I have implemented a simple LSTM as well as GRU network for time-series forecast:
def LSTM1(T0, tau0, tau1, optimizer):
model = Sequential()
model.add(Input(shape=(T0,tau0), dtype="float32", name="Input"))
model.add(LSTM(units=tau1, activation="tanh", recurrent_activation="tanh", name="LSTM1"))
model.add(Dense(units=1, activation="exponential", name="Output"))
model.compile(optimizer=optimizer, loss="mse")
return model
def GRU1(T0, tau0, tau1, optimizer):
model = Sequential()
model.add(Input(shape=(T0,tau0), dtype="float32", name="Input"))
model.add(GRU(units=tau1, activation="tanh", recurrent_activation="tanh", reset_after=False, name="GRU1"))
model.add(Dense(units=1, activation="exponential", name="Output"))
model.compile(optimizer=optimizer, loss="mse")
return model
The LSTM model than has obviously more parameters than the GRU model:
_________________________________________________________________
Layer (type) Output Shape Param #
=================================================================
LSTM1 (LSTM) (None, 5) 180
_________________________________________________________________
Output (Dense) (None, 1) 6
=================================================================
Total params: 186
Trainable params: 186
Non-trainable params: 0
_________________________________________________________________
_________________________________________________________________
Layer (type) Output Shape Param #
=================================================================
GRU1 (GRU) (None, 5) 135
_________________________________________________________________
Output (Dense) (None, 1) 6
=================================================================
Total params: 141
Trainable params: 141
Non-trainable params: 0
_________________________________________________________________
I therefore would expect that training the GRU model would take less time.
T0 = 10 # lookback period
tau0 = 3 # dimension of x_t
tau1 = 5 # dimension of the outputs first RNN layer
optimizer = "Adam"
# Create model
model_gru1 = GRU1(T0, tau0, tau1, optimizer)
model_lstm1 = LSTM1(T0, tau0, tau1, optimizer)
However, taking the following training data:
x_train = np.random.rand(100,T0,tau0)
x_valid = np.random.rand(100,T0,tau0)
y_train = np.random.rand(100)
y_valid = np.random.rand(100)
and training my models
# Train LSTM1 model
tf.random.set_seed(32)
start = timer()
model_lstm1.fit(x=x_train, y=y_train,
validation_data=(x_valid,y_valid),
verbose=1,
batch_size=10, epochs=500
)
end = timer()
time_lstm1 = round(end-start,0)
# Train GRU1 model
tf.random.set_seed(32)
start = timer()
model_gru1.fit(x=x_train, y=y_train,
validation_data=(x_valid,y_valid),
verbose=1,
batch_size=10, epochs=500
)
end = timer()
time_gru1 = round(end-start,0)
the LSTM needs less time:
print("training time GRU1 {} vs. training time LSTM1 {}".format(time_gru1,time_lstm1))
training time GRU1 80.0 vs. training time LSTM1 62.0
I use Tensorflow version 2.0.0 on a CPU.
Any ideas?