X"].to_numo.to_a : stan_data["X"].to_a
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stan_init["delta"] = stan_init["delta"].to_a
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stan_init["beta"] = stan_init["beta"].to_a
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[stan_init, stan_data]
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data/lib/prophet/version.rb
CHANGED
data/lib/prophet.rb
CHANGED
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require "set"
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# modules
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require "prophet/diagnostics"
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require "prophet/holidays"
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require "prophet/plot"
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require "prophet/forecaster"
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Forecaster.new(**kwargs)
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end
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-
def self.forecast(series, count: 10)
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def self.forecast(series, count: 10, country_holidays: nil, cap: nil, verbose: false, **options)
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raise ArgumentError, "Series must have at least 10 data points" if series.size < 10
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# error early on unknown keywords
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m = Prophet.new(**options)
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# check type to determine output format
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# check for before converting to time
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keys = series.keys
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# use series, not times, so dates are handled correctly
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df = Rover::DataFrame.new({"ds" => series.keys, "y" => series.values})
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df["cap"] = cap if cap
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m =
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m.
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m.logger.level = ::Logger::FATAL unless verbose
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m.add_country_holidays(country_holidays) if country_holidays
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m.fit(df)
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future = m.make_future_dataframe(periods: count, include_history: false, freq: freq)
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future["cap"] = cap if cap
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forecast = m.predict(future)
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result = forecast[["ds", "yhat"]].to_a
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@@ -84,13 +90,23 @@ module Prophet
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result.map { |v| [v["ds"], v["yhat"]] }.to_h
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end
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-
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-
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# TODO better name for interval_width
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# TODO DRY with forecast method
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def self.anomalies(series, interval_width: 0.99, country_holidays: nil, cap: nil, verbose: false, **options)
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df = Rover::DataFrame.new({"ds" => series.keys, "y" => series.values})
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df["cap"] = cap if cap
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m = Prophet.new(interval_width: interval_width, **options)
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m.logger.level = ::Logger::FATAL unless verbose
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m.add_country_holidays(country_holidays) if country_holidays
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m.fit(df)
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forecast = m.predict(df)
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# filter df["ds"] to ensure dates/times in same format as input
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df["ds"][(df["y"] < forecast["yhat_lower"]) | (df["y"] > forecast["yhat_upper"])].to_a
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end
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def self.from_json(model_json)
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Forecaster.from_json(model_json)
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end
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end
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@@ -101,8 +101,9 @@ data {
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}
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transformed data {
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matrix[T, S] A;
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-
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matrix[T, S] A = get_changepoint_matrix(t, t_change, T, S);
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matrix[T, K] X_sa = X .* rep_matrix(s_a', T);
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matrix[T, K] X_sm = X .* rep_matrix(s_m', T);
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}
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parameters {
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@@ -133,10 +134,10 @@ model {
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beta ~ normal(0, sigmas);
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// Likelihood
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y ~
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y ~ normal_id_glm(
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X_sa,
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trend .* (1 + X_sm * beta),
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beta,
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sigma_obs
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);
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}
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Produced at the Lawrence Livermore National Laboratory.
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Written by A.C. Hindmarsh, D.R. Reynolds, R. Serban, C.S. Woodward,
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S.D. Cohen, A.G. Taylor, S. Peles, L.E. Banks, and D. Shumaker.
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LLNL-CODE-667205 (ARKODE)
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UCRL-CODE-155951 (CVODE)
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UCRL-CODE-155950 (CVODES)
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UCRL-CODE-155952 (IDA)
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UCRL-CODE-237203 (IDAS)
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LLNL-CODE-665877 (KINSOL)
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All rights reserved.
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BSD 3-Clause License
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Copyright (c) 2002-2022, Lawrence Livermore National Security and Southern Methodist University.
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All rights reserved.
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Redistribution and use in source and binary forms, with or without
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modification, are permitted provided that the following conditions
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TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE,
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DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY
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THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
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(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
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modification, are permitted provided that the following conditions are met:
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* Redistributions of source code must retain the above copyright notice, this
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list of conditions and the following disclaimer.
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* Redistributions in binary form must reproduce the above copyright notice,
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this list of conditions and the following disclaimer in the documentation
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and/or other materials provided with the distribution.
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* Neither the name of the copyright holder nor the names of its
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contributors may be used to endorse or promote products derived from
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this software without specific prior written permission.
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THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS"
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AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE
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IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE
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DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT HOLDER OR CONTRIBUTORS BE LIABLE
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FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL
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SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER
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CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY,
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OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
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OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
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Additional BSD Notice
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---------------------
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1. This notice is required to be provided under our contract with
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the U.S. Department of Energy (DOE). This work was produced at
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Lawrence Livermore National Laboratory under Contract
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2. Neither the United States Government nor Lawrence Livermore
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National Security, LLC nor any of their employees, makes any warranty,
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express or implied, or assumes any liability or responsibility for the
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accuracy, completeness, or usefulness of any information, apparatus,
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product, or process disclosed, or represents that its use would not
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infringe privately-owned rights.
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3. Also, reference herein to any specific commercial products, process,
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or services by trade name, trademark, manufacturer or otherwise does
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not necessarily constitute or imply its endorsement, recommendation,
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or favoring by the United States Government or Lawrence Livermore
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National Security, LLC. The views and opinions of authors expressed
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herein do not necessarily state or reflect those of the United States
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Government or Lawrence Livermore National Security, LLC, and shall
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not be used for advertising or product endorsement purposes.
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This work was produced under the auspices of the U.S. Department of
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Energy by Lawrence Livermore National Laboratory under Contract
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DE-AC52-07NA27344.
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This work was prepared as an account of work sponsored by an agency of
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the United States Government. Neither the United States Government nor
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Lawrence Livermore National Security, LLC, nor any of their employees
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makes any warranty, expressed or implied, or assumes any legal liability
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or responsibility for the accuracy, completeness, or usefulness of any
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information, apparatus, product, or process disclosed, or represents that
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its use would not infringe privately owned rights.
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Reference herein to any specific commercial product, process, or service
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by trade name, trademark, manufacturer, or otherwise does not necessarily
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constitute or imply its endorsement, recommendation, or favoring by the
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United States Government or Lawrence Livermore National Security, LLC.
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The views and opinions of authors expressed herein do not necessarily
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state or reflect those of the United States Government or Lawrence
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Livermore National Security, LLC, and shall not be used for advertising
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or product endorsement purposes.
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Produced at the Lawrence Livermore National Laboratory.
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Written by A.C. Hindmarsh, D.R. Reynolds, R. Serban, C.S. Woodward,
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S.D. Cohen, A.G. Taylor, S. Peles, L.E. Banks, and D. Shumaker.
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modification, are permitted provided that the following conditions are met:
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list of conditions and the following disclaimer.
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this list of conditions and the following disclaimer in the documentation
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and/or other materials provided with the distribution.
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contributors may be used to endorse or promote products derived from
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this software without specific prior written permission.
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AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE
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IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE
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DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT HOLDER OR CONTRIBUTORS BE LIABLE
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the U.S. Department of Energy (DOE). This work was produced at
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2. Neither the United States Government nor Lawrence Livermore
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National Security, LLC nor any of their employees, makes any warranty,
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express or implied, or assumes any liability or responsibility for the
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accuracy, completeness, or usefulness of any information, apparatus,
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not necessarily constitute or imply its endorsement, recommendation,
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National Security, LLC. The views and opinions of authors expressed
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herein do not necessarily state or reflect those of the United States
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Government or Lawrence Livermore National Security, LLC, and shall
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not be used for advertising or product endorsement purposes.
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This work was produced under the auspices of the U.S. Department of
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Energy by Lawrence Livermore National Laboratory under Contract
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DE-AC52-07NA27344.
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This work was prepared as an account of work sponsored by an agency of
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the United States Government. Neither the United States Government nor
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Lawrence Livermore National Security, LLC, nor any of their employees
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makes any warranty, expressed or implied, or assumes any legal liability
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or responsibility for the accuracy, completeness, or usefulness of any
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information, apparatus, product, or process disclosed, or represents that
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its use would not infringe privately owned rights.
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Reference herein to any specific commercial product, process, or service
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by trade name, trademark, manufacturer, or otherwise does not necessarily
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constitute or imply its endorsement, recommendation, or favoring by the
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United States Government or Lawrence Livermore National Security, LLC.
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The views and opinions of authors expressed herein do not necessarily
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state or reflect those of the United States Government or Lawrence
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Livermore National Security, LLC, and shall not be used for advertising
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Written by A.C. Hindmarsh, D.R. Reynolds, R. Serban, C.S. Woodward,
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S.D. Cohen, A.G. Taylor, S. Peles, L.E. Banks, and D. Shumaker.
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LLNL-CODE-667205 (ARKODE)
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UCRL-CODE-155951 (CVODE)
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UCRL-CODE-155950 (CVODES)
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UCRL-CODE-155952 (IDA)
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UCRL-CODE-237203 (IDAS)
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LLNL-CODE-665877 (KINSOL)
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All rights reserved.
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BSD 3-Clause License
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Copyright (c) 2002-2022, Lawrence Livermore National Security and Southern Methodist University.
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All rights reserved.
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DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY
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THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
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(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
|
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modification, are permitted provided that the following conditions are met:
|
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+
|
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+
* Redistributions of source code must retain the above copyright notice, this
|
10
|
+
list of conditions and the following disclaimer.
|
11
|
+
|
12
|
+
* Redistributions in binary form must reproduce the above copyright notice,
|
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+
this list of conditions and the following disclaimer in the documentation
|
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|
+
and/or other materials provided with the distribution.
|
15
|
+
|
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|
+
* Neither the name of the copyright holder nor the names of its
|
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|
+
contributors may be used to endorse or promote products derived from
|
18
|
+
this software without specific prior written permission.
|
19
|
+
|
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|
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THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS"
|
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+
AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE
|
22
|
+
IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE
|
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+
DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT HOLDER OR CONTRIBUTORS BE LIABLE
|
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|
+
FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL
|
25
|
+
DAMAGES (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR
|
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SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER
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CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY,
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OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
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OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
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Additional BSD Notice
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---------------------
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1. This notice is required to be provided under our contract with
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48
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the U.S. Department of Energy (DOE). This work was produced at
|
49
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Lawrence Livermore National Laboratory under Contract
|
50
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No. DE-AC52-07NA27344 with the DOE.
|
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|
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2. Neither the United States Government nor Lawrence Livermore
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National Security, LLC nor any of their employees, makes any warranty,
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express or implied, or assumes any liability or responsibility for the
|
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accuracy, completeness, or usefulness of any information, apparatus,
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product, or process disclosed, or represents that its use would not
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infringe privately-owned rights.
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3. Also, reference herein to any specific commercial products, process,
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or services by trade name, trademark, manufacturer or otherwise does
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not necessarily constitute or imply its endorsement, recommendation,
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or favoring by the United States Government or Lawrence Livermore
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National Security, LLC. The views and opinions of authors expressed
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herein do not necessarily state or reflect those of the United States
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Government or Lawrence Livermore National Security, LLC, and shall
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not be used for advertising or product endorsement purposes.
|
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-
|
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This work was produced under the auspices of the U.S. Department of
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Energy by Lawrence Livermore National Laboratory under Contract
|
3
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+
DE-AC52-07NA27344.
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4
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This work was prepared as an account of work sponsored by an agency of
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the United States Government. Neither the United States Government nor
|
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Lawrence Livermore National Security, LLC, nor any of their employees
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makes any warranty, expressed or implied, or assumes any legal liability
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or responsibility for the accuracy, completeness, or usefulness of any
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information, apparatus, product, or process disclosed, or represents that
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its use would not infringe privately owned rights.
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Reference herein to any specific commercial product, process, or service
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by trade name, trademark, manufacturer, or otherwise does not necessarily
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constitute or imply its endorsement, recommendation, or favoring by the
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United States Government or Lawrence Livermore National Security, LLC.
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state or reflect those of the United States Government or Lawrence
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Livermore National Security, LLC, and shall not be used for advertising
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or product endorsement purposes.
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