Merge pull request #1160 from mindsdb/staging

Release 23.6.4.0

lightwood/__about__.py

@@ -1,6 +1,6 @@
 __title__ = 'lightwood'
 __package_name__ = 'lightwood'
-__version__ = '23.6.2.0'
+__version__ = '23.6.4.0'
 __description__ = "Lightwood is a toolkit for automatic machine learning model building"
 __email__ = "[email protected]"
 __author__ = 'MindsDB Inc'

lightwood/api/json_ai.py

@@ -741,7 +741,6 @@ def _add_implicit_values(json_ai: JsonAI) -> JsonAI:
                 "dtype_dict": "$dtype_dict",
                 "target": "$target",
                 "mode": "$mode",
-                "ts_analysis": "$ts_analysis",
                 "pred_args": "$pred_args",
             },
         },
@@ -1336,8 +1335,18 @@ def predict(self, data: pd.DataFrame, args: Dict = {{}}) -> pd.DataFrame:
         black = None
 
     if black is not None:
+        try:
+            formatted_predictor_code = black.format_str(predictor_code, mode=black.FileMode())
+
+            if type(predictor_from_code(formatted_predictor_code)).__name__ == 'Predictor':
+                predictor_code = formatted_predictor_code
+            else:
+                log.info('Black formatter output is invalid, predictor code might be a bit ugly')
+
+        except Exception:
+            log.info('Black formatter failed to run, predictor code might be a bit ugly')
+    else:
         log.info('Unable to import black formatter, predictor code might be a bit ugly.')
-        predictor_code = black.format_str(predictor_code, mode=black.FileMode())
 
     return predictor_code
 

lightwood/data/timeseries_analyzer.py

@@ -1,17 +1,11 @@
-from copy import deepcopy
-from typing import Dict, Tuple, List, Union
+from typing import Dict, Tuple, List
 
-import optuna
 import numpy as np
 import pandas as pd
-from sktime.transformations.series.detrend import Detrender
-from sktime.forecasting.trend import PolynomialTrendForecaster
-from sktime.transformations.series.detrend import ConditionalDeseasonalizer
+from type_infer.dtype import dtype
 
 from lightwood.api.types import TimeseriesSettings
-from type_infer.dtype import dtype
-from lightwood.helpers.ts import get_ts_groups, get_delta, get_group_matches, Differencer
-from lightwood.helpers.log import log
+from lightwood.helpers.ts import get_ts_groups, get_delta, Differencer
 from lightwood.encoder.time_series.helpers.common import generate_target_group_normalizers
 
 
@@ -36,18 +30,16 @@ def timeseries_analyzer(data: Dict[str, pd.DataFrame], dtype_dict: Dict[str, str
     """  # noqa
     tss = timeseries_settings
     groups = get_ts_groups(data['train'], tss)
-    deltas, periods, freqs = get_delta(data['train'], dtype_dict, groups, target, tss)
+    deltas, periods, freqs = get_delta(data['train'], tss)
 
-    normalizers = generate_target_group_normalizers(data['train'], target, dtype_dict, groups, tss)
+    normalizers = generate_target_group_normalizers(data['train'], target, dtype_dict, tss)
 
     if dtype_dict[target] in (dtype.integer, dtype.float, dtype.num_tsarray):
-        naive_forecast_residuals, scale_factor = get_grouped_naive_residuals(data['dev'], target, tss, groups)
-        differencers = get_differencers(data['train'], target, groups, tss.group_by)
-        stl_transforms = get_stls(data['train'], data['dev'], target, periods, groups, tss)
+        naive_forecast_residuals, scale_factor = get_grouped_naive_residuals(data['dev'], target, tss)
+        differencers = get_differencers(data['train'], target, tss.group_by)
     else:
         naive_forecast_residuals, scale_factor = {}, {}
         differencers = {}
-        stl_transforms = {}
 
     return {'target_normalizers': normalizers,
             'deltas': deltas,
@@ -57,7 +49,7 @@ def timeseries_analyzer(data: Dict[str, pd.DataFrame], dtype_dict: Dict[str, str
             'ts_naive_mae': scale_factor,
             'periods': periods,
             'sample_freqs': freqs,
-            'stl_transforms': stl_transforms,
+            'stl_transforms': {},  # TODO: remove, or provide from outside as user perhaps
             'differencers': differencers
             }
 
@@ -87,121 +79,27 @@ def get_naive_residuals(target_data: pd.DataFrame, m: int = 1) -> Tuple[List, fl
 def get_grouped_naive_residuals(
         info: pd.DataFrame,
         target: str,
-        tss: TimeseriesSettings,
-        group_combinations: List) -> Tuple[Dict, Dict]:
+        tss: TimeseriesSettings
+) -> Tuple[Dict, Dict]:
     """
     Wraps `get_naive_residuals` for a dataframe with multiple co-existing time series.
     """  # noqa
     group_residuals = {}
     group_scale_factors = {}
-    for group in group_combinations:
-        idxs, subset = get_group_matches(info, group, tss.group_by)
+    grouped = info.groupby(by=tss.group_by) if tss.group_by else info.groupby(lambda x: '__default')
+    for group, subset in grouped:
         if subset.shape[0] > 1:
             residuals, scale_factor = get_naive_residuals(subset[target])  # @TODO: pass m once we handle seasonality
             group_residuals[group] = residuals
             group_scale_factors[group] = scale_factor
     return group_residuals, group_scale_factors
 
 
-def get_differencers(data: pd.DataFrame, target: str, groups: List, group_cols: List):
+def get_differencers(data: pd.DataFrame, target: str, group_cols: List):
     differencers = {}
-    for group in groups:
-        idxs, subset = get_group_matches(data, group, group_cols)
+    grouped = data.groupby(by=group_cols) if group_cols else data.groupby(lambda x: True)
+    for group, subset in grouped:
         differencer = Differencer()
         differencer.fit(subset[target].values)
         differencers[group] = differencer
     return differencers
-
-
-def get_stls(train_df: pd.DataFrame,
-             dev_df: pd.DataFrame,
-             target: str,
-             sps: Dict,
-             groups: list,
-             tss: TimeseriesSettings
-             ) -> Dict[str, object]:
-    stls = {'__default': None}
-    for group in groups:
-        if group != '__default':
-            _, tr_subset = get_group_matches(train_df, group, tss.group_by)
-            _, dev_subset = get_group_matches(dev_df, group, tss.group_by)
-            if tr_subset.shape[0] > 0 and dev_subset.shape[0] > 0 and sps.get(group, False):
-                group_freq = tr_subset['__mdb_inferred_freq'].iloc[0]
-                tr_subset = deepcopy(tr_subset)[target]
-                dev_subset = deepcopy(dev_subset)[target]
-                tr_subset.index = pd.date_range(start=tr_subset.iloc[0], freq=group_freq,
-                                                periods=len(tr_subset)).to_period()
-                dev_subset.index = pd.date_range(start=dev_subset.iloc[0], freq=group_freq,
-                                                 periods=len(dev_subset)).to_period()
-                stl = _pick_ST(tr_subset, dev_subset, sps[group])
-                log.info(f'Best STL decomposition params for group {group} are: {stl["best_params"]}')
-                stls[group] = stl
-    return stls
-
-
-def _pick_ST(tr_subset: pd.Series, dev_subset: pd.Series, sp: list):
-    """
-    Perform hyperparam search with optuna to find best combination of ST transforms for a time series.
-
-    :param tr_subset: training series used for fitting blocks. Index should be datetime, and values are the actual time series.
-    :param dev_subset: dev series used for computing loss. Index should be datetime, and values are the actual time series.
-    :param sp: list of candidate seasonal periods
-    :return: best deseasonalizer and detrender combination based on dev_loss
-    """  # noqa
-
-    def _ST_objective(trial: optuna.Trial):
-        trend_degree = trial.suggest_categorical("trend_degree", [1])
-        ds_sp = trial.suggest_categorical("ds_sp", sp)  # seasonality period to use in deseasonalizer
-        if min(min(tr_subset), min(dev_subset)) <= 0:
-            decomp_type = trial.suggest_categorical("decomp_type", ['additive'])
-        else:
-            decomp_type = trial.suggest_categorical("decomp_type", ['additive', 'multiplicative'])
-
-        detrender = Detrender(forecaster=PolynomialTrendForecaster(degree=trend_degree))
-        deseasonalizer = ConditionalDeseasonalizer(sp=ds_sp, model=decomp_type)
-        transformer = STLTransformer(detrender=detrender, deseasonalizer=deseasonalizer, type=decomp_type)
-        transformer.fit(tr_subset)
-        residuals = transformer.transform(dev_subset)
-
-        trial.set_user_attr("transformer", transformer)
-        return np.power(residuals, 2).sum()
-
-    space = {"trend_degree": [1, 2], "ds_sp": sp, "decomp_type": ['additive', 'multiplicative']}
-    study = optuna.create_study(sampler=optuna.samplers.GridSampler(space))
-    study.optimize(_ST_objective, n_trials=8)
-
-    return {
-        "transformer": study.best_trial.user_attrs['transformer'],
-        "best_params": study.best_params
-    }
-
-
-class STLTransformer:
-    def __init__(self, detrender: Detrender, deseasonalizer: ConditionalDeseasonalizer, type: str = 'additive'):
-        """
-        Class that handles STL transformation and inverse, given specific detrender and deseasonalizer instances.
-        :param detrender: Already initialized. 
-        :param deseasonalizer: Already initialized. 
-        :param type: Either 'additive' or 'multiplicative'.
-        """  # noqa
-        self._type = type
-        self.detrender = detrender
-        self.deseasonalizer = deseasonalizer
-        self.op = {
-            'additive': lambda x, y: x - y,
-            'multiplicative': lambda x, y: x / y
-        }
-        self.iop = {
-            'additive': lambda x, y: x + y,
-            'multiplicative': lambda x, y: x * y
-        }
-
-    def fit(self, x: Union[pd.DataFrame, pd.Series]):
-        self.deseasonalizer.fit(x)
-        self.detrender.fit(self.op[self._type](x, self.deseasonalizer.transform(x)))
-
-    def transform(self, x: Union[pd.DataFrame, pd.Series]):
-        return self.detrender.transform(self.deseasonalizer.transform(x))
-
-    def inverse_transform(self, x: Union[pd.DataFrame, pd.Series]):
-        return self.deseasonalizer.inverse_transform(self.detrender.inverse_transform(x))

lightwood/data/timeseries_transform.py

@@ -5,15 +5,14 @@
 import numpy as np
 import pandas as pd
 from lightwood.helpers.parallelism import get_nr_procs
-from lightwood.helpers.ts import get_ts_groups, get_delta, get_group_matches
 
 from type_infer.dtype import dtype
 from lightwood.api.types import TimeseriesSettings, PredictionArguments
 from lightwood.helpers.log import log
 
 
 def transform_timeseries(
-        data: pd.DataFrame, dtype_dict: Dict[str, str], ts_analysis: dict,
+        data: pd.DataFrame, dtype_dict: Dict[str, str],
         timeseries_settings: TimeseriesSettings, target: str, mode: str,
         pred_args: Optional[PredictionArguments] = None
 ) -> pd.DataFrame:
@@ -29,7 +28,6 @@ def transform_timeseries(
     
     :param data: Dataframe with data to transform.
     :param dtype_dict: Dictionary with the types of each column.
-    :param ts_analysis: dictionary with various insights into each series passed as training input.
     :param timeseries_settings: A `TimeseriesSettings` object.
     :param target: The name of the target column to forecast.
     :param mode: Either "train" or "predict", depending on what phase is calling this procedure.
@@ -43,6 +41,7 @@ def transform_timeseries(
     gb_arr = tss.group_by if tss.group_by is not None else []
     oby = tss.order_by
     window = tss.window
+    oby_col = tss.order_by
 
     if tss.use_previous_target and target not in data.columns:
         raise Exception(f"Cannot transform. Missing historical values for target column {target} (`use_previous_target` is set to True).")  # noqa
@@ -51,37 +50,32 @@ def transform_timeseries(
         if hcol not in data.columns or data[hcol].isna().any():
             raise Exception(f"Cannot transform. Missing values in historical column {hcol}.")
 
-    # infer frequency with get_delta
-    oby_col = tss.order_by
-    groups = get_ts_groups(data, tss)
-
-    # initial stable sort and per-partition deduplication
+    # initial stable sort and per-partition deduplication TODO: slowish, add a top-level param to disable if needed
     data = data.sort_values(by=oby_col, kind='mergesort')
     data = data.drop_duplicates(subset=[oby_col, *gb_arr], keep='first')
 
-    if not ts_analysis:
-        _, periods, freqs = get_delta(data, dtype_dict, groups, target, tss)
-    else:
-        periods = ts_analysis['periods']
-        freqs = ts_analysis['sample_freqs']
-
     # pass seconds to timestamps according to each group's inferred freq, and force this freq on index
-    subsets = []
-    for group in groups:
-        if (tss.group_by and group != '__default') or not tss.group_by:
-            idxs, subset = get_group_matches(data, group, tss.group_by, copy=True)
-            if subset.shape[0] > 0:
-                if periods.get(group, periods['__default']) == 0 and subset.shape[0] > 1:
-                    raise Exception(
-                        f"Partition is not valid, faulty group {group}. Please make sure you group by a set of columns that ensures unique measurements for each grouping through time.")  # noqa
-
-                index = pd.to_datetime(subset[oby_col], unit='s')
-                subset.index = pd.date_range(start=index.iloc[0],
-                                             freq=freqs.get(group, freqs['__default']),
-                                             periods=len(subset))
-                subset['__mdb_inferred_freq'] = subset.index.freq   # sets constant column because pd.concat forgets freq (see: https://github.com/pandas-dev/pandas/issues/3232)  # noqa
-                subsets.append(subset)
-    original_df = pd.concat(subsets).sort_values(by='__mdb_original_index')
+    grouped = data.groupby(by=tss.group_by) if tss.group_by else data.groupby(lambda x: True)
+    reindexed = []
+    # TODO: introduce MP here
+    for name, group in grouped:
+        name = name if tss.group_by and len(tss.group_by) > 1 else (name, )  # guaranteed tuple type
+        if group.shape[0] > 0:
+            if group[tss.order_by].value_counts().max() > 1 and group.shape[0] > 1:
+                raise Exception(f"Partition is not valid, faulty group {name}. Please make sure you group by a set of columns that ensures unique measurements for each grouping through time.")  # noqa
+
+            index = pd.to_datetime(group[oby_col], unit='s', utc=True)
+            group.index = pd.date_range(start=index.iloc[0], end=index.iloc[-1], periods=len(group))
+            resampled = group
+            group['__mdb_inferred_freq'] = None
+            if len(group) > 2:
+                freq = pd.infer_freq(group.index)
+                if freq is not None:
+                    group['__mdb_inferred_freq'] = freq  # sets constant column because pd.concat forgets freq (see: https://github.com/pandas-dev/pandas/issues/3232)  # noqa
+                    resampled = group.resample(freq).first()
+            reindexed.append(resampled)
+
+    original_df = pd.concat(reindexed).sort_values(by='__mdb_original_index')
 
     if '__mdb_forecast_offset' in original_df.columns:
         """ This special column can be either None or an integer. If this column is passed, then the TS transformation will react to the values within:
@@ -103,18 +97,12 @@ def transform_timeseries(
         offset = 0
         cutoff_mode = False
 
-    original_index_list = []
-    idx = 0
-    for row in original_df.itertuples():
-        if _make_pred(row) or cutoff_mode:
-            original_df.at[row.Index, '__make_predictions'] = True
-            original_index_list.append(idx)
-            idx += 1
-        else:
-            original_df.at[row.Index, '__make_predictions'] = False
-            original_index_list.append(None)
-
-    original_df['original_index'] = original_index_list
+    if '__mdb_forecast_offset' in original_df.columns or cutoff_mode:
+        original_df['__make_predictions'] = True
+        original_df['original_index'] = np.arange(len(original_df))
+    else:
+        original_df['__make_predictions'] = False
+        original_df['original_index'] = None
 
     secondary_type_dict = {}
     if dtype_dict[oby] in (dtype.date, dtype.integer, dtype.float):
@@ -191,39 +179,12 @@ def transform_timeseries(
         else:
             raise Exception(f'Not enough historical context to make a timeseries prediction (`allow_incomplete_history` is set to False). Please provide a number of rows greater or equal to the window size - currently (number_rows, window_size) = ({min(group_lengths)}, {tss.window}). If you can\'t get enough rows, consider lowering your window size. If you want to force timeseries predictions lacking historical context please set the `allow_incomplete_history` timeseries setting to `True`, but this might lead to subpar predictions depending on the mixer.') # noqa
 
-    df_gb_map = None
     if n_groups > 1:
         df_gb_list = list(combined_df.groupby(tss.group_by))
         df_gb_map = {}
         for gb, df in df_gb_list:
             df_gb_map['_' + '_'.join(str(gb))] = df
 
-    timeseries_row_mapping = {}
-    idx = 0
-
-    if df_gb_map is None:
-        for i in range(len(combined_df)):
-            row = combined_df.iloc[i]
-            if not cutoff_mode:
-                timeseries_row_mapping[idx] = int(
-                    row['original_index']) if row['original_index'] is not None and not np.isnan(
-                    row['original_index']) else None
-            else:
-                timeseries_row_mapping[idx] = idx
-            idx += 1
-    else:
-        for gb in df_gb_map:
-            for i in range(len(df_gb_map[gb])):
-                row = df_gb_map[gb].iloc[i]
-                if not cutoff_mode:
-                    timeseries_row_mapping[idx] = int(
-                        row['original_index']) if row['original_index'] is not None and not np.isnan(
-                        row['original_index']) else None
-                else:
-                    timeseries_row_mapping[idx] = idx
-
-                idx += 1
-
     del combined_df['original_index']
 
     return combined_df
@@ -256,13 +217,6 @@ def _ts_infer_next_row(df: pd.DataFrame, ob: str) -> pd.DataFrame:
     return new_df
 
 
-def _make_pred(row) -> bool:
-    """
-    Indicates whether a prediction should be made for `row` or not.
-    """
-    return not hasattr(row, '__mdb_forecast_offset') or row.make_predictions
-
-
 def _ts_to_obj(df: pd.DataFrame, historical_columns: list) -> pd.DataFrame:
     """
     Casts all historical columns in a dataframe to `object` type.