tf.contrib.timeseries.StructuralEnsembleRegressor

An Estimator for structural time series models.

tf.contrib.timeseries.StructuralEnsembleRegressor(
    periodicities, num_features, cycle_num_latent_values=11, moving_average_order=4,
    autoregressive_order=0, exogenous_feature_columns=None,
    exogenous_update_condition=None, dtype=tf.dtypes.double,
    anomaly_prior_probability=None, optimizer=None, model_dir=None, config=None,
    head_type=ts_head_lib.TimeSeriesRegressionHead
)

"Structural" refers to the fact that this model explicitly accounts for structure in the data, such as periodicity and trends.

StructuralEnsembleRegressor is a state space model. It contains components for modeling level, local linear trends, periodicity, and mean-reverting transients via a moving average component. Multivariate series are fit with full covariance matrices for observation and latent state transition noise, each feature of the multivariate series having its own latent components.

Note that unlike ARRegressor, StructuralEnsembleRegressor is sequential, and so accepts variable window sizes with the same model.

For training, RandomWindowInputFn is recommended as an input_fn. Model state is managed through ChainingStateManager: since state space models are inherently sequential, we save state from previous iterations to get approximate/eventual consistency while achieving good performance through batched computation.

For evaluation, either pass a significant chunk of the series in a single window (e.g. set window_size to the whole series with WholeDatasetInputFn), or use enough random evaluation iterations to cover several passes through the whole dataset. Either method will ensure that stale saved state has been flushed.

Args
`periodicities`	The expected periodicity of the data (for example 24 if feeding hourly data with a daily periodicity, or 60 * 24 if feeding minute-level data with daily periodicity). Either a scalar or a list. This parameter can be any real value, and does not control the size of the model. However, increasing this without increasing `num_values_per_cycle` will lead to smoother periodic behavior, as the same number of distinct values will be cycled through over a longer period of time.
`num_features`	The dimensionality of the time series (one for univariate, more than one for multivariate).
`cycle_num_latent_values`	Along with `moving_average_order` and `num_features`, controls the latent state size of the model. Square matrices of size `num_features * (moving_average_order + cycle_num_latent_values + 3)` are created and multiplied, so larger values may be slow. The trade-off is with resolution: cycling between a smaller number of latent values means that only smoother functions can be modeled.
`moving_average_order`	Controls model size (along with `cycle_num_latent_values` and `autoregressive_order`) and the number of steps before transient deviations revert to the mean defined by the period and level/trend components.
`autoregressive_order`	Each contribution from this component is a linear combination of this many previous contributions. Also helps to determine the model size. Learning autoregressive coefficients typically requires more steps and a smaller step size than other components.
`exogenous_feature_columns`	A list of `tf.feature_column`s (for example `tf.feature_column.embedding_column`) corresponding to exogenous features which provide extra information to the model but are not part of the series to be predicted. Passed to `tf.compat.v1.feature_column.input_layer`.
`exogenous_update_condition`	A function taking two Tensor arguments, `times` (shape [batch size]) and `features` (a dictionary mapping exogenous feature keys to Tensors with shapes [batch size, ...]), and returning a boolean Tensor with shape [batch size] indicating whether state should be updated using exogenous features for each part of the batch. Where it is False, no exogenous update is performed. If None (default), exogenous updates are always performed. Useful for avoiding "leaky" frequent exogenous updates when sparse updates are desired. Called only during graph construction. See the "known anomaly" example for example usage.
`dtype`	The floating point data type to compute with. float32 may be faster, but can be problematic for larger models and longer time series.
`anomaly_prior_probability`	If not None, the model attempts to automatically detect and ignore anomalies during training. This parameter then controls the prior probability of an anomaly. Values closer to 0 mean that points will be discarded less frequently. The default value (None) means that anomalies are not discarded, which may be slightly faster.
`optimizer`	The optimization algorithm to use when training, inheriting from tf.train.Optimizer. Defaults to Adam with step size 0.02.
`model_dir`	See `Estimator`.
`config`	See `Estimator`.
`head_type`	The kind of head to use for the model (inheriting from `TimeSeriesRegressionHead`).

Attributes
`config`
`model_dir`
`model_fn`	Returns the `model_fn` which is bound to `self.params`.
`params`

Methods

`build_one_shot_parsing_serving_input_receiver_fn`

View source

build_one_shot_parsing_serving_input_receiver_fn(
    filtering_length, prediction_length, default_batch_size=None,
    values_input_dtype=None, truncate_values=False
)

Build an input_receiver_fn for export_savedmodel accepting tf.Examples.

Only compatible with OneShotPredictionHead (see head).

Args
`filtering_length`	The number of time steps used as input to the model, for which values are provided. If more than `filtering_length` values are provided (via `truncate_values`), only the first `filtering_length` values are used.
`prediction_length`	The number of time steps requested as predictions from the model. Times and all exogenous features must be provided for these steps.
`default_batch_size`	If specified, must be a scalar integer. Sets the batch size in the static shape information of all feature Tensors, which means only this batch size will be accepted by the exported model. If None (default), static shape information for batch sizes is omitted.
`values_input_dtype`	An optional dtype specification for values in the tf.Example protos (either float32 or int64, since these are the numeric types supported by tf.Example). After parsing, values are cast to the model's dtype (float32 or float64).
`truncate_values`	If True, expects `filtering_length + prediction_length` values to be provided, but only uses the first `filtering_length`. If False (default), exactly `filtering_length` values must be provided.

Returns

Returns
An input_receiver_fn which may be passed to the Estimator's export_savedmodel. Expects features contained in a vector of serialized tf.Examples with shape batch size, each tf.Example containing features with the following shapes: times: [filtering_length + prediction_length] integer values: [filtering_length, num features] floating point. If `truncate_values` is True, expects `filtering_length + prediction_length` values but only uses the first `filtering_length`. all exogenous features: filtering_length + prediction_length, ...

An input_receiver_fn which may be passed to the Estimator's export_savedmodel.

Expects features contained in a vector of serialized tf.Examples with shape batch size, each tf.Example containing features with the following shapes: times: [filtering_length + prediction_length] integer values: [filtering_length, num features] floating point. If truncate_values is True, expects filtering_length + prediction_length values but only uses the first filtering_length. all exogenous features: filtering_length + prediction_length, ...

`build_raw_serving_input_receiver_fn`

View source

build_raw_serving_input_receiver_fn(
    default_batch_size=None, default_series_length=None
)

Build an input_receiver_fn for export_savedmodel which accepts arrays.

Automatically creates placeholders for exogenous FeatureColumns passed to the model.

Args
`default_batch_size`	If specified, must be a scalar integer. Sets the batch size in the static shape information of all feature Tensors, which means only this batch size will be accepted by the exported model. If None (default), static shape information for batch sizes is omitted.
`default_series_length`	If specified, must be a scalar integer. Sets the series length in the static shape information of all feature Tensors, which means only this series length will be accepted by the exported model. If None (default), static shape information for series length is omitted.

Returns
An input_receiver_fn which may be passed to the Estimator's export_savedmodel.

`eval_dir`

View source

eval_dir(
    name=None
)

Shows the directory name where evaluation metrics are dumped.

Args
`name`	Name of the evaluation if user needs to run multiple evaluations on different data sets, such as on training data vs test data. Metrics for different evaluations are saved in separate folders, and appear separately in tensorboard.

Returns
A string which is the path of directory contains evaluation metrics.

`evaluate`

View source

evaluate(
    input_fn, steps=None, hooks=None, checkpoint_path=None, name=None
)

Evaluates the model given evaluation data input_fn.

For each step, calls input_fn, which returns one batch of data. Evaluates until:

steps batches are processed, or
input_fn raises an end-of-input exception (tf.errors.OutOfRangeError or StopIteration).

Args
`input_fn`	A function that constructs the input data for evaluation. See Premade Estimators for more information. The function should construct and return one of the following: * A `tf.data.Dataset` object: Outputs of `Dataset` object must be a tuple `(features, labels)` with same constraints as below. * A tuple `(features, labels)`: Where `features` is a `tf.Tensor` or a dictionary of string feature name to `Tensor` and `labels` is a `Tensor` or a dictionary of string label name to `Tensor`. Both `features` and `labels` are consumed by `model_fn`. They should satisfy the expectation of `model_fn` from inputs.
`steps`	Number of steps for which to evaluate model. If `None`, evaluates until `input_fn` raises an end-of-input exception.
`hooks`	List of `tf.train.SessionRunHook` subclass instances. Used for callbacks inside the evaluation call.
`checkpoint_path`	Path of a specific checkpoint to evaluate. If `None`, the latest checkpoint in `model_dir` is used. If there are no checkpoints in `model_dir`, evaluation is run with newly initialized `Variables` instead of ones restored from checkpoint.
`name`	Name of the evaluation if user needs to run multiple evaluations on different data sets, such as on training data vs test data. Metrics for different evaluations are saved in separate folders, and appear separately in tensorboard.

Returns

Returns
A dict containing the evaluation metrics specified in `model_fn` keyed by name, as well as an entry `global_step` which contains the value of the global step for which this evaluation was performed. For canned estimators, the dict contains the `loss` (mean loss per mini-batch) and the `average_loss` (mean loss per sample). Canned classifiers also return the `accuracy`. Canned regressors also return the `label/mean` and the `prediction/mean`.

A dict containing the evaluation metrics specified in model_fn keyed by name, as well as an entry global_step which contains the value of the global step for which this evaluation was performed. For canned estimators, the dict contains the loss (mean loss per mini-batch) and the average_loss (mean loss per sample). Canned classifiers also return the accuracy. Canned regressors also return the label/mean and the prediction/mean.

Raises
`ValueError`	If `steps <= 0`.

`experimental_export_all_saved_models`

View source

experimental_export_all_saved_models(
    export_dir_base, input_receiver_fn_map, assets_extra=None, as_text=False,
    checkpoint_path=None
)

Exports a SavedModel with tf.MetaGraphDefs for each requested mode.

For each mode passed in via the input_receiver_fn_map, this method builds a new graph by calling the input_receiver_fn to obtain feature and label Tensors. Next, this method calls the Estimator's model_fn in the passed mode to generate the model graph based on those features and labels, and restores the given checkpoint (or, lacking that, the most recent checkpoint) into the graph. Only one of the modes is used for saving variables to the SavedModel (order of preference: tf.estimator.ModeKeys.TRAIN, tf.estimator.ModeKeys.EVAL, then tf.estimator.ModeKeys.PREDICT), such that up to three tf.MetaGraphDefs are saved with a single set of variables in a single SavedModel directory.

For the variables and tf.MetaGraphDefs, a timestamped export directory below export_dir_base, and writes a SavedModel into it containing the tf.MetaGraphDef for the given mode and its associated signatures.

For prediction, the exported MetaGraphDef will provide one SignatureDef for each element of the export_outputs dict returned from the model_fn, named using the same keys. One of these keys is always tf.saved_model.signature_constants.DEFAULT_SERVING_SIGNATURE_DEF_KEY, indicating which signature will be served when a serving request does not specify one. For each signature, the outputs are provided by the corresponding tf.estimator.export.ExportOutputs, and the inputs are always the input receivers provided by the serving_input_receiver_fn.

For training and evaluation, the train_op is stored in an extra collection, and loss, metrics, and predictions are included in a SignatureDef for the mode in question.

Extra assets may be written into the SavedModel via the assets_extra argument. This should be a dict, where each key gives a destination path (including the filename) relative to the assets.extra directory. The corresponding value gives the full path of the source file to be copied. For example, the simple case of copying a single file without renaming it is specified as {'my_asset_file.txt': '/path/to/my_asset_file.txt'}.

Args
`export_dir_base`	A string containing a directory in which to create timestamped subdirectories containing exported `SavedModel`s.
`input_receiver_fn_map`	dict of `tf.estimator.ModeKeys` to `input_receiver_fn` mappings, where the `input_receiver_fn` is a function that takes no arguments and returns the appropriate subclass of `InputReceiver`.
`assets_extra`	A dict specifying how to populate the assets.extra directory within the exported `SavedModel`, or `None` if no extra assets are needed.
`as_text`	whether to write the `SavedModel` proto in text format.
`checkpoint_path`	The checkpoint path to export. If `None` (the default), the most recent checkpoint found within the model directory is chosen.

Returns
The string path to the exported directory.

Raises
`ValueError`	if any `input_receiver_fn` is `None`, no `export_outputs` are provided, or no checkpoint can be found.

`export_saved_model`

View source

export_saved_model(
    export_dir_base, serving_input_receiver_fn, assets_extra=None, as_text=False,
    checkpoint_path=None, experimental_mode=ModeKeys.PREDICT
)

Exports inference graph as a SavedModel into the given dir.

For a detailed guide, see Using SavedModel with Estimators.

This method builds a new graph by first calling the serving_input_receiver_fn to obtain feature Tensors, and then calling this Estimator's model_fn to generate the model graph based on those features. It restores the given checkpoint (or, lacking that, the most recent checkpoint) into this graph in a fresh session. Finally it creates a timestamped export directory below the given export_dir_base, and writes a SavedModel into it containing a single tf.MetaGraphDef saved from this session.

The exported MetaGraphDef will provide one SignatureDef for each element of the export_outputs dict returned from the model_fn, named using the same keys. One of these keys is always tf.saved_model.signature_constants.DEFAULT_SERVING_SIGNATURE_DEF_KEY, indicating which signature will be served when a serving request does not specify one. For each signature, the outputs are provided by the corresponding tf.estimator.export.ExportOutputs, and the inputs are always the input receivers provided by the serving_input_receiver_fn.

The experimental_mode parameter can be used to export a single train/eval/predict graph as a SavedModel. See experimental_export_all_saved_models for full docs.

Args
`export_dir_base`	A string containing a directory in which to create timestamped subdirectories containing exported `SavedModel`s.
`serving_input_receiver_fn`	A function that takes no argument and returns a `tf.estimator.export.ServingInputReceiver` or `tf.estimator.export.TensorServingInputReceiver`.
`assets_extra`	A dict specifying how to populate the assets.extra directory within the exported `SavedModel`, or `None` if no extra assets are needed.
`as_text`	whether to write the `SavedModel` proto in text format.
`checkpoint_path`	The checkpoint path to export. If `None` (the default), the most recent checkpoint found within the model directory is chosen.
`experimental_mode`	`tf.estimator.ModeKeys` value indicating with mode will be exported. Note that this feature is experimental.

Returns
The string path to the exported directory.

Raises
`ValueError`	if no `serving_input_receiver_fn` is provided, no `export_outputs` are provided, or no checkpoint can be found.

`export_savedmodel`

View source

export_savedmodel(
    export_dir_base, serving_input_receiver_fn, assets_extra=None, as_text=False,
    checkpoint_path=None, strip_default_attrs=False
)

Exports inference graph as a SavedModel into the given dir. (deprecated)

For a detailed guide, see Using SavedModel with Estimators.

Args
`export_dir_base`	A string containing a directory in which to create timestamped subdirectories containing exported `SavedModel`s.
`serving_input_receiver_fn`	A function that takes no argument and returns a `tf.estimator.export.ServingInputReceiver` or `tf.estimator.export.TensorServingInputReceiver`.
`assets_extra`	A dict specifying how to populate the assets.extra directory within the exported `SavedModel`, or `None` if no extra assets are needed.
`as_text`	whether to write the `SavedModel` proto in text format.
`checkpoint_path`	The checkpoint path to export. If `None` (the default), the most recent checkpoint found within the model directory is chosen.
`strip_default_attrs`	Boolean. If `True`, default-valued attributes will be removed from the `NodeDef`s. For a detailed guide, see Stripping Default-Valued Attributes.

Returns
The string path to the exported directory.

Raises
`ValueError`	if no `serving_input_receiver_fn` is provided, no `export_outputs` are provided, or no checkpoint can be found.

`get_variable_names`

View source

get_variable_names()

Returns list of all variable names in this model.

Returns
List of names.

Raises
`ValueError`	If the `Estimator` has not produced a checkpoint yet.

`get_variable_value`

View source

get_variable_value(
    name
)

Returns value of the variable given by name.

Args
`name`	string or a list of string, name of the tensor.

Returns
Numpy array - value of the tensor.

Raises
`ValueError`	If the `Estimator` has not produced a checkpoint yet.

`latest_checkpoint`

View source

latest_checkpoint()

Finds the filename of the latest saved checkpoint file in model_dir.

Returns
The full path to the latest checkpoint or `None` if no checkpoint was found.

`predict`

View source

predict(
    input_fn, predict_keys=None, hooks=None, checkpoint_path=None,
    yield_single_examples=True
)

Yields predictions for given features.

Please note that interleaving two predict outputs does not work. See: issue/20506

Args
`input_fn`	A function that constructs the features. Prediction continues until `input_fn` raises an end-of-input exception (`tf.errors.OutOfRangeError` or `StopIteration`). See Premade Estimators for more information. The function should construct and return one of the following: A `tf.data.Dataset` object: Outputs of `Dataset` object must have same constraints as below. features: A `tf.Tensor` or a dictionary of string feature name to `Tensor`. features are consumed by `model_fn`. They should satisfy the expectation of `model_fn` from inputs. A tuple, in which case the first item is extracted as features.
`predict_keys`	list of `str`, name of the keys to predict. It is used if the `tf.estimator.EstimatorSpec.predictions` is a `dict`. If `predict_keys` is used then rest of the predictions will be filtered from the dictionary. If `None`, returns all.
`hooks`	List of `tf.train.SessionRunHook` subclass instances. Used for callbacks inside the prediction call.
`checkpoint_path`	Path of a specific checkpoint to predict. If `None`, the latest checkpoint in `model_dir` is used. If there are no checkpoints in `model_dir`, prediction is run with newly initialized `Variables` instead of ones restored from checkpoint.
`yield_single_examples`	If `False`, yields the whole batch as returned by the `model_fn` instead of decomposing the batch into individual elements. This is useful if `model_fn` returns some tensors whose first dimension is not equal to the batch size.

Yields:

Evaluated values of predictions tensors.

Raises
`ValueError`	If batch length of predictions is not the same and `yield_single_examples` is `True`.
`ValueError`	If there is a conflict between `predict_keys` and `predictions`. For example if `predict_keys` is not `None` but `tf.estimator.EstimatorSpec.predictions` is not a `dict`.

`train`

View source

train(
    input_fn, hooks=None, steps=None, max_steps=None, saving_listeners=None
)

Trains a model given training data input_fn.

Args
`input_fn`	A function that provides input data for training as minibatches. See Premade Estimators for more information. The function should construct and return one of the following: A `tf.data.Dataset` object: Outputs of `Dataset` object must be a tuple `(features, labels)` with same constraints as below. A tuple `(features, labels)`: Where `features` is a `tf.Tensor` or a dictionary of string feature name to `Tensor` and `labels` is a `Tensor` or a dictionary of string label name to `Tensor`. Both `features` and `labels` are consumed by `model_fn`. They should satisfy the expectation of `model_fn` from inputs.
`hooks`	List of `tf.train.SessionRunHook` subclass instances. Used for callbacks inside the training loop.
`steps`	Number of steps for which to train the model. If `None`, train forever or train until `input_fn` generates the `tf.errors.OutOfRange` error or `StopIteration` exception. `steps` works incrementally. If you call two times `train(steps=10)` then training occurs in total 20 steps. If `OutOfRange` or `StopIteration` occurs in the middle, training stops before 20 steps. If you don't want to have incremental behavior please set `max_steps` instead. If set, `max_steps` must be `None`.
`max_steps`	Number of total steps for which to train model. If `None`, train forever or train until `input_fn` generates the `tf.errors.OutOfRange` error or `StopIteration` exception. If set, `steps` must be `None`. If `OutOfRange` or `StopIteration` occurs in the middle, training stops before `max_steps` steps. Two calls to `train(steps=100)` means 200 training iterations. On the other hand, two calls to `train(max_steps=100)` means that the second call will not do any iteration since first call did all 100 steps.
`saving_listeners`	list of `CheckpointSaverListener` objects. Used for callbacks that run immediately before or after checkpoint savings.

Returns
`self`, for chaining.

Raises
`ValueError`	If both `steps` and `max_steps` are not `None`.
`ValueError`	If either `steps` or `max_steps <= 0`.

tf.contrib.timeseries.StructuralEnsembleRegressor

Args

Attributes

Methods

build_one_shot_parsing_serving_input_receiver_fn

build_raw_serving_input_receiver_fn

eval_dir

evaluate

experimental_export_all_saved_models

export_saved_model

export_savedmodel

get_variable_names

get_variable_value

latest_checkpoint

predict

Yields:

train

`build_one_shot_parsing_serving_input_receiver_fn`

`build_raw_serving_input_receiver_fn`

`eval_dir`

`evaluate`

`experimental_export_all_saved_models`

`export_saved_model`

`export_savedmodel`

`get_variable_names`

`get_variable_value`

`latest_checkpoint`

`predict`

`train`