tsam 2.2.2__py3-none-any.whl → 2.3.4__py3-none-any.whl

tsam/hyperparametertuning.py

@@ -1,245 +1,245 @@
-# -*- coding: utf-8 -*-
-
-import copy
-
-import numpy as np
-
-import tqdm
-
-from tsam.timeseriesaggregation import TimeSeriesAggregation
-        
-def getNoPeriodsForDataReduction(noRawTimeSteps, segmentsPerPeriod, dataReduction):
-    """        
-    Identifies the maximum number of periods which can be set to achieve the required data reduction.
-
-    :param noRawTimeSteps: Number of original time steps. required
-    :type noRawTimeSteps: int
-
-    :param segmentsPerPeriod: Segments per period. required
-    :type segmentsPerPeriod: int
-
-    :param dataReduction: Factor by which the resulting dataset should be reduced. required
-    :type dataReduction: float
-
-    :returns: **noTypicalPeriods** --  Number of typical periods that can be set.
-    """
-    return int(np.floor(dataReduction * float(noRawTimeSteps)/segmentsPerPeriod))
-
-def getNoSegmentsForDataReduction(noRawTimeSteps, typicalPeriods, dataReduction):
-    """        
-    Identifies the maximum number of segments which can be set to achieve the required data reduction.
-
-    :param noRawTimeSteps: Number of original time steps. required
-    :type noRawTimeSteps: int
-
-    :param typicalPeriods: Number of typical periods. required
-    :type typicalPeriods: int
-
-    :param dataReduction: Factor by which the resulting dataset should be reduced. required
-    :type dataReduction: float
-
-    :returns: **segmentsPerPeriod** --  Number of segments per period that can be set.
-    """
-    return int(np.floor(dataReduction * float(noRawTimeSteps)/typicalPeriods))
-
-
-
-
-class HyperTunedAggregations(object):
-
-    def __init__(self, base_aggregation, saveAggregationHistory=True):
-        """
-        A class that does a parameter variation and tuning of the aggregation itself.
-
-        :param base_aggregation: TimeSeriesAggregation object which is used as basis for tuning the hyper parameters. required
-        :type base_aggregation: TimeSeriesAggregation
-
-        :param saveAggregationHistory: Defines if all aggregations that are created during the tuning and iterations shall be saved under self.aggregationHistory.
-        :type saveAggregationHistory: boolean
-        """
-        self.base_aggregation = base_aggregation
-
-        if not isinstance(self.base_aggregation, TimeSeriesAggregation):
-            raise ValueError(
-                "base_aggregation has to be an TimeSeriesAggregation object"
-            )
-
-        self._alterableAggregation=copy.deepcopy(self.base_aggregation)
-
-        self.saveAggregationHistory=saveAggregationHistory
-
-        self._segmentHistory=[]
-
-        self._periodHistory=[]
-
-        self._RMSEHistory=[]
-
-        if self.saveAggregationHistory:
-            self.aggregationHistory=[]
-            
-
-        
-        
-    def _testAggregation(self, noTypicalPeriods, noSegments):
-        """
-        Tests the aggregation for a set of typical periods and segments and returns the RMSE
-        """
-        self._segmentHistory.append(noSegments)
-
-        self._periodHistory.append(noTypicalPeriods)
-
-        self._alterableAggregation.noTypicalPeriods=noTypicalPeriods
-
-        self._alterableAggregation.noSegments=noSegments
-
-        self._alterableAggregation.createTypicalPeriods()
-
-        self._alterableAggregation.predictOriginalData()
-
-        RMSE=self._alterableAggregation.totalAccuracyIndicators()["RMSE"]
-
-        self._RMSEHistory.append(RMSE)
-
-        if self.saveAggregationHistory:
-            self.aggregationHistory.append(copy.copy(self._alterableAggregation))
-
-        return RMSE
-	
-    def _deleteTestHistory(self, index):
-        """
-        Delelets the defined index from the test history
-        """
-        del self._segmentHistory[index]
-        del self._periodHistory[index]
-        del self._RMSEHistory[index]
-        
-        if self.saveAggregationHistory:
-            del self.aggregationHistory[index]
-
-				
-    def identifyOptimalSegmentPeriodCombination(self, dataReduction):
-        """        
-        Identifies the optimal combination of number of typical periods and number of segments for a given data reduction set.
-
-        :param dataReduction: Factor by which the resulting dataset should be reduced. required
-        :type dataReduction: float
-
-        :returns: **noSegments, noTypicalperiods** --  The optimal combination of segments and typical periods for the given optimization set.
-        """
-        if not self.base_aggregation.segmentation:
-            raise ValueError("This function does only make sense in combination with 'segmentation' activated.")
-
-        noRawTimeSteps=len(self.base_aggregation.timeSeries.index)
-        
-        _maxPeriods = int(float(noRawTimeSteps)/self.base_aggregation.timeStepsPerPeriod)
-        _maxSegments = self.base_aggregation.timeStepsPerPeriod
-
-        # save RMSE
-        RMSE_history = []
-
-        # correct 0 index of python
-        possibleSegments = np.arange(_maxSegments)+1
-        possiblePeriods = np.arange(_maxPeriods)+1
-        
-        # number of time steps of all combinations of segments and periods
-        combinedTimeSteps = np.outer(possibleSegments, possiblePeriods)
-        # reduce to valid combinations for targeted data reduction
-        reductionValidCombinations = combinedTimeSteps <= noRawTimeSteps * dataReduction
-
-        # number of time steps for all feasible combinations
-        reductionValidTimsteps = combinedTimeSteps * reductionValidCombinations
-        
-        # identify max segments and max period combination
-        optimalPeriods = np.zeros_like(reductionValidTimsteps)
-        optimalPeriods[np.arange(reductionValidTimsteps.shape[0]), reductionValidTimsteps.argmax(axis=1)] = 1
-        optimalSegments = np.zeros_like(reductionValidTimsteps)
-        optimalSegments[reductionValidTimsteps.argmax(axis=0), np.arange(reductionValidTimsteps.shape[1])] = 1
-        
-        optimalIndexCombo = np.nonzero(optimalPeriods*optimalSegments)        
-
-        
-        for segmentIx, periodIx in tqdm.tqdm(zip(optimalIndexCombo[0],optimalIndexCombo[1])):
-
-            # derive new typical periods and derive rmse
-            RMSE_history.append(self._testAggregation(possiblePeriods[periodIx], possibleSegments[segmentIx]))
-                                                    
-        # take the negative backwards index with the minimal RMSE 
-        min_index = - list(reversed(RMSE_history)).index(min(RMSE_history)) - 1
-        RMSE_min = RMSE_history[min_index]
-        
-                
-        noTypicalPeriods=self._periodHistory[min_index]
-        noSegments=self._segmentHistory[min_index]
-
-        # and return the segment and typical period pair
-        return noSegments, noTypicalPeriods, RMSE_min
-
-
-    def identifyParetoOptimalAggregation(self, untilTotalTimeSteps=None):
-        """        
-        Identifies the pareto-optimal combination of number of typical periods and number of segments along with a steepest decent approach, starting from the aggregation to a single period and a single segment up to the representation of the full time series.
-        
-        :param untilTotalTimeSteps: Number of timesteps until which the pareto-front should be determined. If None, the maximum number of timesteps is chosen.
-        :type untilTotalTimeSteps: int
-
-
-        :returns: **** -- Nothing. Check aggregation history for results. All typical Periods in scaled form.
-        """
-        if not self.base_aggregation.segmentation:
-            raise ValueError("This function does only make sense in combination with 'segmentation' activated.")
-
-        noRawTimeSteps=len(self.base_aggregation.timeSeries.index)
-        
-        _maxPeriods = int(float(noRawTimeSteps)/self.base_aggregation.timeStepsPerPeriod)
-        _maxSegments = self.base_aggregation.timeStepsPerPeriod
-        
-        if untilTotalTimeSteps is None:
-            untilTotalTimeSteps=noRawTimeSteps
-
-
-        progressBar = tqdm.tqdm(total=untilTotalTimeSteps)
-
-        # starting point
-        noTypicalPeriods=1
-        noSegments=1
-        _RMSE_0=self._testAggregation(noTypicalPeriods, noSegments)
-
-        # loop until either segments or periods have reached their maximum
-        while (noTypicalPeriods<_maxPeriods and noSegments<_maxSegments 
-            and (noSegments+1)*noTypicalPeriods<=untilTotalTimeSteps
-            and noSegments*(noTypicalPeriods+1)<=untilTotalTimeSteps):
-            # test for more segments
-            RMSE_segments = self._testAggregation(noTypicalPeriods, noSegments+1)
-            # test for more periods
-            RMSE_periods = self._testAggregation(noTypicalPeriods+1, noSegments)
-            
-            # RMSE old
-            RMSE_old = self._RMSEHistory[-3]
-            
-            # segment gradient (RMSE improvement per increased time step number)
-            # for segments: for each period on segment added
-            RMSE_segment_gradient = (RMSE_old - RMSE_segments) / noTypicalPeriods
-            # for periods: one period with no of segments
-            RMSE_periods_gradient = (RMSE_old - RMSE_periods) / noSegments
-
-            # go along the steeper gradient
-            if RMSE_periods_gradient>RMSE_segment_gradient:
-                noTypicalPeriods+=1
-                # and delete the search direction which was not persued
-                self._deleteTestHistory(-2)
-            else:
-                noSegments+=1
-                self._deleteTestHistory(-1)
-            progressBar.update(noSegments*noTypicalPeriods-progressBar.n)
-            
-        # afterwards loop over periods and segments exclusively until maximum is reached
-        while noTypicalPeriods<_maxPeriods and noSegments*(noTypicalPeriods+1)<=untilTotalTimeSteps:
-            noTypicalPeriods+=1
-            RMSE = self._testAggregation(noTypicalPeriods, noSegments)
-            progressBar.update(noSegments*noTypicalPeriods-progressBar.n)
-
-        while noSegments<_maxSegments and (noSegments+1)*noTypicalPeriods<=untilTotalTimeSteps:
-            noSegments+=1
-            RMSE = self._testAggregation(noTypicalPeriods, noSegments)
-            progressBar.update(noSegments*noTypicalPeriods-progressBar.n)
-        return 
+# -*- coding: utf-8 -*-
+
+import copy
+
+import numpy as np
+
+import tqdm
+
+from tsam.timeseriesaggregation import TimeSeriesAggregation
+        
+def getNoPeriodsForDataReduction(noRawTimeSteps, segmentsPerPeriod, dataReduction):
+    """        
+    Identifies the maximum number of periods which can be set to achieve the required data reduction.
+
+    :param noRawTimeSteps: Number of original time steps. required
+    :type noRawTimeSteps: int
+
+    :param segmentsPerPeriod: Segments per period. required
+    :type segmentsPerPeriod: int
+
+    :param dataReduction: Factor by which the resulting dataset should be reduced. required
+    :type dataReduction: float
+
+    :returns: **noTypicalPeriods** --  Number of typical periods that can be set.
+    """
+    return int(np.floor(dataReduction * float(noRawTimeSteps)/segmentsPerPeriod))
+
+def getNoSegmentsForDataReduction(noRawTimeSteps, typicalPeriods, dataReduction):
+    """        
+    Identifies the maximum number of segments which can be set to achieve the required data reduction.
+
+    :param noRawTimeSteps: Number of original time steps. required
+    :type noRawTimeSteps: int
+
+    :param typicalPeriods: Number of typical periods. required
+    :type typicalPeriods: int
+
+    :param dataReduction: Factor by which the resulting dataset should be reduced. required
+    :type dataReduction: float
+
+    :returns: **segmentsPerPeriod** --  Number of segments per period that can be set.
+    """
+    return int(np.floor(dataReduction * float(noRawTimeSteps)/typicalPeriods))
+
+
+
+
+class HyperTunedAggregations(object):
+
+    def __init__(self, base_aggregation, saveAggregationHistory=True):
+        """
+        A class that does a parameter variation and tuning of the aggregation itself.
+
+        :param base_aggregation: TimeSeriesAggregation object which is used as basis for tuning the hyper parameters. required
+        :type base_aggregation: TimeSeriesAggregation
+
+        :param saveAggregationHistory: Defines if all aggregations that are created during the tuning and iterations shall be saved under self.aggregationHistory.
+        :type saveAggregationHistory: boolean
+        """
+        self.base_aggregation = base_aggregation
+
+        if not isinstance(self.base_aggregation, TimeSeriesAggregation):
+            raise ValueError(
+                "base_aggregation has to be an TimeSeriesAggregation object"
+            )
+
+        self._alterableAggregation=copy.deepcopy(self.base_aggregation)
+
+        self.saveAggregationHistory=saveAggregationHistory
+
+        self._segmentHistory=[]
+
+        self._periodHistory=[]
+
+        self._RMSEHistory=[]
+
+        if self.saveAggregationHistory:
+            self.aggregationHistory=[]
+            
+
+        
+        
+    def _testAggregation(self, noTypicalPeriods, noSegments):
+        """
+        Tests the aggregation for a set of typical periods and segments and returns the RMSE
+        """
+        self._segmentHistory.append(noSegments)
+
+        self._periodHistory.append(noTypicalPeriods)
+
+        self._alterableAggregation.noTypicalPeriods=noTypicalPeriods
+
+        self._alterableAggregation.noSegments=noSegments
+
+        self._alterableAggregation.createTypicalPeriods()
+
+        self._alterableAggregation.predictOriginalData()
+
+        RMSE=self._alterableAggregation.totalAccuracyIndicators()["RMSE"]
+
+        self._RMSEHistory.append(RMSE)
+
+        if self.saveAggregationHistory:
+            self.aggregationHistory.append(copy.copy(self._alterableAggregation))
+
+        return RMSE
+	
+    def _deleteTestHistory(self, index):
+        """
+        Delelets the defined index from the test history
+        """
+        del self._segmentHistory[index]
+        del self._periodHistory[index]
+        del self._RMSEHistory[index]
+        
+        if self.saveAggregationHistory:
+            del self.aggregationHistory[index]
+
+				
+    def identifyOptimalSegmentPeriodCombination(self, dataReduction):
+        """        
+        Identifies the optimal combination of number of typical periods and number of segments for a given data reduction set.
+
+        :param dataReduction: Factor by which the resulting dataset should be reduced. required
+        :type dataReduction: float
+
+        :returns: **noSegments, noTypicalperiods** --  The optimal combination of segments and typical periods for the given optimization set.
+        """
+        if not self.base_aggregation.segmentation:
+            raise ValueError("This function does only make sense in combination with 'segmentation' activated.")
+
+        noRawTimeSteps=len(self.base_aggregation.timeSeries.index)
+        
+        _maxPeriods = int(float(noRawTimeSteps)/self.base_aggregation.timeStepsPerPeriod)
+        _maxSegments = self.base_aggregation.timeStepsPerPeriod
+
+        # save RMSE
+        RMSE_history = []
+
+        # correct 0 index of python
+        possibleSegments = np.arange(_maxSegments)+1
+        possiblePeriods = np.arange(_maxPeriods)+1
+        
+        # number of time steps of all combinations of segments and periods
+        combinedTimeSteps = np.outer(possibleSegments, possiblePeriods)
+        # reduce to valid combinations for targeted data reduction
+        reductionValidCombinations = combinedTimeSteps <= noRawTimeSteps * dataReduction
+
+        # number of time steps for all feasible combinations
+        reductionValidTimsteps = combinedTimeSteps * reductionValidCombinations
+        
+        # identify max segments and max period combination
+        optimalPeriods = np.zeros_like(reductionValidTimsteps)
+        optimalPeriods[np.arange(reductionValidTimsteps.shape[0]), reductionValidTimsteps.argmax(axis=1)] = 1
+        optimalSegments = np.zeros_like(reductionValidTimsteps)
+        optimalSegments[reductionValidTimsteps.argmax(axis=0), np.arange(reductionValidTimsteps.shape[1])] = 1
+        
+        optimalIndexCombo = np.nonzero(optimalPeriods*optimalSegments)        
+
+        
+        for segmentIx, periodIx in tqdm.tqdm(zip(optimalIndexCombo[0],optimalIndexCombo[1])):
+
+            # derive new typical periods and derive rmse
+            RMSE_history.append(self._testAggregation(possiblePeriods[periodIx], possibleSegments[segmentIx]))
+                                                    
+        # take the negative backwards index with the minimal RMSE 
+        min_index = - list(reversed(RMSE_history)).index(min(RMSE_history)) - 1
+        RMSE_min = RMSE_history[min_index]
+        
+                
+        noTypicalPeriods=self._periodHistory[min_index]
+        noSegments=self._segmentHistory[min_index]
+
+        # and return the segment and typical period pair
+        return noSegments, noTypicalPeriods, RMSE_min
+
+
+    def identifyParetoOptimalAggregation(self, untilTotalTimeSteps=None):
+        """        
+        Identifies the pareto-optimal combination of number of typical periods and number of segments along with a steepest decent approach, starting from the aggregation to a single period and a single segment up to the representation of the full time series.
+        
+        :param untilTotalTimeSteps: Number of timesteps until which the pareto-front should be determined. If None, the maximum number of timesteps is chosen.
+        :type untilTotalTimeSteps: int
+
+
+        :returns: **** -- Nothing. Check aggregation history for results. All typical Periods in scaled form.
+        """
+        if not self.base_aggregation.segmentation:
+            raise ValueError("This function does only make sense in combination with 'segmentation' activated.")
+
+        noRawTimeSteps=len(self.base_aggregation.timeSeries.index)
+        
+        _maxPeriods = int(float(noRawTimeSteps)/self.base_aggregation.timeStepsPerPeriod)
+        _maxSegments = self.base_aggregation.timeStepsPerPeriod
+        
+        if untilTotalTimeSteps is None:
+            untilTotalTimeSteps=noRawTimeSteps
+
+
+        progressBar = tqdm.tqdm(total=untilTotalTimeSteps)
+
+        # starting point
+        noTypicalPeriods=1
+        noSegments=1
+        _RMSE_0=self._testAggregation(noTypicalPeriods, noSegments)
+
+        # loop until either segments or periods have reached their maximum
+        while (noTypicalPeriods<_maxPeriods and noSegments<_maxSegments 
+            and (noSegments+1)*noTypicalPeriods<=untilTotalTimeSteps
+            and noSegments*(noTypicalPeriods+1)<=untilTotalTimeSteps):
+            # test for more segments
+            RMSE_segments = self._testAggregation(noTypicalPeriods, noSegments+1)
+            # test for more periods
+            RMSE_periods = self._testAggregation(noTypicalPeriods+1, noSegments)
+            
+            # RMSE old
+            RMSE_old = self._RMSEHistory[-3]
+            
+            # segment gradient (RMSE improvement per increased time step number)
+            # for segments: for each period on segment added
+            RMSE_segment_gradient = (RMSE_old - RMSE_segments) / noTypicalPeriods
+            # for periods: one period with no of segments
+            RMSE_periods_gradient = (RMSE_old - RMSE_periods) / noSegments
+
+            # go along the steeper gradient
+            if RMSE_periods_gradient>RMSE_segment_gradient:
+                noTypicalPeriods+=1
+                # and delete the search direction which was not persued
+                self._deleteTestHistory(-2)
+            else:
+                noSegments+=1
+                self._deleteTestHistory(-1)
+            progressBar.update(noSegments*noTypicalPeriods-progressBar.n)
+            
+        # afterwards loop over periods and segments exclusively until maximum is reached
+        while noTypicalPeriods<_maxPeriods and noSegments*(noTypicalPeriods+1)<=untilTotalTimeSteps:
+            noTypicalPeriods+=1
+            RMSE = self._testAggregation(noTypicalPeriods, noSegments)
+            progressBar.update(noSegments*noTypicalPeriods-progressBar.n)
+
+        while noSegments<_maxSegments and (noSegments+1)*noTypicalPeriods<=untilTotalTimeSteps:
+            noSegments+=1
+            RMSE = self._testAggregation(noTypicalPeriods, noSegments)
+            progressBar.update(noSegments*noTypicalPeriods-progressBar.n)
+        return