dsipts 1.1.8__tar.gz → 1.1.10__tar.gz

{dsipts-1.1.8 → dsipts-1.1.10}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: dsipts
-Version: 1.1.8
+Version: 1.1.10
 Summary: Unified library for timeseries modelling
 Author-email: Andrea Gobbi <agobbi@fbk.eu>
 Project-URL: Homepage, https://github.com/DSIP-FBK/DSIPTS

{dsipts-1.1.8 → dsipts-1.1.10}/pyproject.toml

@@ -1,6 +1,6 @@
 [project]
 name = "dsipts"
-version = "1.1.8"
+version = "1.1.10"
 description = "Unified library for timeseries modelling"
 readme = "README.md"
 requires-python = "==3.11.13"

{dsipts-1.1.8 → dsipts-1.1.10}/src/dsipts/models/base.py

@@ -12,7 +12,7 @@ import numpy as np
 from aim import Image
 import matplotlib.pyplot as plt
 from typing import List, Union
-from .utils import QuantileLossMO
+from .utils import QuantileLossMO, CPRS
 import torch.nn as nn
 
 def standardize_momentum(x,order):
@@ -135,10 +135,15 @@ class Base(pl.LightningModule):
         if n_classes==0:
             self.is_classification = False
             if len(self.quantiles)>0:
-                assert len(self.quantiles)==3, beauty_string('ONLY 3 quantiles premitted','info',True)
-                self.use_quantiles = True
-                self.mul = len(self.quantiles)
-                self.loss = QuantileLossMO(quantiles)
+                if self.loss_type=='cprs':
+                    self.use_quantiles = True
+                    self.mul = len(self.quantiles)
+                    self.loss = CPRS(alpha=self.persistence_weight)
+                else:
+                    assert len(self.quantiles)==3, beauty_string('ONLY 3 quantiles premitted','info',True)
+                    self.use_quantiles = True
+                    self.mul = len(self.quantiles)
+                    self.loss = QuantileLossMO(quantiles)
             else:
                 self.use_quantiles = False
                 self.mul = 1
@@ -186,6 +191,12 @@ class Base(pl.LightningModule):
         Returns:
             torch.tensor: result
         """
+        if self.loss_type=='cprs':
+            tmp = self(batch)
+            tmp = torch.quantile(tmp, torch.tensor([0.05, 0.5, 0.95]), dim=-1).permute(1,2,3,0)
+            return tmp
+            #return tmp.mean(axis=-1).unsqueeze(-1)
+        
         return self(batch)
         
     def configure_optimizers(self):
@@ -357,6 +368,14 @@ class Base(pl.LightningModule):
         :meta private:
         """
 
+        if self.loss_type=='cprs':
+            return self.loss(y_hat,batch['y'])
+
+        if self.loss_type=='long_lag':
+            batch_size,width,n_variables = batch['y'].shape
+            tmp = torch.abs(y_hat[:,:,:,0]-batch['y'])*torch.linspace(1,self.persistence_weight,width).view(1,width,1).repeat(batch_size,1,n_variables)
+            return tmp.mean()
+
         if self.use_quantiles is False:
             initial_loss = self.loss(y_hat[:,:,:,0], batch['y'])
         else:

{dsipts-1.1.8 → dsipts-1.1.10}/src/dsipts/models/base_v2.py

@@ -12,7 +12,7 @@ import numpy as np
 from aim import Image
 import matplotlib.pyplot as plt
 from typing import List, Union
-from .utils import QuantileLossMO
+from .utils import QuantileLossMO, CPRS
 import torch.nn as nn
 
 
@@ -137,10 +137,15 @@ class Base(pl.LightningModule):
         if n_classes==0:
             self.is_classification = False
             if len(self.quantiles)>0:
-                assert len(self.quantiles)==3, beauty_string('ONLY 3 quantiles premitted','info',True)
-                self.use_quantiles = True
-                self.mul = len(self.quantiles)
-                self.loss = QuantileLossMO(quantiles)
+                if self.loss_type=='cprs':
+                    self.use_quantiles = True
+                    self.mul = len(self.quantiles)
+                    self.loss = CPRS(alpha=self.persistence_weight)
+                else:
+                    assert len(self.quantiles)==3, beauty_string('ONLY 3 quantiles premitted','info',True)
+                    self.use_quantiles = True
+                    self.mul = len(self.quantiles)
+                    self.loss = QuantileLossMO(quantiles)
             else:
                 self.use_quantiles = False
                 self.mul = 1
@@ -189,6 +194,13 @@ class Base(pl.LightningModule):
         Returns:
             torch.tensor: result
         """
+        
+        if self.loss_type=='cprs':
+            tmp = self(batch)
+            tmp = torch.quantile(tmp, torch.tensor([0.05, 0.5, 0.95]), dim=-1).permute(1,2,3,0)
+            return tmp
+            #return tmp.mean(axis=-1).unsqueeze(-1)
+        
         return self(batch)
         
     def configure_optimizers(self):
@@ -365,6 +377,16 @@ class Base(pl.LightningModule):
         
         :meta private:
         """
+        if self.loss_type=='cprs':
+            return self.loss(y_hat,batch['y'])
+
+        if self.loss_type=='long_lag':
+
+            batch_size,width,n_variables = batch['y'].shape
+            tmp = torch.abs(y_hat[:,:,:,0]-batch['y'])*torch.linspace(1,self.persistence_weight,width).view(1,width,1).repeat(batch_size,1,n_variables)
+            return tmp.mean()
+
+
 
         if self.use_quantiles is False:
             initial_loss = self.loss(y_hat[:,:,:,0], batch['y'])

{dsipts-1.1.8 → dsipts-1.1.10}/src/dsipts/models/utils.py

@@ -621,4 +621,78 @@ class Embedding_cat_variables(nn.Module):
             emb.append(layer(cat_vars[:, :, index]).unsqueeze(2))
 
         cat_n_embd = torch.cat(emb,dim=2)
-        return cat_n_embd
+        return cat_n_embd
+    
+    
+    
+class CPRS(nn.Module):
+    """
+    Efficient vectorized implementation of Almost Fair CRPS.
+    
+    This version avoids explicit loops and uses broadcasting for better performance
+    with large ensembles.
+    """
+    
+    def __init__(self, alpha=0.5, reduction='mean'):
+        super().__init__()
+        self.alpha = alpha
+        self.reduction = reduction
+        
+    def forward(self, y_hat, target, weights=None):
+        """
+        Compute the almost fair CRPS loss (efficient version).
+        
+        Args:
+            ensemble: Tensor of shape (batch_size, n_members, ...)
+            target: Tensor of shape (batch_size, ...)
+            weights: Optional per-variable or per-location weights
+        
+        Returns:
+            Loss tensor
+        """
+        ## initial shape BS,width,n_variables,n_members need to go into batch_size, n_members, width, n_variables
+        ensemble = y_hat.permute(0,3,1,2)
+ 
+        
+        batch_size, n_members = ensemble.shape[:2]
+        epsilon = (1 - self.alpha) / n_members
+        
+        # Expand target to match ensemble shape
+        target_expanded = target.unsqueeze(1).expand_as(ensemble)
+        
+        # Compute first term: mean absolute error to target
+        mae_term = torch.abs(ensemble - target_expanded).mean(dim=1)
+        
+        # Compute second term: pairwise differences between ensemble members
+        # Use broadcasting to compute all pairwise differences efficiently
+        ensemble_i = ensemble.unsqueeze(2)  # (batch, n_members, 1, ...)
+        ensemble_j = ensemble.unsqueeze(1)  # (batch, 1, n_members, ...)
+        
+        pairwise_diffs = torch.abs(ensemble_i - ensemble_j)
+        
+        # Sum over all pairs (excluding diagonal)
+        # Create mask to exclude diagonal (i=j)
+        mask = ~torch.eye(n_members, dtype=torch.bool, device=ensemble.device)
+        mask = mask.view(1, n_members, n_members, *[1]*(len(ensemble.shape)-2))
+
+        # Apply mask and compute mean
+        pairwise_term = (pairwise_diffs * mask).sum(dim=(1, 2)) ##formula 3 second term 
+        
+        # Combine terms according to afCRPS formula
+        loss = mae_term - (1 - epsilon) * pairwise_term/ (2*n_members * (n_members - 1))
+        
+        # Apply weights if provided
+        if weights is not None:
+            loss = loss * weights
+        #if loss.mean()<-2:
+        #    import pdb
+        #    pdb.set_trace()
+        # Apply reduction
+        if self.reduction == 'none':
+            return loss
+        elif self.reduction == 'sum':
+            return loss.sum()
+        elif self.reduction == 'mean':
+            return loss.mean()
+        else:
+            raise ValueError(f"Invalid reduction: {self.reduction}")

{dsipts-1.1.8 → dsipts-1.1.10}/src/dsipts.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: dsipts
-Version: 1.1.8
+Version: 1.1.10
 Summary: Unified library for timeseries modelling
 Author-email: Andrea Gobbi <agobbi@fbk.eu>
 Project-URL: Homepage, https://github.com/DSIP-FBK/DSIPTS