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import torch
import torch.nn as nn
from math import sqrt
import torch.nn.functional as F
import numpy as np
import torch.utils.data as tud
class ConvLayer(nn.Module):
"""1-D Convolution layer to extract high-level features of each time-series input
:param n_features: Number of input features/nodes
:param window_size: length of the input sequence
:param kernel_size: size of kernel to use in the convolution operation
"""
def __init__(self, n_features, kernel_size=7):
super(ConvLayer, self).__init__()
self.padding = nn.ConstantPad1d((kernel_size - 1) // 2, 0.0)
self.conv = nn.Conv1d(in_channels=n_features, out_channels=n_features, kernel_size=kernel_size)
self.relu = nn.ReLU()
def forward(self, x):
x = x.permute(0, 2, 1)
x = self.padding(x)
x = self.relu(self.conv(x))
return x.permute(0, 2, 1) # Permute back
class FeatureAttentionLayer(nn.Module):
"""Single Graph Feature/Spatial Attention Layer
:param n_features: Number of input features/nodes
:param window_size: length of the input sequence
:param dropout: percentage of nodes to dropout
:param alpha: negative slope used in the leaky rely activation function
:param embed_dim: embedding dimension (output dimension of linear transformation)
:param use_gatv2: whether to use the modified attention mechanism of GATv2 instead of standard GAT
:param use_bias: whether to include a bias term in the attention layer
"""
def __init__(self, n_features, window_size, dropout, alpha, embed_dim=None, use_gatv2=True, use_bias=True,
use_softmax=True):
super(FeatureAttentionLayer, self).__init__()
self.n_features = n_features
self.window_size = window_size
self.dropout = dropout
self.embed_dim = embed_dim if embed_dim is not None else window_size
self.use_gatv2 = use_gatv2
self.num_nodes = n_features
self.use_bias = use_bias
self.use_softmax = use_softmax
# Because linear transformation is done after concatenation in GATv2
if self.use_gatv2:
self.embed_dim *= 2
lin_input_dim = 2 * window_size
a_input_dim = self.embed_dim
else:
lin_input_dim = window_size
a_input_dim = 2 * self.embed_dim
self.lin = nn.Linear(lin_input_dim, self.embed_dim)
self.a = nn.Parameter(torch.empty((a_input_dim, 1)))
nn.init.xavier_uniform_(self.a.data, gain=1.414)
if self.use_bias:
self.bias = nn.Parameter(torch.ones(n_features, n_features))
self.leakyrelu = nn.LeakyReLU(alpha)
self.sigmoid = nn.Sigmoid()
def forward(self, x):
# x shape (b, n, k): b - batch size, n - window size, k - number of features
# For feature attention we represent a node as the values of a particular feature across all timestamps
x = x.permute(0, 2, 1)
# 'Dynamic' GAT attention
# Proposed by Brody et. al., 2021 (https://arxiv.org/pdf/2105.14491.pdf)
# Linear transformation applied after concatenation and attention layer applied after leakyrelu
if self.use_gatv2:
a_input = self._make_attention_input(x) # (b, k, k, 2*window_size)
a_input = self.leakyrelu(self.lin(a_input)) # (b, k, k, embed_dim)
e = torch.matmul(a_input, self.a).squeeze(3) # (b, k, k, 1)
# Original GAT attention
else:
Wx = self.lin(x) # (b, k, k, embed_dim)
a_input = self._make_attention_input(Wx) # (b, k, k, 2*embed_dim)
e = self.leakyrelu(torch.matmul(a_input, self.a)).squeeze(3) # (b, k, k, 1)
if self.use_bias:
e += self.bias
# Attention weights
if self.use_softmax:
e = torch.softmax(e, dim=2)
attention = torch.dropout(e, self.dropout, train=self.training)
# Computing new node features using the attention
h = self.sigmoid(torch.matmul(attention, x))
return h.permute(0, 2, 1)
def _make_attention_input(self, v):
"""Preparing the feature attention mechanism.
Creating matrix with all possible combinations of concatenations of node.
Each node consists of all values of that node within the window
v1 || v1,
...
v1 || vK,
v2 || v1,
...
v2 || vK,
...
...
vK || v1,
...
vK || vK,
"""
K = self.num_nodes
blocks_repeating = v.repeat_interleave(K, dim=1) # Left-side of the matrix
blocks_alternating = v.repeat(1, K, 1) # Right-side of the matrix
combined = torch.cat((blocks_repeating, blocks_alternating), dim=2) # (b, K*K, 2*window_size)
if self.use_gatv2:
return combined.view(v.size(0), K, K, 2 * self.window_size)
else:
return combined.view(v.size(0), K, K, 2 * self.embed_dim)
class TemporalAttentionLayer(nn.Module):
"""Single Graph Temporal Attention Layer
:param n_features: number of input features/nodes
:param window_size: length of the input sequence
:param dropout: percentage of nodes to dropout
:param alpha: negative slope used in the leaky rely activation function
:param embed_dim: embedding dimension (output dimension of linear transformation)
:param use_gatv2: whether to use the modified attention mechanism of GATv2 instead of standard GAT
:param use_bias: whether to include a bias term in the attention layer
"""
def __init__(self, n_features, window_size, dropout, alpha, embed_dim=None, use_gatv2=True, use_bias=True,
use_softmax=True):
super(TemporalAttentionLayer, self).__init__()
self.n_features = n_features
self.window_size = window_size
self.dropout = dropout
self.use_gatv2 = use_gatv2
self.embed_dim = embed_dim if embed_dim is not None else n_features
self.num_nodes = window_size
self.use_bias = use_bias
self.use_softmax = use_softmax
# Because linear transformation is performed after concatenation in GATv2
if self.use_gatv2:
self.embed_dim *= 2
lin_input_dim = 2 * n_features
a_input_dim = self.embed_dim
else:
lin_input_dim = n_features
a_input_dim = 2 * self.embed_dim
self.lin = nn.Linear(lin_input_dim, self.embed_dim)
self.a = nn.Parameter(torch.empty((a_input_dim, 1)))
nn.init.xavier_uniform_(self.a.data, gain=1.414)
if self.use_bias:
self.bias = nn.Parameter(torch.ones(window_size, window_size))
self.leakyrelu = nn.LeakyReLU(alpha)
self.sigmoid = nn.Sigmoid()
def forward(self, x):
# x shape (b, n, k): b - batch size, n - window size, k - number of features
# For temporal attention a node is represented as all feature values at a specific timestamp
# 'Dynamic' GAT attention
# Proposed by Brody et. al., 2021 (https://arxiv.org/pdf/2105.14491.pdf)
# Linear transformation applied after concatenation and attention layer applied after leakyrelu
if self.use_gatv2:
a_input = self._make_attention_input(x) # (b, n, n, 2*n_features)
a_input = self.leakyrelu(self.lin(a_input)) # (b, n, n, embed_dim)
e = torch.matmul(a_input, self.a).squeeze(3) # (b, n, n, 1)
# Original GAT attention
else:
Wx = self.lin(x) # (b, n, n, embed_dim)
a_input = self._make_attention_input(Wx) # (b, n, n, 2*embed_dim)
e = self.leakyrelu(torch.matmul(a_input, self.a)).squeeze(3) # (b, n, n, 1)
if self.use_bias:
e += self.bias # (b, n, n, 1)
# Attention weights
if self.use_softmax:
e = torch.softmax(e, dim=2)
attention = torch.dropout(e, self.dropout, train=self.training)
h = self.sigmoid(torch.matmul(attention, x)) # (b, n, k)
return h
def _make_attention_input(self, v):
"""Preparing the temporal attention mechanism.
Creating matrix with all possible combinations of concatenations of node values:
(v1, v2..)_t1 || (v1, v2..)_t1
(v1, v2..)_t1 || (v1, v2..)_t2
...
...
(v1, v2..)_tn || (v1, v2..)_t1
(v1, v2..)_tn || (v1, v2..)_t2
"""
K = self.num_nodes
blocks_repeating = v.repeat_interleave(K, dim=1) # Left-side of the matrix
blocks_alternating = v.repeat(1, K, 1) # Right-side of the matrix
combined = torch.cat((blocks_repeating, blocks_alternating), dim=2)
if self.use_gatv2:
return combined.view(v.size(0), K, K, 2 * self.n_features)
else:
return combined.view(v.size(0), K, K, 2 * self.embed_dim)
class FullAttention(nn.Module):
def __init__(self, mask_flag=True, scale=None, attention_dropout=0.1, output_attention=False):
super(FullAttention, self).__init__()
self.scale = scale
self.mask_flag = mask_flag
self.output_attention = output_attention
self.dropout = nn.Dropout(attention_dropout)
self.relu_q = nn.ReLU()
self.relu_k = nn.ReLU()
@staticmethod
def TriangularCausalMask(B, L, S, device='cpu'):
mask_shape = [B, 1, L, S]
with torch.no_grad():
mask = torch.triu(torch.ones(mask_shape, dtype=torch.bool), diagonal=1)
return mask.to(device)
def forward(self, queries, keys, values, attn_mask):
B, L, H, E = queries.shape
_, S, _, D = values.shape
scale = self.scale or 1. / sqrt(E) # scale相对于取多少比例,取前1/根号n
scores = torch.einsum("blhe,bshe->bhls", queries, keys)
if self.mask_flag:
if attn_mask is None:
attn_mask = self.TriangularCausalMask(B, L, S, device=queries.device)
scores.masked_fill_(attn_mask, 0)
A = self.dropout(torch.softmax(scale * scores, dim=-1))
V = torch.einsum("bhls,bshd->blhd", A, values)
# queries = self.relu_q(queries)
# keys = self.relu_k(keys)
# KV = torch.einsum("blhe,bshe->bhls", keys, values)
# A = self.dropout(scale * KV)
# V = torch.einsum("bshd,bhls->blhd", queries, A)
if self.output_attention:
return (V.contiguous(), A)
else:
return (V.contiguous(), None)
class ProbAttention(nn.Module):
def __init__(self, mask_flag=True, factor=2, scale=None, attention_dropout=0.1, output_attention=False):
super(ProbAttention, self).__init__()
self.factor = factor
self.scale = scale
self.mask_flag = mask_flag
self.output_attention = output_attention
@staticmethod
def ProbMask(B, H, D, index, scores, device='cpu'):
_mask = torch.ones(D, scores.shape[-2], dtype=torch.bool).triu(1)
_mask_ex = _mask[None, None, :].expand(B, H, D, scores.shape[-2])
indicator = _mask_ex.transpose(-2, -1)[torch.arange(B)[:, None, None],
torch.arange(H)[None, :, None],
index, :].transpose(-2, -1)
mask = indicator.view(scores.shape)
return mask.to(device)
def _prob_KV(self, K, V, sample_v, n_top): # n_top: c*ln(L_q)
# Q [B, H, L, D]
B, H, L, E_V = V.shape
_, _, _, E_K = K.shape
# calculate the sampled K_V
V_expand = V.transpose(-2, -1).unsqueeze(-2).expand(B, H, E_V, E_K, L)
index_sample = torch.randint(E_V, (E_K, sample_v)) # real U = U_part(factor*ln(L_k))*L_q
V_sample = V_expand[:, :, torch.arange(E_V).unsqueeze(1), index_sample, :]
K_V_sample = torch.matmul(K.transpose(-2, -1).unsqueeze(-2), V_sample.transpose(-2, -1)).squeeze()
# find the Top_k query with sparisty measurement
M = K_V_sample.max(-1)[0] - torch.div(K_V_sample.sum(-1), E_V)
M_top = M.topk(n_top, sorted=False)[1]
# use the reduced Q to calculate Q_K
V_reduce = V.transpose(-2, -1)[torch.arange(B)[:, None, None],
torch.arange(H)[None, :, None],
M_top, :].transpose(-2, -1) # factor*ln(L_q)
K_V = torch.matmul(K.transpose(-2, -1), V_reduce) # factor*ln(L_q)*L_k
#
return K_V, M_top
def _get_initial_context(self, V, L_Q):
B, H, L_V, D = V.shape
if not self.mask_flag:
# V_sum = V.sum(dim=-2)
V_sum = V.mean(dim=-2)
contex = V_sum.unsqueeze(-2).expand(B, H, L_Q, V_sum.shape[-1]).clone()
else: # use mask
assert (L_Q == L_V) # requires that L_Q == L_V, i.e. for self-attention only
contex = V.cumsum(dim=-2)
return contex
def _update_context(self, context_in, Q, scores, index, D_K, attn_mask):
B, H, L, D_Q = Q.shape
if self.mask_flag:
attn_mask = self.ProbMask(B, H, D_K, index, scores, device=Q.device)
scores.masked_fill_(attn_mask, -np.inf)
attn = torch.softmax(scores, dim=-1) # nn.Softmax(dim=-1)(scores)
context_in.transpose(-2, -1)[torch.arange(B)[:, None, None],
torch.arange(H)[None, :, None],
index, :] = torch.matmul(Q, attn).type_as(context_in).transpose(-2, -1)
if self.output_attention:
attns = (torch.ones([B, H, D_K, D_K]) / D_K).type_as(attn)
attns[torch.arange(B)[:, None, None], torch.arange(H)[None, :, None], index, :] = attn
return (context_in, attns)
else:
return (context_in, None)
def forward(self, queries, keys, values, attn_mask):
# B, L_Q, H, D = queries.shape
# _, L_K, _, _ = keys.shape
B, L, H, D_K = keys.shape
_, _, _, D_V = values.shape
queries = queries.transpose(2, 1)
keys = keys.transpose(2, 1)
values = values.transpose(2, 1)
U_part = self.factor * np.ceil(np.log(D_V)).astype('int').item() # c*ln(L_k)
u = self.factor * np.ceil(np.log(D_K)).astype('int').item() # c*ln(L_q)
U_part = U_part if U_part < D_V else D_V
u = u if u < D_K else D_K
scores_top, index = self._prob_KV(keys, values, sample_v=U_part, n_top=u)
# add scale factor
scale = self.scale or 1. / sqrt(D_K)
if scale is not None:
scores_top = scores_top * scale
# get the context
context = self._get_initial_context(queries, L)
# update the context with selected top_k queries
context, attn = self._update_context(context, queries, scores_top, index, D_K, attn_mask)
return context.contiguous(), attn
class AttentionBlock(nn.Module):
def __init__(self, d_model, n_model, n_heads=8, d_keys=None, d_values=None):
super(AttentionBlock, self).__init__()
d_keys = d_keys or (d_model // n_heads)
d_values = d_values or (d_model // n_heads)
self.inner_attention = FullAttention()
# self.inner_attention = ProbAttention(device=device)
self.query_projection = nn.Linear(d_model, d_keys * n_heads)
self.key_projection = nn.Linear(d_model, d_keys * n_heads)
self.value_projection = nn.Linear(d_model, d_values * n_heads)
self.out_projection = nn.Linear(d_values * n_heads, d_model)
self.n_heads = n_heads
self.layer_norm = nn.LayerNorm(d_model, eps=1e-6)
def forward(self, queries, keys, values, attn_mask):
'''
Q: [batch_size, len_q, d_k]
K: [batch_size, len_k, d_k]
V: [batch_size, len_v(=len_k), d_v]
attn_mask: [batch_size, seq_len, seq_len]
'''
batch_size, len_q, _ = queries.shape
_, len_k, _ = keys.shape
queries = self.query_projection(queries).view(batch_size, len_q, self.n_heads, -1)
keys = self.key_projection(keys).view(batch_size, len_k, self.n_heads, -1)
values = self.value_projection(values).view(batch_size, len_k, self.n_heads, -1)
out, attn = self.inner_attention(
queries,
keys,
values,
attn_mask
)
out = out.view(batch_size, len_q, -1)
out = self.out_projection(out)
out = self.layer_norm(out)
return out, attn
class GRULayer(nn.Module):
"""Gated Recurrent Unit (GRU) Layer
:param in_dim: number of input features
:param hid_dim: hidden size of the GRU
:param n_layers: number of layers in GRU
:param dropout: dropout rate
"""
def __init__(self, in_dim, hid_dim, n_layers, dropout):
super(GRULayer, self).__init__()
self.hid_dim = hid_dim
self.n_layers = n_layers
self.dropout = 0.0 if n_layers == 1 else dropout
self.gru = nn.GRU(in_dim, hid_dim, num_layers=n_layers, batch_first=True, dropout=self.dropout)
def forward(self, x):
out, h = self.gru(x)
out, h = out[-1, :, :], h[-1, :, :] # Extracting from last layer
return out, h
class RNNDecoder(nn.Module):
"""GRU-based Decoder network that converts latent vector into output
:param in_dim: number of input features
:param n_layers: number of layers in RNN
:param hid_dim: hidden size of the RNN
:param dropout: dropout rate
"""
def __init__(self, in_dim, hid_dim, n_layers, dropout):
super(RNNDecoder, self).__init__()
self.in_dim = in_dim
self.dropout = 0.0 if n_layers == 1 else dropout
self.rnn = nn.GRU(in_dim, hid_dim, n_layers, batch_first=True, dropout=self.dropout)
def forward(self, x):
decoder_out, _ = self.rnn(x)
return decoder_out
class ReconstructionModel(nn.Module):
"""Reconstruction Model
:param window_size: length of the input sequence
:param in_dim: number of input features
:param n_layers: number of layers in RNN
:param hid_dim: hidden size of the RNN
:param in_dim: number of output features
:param dropout: dropout rate
"""
def __init__(self, window_size, in_dim, hid_dim, out_dim, n_layers, dropout):
super(ReconstructionModel, self).__init__()
self.window_size = window_size
self.decoder = RNNDecoder(in_dim, hid_dim, n_layers, dropout)
self.fc = nn.Linear(hid_dim, out_dim)
def forward(self, x):
# x will be last hidden state of the GRU layer
h_end = x
h_end_rep = h_end.repeat_interleave(self.window_size, dim=1).view(x.size(0), self.window_size, -1)
decoder_out = self.decoder(h_end_rep)
out = self.fc(decoder_out)
return out
class Forecasting_Model(nn.Module):
"""Forecasting model (fully-connected network)
:param in_dim: number of input features
:param hid_dim: hidden size of the FC network
:param out_dim: number of output features
:param n_layers: number of FC layers
:param dropout: dropout rate
"""
def __init__(self, in_dim, hid_dim, out_dim, n_layers, dropout):
super(Forecasting_Model, self).__init__()
layers = [nn.Linear(in_dim, hid_dim)]
for _ in range(n_layers - 1):
layers.append(nn.Linear(hid_dim, hid_dim))
layers.append(nn.Linear(hid_dim, out_dim))
self.layers = nn.ModuleList(layers)
self.dropout = nn.Dropout(dropout)
self.relu = nn.ReLU()
def forward(self, x):
for i in range(len(self.layers) - 1):
x = self.relu(self.layers[i](x))
x = self.dropout(x)
return self.layers[-1](x)
class Model(nn.Module):
""" MTAD_GAT model class.
:param n_features: Number of input features
:param window_size: Length of the input sequence
:param out_dim: Number of features to output
:param kernel_size: size of kernel to use in the 1-D convolution
:param feat_gat_embed_dim: embedding dimension (output dimension of linear transformation)
in feat-oriented GAT layer
:param time_gat_embed_dim: embedding dimension (output dimension of linear transformation)
in time-oriented GAT layer
:param use_gatv2: whether to use the modified attention mechanism of GATv2 instead of standard GAT
:param gru_n_layers: number of layers in the GRU layer
:param gru_hid_dim: hidden dimension in the GRU layer
:param forecast_n_layers: number of layers in the FC-based Forecasting Model
:param forecast_hid_dim: hidden dimension in the FC-based Forecasting Model
:param recon_n_layers: number of layers in the GRU-based Reconstruction Model
:param recon_hid_dim: hidden dimension in the GRU-based Reconstruction Model
:param dropout: dropout rate
:param alpha: negative slope used in the leaky rely activation function
"""
def __init__(self, customs: dict, dataloader: tud.DataLoader = None):
super(Model, self).__init__()
n_features = dataloader.dataset.train_inputs.shape[-1]
window_size = int(customs["input_size"])
out_dim = n_features
kernel_size = 7
feat_gat_embed_dim = None
time_gat_embed_dim = None
use_gatv2 = True
gru_n_layers = 1
gru_hid_dim = 150
forecast_n_layers = 1
forecast_hid_dim = 150
recon_n_layers = 1
recon_hid_dim = 150
dropout = 0.2
alpha = 0.2
optimize = True
self.name = "MtadGatAtt"
self.optimize = optimize
use_softmax = not optimize
self.conv = ConvLayer(n_features, kernel_size)
self.feature_gat = FeatureAttentionLayer(
n_features, window_size, dropout, alpha, feat_gat_embed_dim, use_gatv2, use_softmax=use_softmax)
self.temporal_gat = TemporalAttentionLayer(n_features, window_size, dropout, alpha, time_gat_embed_dim,
use_gatv2, use_softmax=use_softmax)
self.forecasting_model = Forecasting_Model(
gru_hid_dim, forecast_hid_dim, out_dim, forecast_n_layers, dropout)
if optimize:
self.encode = AttentionBlock(3 * n_features, window_size)
self.encode_feature = nn.Linear(3 * n_features * window_size, gru_hid_dim)
self.decode_feature = nn.Linear(gru_hid_dim, n_features * window_size)
self.decode = AttentionBlock(n_features, window_size)
else:
self.gru = GRULayer(3 * n_features, gru_hid_dim, gru_n_layers, dropout)
self.recon_model = ReconstructionModel(window_size, gru_hid_dim, recon_hid_dim, out_dim, recon_n_layers,
dropout)
def forward(self, x):
x = self.conv(x)
h_feat = self.feature_gat(x)
h_temp = self.temporal_gat(x)
h_cat = torch.cat([x, h_feat, h_temp], dim=2) # (b, n, 3k)
if self.optimize:
h_end, _ = self.encode(h_cat, h_cat, h_cat, None)
h_end = self.encode_feature(h_end.reshape(h_end.size(0), -1))
else:
_, h_end = self.gru(h_cat)
h_end = h_end.view(x.shape[0], -1) # Hidden state for last timestamp
predictions = self.forecasting_model(h_end)
if self.optimize:
h_end = self.decode_feature(h_end)
h_end = h_end.reshape(x.shape[0], x.shape[1], x.shape[2])
recons, _ = self.decode(h_end, h_end, h_end, None)
else:
recons = self.recon_model(h_end)
return predictions, recons
def loss(self, x, y_true, epoch: int = None, device: str = "cpu"):
preds, recons = self.forward(x)
if preds.ndim == 3:
preds = preds.squeeze(1)
if y_true.ndim == 3:
y_true = y_true.squeeze(1)
forecast_criterion = nn.MSELoss()
recon_criterion = nn.MSELoss()
forecast_loss = torch.sqrt(forecast_criterion(y_true, preds))
recon_loss = torch.sqrt(recon_criterion(x, recons))
loss = forecast_loss + recon_loss
loss.backward()
return loss.item()
def detection(self, x, y_true, epoch: int = None, device: str = "cpu"):
preds, recons = self.forward(x)
score = F.pairwise_distance(recons.reshape(recons.size(0), -1), x.reshape(x.size(0), -1)) + F.pairwise_distance(y_true.reshape(y_true.size(0), -1), preds.reshape(preds.size(0), -1))
return score, None
if __name__ == "__main__":
from tqdm import tqdm
import time
epoch = 10000
batch_size = 1
# device = 'cuda:1' if torch.cuda.is_available() else 'cpu'
device = 'cpu'
input_len_list = [30, 60, 90, 120, 150, 180, 210, 240, 270, 300]
for input_len in input_len_list:
model = Model(52, input_len, 52, optimize=False, device=device).to(device)
a = torch.Tensor(torch.ones((batch_size, input_len, 52))).to(device)
start = time.time()
for i in tqdm(range(epoch)):
model(a)
end = time.time()
speed1 = batch_size * epoch / (end - start)
model = Model(52, input_len, 52, optimize=True, device=device).to(device)
a = torch.Tensor(torch.ones((batch_size, input_len, 52))).to(device)
start = time.time()
for i in tqdm(range(epoch)):
model(a)
end = time.time()
speed2 = batch_size * epoch / (end - start)
print(input_len, (speed2 - speed1)/speed1, speed1, speed2)
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