Pybrain time series prediction using LSTM recurrent nets

Question

I have a question in mind which relates to the usage of pybrain to do regression of a time series. I plan to use the LSTM layer in pybrain to train and predict a time series.

I found an example code here in the link below

Request for example: Recurrent neural network for predicting next value in a sequence

In the example above, the network is able to predict a sequence after its being trained. But the issue is, network takes in all the sequential data by feeding it in one go to the input layer. For example, if the training data has 10 features each, the 10 features will be simultaneously fed into 10 input nodes at one time.

From my understanding, this is no longer a time series prediction am I right? Since there is no difference in terms of the time each feature is fed into the network? Correct me if I am wrong on this.

Therefore, what I am trying to achieve is a recurrent network that has only ONE input node, and ONE output node. The input node is where all the time series data will be fed sequentially at different time steps. The network will be trained to reproduce the input at the output node.

Could you please suggest or guide me in constructing the network I mentioned? Thank you very much in advance.

Answer 1

You can train an LSTM network with a single input node and a single output node for doing time series prediction like this:

First, just as a good practice, let's use Python3's print function:

from __future__ import print_function

Then, make a simple time series:

data = [1] * 3 + [2] * 3
data *= 3
print(data)

[1, 1, 1, 2, 2, 2, 1, 1, 1, 2, 2, 2, 1, 1, 1, 2, 2, 2]

Now put this timeseries into a supervised dataset, where the target for each sample is the next sample:

from pybrain.datasets import SequentialDataSet
from itertools import cycle

ds = SequentialDataSet(1, 1)
for sample, next_sample in zip(data, cycle(data[1:])):
    ds.addSample(sample, next_sample)

Build a simple LSTM network with 1 input node, 5 LSTM cells and 1 output node:

from pybrain.tools.shortcuts import buildNetwork
from pybrain.structure.modules import LSTMLayer

net = buildNetwork(1, 5, 1, 
                   hiddenclass=LSTMLayer, outputbias=False, recurrent=True)

Train the network:

from pybrain.supervised import RPropMinusTrainer
from sys import stdout

trainer = RPropMinusTrainer(net, dataset=ds)
train_errors = [] # save errors for plotting later
EPOCHS_PER_CYCLE = 5
CYCLES = 100
EPOCHS = EPOCHS_PER_CYCLE * CYCLES
for i in xrange(CYCLES):
    trainer.trainEpochs(EPOCHS_PER_CYCLE)
    train_errors.append(trainer.testOnData())
    epoch = (i+1) * EPOCHS_PER_CYCLE
    print("\r epoch {}/{}".format(epoch, EPOCHS), end="")
    stdout.flush()

print()
print("final error =", train_errors[-1])

Plot the errors (note that in this simple toy example, we are testing and training on the same dataset, which is of course not what you'd do for a real project!):

import matplotlib.pyplot as plt

plt.plot(range(0, EPOCHS, EPOCHS_PER_CYCLE), train_errors)
plt.xlabel('epoch')
plt.ylabel('error')
plt.show()

Now ask the network to predict the next sample:

for sample, target in ds.getSequenceIterator(0):
    print("               sample = %4.1f" % sample)
    print("predicted next sample = %4.1f" % net.activate(sample))
    print("   actual next sample = %4.1f" % target)
    print()

(The code above is based on the example_rnn.py and the examples from the PyBrain documentation)