Generalized Performance

[winedarksea]

I modified the code given in this repo to what I think is a more generalized version (below) where the input is an array containing points generated by any sort of process. It gives a perfect result on predicting sin functions, but on a constant linear trend gives absolutely terrible, nonsense performance. By my understanding, that is simply the nature of reservoir computing, it can't handle a trend. Is that correct?

I would also appreciate any other insight you might have on the generalization of this function. Thanks!

import numpy as np
import pandas as pd

def load_linear(long=False, shape=None, start_date: str = "2021-01-01"):
    """Create a dataset of just zeroes for testing edge case."""
    if shape is None:
        shape = (500, 5)
    df_wide = pd.DataFrame(
        np.ones(shape), index=pd.date_range(start_date, periods=shape[0], freq="D")
    )
    df_wide = (df_wide * list(range(0, shape[1]))).cumsum()
    if not long:
        return df_wide
    else:
        df_wide.index.name = "datetime"
        df_long = df_wide.reset_index(drop=False).melt(
            id_vars=['datetime'], var_name='series_id', value_name='value'
        )
        return df_long

def load_sine(long=False, shape=None, start_date: str = "2021-01-01"):
    """Create a dataset of just zeroes for testing edge case."""
    if shape is None:
        shape = (500, 5)
    df_wide = pd.DataFrame(
        np.ones(shape),
        index=pd.date_range(start_date, periods=shape[0], freq="D"),
        columns=range(shape[1])
    )
    X = pd.to_numeric(df_wide.index, errors='coerce', downcast='integer').values

    def sin_func(a, X):
        return a * np.sin(1 * X) + a
    for column in df_wide.columns:
        df_wide[column] = sin_func(column, X)
    if not long:
        return df_wide
    else:
        df_wide.index.name = "datetime"
        df_long = df_wide.reset_index(drop=False).melt(
            id_vars=['datetime'], var_name='series_id', value_name='value'
        )
        return df_long

def predict_reservoir(df, forecast_length, warmup_pts, k=2, ridge_param=2.5e-6):
    # k =  # number of time delay taps
    # pass in traintime_pts to limit as .tail() for huge datasets?

    n_pts = df.shape[1]
    # handle short data edge case
    min_train_pts = 10
    max_warmup_pts = n_pts - min_train_pts
    if warmup_pts >= max_warmup_pts:
        warmup_pts = max_warmup_pts if max_warmup_pts > 0 else 0

    traintime_pts = n_pts - warmup_pts   # round(traintime / dt)
    warmtrain_pts = warmup_pts + traintime_pts
    testtime_pts = forecast_length + 1  # round(testtime / dt)
    maxtime_pts = n_pts  # round(maxtime / dt)

    # input dimension
    d = df.shape[0]
    # size of the linear part of the feature vector
    dlin = k * d
    # size of nonlinear part of feature vector
    dnonlin = int(dlin * (dlin + 1) / 2)
    # total size of feature vector: constant + linear + nonlinear
    dtot = 1 + dlin + dnonlin

    # create an array to hold the linear part of the feature vector
    x = np.zeros((dlin, maxtime_pts))

    # fill in the linear part of the feature vector for all times
    for delay in range(k):
        for j in range(delay, maxtime_pts):
            x[d * delay : d * (delay + 1), j] = df[:, j - delay]

    # create an array to hold the full feature vector for training time
    # (use ones so the constant term is already 1)
    out_train = np.ones((dtot, traintime_pts))

    # copy over the linear part (shift over by one to account for constant)
    out_train[1 : dlin + 1, :] = x[:, warmup_pts - 1 : warmtrain_pts - 1]

    # fill in the non-linear part
    cnt = 0
    for row in range(dlin):
        for column in range(row, dlin):
            # shift by one for constant
            out_train[dlin + 1 + cnt] = (
                x[row, warmup_pts - 1 : warmtrain_pts - 1]
                * x[column, warmup_pts - 1 : warmtrain_pts - 1]
            )
            cnt += 1

    # ridge regression: train W_out to map out_train to Lorenz[t] - Lorenz[t - 1]
    W_out = (
        (x[0:d, warmup_pts:warmtrain_pts] - x[0:d, warmup_pts - 1 : warmtrain_pts - 1])
        @ out_train[:, :].T
        @ np.linalg.pinv(
            out_train[:, :] @ out_train[:, :].T + ridge_param * np.identity(dtot)
        )
    )

    # create a place to store feature vectors for prediction
    out_test = np.ones(dtot)  # full feature vector
    x_test = np.zeros((dlin, testtime_pts))  # linear part

    # copy over initial linear feature vector
    x_test[:, 0] = x[:, warmtrain_pts - 1]

    # do prediction
    for j in range(testtime_pts - 1):
        # copy linear part into whole feature vector
        out_test[1 : dlin + 1] = x_test[:, j]  # shift by one for constant
        # fill in the non-linear part
        cnt = 0
        for row in range(dlin):
            for column in range(row, dlin):
                # shift by one for constant
                out_test[dlin + 1 + cnt] = x_test[row, j] * x_test[column, j]
                cnt += 1
        # fill in the delay taps of the next state
        x_test[d:dlin, j + 1] = x_test[0 : (dlin - d), j]
        # do a prediction
        x_test[0:d, j + 1] = x_test[0:d, j] + W_out @ out_test[:]
    return x_test[0:d, 1:]

# note transposed from the opposite of my usual shape
data_pts = 7000
series = 3
forecast_length = 10
df_sine = load_sine(long=False, shape=(data_pts, series)).transpose().to_numpy()
df_sine_train = df_sine[:, :-10]
df_sine_test = df_sine[:, -10:]
prediction_sine = predict_reservoir(df_sine_train, forecast_length=forecast_length, warmup_pts=150, k=2, ridge_param=2.5e-6)
print(f"sine MAE {np.mean(np.abs(df_sine_test - prediction_sine))}")

df_linear = load_linear(long=False, shape=(data_pts, series)).transpose().to_numpy()
df_linear_train = df_linear[:, :-10]
df_linear_test = df_linear[:, -10:]
prediction_linear = predict_reservoir(df_linear_train, forecast_length=forecast_length, warmup_pts=150, k=2, ridge_param=2.5e-6)
print(f"linear MAE {np.mean(np.abs(df_linear_test - prediction_linear))}")

[winedarksea]

This is very memory hungry...

MemoryError: Unable to allocate 1.20 TiB for an array with shape (406351, 406351) and data type float64

[winedarksea]

And an interesting graph on how it scales when more dimensions/series are added (x is series, y is seconds per series to calculate)