From ba2b84c5203b4f1f5c8f3360db4745f9f0eaae22 Mon Sep 17 00:00:00 2001 From: SIKAI ZHANG <34108862+MatthewSZhang@users.noreply.github.com> Date: Fri, 3 Jan 2025 16:51:56 +0800 Subject: [PATCH] DOC add example for basic of NARX --- examples/plot_narx.py | 151 +++++++ fastcan/narx.py | 48 +-- pixi.lock | 943 +++++++++++++++++++++--------------------- tests/test_narx.py | 14 +- 4 files changed, 649 insertions(+), 507 deletions(-) create mode 100644 examples/plot_narx.py diff --git a/examples/plot_narx.py b/examples/plot_narx.py new file mode 100644 index 0000000..d056962 --- /dev/null +++ b/examples/plot_narx.py @@ -0,0 +1,151 @@ +""" +=============================================== +Nonlinear AutoRegressive eXogenous (NARX) model +=============================================== + +.. currentmodule:: fastcan + +In this example, we illustrate how to build a polynomial +NARX model for time series prediction. +""" + +# Authors: Sikai Zhang +# SPDX-License-Identifier: MIT + +# %% +# Prepare data +# ------------ +# +# First, a simulated time series dataset is generated from the following nonlinear +# system. +# +# .. math:: +# y(k) = 0.5y(k-1) + 0.3u_0(k)^2 + 2u_0(k-1)u_0(k-3) + 1.5u_0(k-2)u_1(k-3) + 1 +# +# where :math:`k` is the time index, +# :math:`u_0` and :math:`u_1` are input signals, +# and :math:`y` is the output signal. + + +import numpy as np + +rng = np.random.default_rng(12345) +n_samples = 1000 +max_delay = 3 +e = rng.normal(0, 0.1, n_samples) +u0 = rng.uniform(0, 1, n_samples+max_delay) +u1 = rng.normal(0, 0.1, n_samples+max_delay) +y = np.zeros(n_samples+max_delay) +for i in range(max_delay, n_samples+max_delay): + y[i] = 0.5*y[i-1]+0.3*u0[i]**2+2*u0[i-1]*u0[i-3]+1.5*u0[i-2]*u1[i-3]+1 +y = y[max_delay:]+e +X = np.c_[u0[max_delay:], u1[max_delay:]] + +# %% +# Build term libriary +# ------------------- +# +# To build a polynomial NARX model, it is normally have two steps: +# +# 1. Search the structure of the model, i.e., the terms in the model, e.g., +# :math:`u_0(k-1)u_0(k-3)`, :math:`u_0(k-2)u_1(k-3)`, etc. +# 2. Learn the coefficients before the terms. +# +# To search the structure of the model, the candidate term libriary should be +# constructed. +# +# 1. Time-shifted variables: the raw input-output data, i.e., :math:`u0(k)`, +# :math:`u1(k)`, and :math:`y(k)`, are converted into :math:`u0(k-1)`, :math:`u1(k-2)`, +# etc. +# 2. Nonlinear terms: the time-shifted variables are onverted to nonlinear terms +# via polynomial basis functions, e.g., :math:`u_0(k-1)^2`, :math:`u_0(k-1)u_0(k-3)`, +# etc. +# +# .. rubric:: References +# +# * `"Nonlinear system identification: NARMAX methods in the time, frequency, +# and spatio-temporal domains" `_ +# Billings, S. A. John Wiley & Sons, (2013). +# +# +# Make time-shifted variables +# ^^^^^^^^^^^^^^^^^^^^^^^^^^^ + +from fastcan.narx import make_time_shift_features, make_time_shift_ids + +time_shift_ids = make_time_shift_ids( + n_features=3, # Number of inputs (2) and output (1) signals + max_delay=3, # Maximum time delays + include_zero_delay = [True, True, False], # Whether to include zero delay + # for each signal. The output signal should not have zero delay. +) + +time_shift_vars = make_time_shift_features(np.c_[X, y], time_shift_ids) + +# %% +# Make nonlinear terms +# ^^^^^^^^^^^^^^^^^^^^ + +from fastcan.narx import make_poly_features, make_poly_ids + +poly_ids = make_poly_ids( + n_features=time_shift_vars.shape[1], # Number of time-shifted variables + degree=2, # Maximum polynomial degree +) + +poly_terms = make_poly_features(time_shift_vars, poly_ids) + +# %% +# Term selection +# -------------- +# After the term library is constructed, the terms can be selected by :class:`FastCan`, +# whose :math:`X` is the nonlinear terms and :math:`y` is the output signal. + +from fastcan import FastCan + +selector = FastCan( + n_features_to_select=4, # 4 terms should be selected +).fit(poly_terms, y) + +support = selector.get_support() +selected_poly_ids = poly_ids[support] + + +# %% +# Build NARX model +# ---------------- +# As the polynomical NARX is a linear function of the nonlinear tems, +# the coefficient of each term can be easily estimated by oridnary least squares. + +from fastcan.narx import NARX, print_narx + +narx_model = NARX( + time_shift_ids=time_shift_ids, + poly_ids = selected_poly_ids, +) + +narx_model.fit(X, y) + +# In the printed NARX model, it is found that :class:`FastCan` selects the correct +# terms and the coefficients are close to the true values. +print_narx(narx_model) + +# %% +# Plot NARX prediction performance +# -------------------------------- + +import matplotlib.pyplot as plt +from sklearn.metrics import r2_score + +y_pred = narx_model.predict( + X[:100], + y_init=y[:narx_model.max_delay_] # Set the initial values of the prediction to + # the true values +) + +plt.plot(y[:100], label="True") +plt.plot(y_pred, label="Predicted") +plt.xlabel("Time index k") +plt.legend() +plt.title(f"NARX prediction R-squared: {r2_score(y[:100], y_pred):.5f}") +plt.show() diff --git a/fastcan/narx.py b/fastcan/narx.py index 879483e..d815b3c 100644 --- a/fastcan/narx.py +++ b/fastcan/narx.py @@ -274,9 +274,9 @@ def _mask_missing_value(*arr): return tuple([x[mask_nomissing] for x in arr]) -class Narx(RegressorMixin, BaseEstimator): +class NARX(RegressorMixin, BaseEstimator): """The Nonlinear Autoregressive eXogenous (NARX) model class. - For example, a (polynomial) Narx model is like + For example, a (polynomial) NARX model is like y(t) = y(t-1)*u(t-1) + u(t-1)^2 + u(t-2) + 1.5 where y(t) is the system output at time t, u(t) is the system input at time t, @@ -333,7 +333,7 @@ class Narx(RegressorMixin, BaseEstimator): Examples -------- >>> import numpy as np - >>> from fastcan.narx import Narx, print_narx + >>> from fastcan.narx import NARX, print_narx >>> rng = np.random.default_rng(12345) >>> n_samples = 1000 >>> max_delay = 3 @@ -351,7 +351,7 @@ class Narx(RegressorMixin, BaseEstimator): >>> poly_ids = [[0, 2], # 1*u(k-1) ... [0, 4], # 1*y(k-1) ... [1, 3]] # u(k-1)*u(k-3) - >>> narx = Narx(time_shift_ids=time_shift_ids, + >>> narx = NARX(time_shift_ids=time_shift_ids, ... poly_ids=poly_ids).fit(X, y, coef_init="one_step_ahead") >>> print_narx(narx) | Term | Coef | @@ -397,16 +397,16 @@ def fit(self, X, y, sample_weight=None, coef_init=None, **params): sample_weight : array-like of shape (n_samples,), default=None Individual weights for each sample, which are used for a One-Step-Ahead - Narx. + NARX. coef_init : array-like of shape (n_terms,), default=None The initial values of coefficients and intercept for optimization. - When `coef_init` is None, the model will be a One-Step-Ahead Narx. + When `coef_init` is None, the model will be a One-Step-Ahead NARX. When `coef_init` is `one_step_ahead`, the model will be a Multi-Step-Ahead - Narx whose coefficients and intercept are initialized by the a - One-Step-Ahead Narx. + NARX whose coefficients and intercept are initialized by the a + One-Step-Ahead NARX. When `coef_init` is an array, the model will be a Multi-Step-Ahead - Narx whose coefficients and intercept are initialized by the array. + NARX whose coefficients and intercept are initialized by the array. .. note:: When coef_init is None, missing values (i.e., np.nan) are allowed. @@ -477,7 +477,7 @@ def fit(self, X, y, sample_weight=None, coef_init=None, **params): n_terms = self.poly_ids_.shape[0] + 1 if isinstance(coef_init, (type(None), str)): - # fit a one-step-ahead Narx model + # fit a one-step-ahead NARX model xy_hstack = np.c_[X, y] osa_narx = LinearRegression() time_shift_vars = make_time_shift_features(xy_hstack, self.time_shift_ids_) @@ -508,7 +508,7 @@ def fit(self, X, y, sample_weight=None, coef_init=None, **params): ) lsq = least_squares( - Narx._residual, + NARX._residual, x0=coef_init, args=( self._expression, @@ -578,7 +578,7 @@ def _residual( coef = coef_intercept[:-1] intercept = coef_intercept[-1] - y_hat = Narx._predict(expression, X, y[:max_delay], coef, intercept, max_delay) + y_hat = NARX._predict(expression, X, y[:max_delay], coef, intercept, max_delay) y_masked, y_hat_masked = _mask_missing_value(y, y_hat) @@ -622,7 +622,7 @@ def predict(self, X, y_init=None): f"but got {y_init.shape}." ) - return Narx._predict( + return NARX._predict( self._expression, X, y_init, @@ -639,7 +639,7 @@ def __sklearn_tags__(self): @validate_params( { - "narx": [Narx], + "narx": [NARX], "term_space": [Interval(Integral, 1, None, closed="left")], "coef_space": [Interval(Integral, 1, None, closed="left")], "float_precision": [Interval(Integral, 0, None, closed="left")], @@ -652,12 +652,12 @@ def print_narx( coef_space=10, float_precision=3, ): - """Print a Narx model as a Table which contains Term and Coef. + """Print a NARX model as a Table which contains Term and Coef. Parameters ---------- - narx : Narx model - The Narx model to be printed. + narx : NARX model + The NARX model to be printed. term_space: int, default=20 The space for the column of Term. @@ -671,14 +671,14 @@ def print_narx( Returns ------- table : str - The table of terms and coefficients of the Narx model. + The table of terms and coefficients of the NARX model. Examples -------- >>> from sklearn.datasets import load_diabetes - >>> from fastcan.narx import print_narx, Narx + >>> from fastcan.narx import print_narx, NARX >>> X, y = load_diabetes(return_X_y=True) - >>> print_narx(Narx().fit(X, y), term_space=10, coef_space=5, float_precision=0) + >>> print_narx(NARX().fit(X, y), term_space=10, coef_space=5, float_precision=0) | Term |Coef | ================== |Intercept | 152 | @@ -765,7 +765,7 @@ def make_narx( refine_max_iter=None, **params, ): - """Find `time_shift_ids` and `poly_ids` for a Narx model. + """Find `time_shift_ids` and `poly_ids` for a NARX model. Parameters ---------- @@ -810,8 +810,8 @@ def make_narx( Returns ------- - narx : Narx - Narx instance. + narx : NARX + NARX instance. 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ucrt >=10.0.20348.0 - vc >=14.2,<15 @@ -4907,8 +4898,8 @@ packages: platform: win license: Apache-2.0 OR MIT purls: [] - size: 11470506 - timestamp: 1734058988821 + size: 11283006 + timestamp: 1735853967653 - conda: https://conda.anaconda.org/conda-forge/win-64/vc-14.3-ha32ba9b_23.conda sha256: 986ddaf8feec2904eac9535a7ddb7acda1a1dfb9482088fdb8129f1595181663 md5: 7c10ec3158d1eb4ddff7007c9101adb0 diff --git a/tests/test_narx.py b/tests/test_narx.py index f632cbf..122af7f 100644 --- a/tests/test_narx.py +++ b/tests/test_narx.py @@ -1,15 +1,15 @@ -"""Test Narx""" +"""Test NARX""" import numpy as np import pytest from numpy.testing import assert_array_equal from sklearn.utils.estimator_checks import check_estimator -from fastcan.narx import Narx, make_narx, make_poly_ids, make_time_shift_ids, print_narx +from fastcan.narx import NARX, make_narx, make_poly_ids, make_time_shift_ids, print_narx def test_narx_is_sklearn_estimator(): - check_estimator(Narx()) + check_estimator(NARX()) def test_poly_ids(): with pytest.raises(ValueError, match=r"The output that would result from the .*"): @@ -78,7 +78,7 @@ def test_narx(nan): time_shift_ids = make_time_shift_ids(X.shape[1]+1, 5, include_zero_delay=False) poly_ids = make_poly_ids(time_shift_ids.shape[0], 2) - narx_osa = Narx(time_shift_ids=time_shift_ids, poly_ids=poly_ids).fit(X, y) + narx_osa = NARX(time_shift_ids=time_shift_ids, poly_ids=poly_ids).fit(X, y) assert narx_osa.coef_.size == poly_ids.shape[0] narx_osa_msa = narx_drop.fit( X, y, coef_init="one_step_ahead" @@ -105,7 +105,7 @@ def test_narx(nan): time_shift_ids = make_time_shift_ids(X.shape[1]+2, 3, include_zero_delay=False) poly_ids = make_poly_ids(time_shift_ids.shape[0], 2) with pytest.raises(ValueError, match=r"The element x of the first column of tim.*"): - narx_osa = Narx(time_shift_ids=time_shift_ids, poly_ids=poly_ids).fit(X, y) + narx_osa = NARX(time_shift_ids=time_shift_ids, poly_ids=poly_ids).fit(X, y) time_shift_ids = np.array( [ @@ -117,10 +117,10 @@ def test_narx(nan): ) poly_ids = make_poly_ids(time_shift_ids.shape[0], 2) with pytest.raises(ValueError, match=r"The element x of the second column of ti.*"): - narx_osa = Narx(time_shift_ids=time_shift_ids, poly_ids=poly_ids).fit(X, y) + narx_osa = NARX(time_shift_ids=time_shift_ids, poly_ids=poly_ids).fit(X, y) time_shift_ids = make_time_shift_ids(X.shape[1]+1, 3, include_zero_delay=False) poly_ids = make_poly_ids(time_shift_ids.shape[0]+1, 2) with pytest.raises(ValueError, match=r"The element x of poly_ids should .*"): - narx_osa = Narx(time_shift_ids=time_shift_ids, poly_ids=poly_ids).fit(X, y) + narx_osa = NARX(time_shift_ids=time_shift_ids, poly_ids=poly_ids).fit(X, y)