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TSMixer: Time Series Mixer for Forecasting

Overview

TSMixer is an unofficial PyTorch-based implementation of the TSMixer architecture as described TSMixer Paper. It leverages mixer layers for processing time series data, offering a robust approach for both standard and extended forecasting tasks.

Installation

You can install the package using pip:

pip install pytorch-tsmixer

or after cloning the repository, you can install it directly from the source code:

pip install .

Modules

• tsmixer.py: Contains the TSMixer class, a model using mixer layers for time series forecasting.
• tsmixer_ext.py: Implements the TSMixerExt class, an extended version of TSMixer that integrates additional inputs and contextual information.

Usage

TSMixer

from torchtsmixer import TSMixer
import torch

m = TSMixer(sequence_length=10, prediction_length=5, input_channels=2, output_channels=4)
x = torch.randn(3, 10, 2)
y = m(x)

TSMixerExt

from torchtsmixer import TSMixerExt
import torch

m = TSMixerExt(
    sequence_length=10,
    prediction_length=5,
    input_channels=2,
    extra_channels=3,
    hidden_channels=8,
    static_channels=4,
    output_channels=4
)

x_hist = torch.randn(3, 10, 2, requires_grad=True)
x_extra_hist = torch.randn(3, 10, 3, requires_grad=True)
x_extra_future = torch.randn(3, 5, 3, requires_grad=True)
x_static = torch.randn(3, 4, requires_grad=True)

y = m.forward(
    x_hist=x_hist,
    x_extra_hist=x_extra_hist,
    x_extra_future=x_extra_future,
    x_static=x_static
)

Example: Training Loop with TSMixer

Here's a basic example of how to use TSMixer in a simple training loop. This example assumes a regression task with a mean squared error loss and an Adam optimizer.

import torch
import torch.nn as nn
import torch.optim as optim
from torchtsmixer import TSMixer

# Model parameters
sequence_length = 10
prediction_length = 5
input_channels = 2
output_channels = 1

# Create the TSMixer model
model = TSMixer(sequence_length, prediction_length, input_channels, output_channels)

# Loss function and optimizer
criterion = nn.MSELoss()
optimizer = optim.Adam(model.parameters(), lr=0.0001)

# Dummy dataset (replace with real data)
# Assuming batch_size, seq_len, num_features format
X_train = torch.randn(10,32, sequence_length, input_channels)
y_train = torch.randn(10,32, prediction_length, output_channels)

# Training loop
num_epochs = 10
for epoch in range(num_epochs):
    model.train()
    for X,y in zip(X_train, y_train):
        # Zero the parameter gradients
        optimizer.zero_grad()

        # Forward pass
        outputs = model(X)
        loss = criterion(outputs, y)

        # Backward pass and optimize
        loss.backward()
        optimizer.step()

    print(f'Epoch [{epoch+1}/{num_epochs}], Loss: {loss.item():.4f}')

print("Training complete")

This example is quite basic and should be adapted to your specific dataset and task. For instance, you might want to add data loading with DataLoader, validation steps, and more sophisticated training logic.

Testing

Run tests using:

python -m unittest

License

This project is licensed under the MIT License - see the LICENSE file for details.

Acknowledgments

This implementation is based on the TSMixer model as described in TSMixer Paper.