lebre 0.1.0__py3-none-any.whl
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.
- lebre/__init__.py +13 -0
- lebre/_core.py +451 -0
- lebre/_engine.py +105 -0
- lebre/_memory.py +70 -0
- lebre/model.py +188 -0
- lebre/py.typed +0 -0
- lebre-0.1.0.dist-info/METADATA +85 -0
- lebre-0.1.0.dist-info/RECORD +10 -0
- lebre-0.1.0.dist-info/WHEEL +4 -0
- lebre-0.1.0.dist-info/licenses/LICENSE +202 -0
lebre/__init__.py
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"""LEBRE — online one-step-ahead forecasting with statistically tested structural changes, at a cost of a few hundred
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floating-point operations per step.
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This package implements **LEBRE v0.52-r1** (canonical configuration) exactly as specified and evaluated in the research
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record https://doi.org/10.5281/zenodo.23049103. In the reference environment (Windows, CPython 3.11, NumPy 2.2.5) the forecasts are bit-for-bit identical to the frozen
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research code; elsewhere they agree up to floating-point rounding, with identical structural decisions in the tests.
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"""
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from .model import Event, Forecast, Lebre
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__version__ = "0.1.0"
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ALGORITHM_VERSION = "LEBRE v0.52-r1"
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__all__ = ["Lebre", "Forecast", "Event", "__version__", "ALGORITHM_VERSION"]
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lebre/_core.py
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"""Core of LEBRE v0.52-r1 (canonical configuration only).
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Extracted from the frozen research implementation `lebre_v052h.LebreV052H` with the canonical configuration
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{scale_floor 0.1, peak_persist, evidence psiE1, lazy_halves, screen_skip_active, track_groups, mu 0.05, stagger,
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screen_spread, peak_split, peak_until 200, chal_warm 250, gap_hold, out_contract}. Branches used only by research
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ablations were removed; every arithmetic expression on the canonical path is kept in the same order, so the forecasts
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are bit-for-bit identical (checked by the regression tests).
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The only structural change is that one research `step(x, y)` is split into `predict(x)` (everything computed before
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the target is read) and `observe(y)` (everything after); `step` = `predict` then `observe`.
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"""
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import math
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import numpy as np
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from ._engine import ChangeEngine
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from ._memory import Memory, MemoryW
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POLES = (0.8, 0.95)
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BANDS = ((1, 1), (2, 3), (4, 7), (8, 15), (16, 31))
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# canonical constants (identical to the research defaults + canonical configuration)
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M_MAX, M_SLOTS, MU, ALPHA = 4, 2, 0.05, 0.05
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EPS = {"add": 0.002, "swap": 0.002, "rem": -0.002, "split": 0.002}
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CLIP_K, DECIDE_EVERY, N_MIN, T_MAX, COOLDOWN, REM_PERIOD = 2.0, 10, 100, 5000, 2000, 2000
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LAM, ETA, ALPHA_COV, GAMMA_Q, EVERY, CLIP_X = 0.99, 0.5, 0.1, 0.1, 8, 8.0
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CHAL_WARM, SCREEN_EVERY, SCREEN_W, SCREEN_Q, SPLIT_Q, RLS_P0 = 250, 4, 0.02, 15.09, 6.63, 10.0
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PEAK_UNTIL, SCALE_FLOOR, OUT_MARGIN, OUT_RHO = 200, 0.1, 0.5, 1e-3
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def halves(seg):
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lo, hi = seg; mid = (lo + hi) // 2
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return (lo, mid), (mid + 1, hi)
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class Core:
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def __init__(self, d, season=None, season2=None):
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self.ylast = 0.0; self.ym = 0.0; self.yv = 1.0
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d = d + 1 # the target's own past is one more input
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self.d, self.L = d, BANDS[-1][1]
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self.M = MemoryW(season, season2) if season2 else Memory(season)
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self.quar_until = -1
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self.y_sm = None; self.y_sv = 0.0; self.n_y = 0
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self.g_m = np.zeros(d); self.g_c = np.eye(d)
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self.units = [("in", i) for i in range(d)] + [("res",)]
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nb = len(BANDS)
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self.H = np.zeros((self.L + 2, d)) # H[k] = x_{t-k}
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self.bs = np.zeros((nb, d)) # running sums of the octave bands
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self.seg = {} # (i, lo, hi) -> running sum of an active segment
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self.r = np.zeros(len(POLES))
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self.base = np.zeros(d + 1)
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self.active = {} # unit -> {"segs": [(lo, hi)...] | None, "w": array}
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self.contrib_ema = {}
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self.a_c0 = np.ones(d); self.a_c1 = np.zeros(d); self.res_prev = 0.0
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self.sc_xy = np.zeros((nb, d)); self.sc_xx = np.ones((nb, d)) * 1e-3; self.sc_yy = np.ones(d)
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self.sr_xy = np.zeros(len(POLES)); self.sr_xx = np.ones(len(POLES)) * 1e-3; self.sr_yy = 1.0
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self.sp = {} # split key -> [xy, xx, yy] EMA
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self.engine = ChangeEngine(ALPHA, 2 * len(self.units), M_SLOTS, N_MIN, T_MAX)
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self.last_tested = {}; self.last_rem = {}
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self.events = []; self.t = 0
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self.e2 = None; self.sig = 1.0; self.e2r = None; self.sigr = 1.0; self.res2 = None
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self.D = 0.0; self.wS = 0.5
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self.qhat = None; self.qacc = 0.0; self.hits_obs = 0; self.hits_ok = 0
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self.fp = {"memory": 0.0, "structure": 0.0, "experiments": 0.0, "screening": 0.0, "control": 0.0}
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self.last_obs = None; self.env_hi = None; self.env_lo = None; self.env_m = None; self.env_n = 0; self.n_clipped = 0
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self._pending = None
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# ---------------- segment sums
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def _track(self, i, seg):
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k = (i, seg[0], seg[1])
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if k not in self.seg:
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self.seg[k] = float(self.H[seg[0]:seg[1] + 1, i].sum())
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self.fp["structure"] += seg[1] - seg[0] + 1
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def _mean(self, i, seg):
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k = (i, seg[0], seg[1])
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if k in self.seg:
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return self.seg[k] / (seg[1] - seg[0] + 1)
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self.fp["structure"] += seg[1] - seg[0] + 1
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return float(self.H[seg[0]:seg[1] + 1, i].sum()) / (seg[1] - seg[0] + 1)
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def _retrack(self):
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"""keep exactly the active segments as running sums (halves are summed on demand)"""
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need = set()
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for u, st in self.active.items():
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if u[0] == "in":
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for sg in st["segs"]:
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need.add((u[1],) + sg)
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for k in need:
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self._track(k[0], k[1:])
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for k in [k for k in self.seg if k not in need]:
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del self.seg[k]
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# ---------------- features (values available before y_t)
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def block(self, unit):
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if unit[0] == "in":
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i = unit[1]
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st = self.active.get(unit)
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if st is None:
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return np.array([self.bs[b, i] / (hi - lo + 1) for b, (lo, hi) in enumerate(BANDS)])
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return np.array([self._mean(i, sg) for sg in st["segs"]])
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return self.r.copy()
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def cfeat(self, key):
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if key[0] == "split":
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i, sg = key[1], key[2:]
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return np.array([self._mean(i, h) for h in halves(sg)])
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f = self.block(key)
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return np.append(f, self.H[0, key[1]]) if key[0] == "in" else f
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def _cf(self, ex):
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key = ex.add_key
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if key[0] == "in" and ex.kstar:
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f = self.cfeat(key)
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return np.concatenate([f[:-1], [self.H[ex.kstar, key[1]]], f[-1:]])
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return self.cfeat(key)
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def _seg_contrib(self, key):
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i, sg = key[1], key[2:]
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st = self.active[("in", i)]
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return float(st["w"][st["segs"].index(sg)]) * self._mean(i, sg)
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def response(self, unit):
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st = self.active[unit]
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return [(sg, float(w) / (sg[1] - sg[0] + 1)) for sg, w in zip(st["segs"], st["w"])]
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def _struct_pred(self, x):
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xb = np.concatenate(([1.0], x))
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s = float(self.base @ xb) + sum(float(st["w"] @ self.block(u)) for u, st in self.active.items())
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self.fp["structure"] += 2 * (self.d + 1) + sum(3 * len(st["w"]) for st in self.active.values())
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return s, xb
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def _a(self):
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return np.clip(self.a_c1 / np.maximum(self.a_c0, 1e-6), -0.999, 0.999)
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def _shift(self, x):
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self.H = np.roll(self.H, 1, axis=0); self.H[0] = x
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for b, (lo, hi) in enumerate(BANDS):
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self.bs[b] += self.H[lo] - self.H[hi + 1]
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for k in self.seg:
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i, lo, hi = k
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self.seg[k] += self.H[lo, i] - self.H[hi + 1, i]
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self.fp["structure"] += 2 * len(BANDS) * self.d + 2 * len(self.seg)
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# ---------------- one step, split in two halves
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def predict(self, x):
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"""everything computed before y_t is read; returns the (bounded) forecast"""
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if self._pending is not None:
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raise RuntimeError("predict() called twice without observe()")
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v = self.ylast
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x = np.append(np.asarray(x, float), (v - self.ym) / math.sqrt(self.yv + 1e-6))
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dlt = v - self.ym; self.ym += 1e-4 * dlt
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self.yv = max((1 - 1e-4) * self.yv + 1e-4 * (v - self.ym) * dlt, 1e-4); self.fp["structure"] += 9
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x = np.nan_to_num(x)
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if np.any(np.abs(x) > CLIP_X):
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self.quar_until = self.t + self.L
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x = np.clip(x, -CLIP_X, CLIP_X)
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self._shift(x)
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m = self.M.predict()
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s, xb = self._struct_pred(x)
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f = m + self.wS * (s - m)
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if self.env_n >= 50:
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w_ = OUT_MARGIN * (self.env_hi - self.env_lo)
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fc = min(max(f, self.env_lo - w_), self.env_hi + w_) if math.isfinite(f) else self.last_obs
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self.n_clipped += fc != f; f = fc; self.fp["control"] += 5
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ref = s
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outs, rrs = [], []
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for ex in self.engine.slots:
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if ex.kind == "split":
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c = self._seg_contrib(ex.add_key)
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outs.append(ref - c + float(ex.w @ self._cf(ex))); rrs.append(c)
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continue
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a = float(ex.w @ self._cf(ex)) if ex.add_key else 0.0
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r = float(self.active[ex.rem_key]["w"] @ self.block(ex.rem_key)) if ex.rem_key else 0.0
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outs.append(ref + a - r); rrs.append(r)
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self.fp["experiments"] += 6 * len(outs)
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self._pending = (xb, m, s, f, ref, outs, rrs)
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return f
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def observe(self, y, quarantine=False):
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"""everything after y_t is read (None or NaN = missing target)"""
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if self._pending is None:
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raise RuntimeError("observe() called without a preceding predict()")
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xb, m, s, f, ref, outs, rrs = self._pending; self._pending = None
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y_ok = y is not None and np.isfinite(y)
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mem_learn = y_ok and not quarantine
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learn = mem_learn and not (self.t <= self.quar_until)
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if y_ok:
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e = y - f; er = y - ref
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self.e2r = er * er if self.e2r is None else self.e2r + (1 - LAM) * (er * er - self.e2r)
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if self.y_sm is None:
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self.y_sm = y; self.n_y = 0
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self.n_y += 1; ry = max(1e-4, 1.0 / self.n_y)
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dy = y - self.y_sm; self.y_sm += ry * dy; self.y_sv += ry * (dy * (y - self.y_sm) - self.y_sv)
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floor = SCALE_FLOOR * math.sqrt(max(self.y_sv, 0.0)) if self.t >= 200 else 0.0
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B = CLIP_K * max(self.sigr, floor)
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self.fp["control"] += 8
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lf = min(er * er / (B * B), 1.0)
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res = y - s
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if learn:
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for ex, g, back in zip(self.engine.slots, outs, rrs):
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ex.k += 1
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if ex.k > CHAL_WARM or not ex.add_key:
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ex.observe(lf - min((y - g) ** 2 / (B * B), 1.0) - ex.eps)
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if ex.add_key: # RLS on the residual the change would explain
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rr = res + back
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if ex.add_key[0] == "in" and ex.k <= PEAK_UNTIL:
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self._peak_stats(ex, rr)
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fx = self._cf(ex)
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lam_ = 1.0
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Pf = ex.P @ fx; kg = Pf / (lam_ + fx @ Pf)
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ex.w = ex.w + kg * (rr - ex.w @ fx); ex.P = (ex.P - np.outer(kg, Pf)) / lam_
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self.fp["experiments"] += 4 * len(fx) ** 2 + 6 * len(fx)
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self.fp["experiments"] += 8 * len(outs)
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blocks = {u: self.block(u) for u in self.active}
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bpow = sum(float(b @ b) for b in blocks.values())
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den = float(xb @ xb) + bpow + 1e-6
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g_ = MU * res / den
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self.base += g_ * xb
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for u, b in blocks.items():
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st = self.active[u]; st["w"] = st["w"] + g_ * b
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c = abs(float(st["w"] @ b))
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self.contrib_ema[u] = c if u not in self.contrib_ema else self.contrib_ema[u] + 0.01 * (c - self.contrib_ema[u])
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self.fp["structure"] += 4 * (len(xb) + sum(len(b) for b in blocks.values())) + 4
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self._screen_spread(res)
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self.res_prev = res
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self.res2 = res * res if self.res2 is None else self.res2 + (1 - LAM) * (res * res - self.res2)
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es, em = y - s, y - m
|
|
229
|
+
self.D = LAM * self.D + (es * es - em * em) / (self.sig ** 2 + 1e-12)
|
|
230
|
+
self.fp["control"] += 7
|
|
231
|
+
if self.t % EVERY == 0:
|
|
232
|
+
z = ETA * self.D
|
|
233
|
+
self.wS = 1.0 / (1.0 + math.exp(z)) if z < 700 else 0.0
|
|
234
|
+
self.fp["control"] += 4
|
|
235
|
+
self.e2 = e * e if self.e2 is None else self.e2 + (1 - LAM) * (e * e - self.e2)
|
|
236
|
+
if self.qhat is None:
|
|
237
|
+
self.qhat = 1.645 * math.sqrt(self.e2)
|
|
238
|
+
miss = 1.0 if abs(e) > self.qhat else 0.0
|
|
239
|
+
self.hits_obs += 1; self.hits_ok += miss == 0.0
|
|
240
|
+
self.qacc += miss - ALPHA_COV
|
|
241
|
+
if self.t % EVERY == 0:
|
|
242
|
+
self.sig = math.sqrt(max(self.e2, 1e-300)); self.sigr = math.sqrt(max(self.e2r, 1e-300))
|
|
243
|
+
self.qhat = max(0.0, self.qhat + GAMMA_Q * self.sig * self.qacc); self.qacc = 0.0
|
|
244
|
+
self.fp["control"] += 10
|
|
245
|
+
u_ = e / self.sig
|
|
246
|
+
else:
|
|
247
|
+
u_ = 0.0
|
|
248
|
+
if not y_ok and self.last_obs is not None:
|
|
249
|
+
self.M.update(self.last_obs, m, learn=False) # hold: history gets the last observed value
|
|
250
|
+
else:
|
|
251
|
+
self.M.update(y if y_ok else None, m, learn=mem_learn)
|
|
252
|
+
if y_ok:
|
|
253
|
+
self.last_obs = float(y)
|
|
254
|
+
if self.env_hi is None:
|
|
255
|
+
self.env_hi = self.env_lo = self.env_m = float(y)
|
|
256
|
+
self.env_n += 1; r_ = OUT_RHO
|
|
257
|
+
self.env_m += max(r_, 1.0 / self.env_n) * (y - self.env_m)
|
|
258
|
+
self.env_hi = max(float(y), self.env_hi - r_ * (self.env_hi - self.env_m))
|
|
259
|
+
self.env_lo = min(float(y), self.env_lo - r_ * (self.env_lo - self.env_m))
|
|
260
|
+
self.fp["control"] += 10
|
|
261
|
+
if y_ok:
|
|
262
|
+
self.ylast = float(y)
|
|
263
|
+
self.r = np.array(POLES) * self.r + (1 - np.array(POLES)) * u_
|
|
264
|
+
self.fp["structure"] += 3 * len(POLES)
|
|
265
|
+
if self.t % DECIDE_EVERY == 0 and self.t > 0:
|
|
266
|
+
self._decide()
|
|
267
|
+
self.t += 1
|
|
268
|
+
|
|
269
|
+
def _peak_stats(self, ex, rr):
|
|
270
|
+
i = ex.add_key[1]; a = self._a()[i]
|
|
271
|
+
u = self.H[1:self.L + 1, i] - a * self.H[2:self.L + 2, i] # prewhitened lags 1..L
|
|
272
|
+
pr = rr - a * getattr(ex, "rprev", 0.0); ex.rprev = rr
|
|
273
|
+
if getattr(ex, "cxy", None) is None:
|
|
274
|
+
prev = ex.hyp.peak_stats
|
|
275
|
+
if prev is not None:
|
|
276
|
+
ex.cxy, ex.cxx = prev
|
|
277
|
+
else:
|
|
278
|
+
ex.cxy = np.zeros(self.L); ex.cxx = np.full(self.L, 1e-9)
|
|
279
|
+
ex.hyp.peak_stats = (ex.cxy, ex.cxx) # same arrays: updated in place
|
|
280
|
+
msk = (np.arange(self.L) + ex.k) % 2 == 0
|
|
281
|
+
ex.cxy[msk] += pr * u[msk]; ex.cxx[msk] += u[msk] * u[msk]
|
|
282
|
+
self.fp["experiments"] += 3 * self.L + 4
|
|
283
|
+
if ex.k == PEAK_UNTIL:
|
|
284
|
+
k = int(np.argmax(ex.cxy ** 2 / ex.cxx)) + 1
|
|
285
|
+
if k > 1: # lag 1 is already its own band
|
|
286
|
+
ex.kstar = k
|
|
287
|
+
n = len(ex.w)
|
|
288
|
+
w = np.insert(ex.w, n - 1, 0.0)
|
|
289
|
+
P = np.insert(np.insert(ex.P, n - 1, 0.0, axis=0), n - 1, 0.0, axis=1); P[n - 1, n - 1] = RLS_P0
|
|
290
|
+
ex.w, ex.P = w, P
|
|
291
|
+
|
|
292
|
+
# ---------------- screening (each part on its own phase, every SCREEN_EVERY steps)
|
|
293
|
+
def _screen_spread(self, res):
|
|
294
|
+
w, se, t = SCREEN_W, SCREEN_EVERY, self.t
|
|
295
|
+
act = {u[1] for u in self.active if u[0] == "in"}
|
|
296
|
+
due = [i for i in range(self.d) if (t + i) % se == 0]
|
|
297
|
+
x, x1, ra = self.H[0], self.H[1], 1e-3 * se
|
|
298
|
+
for i in due:
|
|
299
|
+
self.a_c0[i] += ra * (x[i] * x[i] - self.a_c0[i]); self.a_c1[i] += ra * (x[i] * x1[i] - self.a_c1[i])
|
|
300
|
+
self.fp["screening"] += 6
|
|
301
|
+
if i in act:
|
|
302
|
+
continue
|
|
303
|
+
a = float(self._a()[i]); pres = res - a * self.res_prev
|
|
304
|
+
for b, (lo, hi) in enumerate(BANDS):
|
|
305
|
+
ub = (self.bs[b, i] - a * (self.bs[b, i] - self.H[lo, i] + self.H[hi + 1, i])) / (hi - lo + 1)
|
|
306
|
+
self.sc_xy[b, i] += w * (pres * ub - self.sc_xy[b, i]); self.sc_xx[b, i] += w * (ub * ub - self.sc_xx[b, i])
|
|
307
|
+
self.sc_yy[i] += w * (pres * pres - self.sc_yy[i])
|
|
308
|
+
self.fp["screening"] += 11 * len(BANDS) + 5
|
|
309
|
+
if t % se == self.d % se: # residual latent unit
|
|
310
|
+
self.sr_xy += w * (res * self.r - self.sr_xy); self.sr_xx += w * (self.r * self.r - self.sr_xx)
|
|
311
|
+
self.sr_yy += w * (res * res - self.sr_yy); self.fp["screening"] += 12 * len(POLES)
|
|
312
|
+
if t % se == (self.d + 1) % se: # equivalence groups (reporting only)
|
|
313
|
+
gw = 1e-3 * se
|
|
314
|
+
self.g_m += gw * (x - self.g_m); xc = x - self.g_m
|
|
315
|
+
self.g_c += gw * (np.outer(xc, xc) - self.g_c)
|
|
316
|
+
self.fp["screening"] += 3 * self.d * (self.d + 1) // 2 + 2 * self.d
|
|
317
|
+
for j, key in enumerate(self.split_keys()):
|
|
318
|
+
if (t + j) % se:
|
|
319
|
+
continue
|
|
320
|
+
i, sg = key[1], key[2:]
|
|
321
|
+
l_, r_ = halves(sg); dv = self._mean(i, l_) - self._mean(i, r_)
|
|
322
|
+
st = self.sp.setdefault(key, [0.0, 1e-3, 1.0])
|
|
323
|
+
st[0] += w * (res * dv - st[0]); st[1] += w * (dv * dv - st[1]); st[2] += w * (res * res - st[2])
|
|
324
|
+
self.fp["screening"] += 14
|
|
325
|
+
|
|
326
|
+
def equivalents(self, unit, thr=0.95):
|
|
327
|
+
if unit[0] != "in":
|
|
328
|
+
return set()
|
|
329
|
+
i = unit[1]; sd = np.sqrt(np.maximum(np.diag(self.g_c), 1e-12))
|
|
330
|
+
r = np.abs(self.g_c[i]) / (sd[i] * sd)
|
|
331
|
+
return {int(j) for j in np.flatnonzero(r >= thr)}
|
|
332
|
+
|
|
333
|
+
def split_keys(self):
|
|
334
|
+
out = []
|
|
335
|
+
for u, st in self.active.items():
|
|
336
|
+
if u[0] == "in":
|
|
337
|
+
out += [("split", u[1]) + sg for sg in st["segs"] if sg[1] > sg[0]]
|
|
338
|
+
return out
|
|
339
|
+
|
|
340
|
+
def screen_stat(self, key):
|
|
341
|
+
k = SCREEN_W / (2 - SCREEN_W)
|
|
342
|
+
if key[0] == "split":
|
|
343
|
+
st = self.sp.get(key)
|
|
344
|
+
return 0.0 if st is None else st[0] ** 2 / (st[1] * st[2] + 1e-12) / k
|
|
345
|
+
if key[0] == "in":
|
|
346
|
+
i = key[1]
|
|
347
|
+
c2 = self.sc_xy[:, i] ** 2 / (self.sc_xx[:, i] * self.sc_yy[i] + 1e-12)
|
|
348
|
+
else:
|
|
349
|
+
c2 = self.sr_xy ** 2 / (self.sr_xx * self.sr_yy + 1e-12)
|
|
350
|
+
return float(c2.sum()) / k
|
|
351
|
+
|
|
352
|
+
# ---------------- lifecycle
|
|
353
|
+
@staticmethod
|
|
354
|
+
def unit_of(key):
|
|
355
|
+
return ("in", key[1]) if key[0] == "split" else key
|
|
356
|
+
|
|
357
|
+
def _open(self, kind, add_key, rem_key):
|
|
358
|
+
hkey = ("out", rem_key) if kind == "rem" else ("in", add_key)
|
|
359
|
+
ex = self.engine.open(kind, add_key, rem_key, hkey, EPS[kind], self.t)
|
|
360
|
+
if add_key:
|
|
361
|
+
n_ = len(self.cfeat(add_key)); ex.w = np.zeros(n_); ex.P = RLS_P0 * np.eye(n_)
|
|
362
|
+
if kind == "split": # start from the parent's weight on both halves
|
|
363
|
+
st = self.active[self.unit_of(add_key)]
|
|
364
|
+
ex.w[:] = float(st["w"][st["segs"].index(add_key[2:])])
|
|
365
|
+
for k in (add_key, rem_key):
|
|
366
|
+
if k:
|
|
367
|
+
self.last_tested[k] = self.t
|
|
368
|
+
|
|
369
|
+
def _decide(self):
|
|
370
|
+
changed = set()
|
|
371
|
+
for decision, ex, le in self.engine.review():
|
|
372
|
+
if decision == "accepted":
|
|
373
|
+
self._accept(ex, le)
|
|
374
|
+
changed |= {self.unit_of(k) for k in (ex.add_key, ex.rem_key) if k}
|
|
375
|
+
else:
|
|
376
|
+
self.events.append((self.t, "closed", ex.kind, ex.add_key, ex.rem_key, round(le, 2), ex.n))
|
|
377
|
+
if changed: # experiments about units that just changed no longer describe the live model
|
|
378
|
+
keep = []
|
|
379
|
+
for ex in self.engine.slots:
|
|
380
|
+
if {self.unit_of(k) for k in (ex.add_key, ex.rem_key) if k} & changed:
|
|
381
|
+
self.events.append((self.t, "superseded", ex.kind, ex.add_key, ex.rem_key, None, ex.n))
|
|
382
|
+
else:
|
|
383
|
+
keep.append(ex)
|
|
384
|
+
self.engine.slots = keep
|
|
385
|
+
self._retrack()
|
|
386
|
+
self.sp = {k: v for k, v in self.sp.items() if k in set(self.split_keys())}
|
|
387
|
+
self._fill()
|
|
388
|
+
|
|
389
|
+
def _accept(self, ex, le):
|
|
390
|
+
if ex.kind == "split":
|
|
391
|
+
u = self.unit_of(ex.add_key); st = self.active[u]; sg = ex.add_key[2:]
|
|
392
|
+
j = st["segs"].index(sg); l_, r_ = halves(sg)
|
|
393
|
+
st["segs"] = st["segs"][:j] + [l_, r_] + st["segs"][j + 1:]
|
|
394
|
+
st["w"] = np.concatenate([st["w"][:j], ex.w, st["w"][j + 1:]])
|
|
395
|
+
merged = {} # a half equal to the peak segment: one weight
|
|
396
|
+
for sg_, w_ in zip(st["segs"], st["w"]):
|
|
397
|
+
merged[sg_] = merged.get(sg_, 0.0) + float(w_)
|
|
398
|
+
st["segs"], st["w"] = list(merged), np.array(list(merged.values()))
|
|
399
|
+
else:
|
|
400
|
+
if ex.rem_key and ex.rem_key in self.active:
|
|
401
|
+
del self.active[ex.rem_key]; self.contrib_ema.pop(ex.rem_key, None)
|
|
402
|
+
if ex.add_key:
|
|
403
|
+
if ex.add_key[0] == "in":
|
|
404
|
+
segs = list(BANDS) + ([(ex.kstar, ex.kstar)] if ex.kstar else [])
|
|
405
|
+
self.active[ex.add_key] = {"segs": segs, "w": ex.w[:-1].copy()}
|
|
406
|
+
self.base[1 + ex.add_key[1]] += float(ex.w[-1])
|
|
407
|
+
else:
|
|
408
|
+
self.active[ex.add_key] = {"segs": None, "w": ex.w.copy()}
|
|
409
|
+
self.engine.consume(ex)
|
|
410
|
+
self._retrack()
|
|
411
|
+
self.events.append((self.t, "accepted", ex.kind, ex.add_key, ex.rem_key, round(le, 2), ex.hyp.n))
|
|
412
|
+
|
|
413
|
+
def _fill(self):
|
|
414
|
+
busy = {self.unit_of(k) for k in self.engine.busy_keys()}
|
|
415
|
+
while self.engine.free_slots() > 0:
|
|
416
|
+
due = [a for a in self.active if a not in busy and self.t - self.last_rem.get(a, -10 ** 9) >= REM_PERIOD
|
|
417
|
+
and self.t - self.last_tested.get(a, -10 ** 9) >= N_MIN]
|
|
418
|
+
if due:
|
|
419
|
+
a = due[0]; self.last_rem[a] = self.t; self._open("rem", None, a); busy.add(a); continue
|
|
420
|
+
if any(ex.add_key and ex.k <= CHAL_WARM for ex in self.engine.slots):
|
|
421
|
+
break # one warm-up at a time
|
|
422
|
+
cands = []
|
|
423
|
+
pool = [u for u in self.units if u not in self.active and u not in busy
|
|
424
|
+
and self.t - self.last_tested.get(u, -10 ** 9) >= COOLDOWN]
|
|
425
|
+
if pool:
|
|
426
|
+
c = max(pool, key=self.screen_stat)
|
|
427
|
+
if self.screen_stat(c) >= SCREEN_Q:
|
|
428
|
+
cands.append((self.screen_stat(c) / SCREEN_Q, "unit", c))
|
|
429
|
+
sp = [k for k in self.split_keys() if self.unit_of(k) not in busy
|
|
430
|
+
and self.t - self.last_tested.get(k, -10 ** 9) >= COOLDOWN]
|
|
431
|
+
if sp:
|
|
432
|
+
c = max(sp, key=self.screen_stat)
|
|
433
|
+
if self.screen_stat(c) >= SPLIT_Q:
|
|
434
|
+
cands.append((self.screen_stat(c) / SPLIT_Q, "split", c))
|
|
435
|
+
if not cands:
|
|
436
|
+
break
|
|
437
|
+
_, typ, c = max(cands)
|
|
438
|
+
if typ == "split":
|
|
439
|
+
self._open("split", c, None)
|
|
440
|
+
elif len(self.active) < M_MAX:
|
|
441
|
+
self._open("add", c, None)
|
|
442
|
+
else:
|
|
443
|
+
a = min((k for k in self.active if k not in busy), key=lambda k: self.contrib_ema.get(k, float("inf")), default=None)
|
|
444
|
+
if a is None:
|
|
445
|
+
break
|
|
446
|
+
self._open("swap", c, a); busy.add(a)
|
|
447
|
+
busy.add(self.unit_of(c))
|
|
448
|
+
self.fp["control"] += (len(self.units) + len(self.sp)) / DECIDE_EVERY
|
|
449
|
+
|
|
450
|
+
def fp_total(self):
|
|
451
|
+
return sum(self.fp.values()) + self.M.fp + self.engine.fp
|
lebre/_engine.py
ADDED
|
@@ -0,0 +1,105 @@
|
|
|
1
|
+
"""Evidence engine of LEBRE v0.52-r1: persistent hypotheses with a one-sided sub-exponential mixture e-process,
|
|
2
|
+
e-LOND-type acceptance levels fixed at creation, and experiment slots closed by a scan rule.
|
|
3
|
+
|
|
4
|
+
Extracted from the frozen research implementation (change_engine.py, evidence="psiE1"); arithmetic is unchanged.
|
|
5
|
+
"""
|
|
6
|
+
import math
|
|
7
|
+
|
|
8
|
+
import numpy as np
|
|
9
|
+
|
|
10
|
+
|
|
11
|
+
def _gamma_const(n=10 ** 6):
|
|
12
|
+
k = np.arange(1, n + 1, dtype=float)
|
|
13
|
+
s = float(np.sum(1.0 / (k * np.log(k + 1) ** 2)))
|
|
14
|
+
return 1.0 / (s + 1.0 / math.log(n + 1)) # tail bound of the integral
|
|
15
|
+
|
|
16
|
+
|
|
17
|
+
GAMMA_C = _gamma_const()
|
|
18
|
+
|
|
19
|
+
|
|
20
|
+
def gamma_k(k):
|
|
21
|
+
return GAMMA_C / (k * math.log(k + 1) ** 2)
|
|
22
|
+
|
|
23
|
+
|
|
24
|
+
class Hypothesis:
|
|
25
|
+
"""Weak null: over the steps at which this change was tested, the challenger did not improve the clipped loss of the
|
|
26
|
+
reference by more than eps on average. One-sided mixture e-process with c = 1 + max(eps, 0) and predictable
|
|
27
|
+
centring gamma_i = min(past mean, 0) (valid because d_i - gamma_i >= -c)."""
|
|
28
|
+
LAMBDAS_FRAC = 0.9 * 2.0 ** -np.arange(8) # lambda grid as a fraction of 1/c (uniform mixture)
|
|
29
|
+
|
|
30
|
+
def __init__(self, eps, alpha_level, idx):
|
|
31
|
+
self.eps = eps
|
|
32
|
+
self.c = 1.0 + max(eps, 0.0)
|
|
33
|
+
self.alpha = alpha_level; self.log_thr = math.log(1.0 / alpha_level); self.idx = idx
|
|
34
|
+
self.S = 0.0; self.V = 0.0; self.n = 0; self.mean = 0.0
|
|
35
|
+
self.lam = self.LAMBDAS_FRAC / self.c
|
|
36
|
+
self.psi = (-np.log(1 - self.c * self.lam) - self.c * self.lam) / self.c ** 2
|
|
37
|
+
self.peak_stats = None
|
|
38
|
+
|
|
39
|
+
def observe(self, d):
|
|
40
|
+
gamma = max(-self.c, min(0.0, self.mean))
|
|
41
|
+
self.S += d; self.V += (d - gamma) ** 2; self.n += 1
|
|
42
|
+
dm = d - self.mean; self.mean += dm / self.n
|
|
43
|
+
|
|
44
|
+
def log_e(self):
|
|
45
|
+
a = self.lam * self.S - self.psi * self.V
|
|
46
|
+
m = a.max()
|
|
47
|
+
return float(m + math.log(np.mean(np.exp(a - m))))
|
|
48
|
+
|
|
49
|
+
|
|
50
|
+
class Experiment:
|
|
51
|
+
"""One episode on a slot; evidence goes to the persistent hypothesis. The challenger's parameters (w, P, k, kstar)
|
|
52
|
+
are owned and updated by the model."""
|
|
53
|
+
|
|
54
|
+
def __init__(self, kind, add_key, rem_key, hyp, t0):
|
|
55
|
+
self.kind, self.add_key, self.rem_key, self.hyp, self.t0 = kind, add_key, rem_key, hyp, t0
|
|
56
|
+
self.S = 0.0; self.n = 0; self.k = 0; self.kstar = None
|
|
57
|
+
self.eps = hyp.eps
|
|
58
|
+
|
|
59
|
+
def observe(self, d):
|
|
60
|
+
self.hyp.observe(d); self.S += d; self.n += 1
|
|
61
|
+
|
|
62
|
+
|
|
63
|
+
class ChangeEngine:
|
|
64
|
+
def __init__(self, alpha, family_size, m_slots, n_min, T_max):
|
|
65
|
+
self.alpha, self.P, self.m_slots, self.n_min, self.T_max = alpha, family_size, m_slots, n_min, T_max
|
|
66
|
+
self.hyps = {}; self.n_hyp = 0; self.n_accepted = 0; self.k_started = 0
|
|
67
|
+
self.slots = []; self.fp = 0.0
|
|
68
|
+
|
|
69
|
+
def hypothesis(self, hkey, eps):
|
|
70
|
+
if hkey not in self.hyps:
|
|
71
|
+
self.n_hyp += 1
|
|
72
|
+
g = 1.0 / (2 * self.P) if self.n_hyp <= self.P else 0.5 * gamma_k(self.n_hyp - self.P) # sum <= 1
|
|
73
|
+
self.hyps[hkey] = Hypothesis(eps, min(self.alpha * g * (self.n_accepted + 1), 0.5), self.n_hyp)
|
|
74
|
+
return self.hyps[hkey]
|
|
75
|
+
|
|
76
|
+
def open(self, kind, add_key, rem_key, hkey, eps, t):
|
|
77
|
+
self.k_started += 1
|
|
78
|
+
ex = Experiment(kind, add_key, rem_key, self.hypothesis(hkey, eps), t)
|
|
79
|
+
self.slots.append(ex)
|
|
80
|
+
return ex
|
|
81
|
+
|
|
82
|
+
def free_slots(self):
|
|
83
|
+
return self.m_slots - len(self.slots)
|
|
84
|
+
|
|
85
|
+
def review(self):
|
|
86
|
+
"""[(decision, experiment, log_e)] with decision in {'accepted', 'closed'}; keeps the others running."""
|
|
87
|
+
out, keep = [], []
|
|
88
|
+
for ex in self.slots:
|
|
89
|
+
le = ex.hyp.log_e(); self.fp += 3 * len(ex.hyp.lam)
|
|
90
|
+
if le >= ex.hyp.log_thr:
|
|
91
|
+
out.append(("accepted", ex, le))
|
|
92
|
+
elif ex.n >= self.T_max or (ex.n >= self.n_min and ex.S <= 0.0): # scan rule: not ahead -> free the slot
|
|
93
|
+
out.append(("closed", ex, le))
|
|
94
|
+
else:
|
|
95
|
+
keep.append(ex)
|
|
96
|
+
self.slots = keep
|
|
97
|
+
return out
|
|
98
|
+
|
|
99
|
+
def consume(self, ex):
|
|
100
|
+
"""an accepted change: count the discovery and retire its hypothesis (a new instance if ever retested)."""
|
|
101
|
+
self.n_accepted += 1
|
|
102
|
+
self.hyps = {k: h for k, h in self.hyps.items() if h is not ex.hyp}
|
|
103
|
+
|
|
104
|
+
def busy_keys(self):
|
|
105
|
+
return {k for ex in self.slots for k in (ex.add_key, ex.rem_key) if k}
|
lebre/_memory.py
ADDED
|
@@ -0,0 +1,70 @@
|
|
|
1
|
+
"""Memory expert M of LEBRE v0.52-r1: forecast of the target from its own past, relative to the last value
|
|
2
|
+
(mean reversion, last difference, seasonal naive and one-cycle increment, per-phase profile of increments, optional
|
|
3
|
+
second declared cycle), learned by NLMS with scale-relative floors.
|
|
4
|
+
|
|
5
|
+
Extracted from the frozen research implementation (lebre_v052.Memory and lebre_v052h.MemoryW); arithmetic is unchanged.
|
|
6
|
+
"""
|
|
7
|
+
import numpy as np
|
|
8
|
+
|
|
9
|
+
|
|
10
|
+
class Memory:
|
|
11
|
+
def __init__(self, season=None, mu=0.05, a_prof=0.1, a_mean=0.01, eps_rel=1e-3):
|
|
12
|
+
self.s, self.mu, self.ap, self.am, self.eps_rel = season, mu, a_prof, a_mean, eps_rel
|
|
13
|
+
self.feats = ("mean", "d1", "sn", "si", "prof") if season else ("mean", "d1")
|
|
14
|
+
self.Lb = 2 * season + 2 if season else 3
|
|
15
|
+
self.buf = np.zeros(self.Lb); self.n = 0
|
|
16
|
+
self.mew = None; self.G = np.zeros(season) if season else None
|
|
17
|
+
self.w = np.zeros(len(self.feats)); self.phi = None; self.pp_ema = None; self.y2 = None; self.fp = 0.0
|
|
18
|
+
|
|
19
|
+
def _b(self, k):
|
|
20
|
+
return self.buf[(self.n - k) % self.Lb]
|
|
21
|
+
|
|
22
|
+
def predict(self):
|
|
23
|
+
if self.n < self.Lb:
|
|
24
|
+
self.phi = None
|
|
25
|
+
return self._b(1) if self.n else 0.0
|
|
26
|
+
last, s = self._b(1), self.s
|
|
27
|
+
v = [(self.mew - last) if self.mew is not None else 0.0, last - self._b(2)]
|
|
28
|
+
if s:
|
|
29
|
+
v += [self._b(s) - last, self._b(s - 1) - self._b(s), self.G[self.n % s]]
|
|
30
|
+
self.phi = np.array(v); self.fp += 3 * len(v) + 1
|
|
31
|
+
return last + float(self.w @ self.phi)
|
|
32
|
+
|
|
33
|
+
def update(self, y, y_hat, learn=True):
|
|
34
|
+
if y is None or not np.isfinite(y):
|
|
35
|
+
y, learn = y_hat, False
|
|
36
|
+
if learn and self.phi is not None:
|
|
37
|
+
pp = float(self.phi @ self.phi)
|
|
38
|
+
self.pp_ema = pp if self.pp_ema is None else self.pp_ema + 0.01 * (pp - self.pp_ema)
|
|
39
|
+
self.y2 = y * y if self.y2 is None else self.y2 + 1e-4 * (y * y - self.y2)
|
|
40
|
+
den = pp + self.eps_rel * self.pp_ema + 1e-4 * self.y2
|
|
41
|
+
if den > 0:
|
|
42
|
+
self.w += (self.mu * (y - y_hat) / den) * self.phi; self.fp += 4 * len(self.w) + 6
|
|
43
|
+
if learn and self.s and self.n >= 1:
|
|
44
|
+
ph = self.n % self.s; self.G[ph] += self.ap * ((y - self._b(1)) - self.G[ph]); self.fp += 4
|
|
45
|
+
if learn:
|
|
46
|
+
self.mew = y if self.mew is None else self.mew + self.am * (y - self.mew); self.fp += 3
|
|
47
|
+
self.buf[self.n % self.Lb] = y; self.n += 1
|
|
48
|
+
|
|
49
|
+
|
|
50
|
+
class MemoryW(Memory):
|
|
51
|
+
"""memory with a second declared cycle (e.g. the week, 168 h, on top of the day, 24 h)"""
|
|
52
|
+
|
|
53
|
+
def __init__(self, season, season2, **kw):
|
|
54
|
+
super().__init__(season, **kw)
|
|
55
|
+
self.s2 = season2
|
|
56
|
+
self.feats = self.feats + ("sn2", "si2")
|
|
57
|
+
self.Lb = max(self.Lb, season2 + 2)
|
|
58
|
+
self.buf = np.zeros(self.Lb); self.w = np.zeros(len(self.feats))
|
|
59
|
+
|
|
60
|
+
def predict(self):
|
|
61
|
+
if self.n < self.Lb:
|
|
62
|
+
self.phi = None
|
|
63
|
+
return self._b(1) if self.n else 0.0
|
|
64
|
+
last, s = self._b(1), self.s
|
|
65
|
+
v = [(self.mew - last) if self.mew is not None else 0.0, last - self._b(2)]
|
|
66
|
+
if s:
|
|
67
|
+
v += [self._b(s) - last, self._b(s - 1) - self._b(s), self.G[self.n % s]]
|
|
68
|
+
v += [self._b(self.s2) - last, self._b(self.s2 - 1) - self._b(self.s2)]
|
|
69
|
+
self.phi = np.array(v); self.fp += 3 * len(v) + 1
|
|
70
|
+
return last + float(self.w @ self.phi)
|
lebre/model.py
ADDED
|
@@ -0,0 +1,188 @@
|
|
|
1
|
+
"""Public API of the LEBRE online forecaster (implements LEBRE v0.52-r1)."""
|
|
2
|
+
from __future__ import annotations
|
|
3
|
+
|
|
4
|
+
import math
|
|
5
|
+
import pickle
|
|
6
|
+
from dataclasses import dataclass
|
|
7
|
+
from pathlib import Path
|
|
8
|
+
from typing import Optional, Sequence
|
|
9
|
+
|
|
10
|
+
import numpy as np
|
|
11
|
+
|
|
12
|
+
from ._core import Core
|
|
13
|
+
|
|
14
|
+
_FORMAT = "lebre-state"
|
|
15
|
+
_FORMAT_VERSION = 1
|
|
16
|
+
|
|
17
|
+
|
|
18
|
+
@dataclass(frozen=True)
|
|
19
|
+
class Forecast:
|
|
20
|
+
"""One-step-ahead forecast issued before the target of that step is observed."""
|
|
21
|
+
value: float
|
|
22
|
+
lower: float # lower bound of the adaptive 90% interval (NaN until the interval is initialised)
|
|
23
|
+
upper: float # upper bound of the adaptive 90% interval
|
|
24
|
+
t: int # step index (0-based)
|
|
25
|
+
|
|
26
|
+
|
|
27
|
+
@dataclass(frozen=True)
|
|
28
|
+
class Event:
|
|
29
|
+
"""Audit record of one structural experiment outcome."""
|
|
30
|
+
t: int # step at which the decision was taken
|
|
31
|
+
outcome: str # "accepted", "closed" (not accepted; evidence kept) or "superseded"
|
|
32
|
+
change: str # "add", "remove", "swap" or "split"
|
|
33
|
+
added: Optional[str] # unit that enters (None for a removal)
|
|
34
|
+
removed: Optional[str] # unit that leaves (None unless remove/swap)
|
|
35
|
+
log_evidence: Optional[float] # log of the e-process at the decision
|
|
36
|
+
samples: int # evidence samples behind the decision
|
|
37
|
+
|
|
38
|
+
|
|
39
|
+
class _CausalScaler:
|
|
40
|
+
"""Causal exponential standardiser used in every LEBRE evaluation (rate 1e-4, from mean 0 / variance 1).
|
|
41
|
+
Missing input values (NaN) are passed on as missing and do not update the statistics."""
|
|
42
|
+
|
|
43
|
+
def __init__(self, d, alpha=1e-4, eps=1e-6):
|
|
44
|
+
self.alpha, self.eps = float(alpha), float(eps)
|
|
45
|
+
self.mean = np.zeros(d, dtype=np.float64); self.var = np.ones(d, dtype=np.float64)
|
|
46
|
+
|
|
47
|
+
def transform(self, x):
|
|
48
|
+
return (x - self.mean) / np.sqrt(self.var + self.eps)
|
|
49
|
+
|
|
50
|
+
def update(self, x):
|
|
51
|
+
ok = np.isfinite(x)
|
|
52
|
+
if ok.all():
|
|
53
|
+
delta = x - self.mean
|
|
54
|
+
self.mean += self.alpha * delta
|
|
55
|
+
self.var = (1.0 - self.alpha) * self.var + self.alpha * (x - self.mean) * delta
|
|
56
|
+
self.var = np.maximum(self.var, 1e-4)
|
|
57
|
+
else:
|
|
58
|
+
delta = np.where(ok, x - self.mean, 0.0)
|
|
59
|
+
new_mean = self.mean + self.alpha * delta
|
|
60
|
+
new_var = np.maximum((1.0 - self.alpha) * self.var + self.alpha * (np.where(ok, x, 0.0) - new_mean) * delta, 1e-4)
|
|
61
|
+
self.mean = np.where(ok, new_mean, self.mean); self.var = np.where(ok, new_var, self.var)
|
|
62
|
+
|
|
63
|
+
|
|
64
|
+
class Lebre:
|
|
65
|
+
"""Online one-step-ahead forecaster for a target driven by exogenous inputs.
|
|
66
|
+
|
|
67
|
+
Parameters
|
|
68
|
+
----------
|
|
69
|
+
n_inputs : number of exogenous inputs (the target's own past is added internally).
|
|
70
|
+
season : period of the declared cycle in steps (e.g. 24 for hourly data with a daily cycle), or None.
|
|
71
|
+
season2 : optional second declared cycle (e.g. 168 for the weekly cycle of hourly building data), or None.
|
|
72
|
+
standardize : standardise the inputs causally (the evaluated configuration). Set False only if the inputs are
|
|
73
|
+
already standardised by the caller with past-only statistics.
|
|
74
|
+
|
|
75
|
+
Usage: for each step, ``f = model.predict(x)`` with the current inputs, then ``model.observe(y)`` once the target
|
|
76
|
+
is known (``None``/NaN for a missing target). ``step(x, y)`` does both. Every structural change is recorded in
|
|
77
|
+
``events``.
|
|
78
|
+
"""
|
|
79
|
+
|
|
80
|
+
def __init__(self, n_inputs: int, season: Optional[int] = None, season2: Optional[int] = None, standardize: bool = True):
|
|
81
|
+
if n_inputs < 1:
|
|
82
|
+
raise ValueError("n_inputs must be >= 1")
|
|
83
|
+
self.n_inputs, self.season, self.season2, self.standardize = int(n_inputs), season, season2, bool(standardize)
|
|
84
|
+
self._core = Core(self.n_inputs, season=season, season2=season2)
|
|
85
|
+
self._scaler = _CausalScaler(self.n_inputs) if standardize else None
|
|
86
|
+
self._last: Optional[Forecast] = None
|
|
87
|
+
|
|
88
|
+
# ------------------------------------------------------------------ stepping
|
|
89
|
+
def predict(self, x: Sequence[float]) -> Forecast:
|
|
90
|
+
"""Forecast of the current target from the current inputs x (length n_inputs)."""
|
|
91
|
+
x = np.asarray(x, dtype=np.float64).reshape(-1)
|
|
92
|
+
if x.shape[0] != self.n_inputs:
|
|
93
|
+
raise ValueError(f"expected {self.n_inputs} inputs, got {x.shape[0]}")
|
|
94
|
+
if self._scaler is not None:
|
|
95
|
+
xs = self._scaler.transform(x); self._scaler.update(x)
|
|
96
|
+
else:
|
|
97
|
+
xs = x
|
|
98
|
+
c = self._core
|
|
99
|
+
q = c.qhat
|
|
100
|
+
f = c.predict(xs)
|
|
101
|
+
lo, hi = (f - q, f + q) if q is not None else (math.nan, math.nan)
|
|
102
|
+
self._last = Forecast(float(f), float(lo), float(hi), c.t)
|
|
103
|
+
return self._last
|
|
104
|
+
|
|
105
|
+
def observe(self, y: Optional[float], quarantine: bool = False) -> None:
|
|
106
|
+
"""Reveal the target of the step just predicted. y = None or NaN marks a missing target; quarantine=True
|
|
107
|
+
marks a value that must not be learned from (e.g. flagged by the data source)."""
|
|
108
|
+
self._core.observe(None if y is None else float(y), quarantine=bool(quarantine))
|
|
109
|
+
|
|
110
|
+
def step(self, x: Sequence[float], y: Optional[float], quarantine: bool = False) -> Forecast:
|
|
111
|
+
"""predict(x) then observe(y); returns the forecast made before y was used."""
|
|
112
|
+
f = self.predict(x)
|
|
113
|
+
self.observe(y, quarantine)
|
|
114
|
+
return f
|
|
115
|
+
|
|
116
|
+
# ------------------------------------------------------------------ audit and structure
|
|
117
|
+
def unit_name(self, key) -> str:
|
|
118
|
+
if key is None:
|
|
119
|
+
return None
|
|
120
|
+
if key[0] == "in":
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return "own_past" if key[1] == self.n_inputs else f"x{key[1]}"
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if key[0] == "res":
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return "residual_state"
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if key[0] == "split":
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base = "own_past" if key[1] == self.n_inputs else f"x{key[1]}"
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return f"{base}[{key[2]}-{key[3]}]"
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return str(key)
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@property
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def events(self) -> list:
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kind = {"add": "add", "rem": "remove", "swap": "swap", "split": "split"}
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return [Event(int(t), out, kind[k], self.unit_name(a), self.unit_name(r), le, int(n))
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for t, out, k, a, r, le, n in self._core.events]
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@property
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def structure(self) -> list:
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"""active units: names of the inputs (x0, x1, ..., own_past) and/or residual_state"""
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return [self.unit_name(u) for u in sorted(self._core.active)]
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def response(self, unit: str) -> list:
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"""recovered response of an active input: [((lag_lo, lag_hi), weight per lag), ...] in standardised units"""
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for u in self._core.active:
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if self.unit_name(u) == unit and u[0] == "in":
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return self._core.response(u)
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raise KeyError(f"{unit} is not an active input")
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def equivalent_inputs(self, unit: str) -> list:
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"""inputs whose causal correlation with `unit` is >= 0.95 (the accepted input may stand for any of them)"""
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for u in self._core.units:
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if self.unit_name(u) == unit:
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return [self.unit_name(("in", j)) for j in sorted(self._core.equivalents(u))]
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raise KeyError(unit)
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@property
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def n_steps(self) -> int:
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return self._core.t
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@property
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def coverage(self) -> float:
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"""empirical coverage of the 90% interval so far"""
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c = self._core
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return c.hits_ok / c.hits_obs if c.hits_obs else math.nan
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@property
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def cost_per_step(self) -> float:
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"""mean analytic floating-point operations per step so far (operation-count model of the research code)"""
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return self._core.fp_total() / self._core.t if self._core.t else math.nan
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+
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# ------------------------------------------------------------------ persistence
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def save(self, path) -> None:
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"""Save the full state (pickle). Only load files you trust: unpickling can execute code."""
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with open(Path(path), "wb") as fh:
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pickle.dump({"format": _FORMAT, "version": _FORMAT_VERSION, "model": self}, fh, protocol=pickle.HIGHEST_PROTOCOL)
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@classmethod
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def load(cls, path) -> "Lebre":
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"""Load a state saved by `save`. Only load files you trust: unpickling can execute code."""
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+
with open(Path(path), "rb") as fh:
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obj = pickle.load(fh)
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+
if not isinstance(obj, dict) or obj.get("format") != _FORMAT:
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raise ValueError("not a LEBRE state file")
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+
if obj.get("version") != _FORMAT_VERSION:
|
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|
+
raise ValueError(f"unsupported state format version {obj.get('version')}")
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|
+
return obj["model"]
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|
+
|
|
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|
+
def __repr__(self):
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|
+
return (f"Lebre(n_inputs={self.n_inputs}, season={self.season}, season2={self.season2}, "
|
|
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|
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f"steps={self.n_steps}, structure={self.structure})")
|
lebre/py.typed
ADDED
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File without changes
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@@ -0,0 +1,85 @@
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1
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Metadata-Version: 2.5
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2
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Name: lebre
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3
|
+
Version: 0.1.0
|
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4
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+
Summary: Online one-step-ahead forecasting with statistically tested structural changes, at a cost of a few hundred operations per step (implements LEBRE v0.52-r1).
|
|
5
|
+
Project-URL: Source, https://github.com/Iquitim/lebre
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|
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|
+
Project-URL: Issues, https://github.com/Iquitim/lebre/issues
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|
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|
+
Project-URL: Research record, https://github.com/Iquitim/lebre-research
|
|
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|
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Project-URL: Research DOI, https://doi.org/10.5281/zenodo.23049103
|
|
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|
+
Author: Silvano Lima
|
|
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|
+
License-Expression: Apache-2.0
|
|
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|
+
License-File: LICENSE
|
|
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|
+
Keywords: TinyML,anytime-valid inference,e-process,exogenous inputs,online forecasting,time series
|
|
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|
+
Classifier: Development Status :: 3 - Alpha
|
|
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|
+
Classifier: Intended Audience :: Science/Research
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|
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|
+
Classifier: Operating System :: OS Independent
|
|
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+
Classifier: Programming Language :: Python :: 3
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|
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|
+
Classifier: Topic :: Scientific/Engineering :: Information Analysis
|
|
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|
+
Requires-Python: >=3.10
|
|
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|
+
Requires-Dist: numpy>=1.24
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|
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|
+
Provides-Extra: test
|
|
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|
+
Requires-Dist: pytest>=7; extra == 'test'
|
|
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|
+
Description-Content-Type: text/markdown
|
|
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|
+
|
|
24
|
+
# lebre
|
|
25
|
+
|
|
26
|
+
[](https://github.com/Iquitim/lebre/actions/workflows/tests.yml)
|
|
27
|
+
|
|
28
|
+
Online one-step-ahead forecasting for a target driven by exogenous inputs, with **statistically tested structural changes**, at a cost of a few hundred floating-point operations per step.
|
|
29
|
+
|
|
30
|
+
`lebre 0.1.0` implements **LEBRE v0.52-r1**, the frozen research version documented and evaluated in the research record:
|
|
31
|
+
- repository: https://github.com/Iquitim/lebre-research
|
|
32
|
+
- DOI: [10.5281/zenodo.23049103](https://doi.org/10.5281/zenodo.23049103)
|
|
33
|
+
|
|
34
|
+
The package reproduces the research code **bit for bit in the reference environment** (Windows, CPython 3.11, NumPy 2.2.5), checked against references generated from the frozen code and on real evaluation series in the research repository. On other platforms and NumPy versions, floating-point rounding differs in the last bits (~1e-14): the regression tests then require identical structural decisions and forecasts equal within 1e-9 of their scale.
|
|
35
|
+
|
|
36
|
+
```bash
|
|
37
|
+
pip install lebre
|
|
38
|
+
```
|
|
39
|
+
|
|
40
|
+
## Usage
|
|
41
|
+
|
|
42
|
+
```python
|
|
43
|
+
from lebre import Lebre
|
|
44
|
+
|
|
45
|
+
model = Lebre(n_inputs=3, season=24) # season: declared cycle in steps (None if there is none)
|
|
46
|
+
for x_t, y_t in stream: # x_t: current inputs (length 3), y_t: target (None/NaN if missing)
|
|
47
|
+
f = model.predict(x_t) # Forecast(value, lower, upper, t), issued before y_t is known
|
|
48
|
+
model.observe(y_t)
|
|
49
|
+
# or: f = model.step(x_t, y_t)
|
|
50
|
+
|
|
51
|
+
model.structure # e.g. ['x0', 'own_past']
|
|
52
|
+
model.response("x0") # recovered lag response: [((lag_lo, lag_hi), weight per lag), ...]
|
|
53
|
+
model.events # audit log: Event(t, outcome, change, added, removed, log_evidence, samples)
|
|
54
|
+
model.equivalent_inputs("x0") # inputs indistinguishable from x0 (causal correlation >= 0.95)
|
|
55
|
+
model.coverage, model.cost_per_step # empirical 90%-interval coverage; analytic operations per step
|
|
56
|
+
model.save("state.pkl"); model = Lebre.load("state.pkl") # pickle: load only files you trust
|
|
57
|
+
```
|
|
58
|
+
|
|
59
|
+
See `examples/quickstart.py`.
|
|
60
|
+
|
|
61
|
+
## What it does
|
|
62
|
+
|
|
63
|
+
- **Live model:**
|
|
64
|
+
- a memory of the target's own past: level, declared cycle(s), per-phase profile;
|
|
65
|
+
- a linear regression on the current inputs;
|
|
66
|
+
- the two combined by dynamic model averaging.
|
|
67
|
+
- **Structural changes run in shadow as experiments:** adding, removing or swapping a whole input, or refining its lag response by hierarchical splits of octave bands.
|
|
68
|
+
- **Acceptance:** a change is accepted only when an anytime-valid e-process of predictive improvement crosses a level fixed by an online multiple-testing rule.
|
|
69
|
+
- **Output safeguards:** target gaps are held (never filled with the model's own forecasts), and forecasts stay within an envelope of the observed values.
|
|
70
|
+
- **Inputs:** they are standardised causally inside the model; set `standardize=False` only if you already do this with past-only statistics.
|
|
71
|
+
|
|
72
|
+
## Scope and limits
|
|
73
|
+
|
|
74
|
+
These are the limits of the evaluated version, stated honestly (details in the specification, §19):
|
|
75
|
+
- evaluated on hydrology and building-energy series with 1–5 inputs, one step ahead;
|
|
76
|
+
- it is **not** meant to be the most accurate forecaster: in the evaluations it tied a SARIMAX with inputs fitted per series and had ~25% higher error than Chronos-2 with covariates, at a tiny fraction of the cost;
|
|
77
|
+
- the testing mechanism does not improve accuracy over switching all inputs on; its role is an audited, evidence-backed structure;
|
|
78
|
+
- an accepted input means *it improved the forecast of the current model, with evidence*, not *it is the cause*: correlated substitutes can be accepted, and near-identical inputs are indistinguishable;
|
|
79
|
+
- the e-values are valid under the stated assumptions; false-change control with the adaptive reference was verified empirically;
|
|
80
|
+
- delays of very smooth inputs are often not discovered (information limit), though forecasts remain good;
|
|
81
|
+
- the declared cost contract of the research version (mean ≤ 400, peak ≤ 1,000 operations per step) was narrowly not met.
|
|
82
|
+
|
|
83
|
+
## Licence
|
|
84
|
+
|
|
85
|
+
Apache-2.0. If you use it, please cite the research record (`CITATION.cff`).
|
|
@@ -0,0 +1,10 @@
|
|
|
1
|
+
lebre/__init__.py,sha256=oZhnNgJrPezqjVmuxn-CnujBZg6GNceYfQu-M6x6NMw,746
|
|
2
|
+
lebre/_core.py,sha256=OCmV4uvtG076uuo2_GPrI0LNYanbxlAHoY8-lBIDrf4,22735
|
|
3
|
+
lebre/_engine.py,sha256=JYXu-XgjC4VPS4PGHnThlJppCwmd2xFHgBZQdkXIfKs,4294
|
|
4
|
+
lebre/_memory.py,sha256=6tBnXjsw2DnfEqgZ4H-6zCMDmlTVYboPBP3CMKdf8nc,3362
|
|
5
|
+
lebre/model.py,sha256=4eNh1ki9vOcRC79BoAg15iKBwdzo5W2yuFsiWKr_DS0,8825
|
|
6
|
+
lebre/py.typed,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
|
|
7
|
+
lebre-0.1.0.dist-info/METADATA,sha256=BeHza04SMYQ7TY66tR6SurFzeabRRICnHyy5zke0oM4,5260
|
|
8
|
+
lebre-0.1.0.dist-info/WHEEL,sha256=W3fkpkm7-wf9vBI5Z-7s0eWkeM-spu78I8Neb98DeEg,87
|
|
9
|
+
lebre-0.1.0.dist-info/licenses/LICENSE,sha256=z8d0m5b2O9McPEK1xHG_dWgUBT6EfBDz6wA0F7xSPTA,11358
|
|
10
|
+
lebre-0.1.0.dist-info/RECORD,,
|
|
@@ -0,0 +1,202 @@
|
|
|
1
|
+
|
|
2
|
+
Apache License
|
|
3
|
+
Version 2.0, January 2004
|
|
4
|
+
http://www.apache.org/licenses/
|
|
5
|
+
|
|
6
|
+
TERMS AND CONDITIONS FOR USE, REPRODUCTION, AND DISTRIBUTION
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1. Definitions.
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"Licensor" shall mean the copyright owner or entity authorized by
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