gluonts.mx.kernels package#
- class gluonts.mx.kernels.KernelOutput[source]#
Bases:
object
Class to connect a network to a kernel.
- static compute_std(F, data: Union[mxnet.ndarray.ndarray.NDArray, mxnet.symbol.symbol.Symbol], axis: int) Union[mxnet.ndarray.ndarray.NDArray, mxnet.symbol.symbol.Symbol] [source]#
This function computes the standard deviation of the data along a given axis.
- Parameters
F (ModuleType) – A module that can either refer to the Symbol API or the NDArray API in MXNet.
data (Tensor) – Data to be used to compute the standard deviation.
axis (int) – Axis along which to compute the standard deviation.
- Returns
The standard deviation of the given data.
- Return type
Tensor
- kernel(args) gluonts.mx.kernels._kernel.Kernel [source]#
- class gluonts.mx.kernels.KernelOutputDict[source]#
Bases:
gluonts.mx.kernels._kernel_output.KernelOutput
- args_dim: Dict[str, int]#
- get_args_proj(float_type: typing.Type = <class 'numpy.float32'>) gluonts.mx.distribution.distribution_output.ArgProj [source]#
This method calls the ArgProj block in distribution_output to project from a dense layer to kernel arguments.
- Parameters
float_type (Type) – Determines whether to use single or double precision.
- Return type
- gp_params_scaling(F, past_target: Union[mxnet.ndarray.ndarray.NDArray, mxnet.symbol.symbol.Symbol], past_time_feat: Union[mxnet.ndarray.ndarray.NDArray, mxnet.symbol.symbol.Symbol]) tuple [source]#
- kernel(kernel_args) gluonts.mx.kernels._kernel.Kernel [source]#
- Parameters
kernel_args – Variable length argument list.
- Returns
Instantiated specified Kernel subclass object.
- Return type
- kernel_cls: type#
- class gluonts.mx.kernels.PeriodicKernel(amplitude: Union[mxnet.ndarray.ndarray.NDArray, mxnet.symbol.symbol.Symbol], length_scale: Union[mxnet.ndarray.ndarray.NDArray, mxnet.symbol.symbol.Symbol], frequency: Union[mxnet.ndarray.ndarray.NDArray, mxnet.symbol.symbol.Symbol], F=None)[source]#
Bases:
gluonts.mx.kernels._kernel.Kernel
Computes a covariance matrix based on the Periodic kernel between inputs \(\mathbf{x_1}\) and \(\mathbf{x_2}\): \(k_{\text{Per}}(\mathbf{x_1}, \mathbf{x_2}) = \theta_0 \exp \left (\frac{-2\sin^2(\theta_2 \pi \|\mathbf{x_1} - \mathbf{x_2}\|)} {\theta_1^2} \right)\), where \(\theta_0\) is the amplitude parameter, \(\theta_1\) is the length scale parameter and \(\theta_2\) is the frequency parameter.
- kernel_matrix(x1: Union[mxnet.ndarray.ndarray.NDArray, mxnet.symbol.symbol.Symbol], x2: Union[mxnet.ndarray.ndarray.NDArray, mxnet.symbol.symbol.Symbol]) Union[mxnet.ndarray.ndarray.NDArray, mxnet.symbol.symbol.Symbol] [source]#
- Parameters
x1 (Tensor) – Feature data of shape (batch_size, history_length, num_features).
x2 (Tensor) – Feature data of shape (batch_size, history_length, num_features).
- Returns
Periodic kernel matrix of shape (batch_size, history_length, history_length).
- Return type
Tensor
- class gluonts.mx.kernels.PeriodicKernelOutput[source]#
Bases:
gluonts.mx.kernels._kernel_output.KernelOutputDict
- args_dim: Dict[str, int] = {'amplitude': 1, 'frequency': 1, 'length_scale': 1}#
- classmethod domain_map(F, amplitude, length_scale, frequency)[source]#
This function applies the softmax to the Periodic Kernel hyper- parameters.
- Parameters
F – A module that can either refer to the Symbol API or the NDArray API in MXNet.
amplitude – Periodic kernel amplitude hyper-parameter of shape (batch_size, 1, 1).
length_scale – Periodic kernel length scale hyper-parameter of of shape (batch_size, 1, 1).
frequency – Periodic kernel hyper-parameter of shape (batch_size, 1, 1).
- Returns
Three GP Periodic kernel hyper-parameters. Each is a Tensor of shape: (batch_size, 1, 1).
- Return type
Tuple[Tensor, Tensor, Tensor]
- gp_params_scaling(F, past_target: Union[mxnet.ndarray.ndarray.NDArray, mxnet.symbol.symbol.Symbol], past_time_feat: Union[mxnet.ndarray.ndarray.NDArray, mxnet.symbol.symbol.Symbol]) Tuple[Union[mxnet.ndarray.ndarray.NDArray, mxnet.symbol.symbol.Symbol], Union[mxnet.ndarray.ndarray.NDArray, mxnet.symbol.symbol.Symbol], Union[mxnet.ndarray.ndarray.NDArray, mxnet.symbol.symbol.Symbol], Union[mxnet.ndarray.ndarray.NDArray, mxnet.symbol.symbol.Symbol]] [source]#
This function returns the scales for the GP Periodic Kernel hyper- parameters by using the standard deviations of the past_target and past_time_features.
- Parameters
F (ModuleType) – A module that can either refer to the Symbol API or the NDArray API in MXNet.
past_target (Tensor) – Training time series values of shape (batch_size, context_length).
past_time_feat (Tensor) – Training features of shape (batch_size, context_length, num_features).
- Returns
Three scaled GP hyper-parameters for the Periodic Kernel and scaled model noise hyper-parameter. Each is a Tensor of shape (batch_size, 1, 1).
- Return type
Tuple
- kernel_cls#
- class gluonts.mx.kernels.RBFKernel(amplitude: Union[mxnet.ndarray.ndarray.NDArray, mxnet.symbol.symbol.Symbol], length_scale: Union[mxnet.ndarray.ndarray.NDArray, mxnet.symbol.symbol.Symbol], F=None)[source]#
Bases:
gluonts.mx.kernels._kernel.Kernel
Computes a covariance matrix based on the RBF (squared exponential) kernel between inputs \(\mathbf{x_1}\) and \(\mathbf{x_2}\): \(k_{\text{RBF}}(\mathbf{x_1}, \mathbf{x_2}) = \theta_0 \exp \left ( -\frac{\|\mathbf{x_1} - \mathbf{x_2}\|^2} {2\theta_1^2} \right)\), where \(\theta_0\) is the amplitude parameter and \(\theta_1\) is the length scale parameter.
- kernel_matrix(x1: Union[mxnet.ndarray.ndarray.NDArray, mxnet.symbol.symbol.Symbol], x2: Union[mxnet.ndarray.ndarray.NDArray, mxnet.symbol.symbol.Symbol]) Union[mxnet.ndarray.ndarray.NDArray, mxnet.symbol.symbol.Symbol] [source]#
- Parameters
x1 (Tensor) – Feature data of shape (batch_size, history_length, num_features).
x2 (Tensor) – Feature data of shape (batch_size, history_length, num_features).
- Returns
RBF kernel matrix of shape (batch_size, history_length, history_length).
- Return type
Tensor
- class gluonts.mx.kernels.RBFKernelOutput[source]#
Bases:
gluonts.mx.kernels._kernel_output.KernelOutputDict
- args_dim: Dict[str, int] = {'amplitude': 1, 'length_scale': 1}#
- domain_map(F, amplitude, length_scale)[source]#
This function applies the softmax to the RBF Kernel hyper-parameters.
- Parameters
F – A module that can either refer to the Symbol API or the NDArray API in MXNet.
amplitude – RBF kernel amplitude hyper-parameter of shape (batch_size, 1, 1).
length_scale – RBF kernel length scale hyper-parameter of of shape (batch_size, 1, 1).
- Returns
Two GP RBF kernel hyper-parameters. Each is a Tensor of shape: (batch_size, 1, 1).
- Return type
Tuple[Tensor, Tenspr]
- gp_params_scaling(F, past_target: Union[mxnet.ndarray.ndarray.NDArray, mxnet.symbol.symbol.Symbol], past_time_feat: Union[mxnet.ndarray.ndarray.NDArray, mxnet.symbol.symbol.Symbol]) Tuple[Union[mxnet.ndarray.ndarray.NDArray, mxnet.symbol.symbol.Symbol], Union[mxnet.ndarray.ndarray.NDArray, mxnet.symbol.symbol.Symbol], Union[mxnet.ndarray.ndarray.NDArray, mxnet.symbol.symbol.Symbol]] [source]#
This function returns the scales for the GP RBF Kernel hyper- parameters by using the standard deviations of the past_target and past_time_features.
- Parameters
F – A module that can either refer to the Symbol API or the NDArray API in MXNet.
past_target – Training time series values of shape (batch_size, context_length).
past_time_feat – Training features of shape (batch_size, context_length, num_features).
- Returns
Two scaled GP hyper-parameters for the RBF Kernel and scaled model noise hyper-parameter. Each is a Tensor of shape (batch_size, 1, 1).
- Return type
Tuple
- kernel_cls#