Chainerで時系列データ予測 with LSTM
ChainerのtrainerでLSTM

必要なものなど

chainerとmatplotlibがあれば動きます。

%matplotlib inline
import numpy as np

import chainer
import chainer.functions as F
import chainer.links as L
from chainer import report, training, Chain, datasets, iterators, optimizers
from chainer.training import extensions
from chainer.datasets import tuple_dataset

import matplotlib.pyplot as plt

使ったモデル

隠れ層に5ユニットあるLSTM.

class MLP(Chain):
    n_input  = 1
    n_output = 1
    n_units  = 5

    def __init__(self):
        super(MLP, self).__init__(
            l1 = L.Linear(self.n_input, self.n_units),
            l2 = L.LSTM(self.n_units, self.n_units),
            l3 = L.Linear(self.n_units, self.n_output),
        )

    def reset_state(self):
        self.l2.reset_state()

    def __call__(self, x):
        h1 = self.l1(x)
        h2 = self.l2(h1)
        return self.l3(h2)

レポート機能にロス関数があるとよさそうだったので、Classifierとおんなじように実装。
ひょっとして作る必要なかった？

class LossFuncL(Chain):
    def __init__(self, predictor):
        super(LossFuncL, self).__init__(predictor=predictor)

    def __call__(self, x, t):
        x.data = x.data.reshape((-1, 1)).astype(np.float32)
        t.data = t.data.reshape((-1, 1)).astype(np.float32)

        y = self.predictor(x)
        loss = F.mean_squared_error(y, t)
        report({'loss':loss}, self)
        return loss

モデルの定義の仕方

model = LossFuncL(MLP())
optimizer = optimizers.Adam()
optimizer.setup(model)

trainerクラス関係

ptbのサンプルを見よう見まねしながらこちょこちょ。

class LSTM_test_Iterator(chainer.dataset.Iterator):
    def __init__(self, dataset, batch_size = 10, seq_len = 5, repeat = True):
        self.seq_length = seq_len
        self.dataset = dataset
        self.nsamples =  len(dataset)

        self.batch_size = batch_size
        self.repeat = repeat

        self.epoch = 0
        self.iteration = 0
        self.offsets = np.random.randint(0, len(dataset),size=batch_size)

        self.is_new_epoch = False

    def __next__(self):
        if not self.repeat and self.iteration * self.batch_size >= self.nsamples:
            raise StopIteration

        x, t = self.get_data()
        self.iteration += 1

        epoch = self.iteration // self.batch_size
        self.is_new_epoch = self.epoch < epoch
        if self.is_new_epoch:
            self.epoch = epoch
            self.offsets = np.random.randint(0, self.nsamples,size=self.batch_size)

        return list(zip(x, t))

    @property
    def epoch_detail(self):
        return self.iteration * self.batch_size / len(self.dataset)

    def get_data(self):
        tmp0 = [self.dataset[(offset + self.iteration)%self.nsamples][0]
               for offset in self.offsets]
        tmp1 = [self.dataset[(offset + self.iteration + 1)%self.nsamples][0]
               for offset in self.offsets]
        return tmp0,tmp1

    def serialzie(self, serialzier):
        self.iteration = serializer('iteration', self.iteration)
        self.epoch     = serializer('epoch', self.epoch)

class LSTM_updater(training.StandardUpdater):
    def __init__(self, train_iter, optimizer, device):
        super(LSTM_updater, self).__init__(train_iter, optimizer, device=device)
        self.seq_length = train_iter.seq_length

    def update_core(self):
        loss = 0

        train_iter = self.get_iterator('main')
        optimizer = self.get_optimizer('main')

        for i in range(self.seq_length):
            batch = np.array(train_iter.__next__()).astype(np.float32)
            x, t  = batch[:,0].reshape((-1,1)), batch[:,1].reshape((-1,1))
            loss += optimizer.target(chainer.Variable(x), chainer.Variable(t))

        optimizer.target.zerograds()
        loss.backward()
        loss.unchain_backward()
        optimizer.update()

使ったデータ

sin波です

# データ作成
N_data  = 100
N_Loop  = 3
t = np.linspace(0., 2*np.pi*N_Loop, num=N_data)

X = 0.8*np.sin(2.0*t)

# データセット
N_train = int(N_data*0.8)
N_test  = int(N_data*0.2)

tmp_DataSet_X= np.array(X).astype(np.float32)

x_train, x_test = np.array(tmp_DataSet_X[:N_train]),np.array(tmp_DataSet_X[N_train:])

train = tuple_dataset.TupleDataset(x_train)
test  = tuple_dataset.TupleDataset(x_test)

TubpleDatasetはさびしく独り身ですね。

trainerの設定

イテレータ

train_iter = LSTM_test_Iterator(train, batch_size = 10, seq_len = 10)
test_iter  = LSTM_test_Iterator(test,  batch_size = 10, seq_len = 10, repeat = False)

アップデータとリポート

updater = LSTM_updater(train_iter, optimizer, -1)
trainer = training.Trainer(updater, (1000, 'epoch'), out = 'result')

eval_model = model.copy()
eval_rnn = eval_model.predictor
eval_rnn.train = False
trainer.extend(extensions.Evaluator(
        test_iter, eval_model, device=-1,
        eval_hook=lambda _: eval_rnn.reset_state()))

trainer.extend(extensions.LogReport())

trainer.extend(
        extensions.PrintReport(
        ['epoch', 'main/loss', 'validation/main/loss']
            )
        )

trainer.extend(extensions.ProgressBar())

実行結果

trainer.run()

試験１

t～t+9のデータをモデルに入力して、t+10のデータを予測してもらった結果。

presteps = 10
model.predictor.reset_state()

for i in range(presteps):
    y = model.predictor(chainer.Variable(np.roll(x_train,i).reshape((-1,1))))

plt.plot(t[:N_train],np.roll(y.data,-presteps))
plt.plot(t[:N_train],x_train)
plt.show()

試験２

初期データ(N_data*0.1個)を用いてt+1を予測
予測したt+1を用いてt+2を予測
予測を用いて予測するの繰り返し

presteps = int(N_data*0.1)
poststeps = N_data - presteps
model.predictor.reset_state()

y_result = []

for i in range(presteps):
    y = model.predictor(chainer.Variable(x_train[i].reshape((-1,1))))
    y_result.append(x_train[i])

y_result.append(x_train[presteps])

for i in range(poststeps-1):
    y = model.predictor(chainer.Variable(y.data))
    y_result.append(y.data)

plt.plot(t, y_result)
plt.plot(t, X)
plt.show()

だんだんずれてくるけど、教育をがんばればなんとかなりそう。

LSTMにsin波を覚えてもらう(chainer trainerの速習)