Following this blog post, I'm trying to understand lstm for time series forecasting.
The thing is the result on the test data are too good, what am I missing?
Also everytime I re-run the fit it seems to get better, is the Net re-using the same weights?
The structure is very simple, the input_shape is [1, 1, 1].
Even with Epochs = 1, it learns all too well the test data.
Here's a reproducible example:
library(keras)
library(ggplot2)
library(dplyr)
Data creation and prep:
# create some fake time series
set.seed(123)
df_timeseries <- data.frame(
ts = 1:2500,
value = arima.sim(list(order = c(1,1,0), ar = 0.7), n = 2500)[-1] # fake data
)
#plot(df_timeseries$value, type = "l")
# first order difference
diff_serie <- diff(df_timeseries$value, differences = 1)
# Lagged data ---
lag_transform <- function(x, k= 1){
lagged = c(rep(NA, k), x[1:(length(x)-k)])
DF = as.data.frame(cbind(lagged, x))
colnames(DF) <- c( paste0('x-', k), 'x')
DF[is.na(DF)] <- 0
return(DF)
}
supervised <- lag_transform(diff_serie, 1) # "supervised" form
# head(supervised, 3)
# x-1 x
# 1 0.0000000 0.1796152
# 2 0.1796152 -0.3470608
# 3 -0.3470608 -1.3107662
# Split Train/Test ---
N = nrow(supervised)
n = round(N *0.8, digits = 0)
train = supervised[1:n, ] # train set # 1999 obs
test = supervised[(n+1):N, ] # test set: 500 obs
# Normalize Data --- !!! used min/max just from the train set
scale_data = function(train, test, feature_range = c(0, 1)) {
x = train
fr_min = feature_range[1]
fr_max = feature_range[2]
std_train = ((x - min(x) ) / (max(x) - min(x) ))
std_test = ((test - min(x) ) / (max(x) - min(x) ))
scaled_train = std_train *(fr_max -fr_min) + fr_min
scaled_test = std_test *(fr_max -fr_min) + fr_min
return( list(scaled_train = as.vector(scaled_train), scaled_test = as.vector(scaled_test) ,scaler= c(min =min(x), max = max(x))) )
}
Scaled = scale_data(train, test, c(-1, 1))
# Split ---
y_train = Scaled$scaled_train[, 2]
x_train = Scaled$scaled_train[, 1]
y_test = Scaled$scaled_test[, 2]
x_test = Scaled$scaled_test[, 1]
# reverse function for scale back to original values
# reverse
invert_scaling = function(scaled, scaler, feature_range = c(0, 1)){
min = scaler[1]
max = scaler[2]
t = length(scaled)
mins = feature_range[1]
maxs = feature_range[2]
inverted_dfs = numeric(t)
for( i in 1:t){
X = (scaled[i]- mins)/(maxs - mins)
rawValues = X *(max - min) + min
inverted_dfs[i] <- rawValues
}
return(inverted_dfs)
}
Model and Fit:
# Model ---
# Reshape
dim(x_train) <- c(length(x_train), 1, 1)
# specify required arguments
X_shape2 = dim(x_train)[2]
X_shape3 = dim(x_train)[3]
batch_size = 1 # must be a common factor of both the train and test samples
units = 30 # can adjust this, in model tuninig phase
model <- keras_model_sequential()
model%>% #[1, 1, 1]
layer_lstm(units, batch_input_shape = c(batch_size, X_shape2, X_shape3), stateful= F)%>%
layer_dense(units = 10) %>%
layer_dense(units = 1)
model %>% compile(
loss = 'mean_squared_error',
optimizer = optimizer_adam( lr= 0.02, decay = 1e-6 ),
metrics = c('mean_absolute_percentage_error')
)
# Fit ---
Epochs = 1
for(i in 1:Epochs ){
model %>% fit(x_train, y_train, epochs=1, batch_size=batch_size, verbose=1, shuffle=F)
model %>% reset_states()
}
# Predictions Test data ---
L = length(x_test)
scaler = Scaled$scaler
predictions = numeric(L)
for(i in 1:L){
X = x_test[i]
dim(X) = c(1,1,1) # praticamente prevedo punto a punto
yhat = model %>% predict(X, batch_size=batch_size)
# invert scaling
yhat = invert_scaling(yhat, scaler, c(-1, 1))
# invert differencing
yhat = yhat + df_timeseries$value[(n+i)] # could the problem be here?
# store
predictions[i] <- yhat
}
Plot for comparison just on the Test data:
Code for the plot and MAPE on Test data:
# Now for the comparison:
df_plot = tibble(
data = 1:nrow(test),
actual = df_timeseries$value[(n+1):N],
predict = predictions
)
df_plot %>%
gather("key", "value", -data) %>%
ggplot(aes(x = data, y = value, color = key)) +
geom_line() +
theme_minimal()
# mape
mape_function <- function(v_actual, v_pred) {
diff <- (v_actual - v_pred)/v_actual
sum(abs(diff))/length(diff)
}
mape_function(df_plot$actual, df_plot$predict)
# [1] 0.00348043 - MAPE on test data
Update: based on nicola's comment:
By changing the prediction part, where I reverse the difference the plot does make more sense.
But still, how can I fix this? I need to plot the actual values not the differences. How can I measure my performance and if the net is overfitting?
predict_diff = numeric(L)
for(i in 1:L){
X = x_test[i]
dim(X) = c(1,1,1) # praticamente prevedo punto a punto
yhat = model %>% predict(X, batch_size=batch_size)
# invert scaling
yhat = invert_scaling(yhat, scaler, c(-1, 1))
# invert differencing
predict_diff[i] <- yhat
yhat = yhat + df_timeseries$value[(n+i)] # could the problem be here?
# store
#predictions[i] <- yhat
}
df_plot = tibble(
data = 1:nrow(test),
actual = test$x,
predict = predict_diff
)
df_plot %>%
gather("key", "value", -data) %>%
ggplot(aes(x = data, y = value, color = key)) +
geom_line() +
theme_minimal()
