7/16/2020 S+P Week 2 Lesson 3.

ipynb - Colaboratory

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Open in Colab

try:
# %tensorflow_version only exists in Colab.
%tensorflow_version 2.x
except Exception:
pass

import tensorflow as tf
import numpy as np
import matplotlib.pyplot as plt
print(tf.__version__)

def plot_series(time, series, format="-", start=0, end=None):

plt.plot(time[start:end], series[start:end], format)
plt.xlabel("Time")
plt.ylabel("Value")
plt.grid(True)

def trend(time, slope=0):

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7/16/2020 S+P Week 2 Lesson 3.ipynb - Colaboratory
return slope * time

def seasonal_pattern(season_time):
"""Just an arbitrary pattern, you can change it if you wish"""
return np.where(season_time < 0.4,
np.cos(season_time * 2 * np.pi),
1 / np.exp(3 * season_time))

def seasonality(time, period, amplitude=1, phase=0):

"""Repeats the same pattern at each period"""
season_time = ((time + phase) % period) / period
return amplitude * seasonal_pattern(season_time)

def noise(time, noise_level=1, seed=None):

rnd = np.random.RandomState(seed)
return rnd.randn(len(time)) * noise_level

time = np.arange(4 * 365 + 1, dtype="float32")

baseline = 10
series = trend(time, 0.1)
baseline = 10
amplitude = 20
slope = 0.09
noise_level = 5

# Create the series

series = baseline + trend(time, slope) + seasonality(time, period=365, amplitude=amplitude)
# Update with noise
series += noise(time, noise_level, seed=42)

split_time = 1000
time_train = time[:split_time]
x_train = series[:split_time]
time_valid = time[split_time:]
x_valid = series[split_time:]

window_size = 20
batch_size = 32
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7/16/2020 S+P Week 2 Lesson 3.ipynb - Colaboratory

shuffle_buffer_size = 1000

plt.figure(figsize=(10, 6))
plot_series(time_valid, x_valid)

def windowed_dataset(series, window_size, batch_size, shuffle_buffer):

dataset = tf.data.Dataset.from_tensor_slices(series)
dataset = dataset.window(window_size + 1, shift=1, drop_remainder=True)
dataset = dataset.flat_map(lambda window: window.batch(window_size + 1))
dataset = dataset.shuffle(shuffle_buffer).map(lambda window: (window[:-1], window[-1]))
dataset = dataset.batch(batch_size).prefetch(1)
return dataset

dataset = windowed_dataset(x_train, window_size, batch_size, shuffle_buffer_size)

model = tf.keras.models.Sequential([
tf.keras.layers.Dense(10, input_shape=[window_size], activation="relu"),
tf.keras.layers.Dense(10, activation="relu"),
tf.keras.layers.Dense(1)
])

model.compile(loss="mse", optimizer=tf.keras.optimizers.SGD(lr=1e-6, momentum=0.9))

model.fit(dataset,epochs=100,verbose=0)

forecast = []
for time in range(len(series) - window_size):
forecast.append(model.predict(series[time:time + window_size][np.newaxis]))

forecast = forecast[split_time-window_size:]
results = np.array(forecast)[:, 0, 0]

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7/16/2020 S+P Week 2 Lesson 3.ipynb - Colaboratory

plt.figure(figsize=(10, 6))

plot_series(time_valid, x_valid)
plot_series(time_valid, results)

tf.keras.metrics.mean_absolute_error(x_valid, results).numpy()

dataset = windowed_dataset(x_train, window_size, batch_size, shuffle_buffer_size)

model = tf.keras.models.Sequential([
tf.keras.layers.Dense(10, input_shape=[window_size], activation="relu"),
tf.keras.layers.Dense(10, activation="relu"),
tf.keras.layers.Dense(1)
])

lr_schedule = tf.keras.callbacks.LearningRateScheduler(
lambda epoch: 1e-8 * 10**(epoch / 20))
optimizer = tf.keras.optimizers.SGD(lr=1e-8, momentum=0.9)
model.compile(loss="mse", optimizer=optimizer)
history = model.fit(dataset, epochs=100, callbacks=[lr_schedule], verbose=0)

lrs = 1e-8 * (10 ** (np.arange(100) / 20))

plt.semilogx(lrs, history.history["loss"])
plt.axis([1e-8, 1e-3, 0, 300])

window_size = 30
dataset = windowed_dataset(x_train, window_size, batch_size, shuffle_buffer_size)

model = tf.keras.models.Sequential([
tf.keras.layers.Dense(10, activation="relu", input_shape=[window_size]),
tf.keras.layers.Dense(10, activation="relu"),
tf.keras.layers.Dense(1)
])

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7/16/2020 S+P Week 2 Lesson 3.ipynb - Colaboratory

optimizer = tf.keras.optimizers.SGD(lr=8e-6, momentum=0.9)

model.compile(loss="mse", optimizer=optimizer)
history = model.fit(dataset, epochs=500, verbose=0)

loss = history.history['loss']
epochs = range(len(loss))
plt.plot(epochs, loss, 'b', label='Training Loss')
plt.show()

# Plot all but the first 10

loss = history.history['loss']
epochs = range(10, len(loss))
plot_loss = loss[10:]
print(plot_loss)
plt.plot(epochs, plot_loss, 'b', label='Training Loss')
plt.show()

forecast = []
for time in range(len(series) - window_size):
forecast.append(model.predict(series[time:time + window_size][np.newaxis]))

forecast = forecast[split_time-window_size:]
results = np.array(forecast)[:, 0, 0]

plt.figure(figsize=(10, 6))

plot_series(time_valid, x_valid)
plot_series(time_valid, results)

tf.keras.metrics.mean_absolute_error(x_valid, results).numpy()

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