Time Series Forecasting with LSTM in Python part 3

Develop a Robust Result

A difficulty with neural networks is that they give different results with different starting conditions.

One approach might be to fix the random number seed used by Keras to ensure the results are reproducible. Another approach would be to control for the random initial conditions using a different experimental setup.

For more on randomness in machine learning, see the post:

We can repeat the experiment from the previous section multiple times, then take the average RMSE as an indication of how well the configuration would be expected to perform on unseen data on average.

This is often called multiple repeats or multiple restarts.

We can wrap the model fitting and walk-forward validation in a loop of fixed number of repeats. Each iteration the RMSE of the run can be recorded. We can then summarize the distribution of RMSE scores.

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# repeat experiment
repeats = 30
error_scores = list()
for r in range(repeats):
# fit the model
lstm_model = fit_lstm(train_scaled, 1, 3000, 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)
# invert scaling
yhat = invert_scale(scaler, X, yhat)
# invert differencing
yhat = inverse_difference(raw_values, yhat, len(test_scaled)+1-i)
# store forecast
predictions.append(yhat)
# report performance
rmse = sqrt(mean_squared_error(raw_values[-12:], predictions))
print('%d) Test RMSE: %.3f' % (r+1, rmse))
error_scores.append(rmse)

The data preparation would be the same as before.

We will use 30 repeats as that is sufficient to provide a good distribution of RMSE scores.

The complete example is listed below.

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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
 
# date-time parsing function for loading the dataset
def parser(x):
return datetime.strptime('190'+x, '%Y-%m')
 
# frame a sequence as a supervised learning problem
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
 
# create a differenced series
def difference(dataset, interval=1):
diff = list()
for i in range(interval, len(dataset)):
value = dataset[i] - dataset[i - interval]
diff.append(value)
return Series(diff)
 
# invert differenced value
def inverse_difference(history, yhat, interval=1):
return yhat + history[-interval]
 
# scale train and test data to [-1, 1]
def scale(train, test):
# fit scaler
scaler = MinMaxScaler(feature_range=(-1, 1))
scaler = scaler.fit(train)
# transform train
train = train.reshape(train.shape[0], train.shape[1])
train_scaled = scaler.transform(train)
# transform test
test = test.reshape(test.shape[0], test.shape[1])
test_scaled = scaler.transform(test)
return scaler, train_scaled, test_scaled
 
# inverse scaling for a forecasted value
def invert_scale(scaler, X, value):
new_row = [x for x in X] + [value]
array = numpy.array(new_row)
array = array.reshape(1, len(array))
inverted = scaler.inverse_transform(array)
return inverted[0, -1]
 
# fit an LSTM network to training data
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]
 
# load dataset
series = read_csv('shampoo-sales.csv', header=0, parse_dates=[0], index_col=0, squeeze=True, date_parser=parser)
 
# transform data to be stationary
raw_values = series.values
diff_values = difference(raw_values, 1)
 
# transform data to be supervised learning
supervised = timeseries_to_supervised(diff_values, 1)
supervised_values = supervised.values
 
# split data into train and test-sets
train, test = supervised_values[0:-12], supervised_values[-12:]
 
# transform the scale of the data
scaler, train_scaled, test_scaled = scale(train, test)
 
# repeat experiment
repeats = 30
error_scores = list()
for r in range(repeats):
# fit the model
lstm_model = fit_lstm(train_scaled, 1, 3000, 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)
# invert scaling
yhat = invert_scale(scaler, X, yhat)
# invert differencing
yhat = inverse_difference(raw_values, yhat, len(test_scaled)+1-i)
# store forecast
predictions.append(yhat)
# report performance
rmse = sqrt(mean_squared_error(raw_values[-