Test and CrossValidate

if 'google.colab' in str(get_ipython()):
    !pip install git+https://github.com/ourownstory/neural_prophet.git # may take a while
    #!pip install neuralprophet # much faster, but may not have the latest upgrades/bugfixes

import pandas as pd
from neuralprophet import NeuralProphet, set_log_level
set_log_level("ERROR")

Load data

data_location = "https://raw.githubusercontent.com/ourownstory/neuralprophet-data/main/datasets/"
# df = pd.read_csv(data_location + "air_passengers.csv")

1. Basic: Train and Test a model

First, we show how to fit a model and evaluate it on a holdout set.

Note: before making any actual forecasts, re-fit the model on all data available, else you are greatly reducing your forecast accuracy!

1.1 Train-Test evaluation

m = NeuralProphet(seasonality_mode= "multiplicative", learning_rate = 0.1)

df = pd.read_csv(data_location + "air_passengers.csv")
df_train, df_test = m.split_df(df=df, freq="MS", valid_p=0.2)

metrics_train = m.fit(df=df_train, freq="MS")
metrics_test = m.test(df=df_test)

metrics_test

	SmoothL1Loss	MAE	RMSE
0	0.005307	26.848057	32.760937

1.2 Bonus: Predict into future

Before making any actual forecasts, re-fit the model on all data available, else you are greatly reducing your forecast accuracy!

m = NeuralProphet(seasonality_mode= "multiplicative", learning_rate = 0.1)
metrics_train2 = m.fit(df=df, freq="MS")
future = m.make_future_dataframe(df, periods=24, n_historic_predictions=48)
forecast = m.predict(future)
fig = m.plot(forecast)

1.3 Bonus: Visualize training

If you installed the [live] version of NeuralProphet, you can additionally visualize your training progress and spot any overfitting by evaluating every epoch.

Note: Again, before making any predictions, re-fit the model with the entire data first.

m = NeuralProphet(seasonality_mode="multiplicative", learning_rate=0.1)

df = pd.read_csv(data_location + "air_passengers.csv")
df_train, df_test = m.split_df(df=df, freq="MS", valid_p=0.2)

metrics = m.fit(df=df_train, freq="MS", validation_df=df_test, progress="plot")

log-SmoothL1Loss
        training                 (min:   -8.058, max:   -0.197, cur:   -8.058)
        validation               (min:   -5.845, max:    0.102, cur:   -5.208)

metrics.tail(1)

	SmoothL1Loss	MAE	RMSE	RegLoss	SmoothL1Loss_val	MAE_val	RMSE_val
491	0.000317	6.244403	7.929632	0.0	0.005472	27.306448	33.266624

2. Time-series Cross-Validation

Time-series crossvalidation is also known as rolling origin backtest. In the first fold, we start with some data to train the model, and evaluate over the next fold_pct data points. In the next fold, the previous evaluation data is added to training, and evaluation starts later (forecast orgin ‘rolls’ forward), again measuring accuracy over the next section of data. We repeat this, until the final folds evaluation data reaches the end of the data.

Note: before making any actual forecasts, re-fit the model on all data available, else you are greatly reducing your forecast accuracy!

METRICS = ['SmoothL1Loss', 'MAE', 'RMSE']
params = {"seasonality_mode": "multiplicative", "learning_rate": 0.1}

df = pd.read_csv(data_location + "air_passengers.csv")
folds = NeuralProphet(**params).crossvalidation_split_df(df, freq="MS", k=5, fold_pct=0.20, fold_overlap_pct=0.5)

metrics_train = pd.DataFrame(columns=METRICS)
metrics_test = pd.DataFrame(columns=METRICS)

for df_train, df_test in folds:
    m = NeuralProphet(**params)
    train = m.fit(df=df_train, freq="MS")
    test = m.test(df=df_test)
    metrics_train = metrics_train.append(train[METRICS].iloc[-1])
    metrics_test = metrics_test.append(test[METRICS].iloc[-1])

metrics_test.describe().loc[["mean", "std", "min", "max"]]

	SmoothL1Loss	MAE	RMSE
mean	0.009792	21.090633	26.227701
std	0.008580	7.266532	9.003498
min	0.003340	10.293222	13.339386
max	0.023061	26.983458	34.758419

2 Using Benchmark Framework

The benchmark framework is designed for a 2 phase evaluation pipeline. This is in most cases sufficient, particularly when using crossvalidation. For the remainder of this tutorial we will be using normal Train-Test or Cross-Validation evaluation setups.

Note: The Benchmarking Framework does currently not properly support auto-regression or lagged covariates with multiple step ahead forecasts.

from neuralprophet.benchmark import Dataset, NeuralProphetModel, SimpleExperiment, CrossValidationExperiment

Importing plotly failed. Interactive plots will not work.

2.1 SimpleExperiment

Let’s set up a train test experiment:

ts = Dataset(df = pd.read_csv(data_location + "air_passengers.csv"), name = "air_passengers", freq = "MS")
params = {"seasonality_mode": "multiplicative"}
exp = SimpleExperiment(
    model_class=NeuralProphetModel,
    params=params,
    data=ts,
    metrics=["MASE", "RMSE"],
    test_percentage=25,
)
result_train, result_test = exp.run()

# result_train
result_test

{'data': 'air_passengers',
 'model': 'NeuralProphet',
 'params': "{'seasonality_mode': 'multiplicative'}",
 'MASE': 1.1829004,
 'RMSE': 28.209255}

2.2 CrossValidationExperiment

Let’s crossvalidate:

ts = Dataset(df = pd.read_csv(data_location + "air_passengers.csv"), name = "air_passengers", freq = "MS")
params = {"seasonality_mode": "multiplicative"}
exp_cv = CrossValidationExperiment(
    model_class=NeuralProphetModel,
    params=params,
    data=ts,
    metrics=["MASE", "RMSE"],
    test_percentage=10,
    num_folds=3,
    fold_overlap_pct=0,
  )
result_train, result_test = exp_cv.run()

result_test

{'data': 'air_passengers',
 'model': 'NeuralProphet',
 'params': "{'seasonality_mode': 'multiplicative'}",
 'MASE': [0.85484904, 0.6028522, 1.1679459],
 'RMSE': [20.538774, 16.134226, 28.71692]}

3. Advanced: 3-Phase Train, Validate and Test procedure

Finally, in 3.1 and 3.2, we will do a 3-part data split to do a proper training, validation and test evaluation of your model. This setup is used if you do not want to bias your performance evaluation by your manual hyperparameter tuning. this is, however not common when working with time series, unless you work in academia. Crossvalidation is usually more than adequate to evaluate your model performance.

If you are confused by this, simply ignore this section and continue your forecasting life. Or if you got curious, read up on how to evaluate machine learning models to level up your skills.

3.1 Train, Validate and Test evaluation

m = NeuralProphet(seasonality_mode= "multiplicative", learning_rate = 0.1)

df = pd.read_csv(data_location + "air_passengers.csv")
# create a test holdout set:
df_train_val, df_test = m.split_df(df=df, freq="MS", valid_p=0.2)
# create a validation holdout set:
df_train, df_val = m.split_df(df=df_train_val, freq="MS", valid_p=0.2)

# fit a model on training data and evaluate on validation set.
metrics_train1 = m.fit(df=df_train, freq="MS")
metrics_val = m.test(df=df_val)

# refit model on training and validation data and evaluate on test set.
m = NeuralProphet(seasonality_mode= "multiplicative", learning_rate = 0.1)
metrics_train2 = m.fit(df=df_train_val, freq="MS")
metrics_test = m.test(df=df_test)

metrics_train1["split"]  = "train1"
metrics_train2["split"]  = "train2"
metrics_val["split"] = "validate"
metrics_test["split"] = "test"
metrics_train1.tail(1).append([metrics_train2.tail(1), metrics_val, metrics_test]).drop(columns=['RegLoss'])

	SmoothL1Loss	MAE	RMSE	split
563	0.000379	5.379905	6.704538	train1
491	0.000318	6.277920	7.928728	train2
0	0.005016	18.140518	25.140703	validate
0	0.005475	27.335314	33.275681	test

3.2 Train, Cross-Validate and Cross-Test evaluation

METRICS = ['SmoothL1Loss', 'MAE', 'RMSE']
params = {"seasonality_mode": "multiplicative", "learning_rate": 0.1}

df = pd.read_csv(data_location + "air_passengers.csv")
folds_val, folds_test = NeuralProphet(**params).double_crossvalidation_split_df(df, freq="MS", k=5, valid_pct=0.10, test_pct=0.10)

metrics_train1 = pd.DataFrame(columns=METRICS)
metrics_val = pd.DataFrame(columns=METRICS)
for df_train1, df_val in folds_val:
    m = NeuralProphet(**params)
    train1 = m.fit(df=df_train, freq="MS")
    val = m.test(df=df_val)
    metrics_train1 = metrics_train1.append(train1[METRICS].iloc[-1])
    metrics_val = metrics_val.append(val[METRICS].iloc[-1])

metrics_train2 = pd.DataFrame(columns=METRICS)
metrics_test = pd.DataFrame(columns=METRICS)
for df_train2, df_test in folds_test:
    m = NeuralProphet(**params)
    train2 = m.fit(df=df_train2, freq="MS")
    test = m.test(df=df_test)
    metrics_train2 = metrics_train2.append(train2[METRICS].iloc[-1])
    metrics_test = metrics_test.append(test[METRICS].iloc[-1])

metrics_train2.describe().loc[["mean", "std"]]

	SmoothL1Loss	MAE	RMSE
mean	0.000265	6.721306	8.426241
std	0.000021	0.091057	0.133246

metrics_val.describe().loc[["mean", "std"]]

	SmoothL1Loss	MAE	RMSE
mean	0.009150	30.096512	31.593293
std	0.006674	12.822483	13.912322

metrics_test.describe().loc[["mean", "std"]]

	SmoothL1Loss	MAE	RMSE
mean	0.001057	14.137106	15.214975
std	0.001216	7.679862	7.979069