fusionlab.nn.components.QuantileDistributionModeling

class fusionlab.nn.components.QuantileDistributionModeling

Bases: Layer, NNLearner

QuantileDistributionModeling layer projects deterministic outputs into quantile predictions [1].

Depending on whether quantiles is specified, this layer:

• Returns (B, H, O) if quantiles is None.

• Returns (B, H, Q, O) otherwise, where Q is the number of quantiles.

\[\mathbf{Y}_q = \text{Dense}_q(\mathbf{X}), \forall q \in \text{quantiles}\]

Parameters:

• quantiles (list of float or str or None) – List of quantiles. If ‘auto’, defaults to [0.1, 0.5, 0.9]. If None, no extra quantile dimension is added.

• output_dim (int) – Output dimension per quantile or in the deterministic case.

Notes

This layer is often used after a decoder to provide probabilistic forecasts via quantile outputs.

call(`inputs`, training=False)

Projects inputs into desired quantile shape.

get_config()

Returns configuration dictionary.

from_config(`config`)

Instantiates from config.

Examples

>>> from fusionlab.nn.components import QuantileDistributionModeling
>>> import tensorflow as tf
>>> x = tf.random.normal((32, 10, 64))  # (B, H, O)
>>> # Instantiate with quantiles
>>> qdm = QuantileDistributionModeling([0.25, 0.5, 0.75], output_dim=1)
>>> # Forward pass => (B, H, Q, O) => (32, 10, 3, 1)
>>> y = qdm(x)

See also

MultiDecoder

Outputs multi-horizon predictions that can be further turned into quantiles.

AdaptiveQuantileLoss

Computes quantile losses for outputs generated by this layer.

References

[1]

Lim, B., & Zohren, S. (2021). “Time-series forecasting with deep learning: a survey.” Philosophical Transactions of the Royal Society A, 379(2194), 20200209.

__init__(quantiles, output_dim)

Initialize the QuantileDistributionModeling layer.

Parameters:

• quantiles (list of float or str or None) – If ‘auto’, defaults to [0.1, 0.5, 0.9]. If None, returns deterministic output.

• output_dim (int) – Output dimension for each quantile or the deterministic case.

Methods

__init__(quantiles, output_dim)	Initialize the QuantileDistributionModeling layer.
add_loss(losses, **kwargs)	Add loss tensor(s), potentially dependent on layer inputs.
add_metric(value[, name])	Adds metric tensor to the layer.
add_update(updates)	Add update op(s), potentially dependent on layer inputs.
add_variable(*args, **kwargs)	Deprecated, do NOT use! Alias for add_weight.
add_weight([name, shape, dtype, ...])	Adds a new variable to the layer.
build(input_shape)	Creates the variables of the layer (for subclass implementers).
build_from_config(config)	Builds the layer's states with the supplied config dict.
call(inputs[, training])	Forward pass projecting to quantile outputs or deterministic outputs.
compute_mask(inputs[, mask])	Computes an output mask tensor.
compute_output_shape(input_shape)	Computes the output shape of the layer.
compute_output_signature(input_signature)	Compute the output tensor signature of the layer based on the inputs.
count_params()	Count the total number of scalars composing the weights.
finalize_state()	Finalizes the layers state after updating layer weights.
from_config(config)	Creates a new instance from the given config dict.
get_build_config()	Returns a dictionary with the layer's input shape.
get_config()	Configuration dictionary for layer serialization.
get_input_at(node_index)	Retrieves the input tensor(s) of a layer at a given node.
get_input_mask_at(node_index)	Retrieves the input mask tensor(s) of a layer at a given node.
get_input_shape_at(node_index)	Retrieves the input shape(s) of a layer at a given node.
get_output_at(node_index)	Retrieves the output tensor(s) of a layer at a given node.
get_output_mask_at(node_index)	Retrieves the output mask tensor(s) of a layer at a given node.
get_output_shape_at(node_index)	Retrieves the output shape(s) of a layer at a given node.
get_params([deep])	Get the parameters for this learner.
get_weights()	Returns the current weights of the layer, as NumPy arrays.
help(**kwargs)
load(file_path[, format])	Load the learner's state from a specified file in the desired format.
load_own_variables(store)	Loads the state of the layer.
save([file_path, format, overwrite, ...])	Save the learner's state to a specified file in the desired format.
save_own_variables(store)	Saves the state of the layer.
set_params(**params)	Set the parameters of this learner.
set_weights(weights)	Sets the weights of the layer, from NumPy arrays.
summary()	Provide a summary of the learner's parameters.
with_name_scope(method)	Decorator to automatically enter the module name scope.

Attributes

activity_regularizer	Optional regularizer function for the output of this layer.
compute_dtype	The dtype of the layer's computations.
dtype	The dtype of the layer weights.
dtype_policy	The dtype policy associated with this layer.
dynamic	Whether the layer is dynamic (eager-only); set in the constructor.
inbound_nodes	Return Functional API nodes upstream of this layer.
input	Retrieves the input tensor(s) of a layer.
input_mask	Retrieves the input mask tensor(s) of a layer.
input_shape	Retrieves the input shape(s) of a layer.
input_spec	InputSpec instance(s) describing the input format for this layer.
losses	List of losses added using the add_loss() API.
metrics	List of metrics attached to the layer.
my_params
name	Name of the layer (string), set in the constructor.
name_scope	Returns a tf.name_scope instance for this class.
non_trainable_variables	Sequence of non-trainable variables owned by this module and its submodules.
non_trainable_weights	List of all non-trainable weights tracked by this layer.
outbound_nodes	Return Functional API nodes downstream of this layer.
output	Retrieves the output tensor(s) of a layer.
output_mask	Retrieves the output mask tensor(s) of a layer.
output_shape	Retrieves the output shape(s) of a layer.
stateful
submodules	Sequence of all sub-modules.
supports_masking	Whether this layer supports computing a mask using compute_mask.
trainable
trainable_variables	Sequence of trainable variables owned by this module and its submodules.
trainable_weights	List of all trainable weights tracked by this layer.
updates
variable_dtype	Alias of Layer.dtype, the dtype of the weights.
variables	Returns the list of all layer variables/weights.
weights	Returns the list of all layer variables/weights.

__init__(quantiles, output_dim)

Initialize the QuantileDistributionModeling layer.

Parameters:

• quantiles (list of float or str or None) – If ‘auto’, defaults to [0.1, 0.5, 0.9]. If None, returns deterministic output.

• output_dim (int) – Output dimension for each quantile or the deterministic case.

call(inputs, training=False)

Forward pass projecting to quantile outputs or deterministic outputs.

Parameters:

• inputs (tf.Tensor) – A 3D tensor of shape (B, H, O).

• training (bool, optional) – Unused in this layer. Defaults to False.

Returns:

• If quantiles is None: (B, H, O)

• Else: (B, H, Q, O)

Return type:

tf.Tensor

get_config()

Configuration dictionary for layer serialization.

Returns:

Contains ‘quantiles’ and ‘output_dim’.

Return type:

dict

classmethod from_config(config)

Creates a new instance from the given config dict.

Parameters:

config (dict) – Configuration dictionary with ‘quantiles’ and ‘output_dim’.

Returns:

A new instance.

Return type:

QuantileDistributionModeling

help(**kwargs)

my_params = QuantileDistributionModeling(quantiles, output_dim)