python多变量预测 lstm pytorch多变量预测

看到网上一个个代码都要钱，自己写了个LSTM分享一下，新手写的代码，有问题轻喷。。。

主程序，文件名随便 

import torch
import time
import pandas as pd
import numpy as np
import torch.nn as nn
from sklearn.preprocessing import MinMaxScaler

from func import setup_seed, sliding_window, cmpt_error  # 这部分自己写的函数


# LSTM
class LSTM(nn.Module):
    def __init__(self, input_size, hidden_size, output_size):
        super().__init__()
        self.hidden_size = hidden_size
        self.lstm = nn.LSTM(input_size, hidden_size)  # 默认单层LSTM
        self.fc = nn.Linear(hidden_size, output_size)

    def forward(self, x):
        out = self.lstm(x)
        out = self.fc(out[:, -1, :])
        return out


# 设置种子，保证预测精度可复现
# setup_seed(10)

# 读取数据
df = pd.read_csv("data.csv", parse_dates=["timestamp"])

# 数据集划分
boundary_date = pd.to_datetime("2020-12-31 23:00:00")  # 2017~2020年为训练集，2020~2021年为测试集
mask = df["timestamp"] <= boundary_date
train = df.loc[mask].iloc[:, 1:]  # 得到训练集，用训练集作为归一化模板

# 归一化
scaler = MinMaxScaler()
scaler_train = MinMaxScaler()
scaler.fit(train)
scaler_train.fit(train.iloc[:, :1])
normalized_data = scaler.transform(df.iloc[:, 1:])  # 用训练集作模板归一化整个数据集

# 基础参数设置
time_step = 30  # 时间步长，就是利用多少组历史数据进行预测
forecast_step = 1  # 预测步长，即预测未来第几步的数据
feature_size = 6  # 输入特征数

# 构造训练集和测试集
[train_input, train_output, test_input, test_output] = sliding_window(normalized_data, len(train), time_step,
                                                                      forecast_step, feature_size,
                                                                      sample_feature_compression=False)

# 输入、输出维度
input_dim = len(train_input[0, 0, :])
output_dim = 1
hidden_dim = 20  # 炼丹
# 设置默认张量类型，否则会因为类型不同报错，因为ndarray默认为float64，tensor默认为float32
torch.set_default_tensor_type(torch.DoubleTensor)

# 使用GPU运行
device = torch.device("cuda:0" if torch.cuda.is_available() else "cpu")

# 转换为tensor
train_inputs_tensor = torch.from_numpy(train_input).to(device)
labels = torch.from_numpy(train_output).to(device)
test_inputs_tensor = torch.from_numpy(test_input).to(device)

# 指定参数和损失函数
epochs = 5000  # 迭代次数
learning_rate = 0.003  # 学习率

# 多次运行，方便求误差平均值
train_prediction_set = []
prediction_set = []
error = []
start = time.perf_counter()  # 运行开始时间
# 多次运行取平均值
multi_times = 1  # 运行次数
for times in range(multi_times):
    # 输入、输出神经元数为input_dim、output_dim，隐含层神经元数为hidden_dim
    model = LSTM(input_dim, hidden_dim, output_dim).to(device)
    if times == 0:
        print(model)  # 查看神经网络模型
    # 指定优化器为Adam，优化目标为model的参数，给定学习率
    optimizer = torch.optim.Adam(model.parameters(), lr=learning_rate)
    criterion = nn.MSELoss()  # 损失函数
    # 训练模型
    train_predicted = 0  # 用来保存训练集预测数据
    for epoch in range(epochs):
        # 迭代梯度清零
        optimizer.zero_grad()
        # 前向传播
        train_outputs_tensor = model(train_inputs_tensor)
        # 计算损失
        loss = criterion(train_outputs_tensor, labels)
        # 反向传播
        loss.backward()
        # 更新权重参数
        optimizer.step()
        # 每500次训练输出一次损失值
        if (epoch + 1) % 100 == 0:
            print(f'epoch {epoch + 1}, loss {loss}')
        if epoch == epochs - 1:
            train_predicted = train_outputs_tensor.detach().cpu().numpy()

    # 预测结果
    predicted = model(test_inputs_tensor)[0].detach().cpu().numpy()
    # 逆缩放
    train_predicted = scaler_train.inverse_transform(train_predicted)  # 训练集预测数据
    predicted = scaler_train.inverse_transform(predicted)  # 预测值
    target = scaler_train.inverse_transform(test_output)  # 目标值
    # 计算误差
    error.append(cmpt_error(predicted, target))
    # 保存每次预测结果
    train_prediction_set.append(train_predicted)
    prediction_set.append(predicted)

end = time.perf_counter()  # 运行结束时间
runTime = end - start
print("Run time: ", runTime)  # 输出运行时间

# 数据排序
train_prediction_set = np.array(train_prediction_set)[:, :, 0].T
prediction_set = np.array(prediction_set)[:, :, 0].T
error = np.array(error).T
prediction_set = np.vstack([train_prediction_set, prediction_set])
error_prediction = pd.DataFrame(np.vstack([error, prediction_set]))  # 将误差和预测数据堆叠起来，方便排序
error_prediction = error_prediction.sort_values(by=2, axis=1)  # NRMSE在第三行，以NRMSE从小到大排序

# 保存数据
# error_prediction.iloc[3:, :]是因为前三行是误差，如果用了更多的误差指标记得修改
prediction_set = pd.DataFrame(np.array(error_prediction.iloc[3:, :]), columns=[i for i in range(1, multi_times + 1)])
error = pd.DataFrame(np.array(error_prediction.iloc[:3, :]), columns=[i for i in range(1, multi_times + 1)],
                     index=['MAE', 'RMSE', 'NRMSE'])
prediction_set.to_excel('LSTM.xlsx', index=False, sheet_name='LSTM')
with pd.ExcelWriter('LSTM.xlsx', mode='a', engine='openpyxl') as writer:
    error.to_excel(writer, sheet_name='error')

 文件名error_calculation.py

import math


def mae(predicted, target):
    """计算平均绝对误差MAE。"""
    return (abs(target - predicted)).mean()


def mse(predicted, target):
    """计算均方误差MSE。"""
    return ((target - predicted) ** 2).mean()


def rmse(predicted, target):
    """计算均方根误差RMSE。"""
    return math.sqrt(mse(predicted, target))


def nrmse(predicted, target):
    """计算正规化均方根误差NRMSE，采用极差（最大和最小值之差）来正规化。"""
    return rmse(predicted, target) / (target.max() - target.min())

文件名func.py

import torch
import random
import numpy as np
import pandas as pd

from error_calculation import mae, rmse, nrmse


def setup_seed(seed):
    """设置随机数种子，保证每次运行结果相同"""
    torch.manual_seed(seed)
    torch.cuda.manual_seed_all(seed)
    np.random.seed(seed)
    random.seed(seed)
    # torch.backends.cudnn.deterministic = True  # 本行对精度影响不大，但会明显降低运行效率，不需要高精度的话可以注释掉


def sliding_window(normalized_data, train_length, time_step, forecast_step, feature_size=1,
                   sample_feature_compression=True):
    """用滑动窗口将标准化数据集的样本划分为训练集和测试集，sample_feature_compression是选择是否将这个时间步长的特征压缩为向量"""
    inputs = []
    outputs = []
    for i in range(len(normalized_data) - time_step - forecast_step + 1):  # 构造的数据集长度可以该式计算得到
        package = []
        # 将不同特征打包
        for j in range(feature_size):
            package.append(normalized_data[i:i + time_step][:, j])
        # 构造输入和输出，将整个时间步长的数据保存到input中，将未来的数据保存到output中
        if sample_feature_compression:
            inputs.append(np.array(package).reshape(1, -1)[0, :])
        else:
            inputs.append(np.array(package).T)
        outputs.append(normalized_data[i + time_step][0])
    inputs = np.array(inputs)
    outputs = np.array(outputs).reshape(-1, 1)
    # 划分训练集和测试集
    train_input = inputs[:train_length - time_step - forecast_step + 1]
    train_output = outputs[:train_length - time_step - forecast_step + 1]
    test_input = inputs[train_length - time_step - forecast_step + 1:]
    test_output = outputs[train_length - time_step - forecast_step + 1:]

    return [train_input, train_output, test_input, test_output]


def cmpt_error(predicted, target):
    """对比校正值和标准值，并输出误差"""
    # 对比校正值和标准值
    contrast = pd.DataFrame(np.hstack((predicted, target)), columns=['预测值', '目标值'])
    print(contrast)
    # 输出误差
    mae1 = mae(predicted, target)
    rmse1 = rmse(predicted, target)
    nrmse1 = nrmse(predicted, target)

    print('预测MAE误差：', mae1)
    print('预测RMSE误差：', rmse1)
    print(f'预测NRMSE误差：{"%.2f" % (nrmse1 * 100)}%')

    return [mae1, rmse1, nrmse1]

 东西丢一个文件夹，运行主程序就行，不过光伏输出功率每日的变化较大，误差也不小。至于data.csv上传了，设定的0积分下载，不知道大家能不能免费下载。