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Autogluon timeseries #7

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merged 2 commits into from
Oct 18, 2022
Merged

Autogluon timeseries #7

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e15ac5e
initiate statsmodels support
limpbot Oct 14, 2022
5ec1e85
del statsmodels, extend gluonts setup to use R
limpbot Oct 17, 2022
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25 changes: 14 additions & 11 deletions frameworks/GluonTS/exec.py
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Original file line number Diff line number Diff line change
Expand Up @@ -18,16 +18,19 @@
from gluonts.mx.trainer.callback import Callback
from gluonts.evaluation import make_evaluation_predictions

from gluonts.model.deepar import DeepAREstimator
from gluonts.model.prophet import ProphetPredictor
from gluonts.model.n_beats import NBEATSEstimator

from gluonts.model.npts import NPTSEstimator
from gluonts.model.prophet import ProphetPredictor
from gluonts.model.seasonal_naive import SeasonalNaivePredictor
from gluonts.model.r_forecast import RForecastPredictor

from gluonts.model.deepar import DeepAREstimator
from gluonts.model.n_beats import NBEATSEstimator
from gluonts.model.seq2seq import MQCNNEstimator, MQRNNEstimator
from gluonts.model.simple_feedforward import SimpleFeedForwardEstimator
from gluonts.model.tft import TemporalFusionTransformerEstimator


from frameworks.shared.callee import call_run, result, output_subdir
from frameworks.shared.utils import Timer, zip_path

Expand Down Expand Up @@ -144,17 +147,17 @@ def estimate_predictor(model, prediction_length, freq, dataset_train_gluonts, ti
estimator = TemporalFusionTransformerEstimator(prediction_length=prediction_length, freq=freq, trainer=Trainer(callbacks = [TimeLimitCallback(time_limit)]))
predictor = estimator.train(dataset_train_gluonts)

#elif model == "ARIMA":
# predictor = RForecastPredictor(prediction_length=prediction_length, freq=freq, method_name="arima")
elif model == "ARIMA":
predictor = RForecastPredictor(prediction_length=prediction_length, freq=freq, method_name="arima")

#elif model == "ETS":
# predictor = RForecastPredictor(prediction_length=prediction_length, freq=freq, method_name="ets")
elif model == "ETS":
predictor = RForecastPredictor(prediction_length=prediction_length, freq=freq, method_name="ets")

#elif model == "STL-AR":
# predictor = RForecastPredictor(prediction_length=prediction_length, freq=freq, method_name="stlar")
elif model == "STL-AR":
predictor = RForecastPredictor(prediction_length=prediction_length, freq=freq, method_name="stlar")

#elif model == "Theta":
# predictor = RForecastPredictor(prediction_length=prediction_length, freq=freq, method_name="thetaf")
elif model == "Theta":
predictor = RForecastPredictor(prediction_length=prediction_length, freq=freq, method_name="thetaf")

else:
msg = f"Not implemented model {model}."
Expand Down
74 changes: 69 additions & 5 deletions frameworks/GluonTS/setup.sh
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Expand Up @@ -8,21 +8,87 @@ if [[ "$VERSION" == "latest" ]]; then
VERSION="dev"
fi

OS_NAME=$(cat /etc/os-release | grep '^NAME' | cut -d '"' -f 2)
OS_VERSION=$(cat /etc/os-release | grep '^VERSION_ID' | cut -d '"' -f 2)
OS="${OS_NAME} ${OS_VERSION}"
OS_SUPPORTED="Amazon Linux 2,Ubuntu 18.04,Ubuntu 20.04"

if echo "${OS_SUPPORTED}" | tr "," "\n" | grep -F -x -q "${OS}"; then
echo "INFO: Operating system ${OS} is supported."
else
echo "ERROR: Operating system ${OS} is not supported."
exit 1
fi

# creating local venv
. ${HERE}/../shared/setup.sh ${HERE} true

PIP install --upgrade pip
PIP install --upgrade setuptools wheel

if [[ "${OS}" == "Amazon Linux 2" ]]; then
# TOPIC: update system
echo "updating system..."
SUDO yum clean all
SUDO rm -rf /var/cache/yum
SUDO yum -y update

# TOPIC: install readline-devel (for rpy2)
echo "installing readline-devel..."
SUDO yum install -y readline readline-devel
# ---------------------

# TOPIC: install R
echo "installing R..."
SUDO yum install -y gcc make sqlite-devel zlib-devel libffi-devel openssl-devel bzip2-devel wget tar gzip
SUDO yum install -y https://dl.fedoraproject.org/pub/epel/epel-release-latest-7.noarch.rpm
SUDO yum install -y R
# R version=3.6.0
SUDO yum -y install libcurl-devel
SUDO R -e 'install.packages(c("forecast"), repos="https://cloud.r-project.org")'

elif [[ "${OS}" == "Ubuntu 18.04" || "${OS}" == "Ubuntu 20.04" ]]; then
# TOPIC: update system
echo "updating system..."
DEBIAN_FRONTEND=noninteractive
SUDO apt-get update -y
SUDO apt-get upgrade -y
SUDO apt-get install -y apt-utils make cmake build-essential libssl-dev zlib1g-dev libbz2-dev libreadline-dev \
libsqlite3-dev wget curl llvm libncurses5-dev xz-utils tk-dev libxml2-dev libxmlsec1-dev \
libffi-dev liblzma-dev libcurl4-openssl-dev p7zip-full awscli python3-dev
# ------------------

# TOPIC: install R
echo "installing R..."
# forecast requires R 3.6 (Which is not available for Ubuntu 18.04 by default.)
if [[ "${OS}" == "Ubuntu 18.04" ]]; then
SUDO apt install -y software-properties-common
SUDO apt-key adv --keyserver hkp://keyserver.ubuntu.com:80 --recv-keys E298A3A825C0D65DFD57CBB651716619E084DAB9
SUDO add-apt-repository 'deb https://cloud.r-project.org/bin/linux/ubuntu bionic-cran35/'
SUDO apt-get -y update
fi
apt install -y r-base
SUDO R -e 'install.packages(c("forecast", "nnfor"), repos="https://cloud.r-project.org")'
# ---------------------
fi

# TOPIC: installing Prophet
echo "installing Prophet..."
PIP install "prophet"
# -------------------------

# TOPIC: installing orjson
echo "installing orjson..."
PIP install "orjson"
# -------------------------

#PIP install 'pystan~=2.19'
#PIP install 'mxnet<2.0'

if [[ "$VERSION" == "stable" ]]; then
PIP install --no-cache-dir -U "${PKG}[mxnet,pro,Prophet]"
PIP install --no-cache-dir -U "${PKG}[mxnet,pro,Prophet,R]"
elif [[ "$VERSION" =~ ^[0-9] ]]; then
PIP install --no-cache-dir -U "${PKG}[mxnet,pro,Prophet]==${VERSION}"
PIP install --no-cache-dir -U "${PKG}[mxnet,pro,Prophet,R]==${VERSION}"
else
TARGET_DIR="${HERE}/lib/${PKG}"
rm -Rf ${TARGET_DIR}
Expand All @@ -31,9 +97,7 @@ else
PY_EXEC_NO_ARGS="$(cut -d' ' -f1 <<<"$py_exec")"
PY_EXEC_DIR=$(dirname "$PY_EXEC_NO_ARGS")
env PATH="$PY_EXEC_DIR:$PATH"
PIP install -e ".[mxnet,pro,Prophet]"
PIP install -e ".[mxnet,pro,Prophet,R]"
fi


PY -c "from gluonts import __version__; print(__version__)" >> "${HERE}/.setup/installed"
PIP install "mxnet<2.0"
30 changes: 29 additions & 1 deletion resources/frameworks.yaml
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Expand Up @@ -204,7 +204,7 @@ AutoGluonTS:
MODULE: timeseries

GluonTS:
version: "stable"
version: "0.10.0"
description: |
GluonTS
project: https://ts.gluon.ai
Expand Down Expand Up @@ -282,6 +282,34 @@ GluonTS_TFT:
params:
model: TFT

GluonTS_ARIMA:
extends: GluonTS
description: |
GluonTS, ARIMA.
params:
model: ARIMA

GluonTS_ETS:
extends: GluonTS
description: |
GluonTS, ETS.
params:
model: ETS

GluonTS_STL-AR:
extends: GluonTS
description: |
GluonTS, STL-AR.
params:
model: STL-AR

GluonTS_Theta:
extends: GluonTS
description: |
GluonTS, Theta.
params:
model: Theta

#######################################
### Non AutoML reference frameworks ###
#######################################
Expand Down