Time series forecasting with sklearn regressors (#362)

* add sklearn regressors as learners for ts_forecast task

* add direct forecasting strategy
warnings and errors for duplicate rows and missing values

- add preprocess for sklearn time series forecast
 update automl.py
 update test/test_forecast.py

* update model.py and test_forecast.py for cv eval_method

* add "hcrystalball" dependency in setup.py

* update automl.py
- add _validate_ts_data function for abstraction
- include xgb_limitdepth as a learner

* update model.py
- update search space for sklearn ts regressors

* update automl.py and test_forecast.py for numpy array inputs

* add documentations to model.py

* add documentation for removing catboost regressor

* update automl.py
- _validate_ts_data() function

Signed-off-by: Kevin Chen <chenkevin.8787@gmail.com>

flaml/automl.py

@@ -73,7 +73,7 @@ class SearchState:
             self.total_time_used - self.time_best_found,
         )
 
-    def __init__(self, learner_class, data_size, task, starting_point=None):
+    def __init__(self, learner_class, data_size, task, starting_point=None, period=None):
         self.init_eci = learner_class.cost_relative2lgbm()
         self._search_space_domain = {}
         self.init_config = {}
@@ -82,7 +82,10 @@ class SearchState:
         self.data_size = data_size
         self.ls_ever_converged = False
         self.learner_class = learner_class
-        search_space = learner_class.search_space(data_size=data_size, task=task)
+        if task == TS_FORECAST:
+            search_space = learner_class.search_space(data_size=data_size, task=task, pred_horizon=period)
+        else:
+            search_space = learner_class.search_space(data_size=data_size, task=task)
         for name, space in search_space.items():
             assert (
                 "domain" in space
@@ -808,6 +811,38 @@ class AutoML(BaseEstimator):
             X = self._transformer.transform(X)
         return X
 
+    def _validate_ts_data(
+        self,
+        dataframe,
+        y_train_all=None,
+    ):
+        assert (
+            dataframe[dataframe.columns[0]].dtype.name == "datetime64[ns]"
+        ), f"For '{TS_FORECAST}' task, the first column must contain timestamp values."
+        if y_train_all is not None:
+            y_df = pd.DataFrame(y_train_all) if isinstance(y_train_all, pd.Series) else pd.DataFrame(y_train_all, columns=['labels'])
+            dataframe = dataframe.join(y_df)
+        duplicates = dataframe.duplicated()
+        if any(duplicates):
+            logger.warning(
+                "Duplicate timestamp values found in timestamp column. "
+                f"\n{dataframe.loc[duplicates, dataframe][dataframe.columns[0]]}"
+            )
+            dataframe = dataframe.drop_duplicates()
+            logger.warning("Removed duplicate rows based on all columns")
+            assert (
+                dataframe[[dataframe.columns[0]]].duplicated() is None
+            ), "Duplicate timestamp values with different values for other columns."
+        ts_series = pd.to_datetime(dataframe[dataframe.columns[0]])
+        inferred_freq = pd.infer_freq(ts_series)
+        if inferred_freq is None:
+            logger.warning(
+                "Missing timestamps detected. To avoid error with estimators, set estimator list to ['prophet']. "
+            )
+        if y_train_all is not None:
+            return dataframe.iloc[:, :-1], dataframe.iloc[:, -1]
+        return dataframe
+
     def _validate_data(
         self,
         X_train_all,
@@ -846,9 +881,7 @@ class AutoML(BaseEstimator):
             self._nrow, self._ndim = X_train_all.shape
             if self._state.task == TS_FORECAST:
                 X_train_all = pd.DataFrame(X_train_all)
-                assert (
-                    X_train_all[X_train_all.columns[0]].dtype.name == "datetime64[ns]"
-                ), f"For '{TS_FORECAST}' task, the first column must contain timestamp values."
+                X_train_all, y_train_all = self._validate_ts_data(X_train_all, y_train_all)
             X, y = X_train_all, y_train_all
         elif dataframe is not None and label is not None:
             assert isinstance(
@@ -857,9 +890,7 @@ class AutoML(BaseEstimator):
             assert label in dataframe.columns, "label must a column name in dataframe"
             self._df = True
             if self._state.task == TS_FORECAST:
-                assert (
-                    dataframe[dataframe.columns[0]].dtype.name == "datetime64[ns]"
-                ), f"For '{TS_FORECAST}' task, the first column must contain timestamp values."
+                dataframe = self._validate_ts_data(dataframe)
             X = dataframe.drop(columns=label)
             self._nrow, self._ndim = X.shape
             y = dataframe[label]
@@ -2079,14 +2110,7 @@ class AutoML(BaseEstimator):
         logger.info(f"Minimizing error metric: {error_metric}")
 
         if "auto" == estimator_list:
-            if self._state.task == TS_FORECAST:
-                try:
-                    import prophet
-
-                    estimator_list = ["prophet", "arima", "sarimax"]
-                except ImportError:
-                    estimator_list = ["arima", "sarimax"]
-            elif self._state.task == "rank":
+            if self._state.task == "rank":
                 estimator_list = ["lgbm", "xgboost", "xgb_limitdepth"]
             elif _is_nlp_task(self._state.task):
                 estimator_list = ["transformer"]
@@ -2110,8 +2134,18 @@ class AutoML(BaseEstimator):
                         "extra_tree",
                         "xgb_limitdepth",
                     ]
-                if "regression" != self._state.task:
+                if TS_FORECAST == self._state.task:
+                    # catboost is removed because it has a `name` parameter, making it incompatible with hcrystalball
+                    estimator_list.remove("catboost")
+                    try:
+                        import prophet
+
+                        estimator_list += ["prophet", "arima", "sarimax"]
+                    except ImportError:
+                        estimator_list += ["arima", "sarimax"]
+                elif "regression" != self._state.task:
                     estimator_list += ["lrl1"]
+
         for estimator_name in estimator_list:
             if estimator_name not in self._state.learner_classes:
                 self.add_learner(
@@ -2127,6 +2161,7 @@ class AutoML(BaseEstimator):
                 data_size=self._state.data_size,
                 task=self._state.task,
                 starting_point=starting_points.get(estimator_name),
+                period=self._state.fit_kwargs.get("period"),
             )
         logger.info("List of ML learners in AutoML Run: {}".format(estimator_list))
         self.estimator_list = estimator_list

flaml/ml.py

@@ -20,13 +20,18 @@ from sklearn.metrics import (
 from sklearn.model_selection import RepeatedStratifiedKFold, GroupKFold, TimeSeriesSplit
 from .model import (
     XGBoostSklearnEstimator,
+    XGBoost_TS_Regressor,
     XGBoostLimitDepthEstimator,
+    XGBoostLimitDepth_TS_Regressor,
     RandomForestEstimator,
+    RF_TS_Regressor,
     LGBMEstimator,
+    LGBM_TS_Regressor,
     LRL1Classifier,
     LRL2Classifier,
     CatBoostEstimator,
     ExtraTreesEstimator,
+    ExtraTrees_TS_Regressor,
     KNeighborsEstimator,
     Prophet,
     ARIMA,
@@ -89,13 +94,13 @@ huggingface_submetric_to_metric = {"rouge1": "rouge", "rouge2": "rouge"}
 def get_estimator_class(task, estimator_name):
     # when adding a new learner, need to add an elif branch
     if "xgboost" == estimator_name:
-        estimator_class = XGBoostSklearnEstimator
+        estimator_class = XGBoost_TS_Regressor if TS_FORECAST == task else XGBoostSklearnEstimator
     elif "xgb_limitdepth" == estimator_name:
-        estimator_class = XGBoostLimitDepthEstimator
+        estimator_class = XGBoostLimitDepth_TS_Regressor if TS_FORECAST == task else XGBoostLimitDepthEstimator
     elif "rf" == estimator_name:
-        estimator_class = RandomForestEstimator
+        estimator_class = RF_TS_Regressor if TS_FORECAST == task else RandomForestEstimator
     elif "lgbm" == estimator_name:
-        estimator_class = LGBMEstimator
+        estimator_class = LGBM_TS_Regressor if TS_FORECAST == task else LGBMEstimator
     elif "lrl1" == estimator_name:
         estimator_class = LRL1Classifier
     elif "lrl2" == estimator_name:
@@ -103,7 +108,7 @@ def get_estimator_class(task, estimator_name):
     elif "catboost" == estimator_name:
         estimator_class = CatBoostEstimator
     elif "extra_tree" == estimator_name:
-        estimator_class = ExtraTreesEstimator
+        estimator_class = ExtraTrees_TS_Regressor if TS_FORECAST == task else ExtraTreesEstimator
     elif "kneighbor" == estimator_name:
         estimator_class = KNeighborsEstimator
     elif "prophet" in estimator_name:
@@ -441,10 +446,6 @@ def evaluate_model_CV(
         groups = kf.groups
         kf = kf.split(X_train_split, y_train_split, groups)
         shuffle = False
-    elif isinstance(kf, TimeSeriesSplit) and task == TS_FORECAST:
-        y_train_all = pd.DataFrame(y_train_all, columns=[TS_VALUE_COL])
-        train = X_train_all.join(y_train_all)
-        kf = kf.split(train)
     elif isinstance(kf, TimeSeriesSplit):
         kf = kf.split(X_train_split, y_train_split)
     else:

flaml/model.py

@@ -1789,6 +1789,135 @@ class SARIMAX(ARIMA):
         return train_time
 
 
+class TS_SKLearn_Regressor(SKLearnEstimator):
+    """ The class for tuning SKLearn Regressors for time-series forecasting, using hcrystalball"""
+
+    base_class = SKLearnEstimator
+
+    @classmethod
+    def search_space(cls, data_size, pred_horizon, **params):
+        space = cls.base_class.search_space(data_size, **params)
+        space.update({
+            "optimize_for_horizon": {
+                "domain": tune.choice([True, False]),
+                "init_value": False,
+                "low_cost_init_value": False,
+            },
+            "lags": {
+                "domain": tune.randint(lower=1, upper=data_size[0] - pred_horizon),
+                "init_value": 3,
+            },
+        })
+        return space
+
+    def __init__(self, task=TS_FORECAST, **params):
+        super().__init__(task, **params)
+        self.hcrystaball_model = None
+
+    def transform_X(self, X):
+        cols = list(X)
+        if len(cols) == 1:
+            ds_col = cols[0]
+            X = pd.DataFrame(index=X[ds_col])
+        elif len(cols) > 1:
+            ds_col = cols[0]
+            exog_cols = cols[1:]
+            X = X[exog_cols].set_index(X[ds_col])
+        return X
+
+    def _fit(self, X_train, y_train, budget=None, **kwargs):
+        from hcrystalball.wrappers import get_sklearn_wrapper
+
+        X_train = self.transform_X(X_train)
+        X_train = self._preprocess(X_train)
+        params = self.params.copy()
+        lags = params.pop("lags")
+        optimize_for_horizon = params.pop("optimize_for_horizon")
+        estimator = self.base_class(task="regression", **params)
+        self.hcrystaball_model = get_sklearn_wrapper(estimator.estimator_class)
+        self.hcrystaball_model.lags = int(lags)
+        self.hcrystaball_model.fit(X_train, y_train)
+        if optimize_for_horizon:
+            # Direct Multi-step Forecast Strategy - fit a seperate model for each horizon
+            model_list = []
+            for i in range(1, kwargs["period"] + 1):
+                X_fit, y_fit = self.hcrystaball_model._transform_data_to_tsmodel_input_format(X_train, y_train, i)
+                self.hcrystaball_model.model.set_params(**estimator.params)
+                model = self.hcrystaball_model.model.fit(X_fit, y_fit)
+                model_list.append(model)
+            self._model = model_list
+        else:
+            X_fit, y_fit = self.hcrystaball_model._transform_data_to_tsmodel_input_format(X_train, y_train, kwargs["period"])
+            self.hcrystaball_model.model.set_params(**estimator.params)
+            model = self.hcrystaball_model.model.fit(X_fit, y_fit)
+            self._model = model
+
+    def fit(self, X_train, y_train, budget=None, **kwargs):
+        current_time = time.time()
+        self._fit(X_train, y_train, budget=budget, **kwargs)
+        train_time = time.time() - current_time
+        return train_time
+
+    def predict(self, X_test):
+        if self._model is not None:
+            X_test = self.transform_X(X_test)
+            X_test = self._preprocess(X_test)
+            if isinstance(self._model, list):
+                assert (
+                    len(self._model) == len(X_test)
+                ), "Model is optimized for horizon, length of X_test must be equal to `period`."
+                preds = []
+                for i in range(1, len(self._model) + 1):
+                    X_pred, _ = self.hcrystaball_model._transform_data_to_tsmodel_input_format(X_test.iloc[:i, :])
+                    preds.append(self._model[i - 1].predict(X_pred)[-1])
+                forecast = pd.DataFrame(data=np.asarray(preds).reshape(-1, 1),
+                                        columns=[self.hcrystaball_model.name],
+                                        index=X_test.index)
+            else:
+                X_pred, _ = self.hcrystaball_model._transform_data_to_tsmodel_input_format(X_test)
+                forecast = self._model.predict(X_pred)
+            return forecast
+        else:
+            logger.warning(
+                "Estimator is not fit yet. Please run fit() before predict()."
+            )
+            return np.ones(X_test.shape[0])
+
+
+class LGBM_TS_Regressor(TS_SKLearn_Regressor):
+    """ The class for tuning LGBM Regressor for time-series forecasting"""
+
+    base_class = LGBMEstimator
+
+
+class XGBoost_TS_Regressor(TS_SKLearn_Regressor):
+    """ The class for tuning XGBoost Regressor for time-series forecasting"""
+
+    base_class = XGBoostSklearnEstimator
+
+# catboost regressor is invalid because it has a `name` parameter, making it incompatible with hcrystalball
+# class CatBoost_TS_Regressor(TS_Regressor):
+#     base_class = CatBoostEstimator
+
+
+class RF_TS_Regressor(TS_SKLearn_Regressor):
+    """ The class for tuning Random Forest Regressor for time-series forecasting"""
+
+    base_class = RandomForestEstimator
+
+
+class ExtraTrees_TS_Regressor(TS_SKLearn_Regressor):
+    """ The class for tuning Extra Trees Regressor for time-series forecasting"""
+
+    base_class = ExtraTreesEstimator
+
+
+class XGBoostLimitDepth_TS_Regressor(TS_SKLearn_Regressor):
+    """ The class for tuning XGBoost Regressor with unlimited depth for time-series forecasting"""
+
+    base_class = XGBoostLimitDepthEstimator
+
+
 class suppress_stdout_stderr(object):
     def __init__(self):
         # Open a pair of null files

setup.py

@@ -60,6 +60,7 @@ setuptools.setup(
             "torch",
             "nltk",
             "rouge_score",
+            "hcrystalball==0.1.10",
             "seqeval",
         ],
         "catboost": ["catboost>=0.26"],
@@ -85,8 +86,8 @@ setuptools.setup(
             "nltk",
             "rouge_score",
         ],
-        "ts_forecast": ["prophet>=1.0.1", "statsmodels>=0.12.2"],
-        "forecast": ["prophet>=1.0.1", "statsmodels>=0.12.2"],
+        "ts_forecast": ["prophet>=1.0.1", "statsmodels>=0.12.2", "hcrystalball==0.1.10"],
+        "forecast": ["prophet>=1.0.1", "statsmodels>=0.12.2", "hcrystalball==0.1.10"],
         "benchmark": ["catboost>=0.26", "psutil==5.8.0", "xgboost==1.3.3"],
     },
     classifiers=[

test/automl/test_forecast.py

@@ -105,6 +105,7 @@ def test_numpy():
             task="ts_forecast",
             time_budget=3,  # time budget in seconds
             log_file_name="test/ts_forecast.log",
+            n_splits=3,  # number of splits
         )
         print(automl.predict(X_train[72:]))
     except ImportError:
@@ -280,7 +281,6 @@ def load_multi_dataset_cat(time_horizon):
 def test_multivariate_forecast_cat(budget=5):
     time_horizon = 180
     train_df, test_df = load_multi_dataset_cat(time_horizon)
-    print(train_df)
     X_test = test_df[
         ["timeStamp", "season", "above_monthly_avg"]
     ]  # test dataframe must contain values for the regressors / multivariate variables
@@ -290,7 +290,7 @@ def test_multivariate_forecast_cat(budget=5):
         "time_budget": budget,  # total running time in seconds
         "metric": "mape",  # primary metric
         "task": "ts_forecast",  # task type
-        "log_file_name": "test/energy_forecast_numerical.log",  # flaml log file
+        "log_file_name": "test/energy_forecast_categorical.log",  # flaml log file
         "eval_method": "holdout",
         "log_type": "all",
         "label": "demand",
@@ -360,3 +360,4 @@ if __name__ == "__main__":
     test_forecast_automl(60)
     test_multivariate_forecast_num(60)
     test_multivariate_forecast_cat(60)
+    test_numpy()