DA-RNN-in-Tensorflow-2-and-PyTorch

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DA-RNN-in-Tensorflow-2-and-PyTorch

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A Tensorflow 2 (Keras) implementation of DA-RNN (A Dual-Stage Attention-Based Recurrent Neural Network for Time Series Prediction, arXiv:1704.02971)

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# Tensorflow 2 / Torch DA-RNN

A Tensorflow 2 (Keras) and pytorch implementation of the [Dual-Stage Attention-Based Recurrent Neural Network for Time Series Prediction](https://arxiv.org/abs/1704.02971)

Paper: [https://arxiv.org/abs/1704.02971](https://arxiv.org/abs/1704.02971)

## Run notebook demo

Install dependencies (It is recommended to use [anaconda](https://docs.anaconda.com/anaconda/install/) to manage environments):

```sh
make install
```

Run notebook:

```sh
cd notebook
jupyter lab

# Run `pytorch.ipynb`
```

## Install

For Tensorflow 2

```sh
pip install da-rnn[keras]
```

For PyTorch

```sh
pip install da-rnn[torch]
```

## Usage

For Tensorflow 2 (Still buggy for now)

```py
from da_rnn.keras import DARNN

model = DARNN(T=10, m=128)

# Train
model.fit(
    train_ds,
    validation_data=val_ds,
    epochs=100,
    verbose=1
)

# Predict
y_hat = model(inputs)
```

For PyTorch (Tested. Works)

```py
import torch
from poutyne import Model
from da_rnn.torch import DARNN

darnn = DARNN(n=50, T=10, m=128)
model = Model(darnn)

# Train
model.fit(
    train_ds,
    validation_data=val_ds,
    epochs=100,
    verbose=1
)

# Predict
with torch.no_grad():
    y_hat = model(inputs)
```

### Python Docstring Notations

In docstrings of the methods of this project, we have the following notation convention:

```
variable_{subscript}__{superscript}
```

For example:

- `y_T__i` means ![y_T__i](https://render.githubusercontent.com/render/math?math=y_T^1), the `i`-th prediction value at time `T`.
- `alpha_t__k` means ![alpha_t__k](https://render.githubusercontent.com/render/math?math=\alpha_t^k), the attention weight measuring the importance of the `k`-th input feature (driving series) at time `t`.

### DARNN(T, m, p, y_dim=1)
### DARNN(n, T, m, p, y_dim=1)

> The naming of the following (hyper)parameters is consistent with the paper, except `y_dim` which is not mentioned in the paper.

- **n** (torch only) `int` input size, the number of features of a single driving series
- **T** `int` the length (time steps) of the window
- **m** `int` the number of the encoder hidden states
- **p** `int` the number of the decoder hidden states
- **y_dim** `int=1` the prediction dimension. Defaults to `1`.

Return the DA-RNN model instance.

## Data Processing

Each feature item of the dataset should be of shape `(batch_size, T, length_of_driving_series + y_dim)`

And each label item of the dataset should be of shape `(batch_size, y_dim)`

## TODO
- [x] no hardcoding (`1` for now) for prediction dimentionality

## License

[MIT](LICENSE)

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