残差赋权组合python

本实验使用环境为Anaconda3 Jupyter，调用Sklearn包，调用keras包,请提前准备好。

1.引入一些常见包

主要有keras包、numpy包、metrics包、pandas包等。

import csv
import numpy as np
import time
from sklearn.preprocessing import StandardScaler
from sklearn.model_selection import train_test_split
from sklearn.ensemble import RandomForestClassifier
from sklearn.metrics import accuracy_score
from sklearn.metrics import confusion_matrix
from sklearn.metrics import classification_report
from sklearn.metrics import explained_variance_score
from sklearn import metrics
from sklearn.svm import SVR
import matplotlib.pyplot as plt  
from pandas import DataFrame
from pandas import Series
from pandas import concat
from pandas import read_csv
from pandas import datetime
from sklearn.metrics import mean_squared_error
from sklearn.preprocessing import MinMaxScaler
from keras.models import Sequential
from keras.layers import Dense
from keras.layers import LSTM
from math import sqrt
from matplotlib import pyplot
import numpy

2.引入数据

其中data为全部数据、traffic_feature为特征集、traffic_target目标集

data=[]
traffic_feature=[]
traffic_target=[]

csv_file = csv.reader(open('GoodData.csv'))
for content in csv_file:
    content=list(map(float,content))
    if len(content)!=0:
        data.append(content)
        traffic_feature.append(content[0:4])
        traffic_target.append(content[-1])
        
traffic_feature=np.array(traffic_feature)
traffic_target=np.array(traffic_target)
data=np.array(data)

对数据进行分割，本文使用70%为分割点。

feature_train=traffic_feature[0:int(len(traffic_feature)*0.7)]
feature_test=traffic_feature[int(len(traffic_feature)*0.7):int(len(traffic_feature))]
target_train=traffic_target[0:int(len(traffic_target)*0.7)]
target_test =traffic_target[int(len(traffic_target)*0.7):int(len(traffic_target))]

对后30%的目标值继续分割，分割点仍然为70%，预留做对照。

target_test_last=target_test[int(len(target_test)*0.7):int(len(target_test))]

3.数据标准化

使用StandardScaler()方法将特征数据标准化归一化。

scaler = StandardScaler() # 标准化转换
scaler.fit(traffic_feature)  # 训练标准化对象
traffic_feature= scaler.transform(traffic_feature)   # 转换数据集

4.使用ELM算法预测

class HiddenLayer:
    def __init__(self, x, num):  # x：输入矩阵   num：隐含层神经元个数
        row = x.shape[0]
        columns = x.shape[1]
        rnd = np.random.RandomState(9999)
        self.w = rnd.uniform(-1, 1, (columns, num))  #
        self.b = np.zeros([row, num], dtype=float)  # 随机设定隐含层神经元阈值，即bi的值
        for i in range(num):
            rand_b = rnd.uniform(-0.4, 0.4)  # 随机产生-0.4 到 0.4 之间的数
            for j in range(row):
                self.b[j, i] = rand_b  # 设定输入层与隐含层的连接权值
        self.h = self.sigmoid(np.dot(x, self.w) + self.b)  # 计算隐含层输出矩阵H
        self.H_ = np.linalg.pinv(self.h)  # 获取H的逆矩阵
        # print(self.H_.shape)
 
    # 定义激活函数g(x) ，需为无限可微函数
    def sigmoid(self, x):
        print(x)
        return 1.0 / (1 + np.exp(-x))
 
    '''  若进行分析的训练数据为回归问题，则使用该方式 ，计算隐含层输出权值，即β '''
 
    def regressor_train(self, T):
        C = 2
        I = len(T)
        sub_former = np.dot(np.transpose(self.h), self.h) + I / C
        all_m = np.dot(np.linalg.pinv(sub_former), np.transpose(self.h))
        T = T.reshape(-1, 1)
        self.beta = np.dot(all_m, T)
        return self.beta
 
    """
           计算隐含层输出权值，即β 
    """
 
    def classifisor_train(self, T):
        en_one = OneHotEncoder()
        # print(T)
        T = en_one.fit_transform(T.reshape(-1, 1)).toarray()  # 独热编码之后一定要用toarray()转换成正常的数组
        # print(T)
        C = 3
        I = len(T)
        sub_former = np.dot(np.transpose(self.h), self.h) + I / C
        all_m = np.dot(np.linalg.pinv(sub_former), np.transpose(self.h))
        self.beta = np.dot(all_m, T)
        return self.beta
 
    def regressor_test(self, test_x):
        b_row = test_x.shape[0]
        h = self.sigmoid(np.dot(test_x, self.w) + self.b[:b_row, :])
        result = np.dot(h, self.beta)
        return result
 
    def classifisor_test(self, test_x):
        b_row = test_x.shape[0]
        h = self.sigmoid(np.dot(test_x, self.w) + self.b[:b_row, :])
        result = np.dot(h, self.beta)
        result = [item.tolist().index(max(item.tolist())) for item in result]
        return result

跑起来～
设置神经元个数为8，可以自行调优。

import matplotlib.pyplot as plt
from sklearn.metrics import explained_variance_score
a = HiddenLayer(feature_train,8)
a.regressor_train(target_train)
result = a.regressor_test(feature_test)
plt.plot(result)#测试数组
plt.plot(target_test)#测试数组
plt.legend(['ELM','TRUE'])
fig = plt.gcf()
fig.set_size_inches(18.5, 10.5)
plt.title("ELM")  # 标题
plt.show()
print("EVS:",explained_variance_score(target_test,result))

结果如下：

EVS等于0.8705

5.使用真实值减预测值，获的ELM的残差

a=[]#真实值
for i in target_test:
    a.append(i)
b=[]#预测值
for i in result:
    b.append(i[0])

c=[]#残差值
num=[]
for inx,i in enumerate(a):
    c.append(b[inx]-i)
    num.append(inx)
plt.plot(c)#残差
fig = plt.gcf()
fig.set_size_inches(18.5,5)
plt.xlim(0,1560)
plt.title("Residual Signal")  # 标题
plt.show()

残差值变化如下：

将预测的后30%截取，预留做对照。

result_last=b[int(len(b)*0.7):int(len(b))]

6.对残差值使用长短记忆神经网络（LSTM）预测

使用残差值的前70%作为测试集，使用后30%作为验证集。

train, test =c[0:int(len(c)*0.7)], c[int(len(c)*0.7):int(len(c))]

def timeseries_to_supervised(data, lag=1):
  df = DataFrame(data)
  columns = [df.shift(i) for i in range(1, lag+1)]
  columns.append(df)
  df = concat(columns, axis=1)
  df.fillna(0, inplace=True)
  return df
def fit_lstm(train, batch_size, nb_epoch, neurons):
  X, y = train[:, 0:-1], train[:, -1]
  X = X.reshape(X.shape[0], 1, X.shape[1])
  model = Sequential()
  model.add(LSTM(neurons, batch_input_shape=(batch_size, X.shape[1], X.shape[2]), stateful=True))
  model.add(Dense(1))
  model.compile(loss='mean_squared_error', optimizer='adam')
  for i in range(nb_epoch):
      model.fit(X, y, epochs=1, batch_size=batch_size, verbose=0, shuffle=False)
      model.reset_states()
  return model
# make a one-step forecast
def forecast_lstm(model, batch_size, X):
  X = X.reshape(1, 1, len(X))
  yhat = model.predict(X, batch_size=batch_size)
  return yhat[0,0]

c2d=[]
for i in c:
    c2d.append([i,i])
scaler = StandardScaler() # 标准化转换
scaler.fit(c2d)  # 训练标准化对象
supervised= scaler.transform(c2d)   # 转换数据集
c1d=[]
for j in supervised:
    c1d.append(j[0])
supervised = timeseries_to_supervised(c1d, 1)
train_scaled, test_scaled  =supervised[0:int(len(supervised)*0.7)], supervised[int(len(supervised)*0.7):int(len(supervised))]

train_scaled=np.array(train_scaled)
test_scaled=np.array(test_scaled)

print("开始")
# fit the model
lstm_model = fit_lstm(train_scaled, 1, 30, 4)
# forecast the entire training dataset to build up state for forecasting
train_reshaped = train_scaled[:, 0].reshape(len(train_scaled), 1, 1)
lstm_model.predict(train_reshaped, batch_size=1)

# walk-forward validation on the test data
predictions = list()
for i in range(len(test_scaled)):
  # make one-step forecast
  X, y = test_scaled[i, 0:-1], test_scaled[i, -1]
  yhat = forecast_lstm(lstm_model, 1, X)
  # store forecast
  predictions.append(yhat)
print("结束")

经过数据格式改变后，残差预测效果如下。

predictions2d=[]
for i in predictions:
    predictions2d.append([i,i])
predictions2d
predictions2d=scaler.inverse_transform(predictions2d)
predictions1d=[]
for j in predictions2d:
    predictions1d.append(j[0])

# report performance
rmse = sqrt(mean_squared_error(test, predictions1d))
print('RMSE: %.3f' % rmse)
# line plot of observed vs predicted
fig = pyplot.gcf()
fig.set_size_inches(18.5, 10.5)
pyplot.plot(test)
pyplot.plot(predictions1d)
pyplot.show()

7.ELM与ELM-LSTM预测结果进行对比

ELM：

print("mse：",metrics.mean_squared_error(target_test_last,result_last)) 
print("R2:",metrics.r2_score(target_test_last,result_last))

ELM-LSTM：

test1=np.array(test)
predictions1d1=np.array(predictions1d)
result1=result_last-test1+predictions1d1
print("mse：",metrics.mean_squared_error(target_test_last,result1)) 
print("R2:",metrics.r2_score(target_test_last,result1))

COMPARE：

x=range(1089,1556,1)
plt.plot(x,target_test_last,marker=',')
plt.plot(x,result_last,marker='+')
plt.plot(x,result1,marker='x')
plt.legend(['True','ELM','ELM_LSTM'])
fig = plt.gcf()
fig.set_size_inches(18.5, 10.5)
plt.title("COMPARE")  # 标题
plt.show()

结果如下：

由上可知ELM-LSTM比ELM的R方要高、MSE要低。且下图显示ELM-LSTM比ELM更贴近真实值。

提供思路

由于数据并非我本人所有，所以我不能提供给大家。数据格式如下：