keras 时间序列分析

多层感知机

#Lesson 03: MLP for Time Series Forecasting
# univariate mlp example
from numpy import array
from keras.models import Sequential
from keras.layers import Dense
# define dataset
X = array([[10, 20, 30], [20, 30, 40], [30, 40, 50], [40, 50, 60]])
y = array([40, 50, 60, 70])
# define model
model = Sequential()
model.add(Dense(100, activation='relu', input_dim=3))
model.add(Dense(1))
model.compile(optimizer='adam', loss='mse')
# fit model
model.fit(X, y, epochs=2000, verbose=0)
# demonstrate prediction
x_input = array([50, 60, 70])
x_input = x_input.reshape((1, 3))
yhat = model.predict(x_input, verbose=0)
print(yhat)

CNN

#Lesson 04: CNN for Time Series Forecasting

# univariate cnn example
from numpy import array
from keras.models import Sequential
from keras.layers import Dense
from keras.layers import Flatten
from keras.layers.convolutional import Conv1D
from keras.layers.convolutional import MaxPooling1D
# define dataset
X = array([[10, 20, 30], [20, 30, 40], [30, 40, 50], [40, 50, 60]])
y = array([40, 50, 60, 70])
# reshape from [samples, timesteps] into [samples, timesteps, features]
X = X.reshape((X.shape[0], X.shape[1], 1))
# define model
model = Sequential()
model.add(Conv1D(filters=64, kernel_size=2, activation='relu', input_shape=(3, 1)))
model.add(MaxPooling1D(pool_size=2))
model.add(Flatten())
model.add(Dense(50, activation='relu'))
model.add(Dense(1))
model.compile(optimizer='adam', loss='mse')
# fit model
model.fit(X, y, epochs=1000, verbose=0)
# demonstrate prediction
x_input = array([50, 60, 70])
x_input = x_input.reshape((1, 3, 1))
yhat = model.predict(x_input, verbose=0)
print(yhat)

LSTM

# univariate lstm example
from numpy import array
from keras.models import Sequential
from keras.layers import LSTM
from keras.layers import Dense
# define dataset
X = array([[10, 20, 30], [20, 30, 40], [30, 40, 50], [40, 50, 60]])
y = array([40, 50, 60, 70])
# reshape from [samples, timesteps] into [samples, timesteps, features]
X = X.reshape((X.shape[0], X.shape[1], 1))
# define model
model = Sequential()
model.add(LSTM(50, activation='relu', input_shape=(3, 1)))
model.add(Dense(1))
model.compile(optimizer='adam', loss='mse')
# fit model
model.fit(X, y, epochs=1000, verbose=0)
# demonstrate prediction
x_input = array([50, 60, 70])
x_input = x_input.reshape((1, 3, 1))
yhat = model.predict(x_input, verbose=0)
print(yhat)

CNN+LSTM

# univariate cnn-lstm example
from numpy import array
from keras.models import Sequential
from keras.layers import LSTM
from keras.layers import Dense
from keras.layers import Flatten
from keras.layers import TimeDistributed
from keras.layers.convolutional import Conv1D
from keras.layers.convolutional import MaxPooling1D
# define dataset
X = array([[10, 20, 30, 40], [20, 30, 40, 50], [30, 40, 50, 60], [40, 50, 60, 70]])
y = array([50, 60, 70, 80])
# reshape from [samples, timesteps] into [samples, subsequences, timesteps, features]
X = X.reshape((X.shape[0], 2, 2, 1))
# define model
model = Sequential()
model.add(TimeDistributed(Conv1D(filters=64, kernel_size=1, activation='relu'), input_shape=(None, 2, 1)))
model.add(TimeDistributed(MaxPooling1D(pool_size=2)))
model.add(TimeDistributed(Flatten()))
model.add(LSTM(50, activation='relu'))
model.add(Dense(1))
model.compile(optimizer='adam', loss='mse')
# fit model
model.fit(X, y, epochs=500, verbose=0)
# demonstrate prediction
x_input = array([50, 60, 70, 80])
x_input = x_input.reshape((1, 2, 2, 1))
yhat = model.predict(x_input, verbose=0)
print(yhat)

encoder-decoder


# multi-step encoder-decoder lstm example
from numpy import array
from keras.models import Sequential
from keras.layers import LSTM
from keras.layers import Dense
from keras.layers import RepeatVector
from keras.layers import TimeDistributed
# define dataset
X = array([[10, 20, 30], [20, 30, 40], [30, 40, 50], [40, 50, 60]])
y = array([[40,50],[50,60],[60,70],[70,80]])
# reshape from [samples, timesteps] into [samples, timesteps, features]
X = X.reshape((X.shape[0], X.shape[1], 1))
y = y.reshape((y.shape[0], y.shape[1], 1))
# define model
model = Sequential()
model.add(LSTM(100, activation='relu', input_shape=(3, 1)))
model.add(RepeatVector(2))
model.add(LSTM(100, activation='relu', return_sequences=True))
model.add(TimeDistributed(Dense(1)))
model.compile(optimizer='adam', loss='mse')
# fit model
model.fit(X, y, epochs=100, verbose=0)
# demonstrate prediction
x_input = array([50, 60, 70])
x_input = x_input.reshape((1, 3, 1))
yhat = model.predict(x_input, verbose=0)
print(yhat)