时序预测问题及其应用

results = []
best_aic = float("inf") # 正无穷
for param in parameters_list:
    try:
        model = ARMA(df_month.Weighted_Price,order=(param[0],param[1])).fit()
    except ValueError:
        print('参数错误:', param)
        continue
    aic = model.aic
    if aic < best_aic:
        best_model = model
        best_aic = aic
        best_param = param
    results.append([param, model.aic])

result_table = pd.DataFrame(results)
result_table.columns = ['parameters', 'aic']
print('最优模型: ', best_model.summary())

df_month2 = df_month[['Weighted_Price']]
date_list = [datetime(2018, 11, 30), datetime(2018, 12, 31), datetime(2019, 1, 31), datetime(2019, 2, 28), datetime(2019, 3, 31), 
             datetime(2019, 4, 30), datetime(2019, 5, 31), datetime(2019, 6, 30)]
future = pd.DataFrame(index=date_list, columns= df_month.columns)
df_month2 = pd.concat([df_month2, future])
df_month2['forecast'] = best_model.predict(start=0, end=91)

rnn = RNN()
y = rnn.step(x) # x is an input vector, y is the RNN's output vector

class RNN:
  # ...
  def step(self, x):
    # update the hidden state
    self.h = np.tanh(np.dot(self.W_hh, self.h) + np.dot(self.W_xh, x))
    # compute the output vector
    y = np.dot(self.W_hy, self.h)
    return y

# Guillaume Chevalier, LSTMs for Human Activity Recognition, 2016, https://github.com/guillaume-chevalier/LSTM-Human-Activity-Recognition

def LSTM_RNN(_X, _weights, _biases):

    _X = tf.transpose(_X, [1, 0, 2])  # permute n_steps and batch_size
    # Reshape to prepare input to hidden activation
    _X = tf.reshape(_X, [-1, n_input])
    # new shape: (n_steps*batch_size, n_input)

    # ReLU activation, thanks to Yu Zhao for adding this improvement here:
    _X = tf.nn.relu(tf.matmul(_X, _weights['hidden']) + _biases['hidden'])
    # Split data because rnn cell needs a list of inputs for the RNN inner loop
    _X = tf.split(_X, n_steps, 0)
    # new shape: n_steps * (batch_size, n_hidden)

    # Define two stacked LSTM cells (two recurrent layers deep) with tensorflow
    lstm_cell_1 = tf.contrib.rnn.BasicLSTMCell(n_hidden, forget_bias=1.0, state_is_tuple=True)
    lstm_cell_2 = tf.contrib.rnn.BasicLSTMCell(n_hidden, forget_bias=1.0, state_is_tuple=True)
    lstm_cells = tf.contrib.rnn.MultiRNNCell([lstm_cell_1, lstm_cell_2], state_is_tuple=True)
    # Get LSTM cell output
    outputs, states = tf.contrib.rnn.static_rnn(lstm_cells, _X, dtype=tf.float32)

    # Get last time step's output feature for a "many-to-one" style classifier,
    # as in the image describing RNNs at the top of this page
    lstm_last_output = outputs[-1]

    # Linear activation
    return tf.matmul(lstm_last_output, _weights['out']) + _biases['out']

def extract_batch_size(_train, step, batch_size):
    # Function to fetch a "batch_size" amount of data from "(X|y)_train" data.
>>>>

def one_hot(y_, n_classes=n_classes):
    # Function to encode neural one-hot output labels from number indexes
>>>>

# Guillaume Chevalier, LSTMs for Human Activity Recognition, 2016, https://github.com/guillaume-chevalier/LSTM-Human-Activity-Recognition
# Graph input/output
x = tf.placeholder(tf.float32, [None, n_steps, n_input])
y = tf.placeholder(tf.float32, [None, n_classes])

# Graph weights
weights = {
    'hidden': tf.Variable(tf.random_normal([n_input, n_hidden])), # Hidden layer weights
    'out': tf.Variable(tf.random_normal([n_hidden, n_classes], mean=1.0))
}
biases = {
    'hidden': tf.Variable(tf.random_normal([n_hidden])),
    'out': tf.Variable(tf.random_normal([n_classes]))
}

pred = LSTM_RNN(x, weights, biases)

# Loss, optimizer and evaluation
l2 = lambda_loss_amount * sum(
    tf.nn.l2_loss(tf_var) for tf_var in tf.trainable_variables()
) # L2 loss prevents this overkill neural network to overfit the data
cost = tf.reduce_mean(tf.nn.softmax_cross_entropy_with_logits(labels=y, logits=pred)) + l2 # Softmax loss
optimizer = tf.train.AdamOptimizer(learning_rate=learning_rate).minimize(cost) # Adam Optimizer

correct_pred = tf.equal(tf.argmax(pred,1), tf.argmax(y,1))
accuracy = tf.reduce_mean(tf.cast(correct_pred, tf.float32))

# Guillaume Chevalier, LSTMs for Human Activity Recognition, 2016, https://github.com/guillaume-chevalier/LSTM-Human-Activity-Recognition
test_losses = []
test_accuracies = []
train_losses = []
train_accuracies = []

# Launch the graph
sess = tf.InteractiveSession(config=tf.ConfigProto(log_device_placement=True))
init = tf.global_variables_initializer()
sess.run(init)

# Guillaume Chevalier, LSTMs for Human Activity Recognition, 2016, https://github.com/guillaume-chevalier/LSTM-Human-Activity-Recognition
step = 1
while step * batch_size <= training_iters:
    batch_xs =         extract_batch_size(X_train, step, batch_size)
    batch_ys = one_hot(extract_batch_size(y_train, step, batch_size))

    # Fit training using batch data
    _, loss, acc = sess.run(
        [optimizer, cost, accuracy],
        feed_dict={
            x: batch_xs,
            y: batch_ys
        }
    )
    train_losses.append(loss)
    train_accuracies.append(acc)