Merge pull request #433 from WenjieDu/(feat)add_reformer

Add Reformer as an imputation model

pypots/imputation/__init__.py

@@ -23,6 +23,7 @@
 from .crossformer import Crossformer
 from .informer import Informer
 from .autoformer import Autoformer
+from .reformer import Reformer
 from .dlinear import DLinear
 from .patchtst import PatchTST
 from .usgan import USGAN
@@ -54,6 +55,7 @@
  "DLinear",
  "Informer",
  "Autoformer",
+ "Reformer",
  "NonstationaryTransformer",
  "Pyraformer",
  "BRITS",

pypots/imputation/reformer/__init__.py

@@ -0,0 +1,25 @@
+"""
+The package of the partially-observed time-series imputation model Reformer.
+
+Refer to the paper
+`Kitaev, Nikita, Łukasz Kaiser, and Anselm Levskaya.
+Reformer: The Efficient Transformer.
+International Conference on Learning Representations, 2020.
+<https://openreview.net/pdf?id=rkgNKkHtvB>`_
+
+Notes
+-----
+This implementation is inspired by the official one https://github.com/google/trax/tree/master/trax/models/reformer and
+https://github.com/lucidrains/reformer-pytorch
+
+"""
+
+# Created by Wenjie Du <[email protected]>
+# License: BSD-3-Clause
+
+
+from .model import Reformer
+
+__all__ = [
+ "Reformer",
+]

pypots/imputation/reformer/core.py

@@ -0,0 +1,88 @@
+"""
+The core wrapper assembles the submodules of Reformer imputation model
+and takes over the forward progress of the algorithm.
+"""
+
+# Created by Wenjie Du <[email protected]>
+# License: BSD-3-Clause
+
+import torch.nn as nn
+
+from ...nn.modules.reformer import ReformerEncoder
+from ...nn.modules.saits import SaitsLoss, SaitsEmbedding
+
+
+class _Reformer(nn.Module):
+ def __init__(
+ self,
+ n_steps,
+ n_features,
+ n_layers,
+ d_model,
+ n_heads,
+ bucket_size,
+ n_hashes,
+ causal,
+ d_ffn,
+ dropout,
+ ORT_weight: float = 1,
+ MIT_weight: float = 1,
+ ):
+ super().__init__()
+
+ self.n_steps = n_steps
+
+ self.saits_embedding = SaitsEmbedding(
+ n_features * 2,
+ d_model,
+ with_pos=False,
+ dropout=dropout,
+ )
+ self.encoder = ReformerEncoder(
+ n_steps,
+ n_layers,
+ d_model,
+ n_heads,
+ bucket_size,
+ n_hashes,
+ causal,
+ d_ffn,
+ dropout,
+ )
+
+ # for the imputation task, the output dim is the same as input dim
+ self.output_projection = nn.Linear(d_model, n_features)
+ self.saits_loss_func = SaitsLoss(ORT_weight, MIT_weight)
+
+ def forward(self, inputs: dict, training: bool = True) -> dict:
+ X, missing_mask = inputs["X"], inputs["missing_mask"]
+
+ # WDU: the original Reformer paper isn't proposed for imputation task. Hence the model doesn't take
+ # the missing mask into account, which means, in the process, the model doesn't know which part of
+ # the input data is missing, and this may hurt the model's imputation performance. Therefore, I apply the
+ # SAITS embedding method to project the concatenation of features and masks into a hidden space, as well as
+ # the output layers to project back from the hidden space to the original space.
+ enc_out = self.saits_embedding(X, missing_mask)
+
+ # Reformer encoder processing
+ enc_out = self.encoder(enc_out)
+ # project back the original data space
+ reconstruction = self.output_projection(enc_out)
+
+ imputed_data = missing_mask * X + (1 - missing_mask) * reconstruction
+ results = {
+ "imputed_data": imputed_data,
+ }
+
+ # if in training mode, return results with losses
+ if training:
+ X_ori, indicating_mask = inputs["X_ori"], inputs["indicating_mask"]
+ loss, ORT_loss, MIT_loss = self.saits_loss_func(
+ reconstruction, X_ori, missing_mask, indicating_mask
+ )
+ results["ORT_loss"] = ORT_loss
+ results["MIT_loss"] = MIT_loss
+ # `loss` is always the item for backward propagating to update the model
+ results["loss"] = loss
+
+ return results

pypots/imputation/reformer/data.py

@@ -0,0 +1,24 @@
+"""
+Dataset class for Reformer.
+"""
+
+# Created by Wenjie Du <[email protected]>
+# License: BSD-3-Clause
+
+from typing import Union
+
+from ..saits.data import DatasetForSAITS
+
+
+class DatasetForReformer(DatasetForSAITS):
+ """Actually Reformer uses the same data strategy as SAITS, needs MIT for training."""
+
+ def __init__(
+ self,
+ data: Union[dict, str],
+ return_X_ori: bool,
+ return_y: bool,
+ file_type: str = "hdf5",
+ rate: float = 0.2,
+ ):
+ super().__init__(data, return_X_ori, return_y, file_type, rate)