Univariate and Mutivariate Time Series Forecasting

time-series-forecasting
February 3, 2024
[1]: # Import libraries

import pandas as pd
import numpy as np
import matplotlib.pyplot as plt
import warnings
warnings.filterwarnings("ignore")
[ ]:
[2]: # Import data

df = pd.read_csv('weather_data.csv')
df.head()
[2]: Date Time T (degC) p (mbar)

0 01.01.2009 00:10:00 -8.02 996.52
1 01.01.2009 00:20:00 -8.41 996.57
2 01.01.2009 00:30:00 -8.51 996.53
3 01.01.2009 00:40:00 -8.31 996.51
4 01.01.2009 00:50:00 -8.27 996.51
Starting from 5, take every 6th, that is ever hour , original df has 10 mins interval
[3]: df = df[5::6]
df

5 01.01.2009 01:00:00 -8.05 996.50
11 01.01.2009 02:00:00 -8.88 996.62
17 01.01.2009 03:00:00 -8.81 996.84
23 01.01.2009 04:00:00 -9.05 996.99
29 01.01.2009 05:00:00 -9.63 997.46
… … … …
420521 31.12.2016 19:10:00 -0.98 1002.18
420527 31.12.2016 20:10:00 -1.40 1001.40
420533 31.12.2016 21:10:00 -2.75 1001.19
420539 31.12.2016 22:10:00 -2.89 1000.65
420545 31.12.2016 23:10:00 -3.93 1000.11
1
[70091 rows x 3 columns]
The resulting dataframe, df, now consists of rows that represent data at one-hour intervals from
the original dataframe, which had a 10-minute interval. The displayed output shows the “Date
Time,” “T (degC)” (temperature), and “p (mbar)” (pressure) columns for each selected hour. The
dataframe has a total of 70091 rows and 3 columns.
Convert to pandas datetime

[4]: df.index = pd.to_datetime(df['Date Time'], format='%d.%m.%Y %H:%M:%S')
df.head()

Date Time
2009-01-01 01:00:00 01.01.2009 01:00:00 -8.05 996.50
2009-01-01 02:00:00 01.01.2009 02:00:00 -8.88 996.62
2009-01-01 03:00:00 01.01.2009 03:00:00 -8.81 996.84
2009-01-01 04:00:00 01.01.2009 04:00:00 -9.05 996.99
2009-01-01 05:00:00 01.01.2009 05:00:00 -9.63 997.46
0.0.1 Focusing on T(degC) column (Univariate)

Ploting the time series
[5]: # Plot temperature data
temp = df['T (degC)']
temp.plot()
[5]: <Axes: xlabel='Date Time'>
2
Making each row a matrix input This function creates input matrices (X) and output vectors
(y) for a time series prediction task. Each row of the input matrix represents a window of win-
dow_size consecutive rows from the original DataFrame. The corresponding output is the value in
the next time step after the window. The function returns the input matrix (X) and output vector
(y).
[6]: # [[[1], [2], [3], [4], [5]]] [6], take last five to predict the 6th,,,, 1-5 is␣
↪appended to X, 6 to y
# [[[2], [3], [4], [5], [6]]] [7]

# [[[3], [4], [5], [6], [7]]] [8]
def df_to_X_y(df, window_size=5):

df_as_np = df.to_numpy()
X = []
y = []
for i in range(len(df_as_np)-window_size):
row = [[a] for a in df_as_np[i:i+window_size]]
X.append(row)
label = df_as_np[i+window_size]
y.append(label)
return np.array(X), np.array(y)
[7]: WINDOW_SIZE = 5
X1, y1 = df_to_X_y(temp, WINDOW_SIZE)
X1.shape, y1.shape
[7]: ((70086, 5, 1), (70086,))
Explanation:
WINDOW_SIZE Definition:
WINDOW_SIZE = 5: The code sets a window size of 5 for creating input matrices and output
vectors. Function Call:
X1, y1 = df_to_X_y(temp, WINDOW_SIZE): Calls the df_to_X_y function with the tem-
perature data (temp) and the specified window size (WINDOW_SIZE). Generated Matrices and
Vectors:
X1.shape, y1.shape: Prints the shapes of the generated input matrices (X1) and output vectors
(y1). Result of Focal Cell:
((70086, 5, 1), (70086,)): The resulting shapes indicate that X1 is a 3D array with dimensions
(70086, 5, 1), and ‘
Splitting the model
3
[8]: # Split the data into Training, testinga and validation sets
# Training set
X_train1, y_train1 = X1[:60000], y1[:60000]
# Validation set
X_val1, y_val1 = X1[60000:65000], y1[60000:65000]
# Testing set
X_test1, y_test1 = X1[65000:], y1[65000:]
X_train1.shape, y_train1.shape, X_val1.shape, y_val1.shape, X_test1.shape,␣
↪y_test1.shape
[8]: ((60000, 5, 1), (60000,), (5000, 5, 1), (5000,), (5086, 5, 1), (5086,))
Explanation:
X_train1, y_train1 = X1[:60000], y1[:60000]: Splits the input matrix X1 and output vector y1 into
training data with the first 60,000 samples.
X_val1, y_val1 = X1[60000:65000], y1[60000:65000]: Creates a validation set with samples from
60,000 to 64,999 from the input matrix X1 and output vector y1.
X_test1, y_test1 = X1[65000:], y1[65000:]: Forms a test set using samples from 65,000 onwards in
the input matrix X1 and output vector y1.
X_train1.shape, y_train1.shape, X_val1.shape, y_val1.shape, X_test1.shape, y_test1.shape:
Prints the shapes of the resulting training, validation, and testing sets.
[9]: # Import necessary libraries
import tensorflow as tf
import os
from tensorflow.keras.models import Sequential
from tensorflow.keras.layers import *
from tensorflow.keras.callbacks import ModelCheckpoint
from tensorflow.keras.losses import MeanSquaredError
from tensorflow.keras.metrics import RootMeanSquaredError
from tensorflow.keras.optimizers import Adam
WARNING:tensorflow:From C:\Users\christopher.wachira_\anaconda3\lib\site-
packages\keras\src\losses.py:2976: The name
tf.losses.sparse_softmax_cross_entropy is deprecated. Please use
tf.compat.v1.losses.sparse_softmax_cross_entropy instead.
[10]: # Create a Sequential model

model1 = Sequential()
# Add an input layer with shape (5, 1)

model1.add(InputLayer((5, 1)))
# Add an LSTM layer with 64 units
4
model1.add(LSTM(64))
# Add a Dense layer with 8 units and 'relu' activation function

model1.add(Dense(8, activation='relu'))
# Add a Dense layer with 1 unit and 'linear' activation function

model1.add(Dense(1, activation='linear'))
# Print a summary of the model's architecture

model1.summary()
packages\keras\src\backend.py:873: The name tf.get_default_graph is deprecated.
Please use tf.compat.v1.get_default_graph instead.
Model: "sequential"
_________________________________________________________________
Layer (type) Output Shape Param #
=================================================================
lstm (LSTM) (None, 64) 16896
dense (Dense) (None, 8) 520
dense_1 (Dense) (None, 1) 9
=================================================================
Total params: 17425 (68.07 KB)
Trainable params: 17425 (68.07 KB)
Non-trainable params: 0 (0.00 Byte)
_________________________________________________________________
Explanation:
model1 = Sequential(): Initializes a sequential model, allowing the addition of layers in a linear
stack.
model1.add(InputLayer((5, 1))): Adds an input layer with a shape of (5, 1), indicating the input
data has 5 time steps and 1 feature.
model1.add(LSTM(64)): Adds an LSTM layer with 64 units.
model1.add(Dense(8, activation=‘relu’)): Adds a Dense layer with 8 units and a Rectified Linear
Unit (ReLU) activation function.
model1.add(Dense(1, activation=‘linear’)): Adds another Dense layer with 1 unit and a linear
activation function.
model1.summary(): Prints a summary of the model architecture, including information about the
layers, output shapes, and parameters.
The summary indicates that the model has a total of 17,425 parameters, all of which are trainable.
5
The model uses an LSTM layer followed by Dense layers for processing and prediction.
To specify our model copacks

[11]: # To specify our model checkpoints
cp1 = ModelCheckpoint('model1/', save_best_only=True)
# Compile the model with Mean Squared Error as the loss function, Adam␣
↪optimizer with a learning rate of 0.0001,
# and Root Mean Squared Error as the evaluation metric

model1.compile(loss=MeanSquaredError(), optimizer=Adam(learning_rate=0.0001),␣
↪metrics=[RootMeanSquaredError()])
cp1 = ModelCheckpoint(‘model1/’, save_best_only=True): Creates a ModelCheckpoint object

named cp1 to save the best model during training. It will save the model in the ‘model1/’ directory
and only overwrite the file if the new model is better than the previous best.
model1.compile(…): Configures the training process for the model. It sets the loss function to
Mean Squared Error, the optimizer to Adam with a learning rate of 0.0001, and includes Root
Mean Squared Error as a metric for evaluation during training.
This code prepares the model for training and ensures that the best version of the model is saved
using checkpoints during the training process.
Fit the model

[12]: # Fit the model using training data (X_train1, y_train1) and validate on␣
↪validation data (X_val1, y_val1) for 10 epochs
# Callbacks include ModelCheckpoint (cp1) to save the best model during training
model1.fit(X_train1, y_train1, validation_data=(X_val1, y_val1), epochs=10,␣
↪callbacks=[cp1])
Epoch 1/10
packages\keras\src\utils\tf_utils.py:492: The name tf.ragged.RaggedTensorValue
is deprecated. Please use tf.compat.v1.ragged.RaggedTensorValue instead.
1870/1875 [============================>.] - ETA: 0s - loss: 49.5947 -

root_mean_squared_error: 7.0424INFO:tensorflow:Assets written to: model1\assets
INFO:tensorflow:Assets written to: model1\assets
1875/1875 [==============================] - 15s 7ms/step - loss: 49.4767 -
root_mean_squared_error: 7.0340 - val_loss: 1.6221 -
val_root_mean_squared_error: 1.2736
Epoch 2/10
1869/1875 [============================>.] - ETA: 0s - loss: 2.8673 -
6
1875/1875 [==============================] - 11s 6ms/step - loss: 2.8609 -
Epoch 3/10
1859/1875 [============================>.] - ETA: 0s - loss: 1.0182 -
1875/1875 [==============================] - 12s 6ms/step - loss: 1.0171 -
Epoch 4/10
1872/1875 [============================>.] - ETA: 0s - loss: 0.7512 -
1875/1875 [==============================] - 12s 7ms/step - loss: 0.7514 -
Epoch 5/10
1872/1875 [============================>.] - ETA: 0s - loss: 0.6906 -
1875/1875 [==============================] - 14s 8ms/step - loss: 0.6905 -
Epoch 6/10
1875/1875 [==============================] - 10s 5ms/step - loss: 0.6690 -
Epoch 7/10
1873/1875 [============================>.] - ETA: 0s - loss: 0.6591 -
1875/1875 [==============================] - 12s 7ms/step - loss: 0.6592 -
Epoch 8/10
1875/1875 [==============================] - 10s 6ms/step - loss: 0.6534 -
Epoch 9/10
1875/1875 [==============================] - 9s 5ms/step - loss: 0.6496 -
Epoch 10/10
7
1875/1875 [==============================] - 9s 5ms/step - loss: 0.6470 -
[12]: <keras.src.callbacks.History at 0x23f5d964be0>
Loss, RMSE and validation loss(which is the most important)all decreased, and the model was
saved at 0.4990 which was the lowest
[13]: # Load the model with the lowest validation loss to memory
from tensorflow.keras.models import load_model
# Load the best model saved during training from the 'model1/' directory
model1 = load_model('model1/')
packages\keras\src\saving\legacy\saved_model\load.py:107: The name
tf.gfile.Exists is deprecated. Please use tf.io.gfile.exists instead.
packages\keras\src\saving\legacy\saved_model\load.py:107: The name
tf.gfile.Exists is deprecated. Please use tf.io.gfile.exists instead.
Predictions On the training data

[14]: # Predictions on the training data using the trained model (model1)
# The following line generates predictions using the trained model on the␣
↪training data
train_predictions = model1.predict(X_train1).flatten()
# Creating a DataFrame to display the predicted values alongside the actual␣

↪values
train_results = pd.DataFrame(data={'Train Predictions': train_predictions,␣

↪'Actuals': y_train1})
# Display the DataFrame with the predicted and actual values

train_results
1875/1875 [==============================] - 6s 3ms/step
[14]: Train Predictions Actuals

0 -9.819400 -9.67
1 -9.665568 -9.17
2 -8.814911 -8.10
3 -7.368946 -7.66
4 -7.267952 -7.04
8
… … …
59995 6.118703 6.07
59996 7.174312 9.88
59997 12.004978 13.53
59998 15.653346 15.43
59999 16.419474 15.54
Plotting
[15]: # Plotting
plt.plot(train_results['Train Predictions'][50:100]) # Plot predictions on␣
↪training data from index 50 to 100
plt.plot(train_results['Actuals'][50:100]) # Plot actual values on␣

↪training data from index 50 to 100
[15]: [<matplotlib.lines.Line2D at 0x23f658b3a60>]
Lets see how it did on the validation data

[16]: # Predictions on the validation data using the trained model (model1)
# The following line generates predictions using the trained model on the␣
↪validation data
val_predictions = model1.predict(X_val1).flatten()
9
↪values for the validation data
val_results = pd.DataFrame(data={'Val Predictions': val_predictions, 'Actuals':␣

↪y_val1})
# Display the DataFrame with the predicted and actual values for the validation␣
↪data
val_results
157/157 [==============================] - 1s 3ms/step
[16]: Val Predictions Actuals

0 15.381510 14.02
1 13.130645 13.67
2 13.087084 12.27
3 11.567726 11.19
4 10.449093 10.85
… … …
4995 17.466074 18.27
4996 17.531942 17.85
4997 17.283659 16.65
4998 15.958948 15.85
4999 15.174923 15.09
[17]: # Plotting
plt.plot(val_results['Val Predictions'][:100])
plt.plot(val_results['Actuals'][:100])
[17]: [<matplotlib.lines.Line2D at 0x23f66e94dc0>]
10
and on the test dataset
[18]: # Predictions on the test dataset using the trained model (model1)
# The following line generates predictions using the trained model on the test␣
↪data
test_predictions = model1.predict(X_test1).flatten()

↪values for the test data
test_results = pd.DataFrame(data={'Test Predictions': test_predictions,␣

↪'Actuals': y_test1})
# Display the DataFrame with the predicted and actual values for the test data
test_results
159/159 [==============================] - 0s 3ms/step
[18]: Test Predictions Actuals

0 14.489413 13.99
1 13.339381 13.46
2 12.941147 12.93
3 12.525792 12.43
4 12.071763 12.17
… … …
5081 -1.171498 -0.98
11
5082 -1.500765 -1.40
5083 -1.675806 -2.75
5084 -3.374628 -2.89
5085 -3.235152 -3.93
[19]: # Plotting
plt.plot(test_results['Test Predictions'][:100])
plt.plot(test_results['Actuals'][:100])
[19]: [<matplotlib.lines.Line2D at 0x23f5f1b57f0>]
Plotting actual and predictions

[20]: # Plotting actual and predictions
from sklearn.metrics import mean_squared_error as mse
# Define a function to plot predictions and actual values

def plot_predictions1(model, X, y, start=0, end=100):
# Generate predictions using the provided model
predictions = model.predict(X).flatten()
# Create a DataFrame with Predictions and Actuals for visualization

df = pd.DataFrame(data={'Predictions': predictions, 'Actuals': y})
12
# Plot the Predictions and Actuals within the specified range
plt.plot(df['Predictions'][start:end])
plt.plot(df['Actuals'][start:end])
# Return the DataFrame and Mean Squared Error (MSE) for further analysis
return df, mse(y, predictions)
[21]: plot_predictions1(model1, X_test1, y_test1)
159/159 [==============================] - 0s 2ms/step
[21]: ( Predictions Actuals

0 14.489413 13.99
1 13.339381 13.46
2 12.941147 12.93
3 12.525792 12.43
4 12.071763 12.17
… … …
5081 -1.171498 -0.98
5082 -1.500765 -1.40
5083 -1.675806 -2.75
5084 -3.374628 -2.89
5085 -3.235152 -3.93
[5086 rows x 2 columns],

0.618725827333579)
13
[ ]:
Adding seconds to temperature

[22]: # Creating a DataFrame 'temp_df' with 'Temperature' and corresponding timestamp␣
↪'Seconds'
temp_df = pd.DataFrame({'Temperature':temp})
temp_df['Seconds'] = temp_df.index.map(pd.Timestamp.timestamp)
temp_df
[22]: Temperature Seconds

Date Time
2009-01-01 01:00:00 -8.05 1.230772e+09
2009-01-01 02:00:00 -8.88 1.230775e+09
2009-01-01 03:00:00 -8.81 1.230779e+09
2009-01-01 04:00:00 -9.05 1.230782e+09
2009-01-01 05:00:00 -9.63 1.230786e+09
… … …
2016-12-31 19:10:00 -0.98 1.483211e+09
2016-12-31 20:10:00 -1.40 1.483215e+09
2016-12-31 21:10:00 -2.75 1.483219e+09
2016-12-31 22:10:00 -2.89 1.483222e+09
2016-12-31 23:10:00 -3.93 1.483226e+09
[23]: day = 60*60*24 # number of seconds in a day

year = 365.2425*day #Year
# Add a new df,converting period signals to sin and cos signals forday and year
temp_df['Day sin'] = np.sin(temp_df['Seconds'] * (2* np.pi / day))

temp_df['Day cos'] = np.cos(temp_df['Seconds'] * (2 * np.pi / day))
temp_df['Year sin'] = np.sin(temp_df['Seconds'] * (2 * np.pi / year))
temp_df['Year cos'] = np.cos(temp_df['Seconds'] * (2 * np.pi / year))
temp_df.head()
[23]: Temperature Seconds Day sin Day cos Year sin \

Date Time
2009-01-01 01:00:00 -8.05 1.230772e+09 0.258819 0.965926 0.010049
2009-01-01 02:00:00 -8.88 1.230775e+09 0.500000 0.866025 0.010766
2009-01-01 03:00:00 -8.81 1.230779e+09 0.707107 0.707107 0.011483
2009-01-01 04:00:00 -9.05 1.230782e+09 0.866025 0.500000 0.012199
2009-01-01 05:00:00 -9.63 1.230786e+09 0.965926 0.258819 0.012916
Year cos
Date Time
14
2009-01-01 01:00:00 0.999950
2009-01-01 02:00:00 0.999942
2009-01-01 03:00:00 0.999934
2009-01-01 04:00:00 0.999926
2009-01-01 05:00:00 0.999917
day and year are defined as the number of seconds in a day and a year, respectively. New columns
(‘Day sin’, ‘Day cos’, ‘Year sin’, ‘Year cos’) are added to temp_df. These new columns contain
sine and cosine transformations of the ‘Seconds’ column, representing the periodicity of the day
and year.
[24]: # Now drop seconds since it does not loop around but is ever increasing
temp_df = temp_df.drop('Seconds', axis=1)
temp_df.head()
[24]: Temperature Day sin Day cos Year sin Year cos
Date Time
2009-01-01 01:00:00 -8.05 0.258819 0.965926 0.010049 0.999950
2009-01-01 02:00:00 -8.88 0.500000 0.866025 0.010766 0.999942
2009-01-01 03:00:00 -8.81 0.707107 0.707107 0.011483 0.999934
2009-01-01 04:00:00 -9.05 0.866025 0.500000 0.012199 0.999926
2009-01-01 05:00:00 -9.63 0.965926 0.258819 0.012916 0.999917
day and year are defined as the number of seconds in a day and a year, respectively. New columns
(‘Day sin’, ‘Day cos’, ‘Year sin’, ‘Year cos’) are added to temp_df. These new columns contain
sine and cosine transformations of the ‘Seconds’ column, representing the periodicity of the day
and year.
[25]: def df_to_X_y2(df, window_size=6):
# Convert the DataFrame to a NumPy array
X = [] # List to store input features
y = [] # List to store labels
# Iterate through the DataFrame array up to (len - window_size) to create␣

↪input-output pairs
# Extract a window of rows from the DataFrame as an input feature
row = [r for r in df_as_np[i:i+window_size]]
X.append(row)
# Extract the label from the next row after the window
label = df_as_np[i+window_size][0]
y.append(label)
# Convert the lists to NumPy arrays and return

15
[26]: # Call the df_to_X_y2 function to convert temp_df into input features (X2) and␣
↪labels (y2)
X2, y2 = df_to_X_y2(temp_df)
# Print the shapes of the resulting arrays

X2.shape, y2.shape
[26]: ((70085, 6, 5), (70085,))
X2 has a shape of (70085, 6, 5), indicating it’s a 3D array with 70085 samples, each containing a
window of 6 rows and 5 columns. y2 has a shape of (70085,), representing the labels corresponding
to each sample in X2. This code is preparing input-output pairs (X2 and y2) for a machine learning
model, where X2 is a window of historical data, and y2 is the label to predict.
[27]: # Split the model
X2_train, y2_train = X2[:60000], y2[:60000]
X2_val, y2_val = X2[60000:65000], y2[60000:65000]
X2_test, y2_test = X2[65000:], y2[65000:]
X2_train.shape, y2_train.shape, X2_val.shape, y2_val.shape, X2_test.shape,␣
↪y2_test.shape
[27]: ((60000, 6, 5), (60000,), (5000, 6, 5), (5000,), (5085, 6, 5), (5085,))
[ ]:
[28]: # Standardise
temp_training_mean = np.mean(X2_train[:, :, 0])
temp_training_std = np.std(X2_train[:, :, 0])
# Define a preprocessing function to standardize the first column of the input␣

↪features
def preprocess(X):
X[:, :, 0] = (X[:, :, 0] - temp_training_mean) / temp_training_std
return X
the code aims to standardize the first column of the input features (X2_train) using the mean
and standard deviation calculated from the training data. The preprocess function is designed to
perform this standardization and is applied to the input features before they are used in a machine
learning model.
temp_training_mean: Calculate the mean of the first column of the training data (X2_train[:, :,
0]). temp_training_std: Calculate the standard deviation of the first column of the training data.
preprocess(X): A function that standardizes the first column of the input features by subtracting the
mean and dividing by the standard deviation. This standardization process helps ensure that the
input data has a consistent scale, which can be important for certain machine learning algorithms.
[29]: # The result of this code is the standardized input features for each dataset,
# which are then ready to be used in a machine learning model.
16
preprocess(X2_train) # Standardize the first column of the input features for␣
↪training data
preprocess(X2_val) # Standardize the first column of the input features for␣

↪validation data
preprocess(X2_test) # Standardize the first column of the input features for␣

↪test data
[29]: array([[[ 1.04009706e+00, -9.65925826e-01, 2.58819045e-01,

5.22877889e-01, -8.52407598e-01],
[ 9.90732794e-01, -8.66025404e-01, 5.00000000e-01,
5.22266764e-01, -8.52782169e-01],
[ 8.49692028e-01, -7.07106781e-01, 7.07106781e-01,
5.21655371e-01, -8.53156301e-01],
[ 7.55664851e-01, -5.00000000e-01, 8.66025404e-01,
5.21043709e-01, -8.53529995e-01],
[ 6.66339032e-01, -2.58819045e-01, 9.65925826e-01,
5.20431780e-01, -8.53903251e-01],
[ 5.37051663e-01, -7.16474371e-12, 1.00000000e+00,
5.19819584e-01, -8.54276068e-01]],
[[ 9.90732794e-01, -8.66025404e-01, 5.00000000e-01,

5.22266764e-01, -8.52782169e-01],
[ 8.49692028e-01, -7.07106781e-01, 7.07106781e-01,
5.21655371e-01, -8.53156301e-01],
[ 7.55664851e-01, -5.00000000e-01, 8.66025404e-01,
5.21043709e-01, -8.53529995e-01],
[ 6.66339032e-01, -2.58819045e-01, 9.65925826e-01,
5.20431780e-01, -8.53903251e-01],
[ 5.37051663e-01, -7.16474371e-12, 1.00000000e+00,
5.19819584e-01, -8.54276068e-01],
[ 4.74758658e-01, 2.58819045e-01, 9.65925826e-01,
5.19207120e-01, -8.54648446e-01]],
[[ 8.49692028e-01, -7.07106781e-01, 7.07106781e-01,

5.21655371e-01, -8.53156301e-01],
[ 7.55664851e-01, -5.00000000e-01, 8.66025404e-01,
5.21043709e-01, -8.53529995e-01],
[ 6.66339032e-01, -2.58819045e-01, 9.65925826e-01,
5.20431780e-01, -8.53903251e-01],
[ 5.37051663e-01, -7.16474371e-12, 1.00000000e+00,
5.19819584e-01, -8.54276068e-01],
[ 4.74758658e-01, 2.58819045e-01, 9.65925826e-01,
5.19207120e-01, -8.54648446e-01],
[ 4.12465653e-01, 5.00000000e-01, 8.66025404e-01,
5.18594390e-01, -8.55020385e-01]],
17
…,
[[-5.23104762e-01, -7.37277337e-01, -6.75590208e-01,

4.03308458e-03, 9.99991867e-01],
[-8.20465711e-01, -8.87010833e-01, -4.61748613e-01,
4.74986003e-03, 9.99988719e-01],
[-9.55629779e-01, -9.76296007e-01, -2.16439614e-01,
5.46663304e-03, 9.99985058e-01],
[-1.15661287e+00, -9.99048222e-01, 4.36193874e-02,
6.18340325e-03, 9.99980883e-01],
[-1.22243189e+00, -9.53716951e-01, 3.00705799e-01,
6.90017027e-03, 9.99976194e-01],
[-1.27179616e+00, -8.43391446e-01, 5.37299608e-01,
7.61693375e-03, 9.99970991e-01]],
[[-8.20465711e-01, -8.87010833e-01, -4.61748613e-01,

4.74986003e-03, 9.99988719e-01],
[-9.55629779e-01, -9.76296007e-01, -2.16439614e-01,
5.46663304e-03, 9.99985058e-01],
[-1.15661287e+00, -9.99048222e-01, 4.36193874e-02,
6.18340325e-03, 9.99980883e-01],
[-1.22243189e+00, -9.53716951e-01, 3.00705799e-01,
6.90017027e-03, 9.99976194e-01],
[-1.27179616e+00, -8.43391446e-01, 5.37299608e-01,
7.61693375e-03, 9.99970991e-01],
[-1.43046702e+00, -6.75590208e-01, 7.37277337e-01,
8.33369332e-03, 9.99965274e-01]],
[[-9.55629779e-01, -9.76296007e-01, -2.16439614e-01,

5.46663304e-03, 9.99985058e-01],
[-1.15661287e+00, -9.99048222e-01, 4.36193874e-02,
6.18340325e-03, 9.99980883e-01],
[-1.22243189e+00, -9.53716951e-01, 3.00705799e-01,
6.90017027e-03, 9.99976194e-01],
[-1.27179616e+00, -8.43391446e-01, 5.37299608e-01,
7.61693375e-03, 9.99970991e-01],
[-1.43046702e+00, -6.75590208e-01, 7.37277337e-01,
8.33369332e-03, 9.99965274e-01],
[-1.44692178e+00, -4.61748613e-01, 8.87010833e-01,
9.05044860e-03, 9.99959044e-01]]])
[ ]:
Make the LSTM model

[30]: # Make the LSTM model
model2 = Sequential() # Create a sequential model
18
model2.add(InputLayer((6, 5))) # Add an input layer with the shape (6, 5)
model2.add(LSTM(64)) # Add an LSTM layer with 64 units
model2.add(Dense(8, activation='relu')) # Add a dense layer with 8 units and␣
↪ReLU activation function
model2.add(Dense(1, activation='linear')) # Add a dense layer with 1 unit and␣

↪linear activation function
model2.summary() # Display the summary of the model
Model: "sequential_1"
_________________________________________________________________
=================================================================
lstm_1 (LSTM) (None, 64) 17920
=================================================================
_________________________________________________________________
[31]: # ModelCheckpoint callback to save the best model during training

# Compile the LSTM model

model2.compile(
loss=MeanSquaredError(), # Mean Squared Error is used as the␣
↪loss function
optimizer=Adam(learning_rate=0.0001), # Adam optimizer with a learning␣

↪rate of 0.0001 is used
metrics=[RootMeanSquaredError()] # Root Mean Squared Error is used as an␣

↪additional metric
[32]: # Train the LSTM model on the provided training data (X2_train, y2_train) for␣
↪10 epochs
model2.fit(X2_train, y2_train, validation_data=(X2_val, y2_val), epochs=10,␣

↪callbacks=[cp2])
Epoch 1/10
1871/1875 [============================>.] - ETA: 0s - loss: 39.5215 -
19
1875/1875 [==============================] - 14s 6ms/step - loss: 39.4553 -
Epoch 2/10
1865/1875 [============================>.] - ETA: 0s - loss: 4.9239 -
1875/1875 [==============================] - 11s 6ms/step - loss: 4.9160 -
Epoch 3/10
1870/1875 [============================>.] - ETA: 0s - loss: 1.9630 -
1875/1875 [==============================] - 13s 7ms/step - loss: 1.9609 -
Epoch 4/10
1863/1875 [============================>.] - ETA: 0s - loss: 1.0679 -
1875/1875 [==============================] - 13s 7ms/step - loss: 1.0670 -
Epoch 5/10
1874/1875 [============================>.] - ETA: 0s - loss: 0.8240 -
1875/1875 [==============================] - 11s 6ms/step - loss: 0.8240 -
Epoch 6/10
1870/1875 [============================>.] - ETA: 0s - loss: 0.6805 -
1875/1875 [==============================] - 12s 6ms/step - loss: 0.6799 -
Epoch 7/10
1865/1875 [============================>.] - ETA: 0s - loss: 0.5939 -
20
1875/1875 [==============================] - 14s 7ms/step - loss: 0.5938 -
Epoch 8/10
1875/1875 [==============================] - ETA: 0s - loss: 0.5529 -
1875/1875 [==============================] - 12s 6ms/step - loss: 0.5529 -
Epoch 9/10
1875/1875 [==============================] - 9s 5ms/step - loss: 0.5382 -
Epoch 10/10
1874/1875 [============================>.] - ETA: 0s - loss: 0.5313 -
1875/1875 [==============================] - 14s 7ms/step - loss: 0.5314 -
[32]: <keras.src.callbacks.History at 0x23f5f0af700>
[33]: plot_predictions1(model2, X2_test, y2_test)
159/159 [==============================] - 2s 5ms/step
[33]: ( Predictions Actuals

0 13.093096 13.46
1 12.693088 12.93
2 12.281884 12.43
3 11.995519 12.17
4 12.130725 11.55
… … …
5080 -0.881674 -0.98
5081 -1.237651 -1.40
5082 -1.594560 -2.75
5083 -2.979640 -2.89
5084 -2.951160 -3.93
[5085 rows x 2 columns],

0.4956456927892145)
21
[ ]:
[ ]:
[ ]:
0.1 Multivariate Forecasting

0.1.1 we are going to add pressure and try to predict it
[34]: # contatenate temperature and pressure

p_temp_df = pd.concat([df['p (mbar)'], temp_df], axis=1)
p_temp_df.head()
[34]: p (mbar) Temperature Day sin Day cos Year sin \

Date Time
2009-01-01 01:00:00 996.50 -8.05 0.258819 0.965926 0.010049
2009-01-01 02:00:00 996.62 -8.88 0.500000 0.866025 0.010766
2009-01-01 03:00:00 996.84 -8.81 0.707107 0.707107 0.011483
2009-01-01 04:00:00 996.99 -9.05 0.866025 0.500000 0.012199
2009-01-01 05:00:00 997.46 -9.63 0.965926 0.258819 0.012916
Year cos
Date Time
2009-01-01 01:00:00 0.999950
2009-01-01 02:00:00 0.999942
22
2009-01-01 03:00:00 0.999934
2009-01-01 04:00:00 0.999926
2009-01-01 05:00:00 0.999917
[ ]:
[35]: # window making function

def df_to_X_y3(df, window_size=7):
X = []
y = []
row = [r for r in df_as_np[i:i+window_size]]
X.append(row)
label = [df_as_np[i+window_size][0], df_as_np[i+window_size][1]]
y.append(label)
[36]: X3, y3 = df_to_X_y3(p_temp_df)

X3.shape, y3.shape
[36]: ((70084, 7, 6), (70084, 2))
7 is the no of hrs( window length), 6 is the training variables, 2 is temp and pressure|
[37]: # Split the model

X3_train, y3_train = X3[:60000], y3[:60000]
X3_val, y3_val = X3[60000:65000], y3[60000:65000]
X3_test, y3_test = X3[65000:], y3[65000:]
X3_train.shape, y3_train.shape, X3_val.shape, y3_val.shape, X3_test.shape,␣
↪y3_test.shape
[37]: ((60000, 7, 6), (60000, 2), (5000, 7, 6), (5000, 2), (5084, 7, 6), (5084, 2))
Standardizing
[38]: # Calculate the mean and standard deviation for pressure (column 0) and␣
↪temperature (column 1) separately in the training data
p_training_mean3 = np.mean(X3_train[:, :, 0])

p_training_std3 = np.std(X3_train[:, :, 0])
temp_training_mean3 = np.mean(X3_train[:, :, 1])

temp_training_std3 = np.std(X3_train[:, :, 1])
def preprocess3(X):
# Standardize the pressure and temperature values in the input data using the␣
↪calculated mean and standard deviation
23
X[:, :, 0] = (X[:, :, 0] - p_training_mean3) / p_training_std3
X[:, :, 1] = (X[:, :, 1] - temp_training_mean3) / temp_training_std3
def preprocess_output3(y):
# Standardize the output labels (pressure and temperature) using the same␣
↪mean and standard deviation values
y[:, 0] = (y[:, 0] - p_training_mean3) / p_training_std3

y[:, 1] = (y[:, 1] - temp_training_mean3) / temp_training_std3
return y
Preprocess functions Results of the standardized input features for each dataset.
[39]: preprocess3(X3_train)
preprocess3(X3_val)
preprocess3(X3_test)
[40]: preprocess_output3(y3_train)
preprocess_output3(y3_val)
preprocess_output3(y3_test)
[40]: array([[-0.7934386 , 0.41245076],

[-0.76312281, 0.35368268],
[-0.72189335, 0.32312327],
…,
[ 1.48145784, -1.43051636],
[ 1.41597574, -1.44697142],
[ 1.35049365, -1.56920903]])
Making a new model

[41]: # Making a new model using Sequential API
model3 = Sequential()
# Adding an input layer with shape (7, 6)

model3.add(InputLayer((7, 6)))
# Adding an LSTM layer with 64 units

model3.add(LSTM(64))
# Adding a Dense layer with 8 units and ReLU activation function

model3.add(Dense(8, activation='relu'))
# Adding a Dense layer with 2 units and linear activation function

model3.add(Dense(2, activation='linear'))
# Displaying the summary of the model

model3.summary()
24
Model: "sequential_2"
_________________________________________________________________
=================================================================
lstm_2 (LSTM) (None, 64) 18176
=================================================================
_________________________________________________________________
[42]: # Create a ModelCheckpoint to save the best model during training

# Compile the model using Mean Squared Error as the loss function, Adam␣
↪optimizer with a learning rate of 0.0001,
# and Root Mean Squared Error as the evaluation metric

model3.compile(loss=MeanSquaredError(), optimizer=Adam(learning_rate=0.0001),␣
↪metrics=[RootMeanSquaredError()])
[43]: # Fitting the model to the training data for 10 epochs, validating on the␣
↪validation data, and using ModelCheckpoint callback
model3.fit(X3_train, y3_train, validation_data=(X3_val, y3_val), epochs=10,␣

↪callbacks=[cp3])
Epoch 1/10
1875/1875 [==============================] - ETA: 0s - loss: 0.1558 -
1875/1875 [==============================] - 33s 16ms/step - loss: 0.1558 -
Epoch 2/10
1873/1875 [============================>.] - ETA: 0s - loss: 0.0234 -
1875/1875 [==============================] - 22s 12ms/step - loss: 0.0234 -
Epoch 3/10
25
1870/1875 [============================>.] - ETA: 0s - loss: 0.0122 -
1875/1875 [==============================] - 18s 10ms/step - loss: 0.0122 -
Epoch 4/10
1874/1875 [============================>.] - ETA: 0s - loss: 0.0081 -
1875/1875 [==============================] - 20s 11ms/step - loss: 0.0081 -
Epoch 5/10
1874/1875 [============================>.] - ETA: 0s - loss: 0.0065 -
1875/1875 [==============================] - 18s 10ms/step - loss: 0.0065 -
Epoch 6/10
1865/1875 [============================>.] - ETA: 0s - loss: 0.0058 -
1875/1875 [==============================] - 16s 8ms/step - loss: 0.0058 -
Epoch 7/10
1861/1875 [============================>.] - ETA: 0s - loss: 0.0054 -
1875/1875 [==============================] - 13s 7ms/step - loss: 0.0054 -
Epoch 8/10
1865/1875 [============================>.] - ETA: 0s - loss: 0.0052 -
1875/1875 [==============================] - 12s 6ms/step - loss: 0.0052 -
Epoch 9/10
26
1868/1875 [============================>.] - ETA: 0s - loss: 0.0050 -
1875/1875 [==============================] - 14s 7ms/step - loss: 0.0050 -
Epoch 10/10
1875/1875 [==============================] - 13s 7ms/step - loss: 0.0050 -
[43]: <keras.src.callbacks.History at 0x23f6d89a910>
Predictions(pressure and temp) and plotting

[44]: def plot_predictions2(model, X, y, start=0, end=100):
# Making predictions using the input data
predictions = model.predict(X)
# Extracting predicted and actual values for temperature and pressure

p_preds, temp_preds = predictions[:, 0], predictions[:, 1]
p_actuals, temp_actuals = y[:, 0], y[:, 1]
# Creating a DataFrame to store and display the predictions and actual values
df = pd.DataFrame(data={'Temperature Predictions': temp_preds,
'Temperature Actuals':temp_actuals,
'Pressure Predictions': p_preds,
'Pressure Actuals': p_actuals
})
# Plotting the temperature and pressure predictions and actual values within␣
↪the specified range
plt.plot(df['Temperature Predictions'][start:end], label='Temperature␣
↪Predictions')
plt.plot(df['Temperature Actuals'][start:end], label='Temperature Actuals')

plt.plot(df['Pressure Predictions'][start:end], label='Pressure Predictions')
plt.plot(df['Pressure Actuals'][start:end], label='Pressure Actuals')
# Returning the DataFrame for further analysis if needed

return df[start:end]
[45]: # Calling the plot_predictions2 function with the trained model and test data
plot_predictions2(model3, X3_test, y3_test)
159/159 [==============================] - 1s 3ms/step
27
[45]: Temperature Predictions Temperature Actuals Pressure Predictions \
0 0.394915 0.412451 -0.770675
1 0.351745 0.353683 -0.761016
2 0.315301 0.323123 -0.727488
3 0.319730 0.250251 -0.675293
4 0.278681 0.254952 -0.587432
.. … … …
95 0.685219 0.716869 -0.397875
96 0.648846 0.687485 -0.402577
97 0.636048 0.663978 -0.388477
98 0.638984 0.641646 -0.380351
99 0.651502 0.653400 -0.371565
Pressure Actuals
0 -0.793439
1 -0.763123
2 -0.721893
3 -0.652773
4 -0.652773
.. …
95 -0.416310
96 -0.399333
97 -0.399333
98 -0.400546
99 -0.369018
28
Post proccessing
[46]: # Function to post-process temperature predictions
def postprocess_temp(arr):
# Rescaling the temperature predictions using training mean and standard␣
↪deviation
arr = (arr * temp_training_std3) + temp_training_mean3

return arr
# Function to post-process pressure predictions

def postprocess_p(arr):
# Rescaling the pressure predictions using training mean and standard␣
↪deviation
arr = (arr * p_training_std3) + p_training_mean3

return arr
[47]: # Defining a function to plot predictions with post-processing

def plot_predictions2(model, X, y, start=0, end=100):
# Making predictions using the input data
predictions = model.predict(X)
# Post-processing temperature and pressure predictions and actual values

p_preds, temp_preds = postprocess_p(predictions[:, 0]),␣
↪postprocess_temp(predictions[:, 1])
p_actuals, temp_actuals = postprocess_p(y[:, 0]), postprocess_temp(y[:, 1])
# Creating a DataFrame to store and display the post-processed predictions␣

↪and actual values
df = pd.DataFrame(data={'Temperature Predictions': temp_preds,

'Temperature Actuals': temp_actuals,
'Pressure Predictions': p_preds,
'Pressure Actuals': p_actuals
})
# Plotting the post-processed temperature and pressure predictions and␣

↪actual values within the specified range
plt.plot(df['Temperature Predictions'][start:end], label='Temperature␣
↪Predictions')
plt.plot(df['Temperature Actuals'][start:end], label='Temperature Actuals')

plt.plot(df['Pressure Predictions'][start:end], label='Pressure␣
↪Predictions')
plt.plot(df['Pressure Actuals'][start:end], label='Pressure Actuals')
# Returning the DataFrame for further analysis if needed

return df[start:end]
29
[48]: # Running the plot_predictions2 function with model3, X3_test, and y3_test
post_processed_df = plot_predictions2(model3, X3_test, y3_test)
# Displaying the resulting DataFrame showing post-processed temperature and␣

↪pressure predictions along with actual values
post_processed_df
159/159 [==============================] - 1s 3ms/step
[48]: Temperature Predictions Temperature Actuals Pressure Predictions \

0 12.780807 12.93 982.617737
1 12.413517 12.43 982.697388
2 12.103453 12.17 982.973877
3 12.141128 11.55 983.404297
4 11.791883 11.59 984.128845
.. … … …
95 15.250717 15.52 985.692078
96 14.941254 15.27 985.653259
97 14.832370 15.07 985.769531
98 14.857349 14.88 985.836548
99 14.963855 14.98 985.908997
Pressure Actuals
0 982.43
1 982.68
2 983.02
3 983.59
4 983.59
.. …
95 985.54
96 985.68
97 985.68
98 985.67
99 985.93
30
[49]: # Setting the start and end indices for the subset of data to be visualized
start, end = 0, 100
# Plotting the subset of Temperature Predictions and Actuals from the␣

↪post_processed_df DataFrame
plt.plot(post_processed_df['Temperature Predictions'][start:end],␣
↪label='Temperature Predictions')
plt.plot(post_processed_df['Temperature Actuals'][start:end],␣
↪label='Temperature Actuals')
[49]: [<matplotlib.lines.Line2D at 0x23f5e00ccd0>]
31
[50]: # Plotting the subset of Pressure Predictions and Actuals from the␣
↪post_processed_df DataFrame
plt.plot(post_processed_df['Pressure Predictions'][start:end])
plt.plot(post_processed_df['Pressure Actuals'][start:end])
[50]: [<matplotlib.lines.Line2D at 0x23f6dd50b20>]
32
[ ]:
[ ]:
33

Univariate and Mutivariate Time Series Forecasting

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Univariate and Mutivariate Time Series Forecasting

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Univariate and Mutivariate Time Series Forecasting

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time-series-forecasting

[1]: # Import libraries

[2]: # Import data

[2]: Date Time T (degC) p (mbar)

[3]: Date Time T (degC) p (mbar)

Convert to pandas datetime

[4]: Date Time T (degC) p (mbar)

0.0.1 Focusing on T(degC) column (Univariate)

[5]: <Axes: xlabel='Date Time'>

# [[[2], [3], [4], [5], [6]]] [7]

def df_to_X_y(df, window_size=5):

[7]: ((70086, 5, 1), (70086,))

Splitting the model

[10]: # Create a Sequential model

# Add an input layer with shape (5, 1)

# Add an LSTM layer with 64 units

# Add a Dense layer with 8 units and 'relu' activation function

# Add a Dense layer with 1 unit and 'linear' activation function

# Print a summary of the model's architecture

dense (Dense) (None, 8) 520

dense_1 (Dense) (None, 1) 9

To specify our model copacks

# and Root Mean Squared Error as the evaluation metric

cp1 = ModelCheckpoint(‘model1/’, save_best_only=True): Creates a ModelCheckpoint object

Fit the model

1870/1875 [============================>.] - ETA: 0s - loss: 49.5947 -

[12]: <keras.src.callbacks.History at 0x23f5d964be0>

Predictions On the training data

# Creating a DataFrame to display the predicted values alongside the actual␣

train_results = pd.DataFrame(data={'Train Predictions': train_predictions,␣

# Display the DataFrame with the predicted and actual values

1875/1875 [==============================] - 6s 3ms/step

[14]: Train Predictions Actuals

[60000 rows x 2 columns]

plt.plot(train_results['Actuals'][50:100]) # Plot actual values on␣

[15]: [<matplotlib.lines.Line2D at 0x23f658b3a60>]

Lets see how it did on the validation data

val_results = pd.DataFrame(data={'Val Predictions': val_predictions, 'Actuals':␣

157/157 [==============================] - 1s 3ms/step

[16]: Val Predictions Actuals

[5000 rows x 2 columns]

[17]: [<matplotlib.lines.Line2D at 0x23f66e94dc0>]

# Creating a DataFrame to display the predicted values alongside the actual␣

test_results = pd.DataFrame(data={'Test Predictions': test_predictions,␣

159/159 [==============================] - 0s 3ms/step

[18]: Test Predictions Actuals

[5086 rows x 2 columns]

[19]: [<matplotlib.lines.Line2D at 0x23f5f1b57f0>]

Plotting actual and predictions

# Define a function to plot predictions and actual values

# Create a DataFrame with Predictions and Actuals for visualization

[21]: plot_predictions1(model1, X_test1, y_test1)

159/159 [==============================] - 0s 2ms/step

[21]: ( Predictions Actuals

[5086 rows x 2 columns],

Adding seconds to temperature

[22]: Temperature Seconds

[70091 rows x 2 columns]

[23]: day = 60*60*24 # number of seconds in a day

[23]: day = 606024 # number of seconds in a day