proteus: proteus

In proteus: Multiform Seq2Seq Model for Time-Feature Analysis

proteus

Description

Proteus is a Sequence-to-Sequence Variational Model designed for time-feature analysis, leveraging a wide range of distributions for improved accuracy. Unlike traditional methods that rely solely on the normal distribution, Proteus uses various latent models to better capture and predict complex processes. To achieve this, Proteus employs a neural network architecture that estimates the shape, location, and scale parameters of the chosen distribution. This approach transforms past sequence data into future sequence parameters, improving the model's prediction capabilities. Proteus also assesses the accuracy of its predictions by estimating the error of measurement and calculating the confidence interval. By utilizing a range of distributions and advanced modeling techniques, Proteus provides a more accurate and comprehensive approach to time-feature analysis.

Usage

proteus(
  data,
  target,
  future,
  past,
  ci = 0.8,
  smoother = FALSE,
  t_embed = 30,
  activ = "linear",
  nodes = 32,
  distr = "normal",
  optim = "adam",
  loss_metric = "crps",
  epochs = 30,
  lr = 0.01,
  patience = 10,
  latent_sample = 100,
  verbose = TRUE,
  stride = 1,
  dates = NULL,
  rolling_blocks = FALSE,
  n_blocks = 4,
  block_minset = 30,
  error_scale = "naive",
  error_benchmark = "naive",
  batch_size = 30,
  omit = FALSE,
  min_default = 1,
  future_plan = "future::multisession",
  seed = 42
)

Arguments

data	A data frame with time features on columns and possibly a date column (not mandatory)
target	Vector of strings. Names of the time features to be jointly analyzed
future	Positive integer. The future dimension with number of time-steps to be predicted
past	Positive integer. Length of past sequences
ci	Positive numeric. Confidence interval. Default: 0.8
smoother	Logical. Perform optimal smoothing using standard loess for each time feature. Default: FALSE
t_embed	Positive integer. Number of embedding for the temporal dimension. Minimum value is equal to 2. Default: 30.
activ	String. Activation function to be used by the forward network. Implemented functions are: "linear", "mish", "swish", "leaky_relu", "celu", "elu", "gelu", "selu", "bent", "softmax", "softmin", "softsign", "softplus", "sigmoid", "tanh". Default: "linear".
nodes	Positive integer. Nodes for the forward neural net. Default: 32.
distr	String. Distribution to be used by variational model. Implemented distributions are: "normal", "genbeta", "gev", "gpd", "genray", "cauchy", "exp", "logis", "chisq", "gumbel", "laplace", "lognorm", "skewed". Default: "normal".
optim	String. Optimization method. Implemented methods are: "adadelta", "adagrad", "rmsprop", "rprop", "sgd", "asgd", "adam".
loss_metric	String. Loss function for the variational model. Three options: "elbo", "crps", "score". Default: "crps".
epochs	Positive integer. Default: 30.
lr	Positive numeric. Learning rate. Default: 0.01.
patience	Positive integer. Waiting time (in epochs) before evaluating the overfit performance. Default: epochs.
latent_sample	Positive integer. Number of samples to draw from the latent variables. Default: 100.
verbose	Logical. Default: TRUE
stride	Positive integer. Number of shifting positions for sequence generation. Default: 1.
dates	String. Label of feature where dates are located. Default: NULL (progressive numbering).
rolling_blocks	Logical. Option for incremental or rolling window. Default: FALSE.
n_blocks	Positive integer. Number of distinct blocks for back-testing. Default: 4.
block_minset	Positive integer. Minimum number of sequence to create a block. Default: 3.
error_scale	String. Scale for the scaled error metrics. Two options: "naive" (average of naive one-step absolute error for the historical series) or "deviation" (standard error of the historical series). Default: "naive".
error_benchmark	String. Benchmark for the relative error metrics. Two options: "naive" (sequential extension of last value) or "average" (mean value of true sequence). Default: "naive".
batch_size	Positive integer. Default: 30.
omit	Logical. Flag to TRUE to remove missing values, otherwise all gaps, both in dates and values, will be filled with kalman filter. Default: FALSE.
min_default	Positive numeric. Minimum differentiation iteration. Default: 1.
future_plan	how to resolve the future parallelization. Options are: "future::sequential", "future::multisession", "future::multicore". For more information, take a look at future specific documentation. Default: "future::multisession".
seed	Random seed. Default: 42.

Value

This function returns a list including:

• model_descr: brief model description (number of tensors and parameters)

• prediction: a table with quantile predictions, mean, std, mode, skewness and kurtosis for each time feature (and other metrics, such as iqr_to_range, above_to_below_range, upside_prob, divergence).

• pred_sampler: empirical function for sampling each prediction point for each time feature

• plot: graph with history and prediction for each time feature

• feature_errors: train and test error for each time feature (me, mae, mse, rmsse, mpe, mape, rmae, rrmse, rame, mase, smse, sce)

• history: average cross-validation loss across blocks

• time_log: computation time.

Author(s)

Giancarlo Vercellino [e-mail]

References

https://rpubs.com/giancarlo_vercellino/proteus

proteus documentation built on Oct. 22, 2023, 1:15 a.m.