prophet-rb 0.3.1 → 0.4.1
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- 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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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
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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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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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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
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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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result.map { |v| [v["ds"], v["yhat"]] }.to_h
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end
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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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}
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transformed data {
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matrix[T, S] A;
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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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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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Additional BSD Notice
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1. This notice is required to be provided under our contract with
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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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This work was prepared as an account of work sponsored by an agency of
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makes any warranty, expressed or implied, or assumes any legal liability
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Reference herein to any specific commercial product, process, or service
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The views and opinions of authors expressed herein do not necessarily
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modification, are permitted provided that the following conditions are met:
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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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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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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
|
14
|
+
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
|
26
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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.
|
51
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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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|
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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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