--- a +++ b/Generation/utils/timefeatures.py @@ -0,0 +1,148 @@ +# From: gluonts/src/gluonts/time_feature/_base.py +# Copyright 2018 Amazon.com, Inc. or its affiliates. All Rights Reserved. +# +# Licensed under the Apache License, Version 2.0 (the "License"). +# You may not use this file except in compliance with the License. +# A copy of the License is located at +# +# http://www.apache.org/licenses/LICENSE-2.0 +# +# or in the "license" file accompanying this file. This file is distributed +# on an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either +# express or implied. See the License for the specific language governing +# permissions and limitations under the License. + +from typing import List + +import numpy as np +import pandas as pd +from pandas.tseries import offsets +from pandas.tseries.frequencies import to_offset + + +class TimeFeature: + def __init__(self): + pass + + def __call__(self, index: pd.DatetimeIndex) -> np.ndarray: + pass + + def __repr__(self): + return self.__class__.__name__ + "()" + + +class SecondOfMinute(TimeFeature): + """Minute of hour encoded as value between [-0.5, 0.5]""" + + def __call__(self, index: pd.DatetimeIndex) -> np.ndarray: + return index.second / 59.0 - 0.5 + + +class MinuteOfHour(TimeFeature): + """Minute of hour encoded as value between [-0.5, 0.5]""" + + def __call__(self, index: pd.DatetimeIndex) -> np.ndarray: + return index.minute / 59.0 - 0.5 + + +class HourOfDay(TimeFeature): + """Hour of day encoded as value between [-0.5, 0.5]""" + + def __call__(self, index: pd.DatetimeIndex) -> np.ndarray: + return index.hour / 23.0 - 0.5 + + +class DayOfWeek(TimeFeature): + """Hour of day encoded as value between [-0.5, 0.5]""" + + def __call__(self, index: pd.DatetimeIndex) -> np.ndarray: + return index.dayofweek / 6.0 - 0.5 + + +class DayOfMonth(TimeFeature): + """Day of month encoded as value between [-0.5, 0.5]""" + + def __call__(self, index: pd.DatetimeIndex) -> np.ndarray: + return (index.day - 1) / 30.0 - 0.5 + + +class DayOfYear(TimeFeature): + """Day of year encoded as value between [-0.5, 0.5]""" + + def __call__(self, index: pd.DatetimeIndex) -> np.ndarray: + return (index.dayofyear - 1) / 365.0 - 0.5 + + +class MonthOfYear(TimeFeature): + """Month of year encoded as value between [-0.5, 0.5]""" + + def __call__(self, index: pd.DatetimeIndex) -> np.ndarray: + return (index.month - 1) / 11.0 - 0.5 + + +class WeekOfYear(TimeFeature): + """Week of year encoded as value between [-0.5, 0.5]""" + + def __call__(self, index: pd.DatetimeIndex) -> np.ndarray: + return (index.isocalendar().week - 1) / 52.0 - 0.5 + + +def time_features_from_frequency_str(freq_str: str) -> List[TimeFeature]: + """ + Returns a list of time features that will be appropriate for the given frequency string. + Parameters + ---------- + freq_str + Frequency string of the form [multiple][granularity] such as "12H", "5min", "1D" etc. + """ + + features_by_offsets = { + offsets.YearEnd: [], + offsets.QuarterEnd: [MonthOfYear], + offsets.MonthEnd: [MonthOfYear], + offsets.Week: [DayOfMonth, WeekOfYear], + offsets.Day: [DayOfWeek, DayOfMonth, DayOfYear], + offsets.BusinessDay: [DayOfWeek, DayOfMonth, DayOfYear], + offsets.Hour: [HourOfDay, DayOfWeek, DayOfMonth, DayOfYear], + offsets.Minute: [ + MinuteOfHour, + HourOfDay, + DayOfWeek, + DayOfMonth, + DayOfYear, + ], + offsets.Second: [ + SecondOfMinute, + MinuteOfHour, + HourOfDay, + DayOfWeek, + DayOfMonth, + DayOfYear, + ], + } + + offset = to_offset(freq_str) + + for offset_type, feature_classes in features_by_offsets.items(): + if isinstance(offset, offset_type): + return [cls() for cls in feature_classes] + + supported_freq_msg = f""" + Unsupported frequency {freq_str} + The following frequencies are supported: + Y - yearly + alias: A + M - monthly + W - weekly + D - daily + B - business days + H - hourly + T - minutely + alias: min + S - secondly + """ + raise RuntimeError(supported_freq_msg) + + +def time_features(dates, freq='h'): + return np.vstack([feat(dates) for feat in time_features_from_frequency_str(freq)])