import torch
import torch.nn as nn
import numpy as np
from math import sqrt
from utils.masking import TriangularCausalMask, ProbMask
from reformer_pytorch import LSHSelfAttention
from einops import rearrange, repeat
class DSAttention(nn.Module):
'''De-stationary Attention'''
def __init__(self, mask_flag=True, factor=5, scale=None, attention_dropout=0.1, output_attention=False):
super(DSAttention, self).__init__()
self.scale = scale
self.mask_flag = mask_flag
self.output_attention = output_attention
self.dropout = nn.Dropout(attention_dropout)
def forward(self, queries, keys, values, attn_mask, tau=None, delta=None):
B, L, H, E = queries.shape
_, S, _, D = values.shape
scale = self.scale or 1. / sqrt(E)
tau = 1.0 if tau is None else tau.unsqueeze(
1).unsqueeze(1) # B x 1 x 1 x 1
delta = 0.0 if delta is None else delta.unsqueeze(
1).unsqueeze(1) # B x 1 x 1 x S
# De-stationary Attention, rescaling pre-softmax score with learned de-stationary factors
scores = torch.einsum("blhe,bshe->bhls", queries, keys) * tau + delta
if self.mask_flag:
if attn_mask is None:
attn_mask = TriangularCausalMask(B, L, device=queries.device)
scores.masked_fill_(attn_mask.mask, -np.inf)
A = self.dropout(torch.softmax(scale * scores, dim=-1))
V = torch.einsum("bhls,bshd->blhd", A, values)
if self.output_attention:
return V.contiguous(), A
else:
return V.contiguous(), None
class FullAttention(nn.Module):
def __init__(self, mask_flag=True, factor=5, scale=None, attention_dropout=0.1, output_attention=False):
super(FullAttention, self).__init__()
self.scale = scale
self.mask_flag = mask_flag
self.output_attention = output_attention
self.dropout = nn.Dropout(attention_dropout)
def forward(self, queries, keys, values, attn_mask, tau=None, delta=None):
B, L, H, E = queries.shape
_, S, _, D = values.shape
scale = self.scale or 1. / sqrt(E)
scores = torch.einsum("blhe,bshe->bhls", queries, keys)
if self.mask_flag:
if attn_mask is None:
attn_mask = TriangularCausalMask(B, L, device=queries.device)
scores.masked_fill_(attn_mask.mask, -np.inf)
A = self.dropout(torch.softmax(scale * scores, dim=-1))
V = torch.einsum("bhls,bshd->blhd", A, values)
if self.output_attention:
return V.contiguous(), A
else:
return V.contiguous(), None
class ProbAttention(nn.Module):
def __init__(self, mask_flag=True, factor=5, scale=None, attention_dropout=0.1, output_attention=False):
super(ProbAttention, self).__init__()
self.factor = factor
self.scale = scale
self.mask_flag = mask_flag
self.output_attention = output_attention
self.dropout = nn.Dropout(attention_dropout)
def _prob_QK(self, Q, K, sample_k, n_top): # n_top: c*ln(L_q)
# Q [B, H, L, D]
B, H, L_K, E = K.shape
_, _, L_Q, _ = Q.shape
# calculate the sampled Q_K
K_expand = K.unsqueeze(-3).expand(B, H, L_Q, L_K, E)
# real U = U_part(factor*ln(L_k))*L_q
index_sample = torch.randint(L_K, (L_Q, sample_k))
K_sample = K_expand[:, :, torch.arange(
L_Q).unsqueeze(1), index_sample, :]
Q_K_sample = torch.matmul(
Q.unsqueeze(-2), K_sample.transpose(-2, -1)).squeeze()
# find the Top_k query with sparisty measurement
M = Q_K_sample.max(-1)[0] - torch.div(Q_K_sample.sum(-1), L_K)
M_top = M.topk(n_top, sorted=False)[1]
# use the reduced Q to calculate Q_K
Q_reduce = Q[torch.arange(B)[:, None, None],
torch.arange(H)[None, :, None],
M_top, :] # factor*ln(L_q)
Q_K = torch.matmul(Q_reduce, K.transpose(-2, -1)) # factor*ln(L_q)*L_k
return Q_K, M_top
def _get_initial_context(self, V, L_Q):
B, H, L_V, D = V.shape
if not self.mask_flag:
# V_sum = V.sum(dim=-2)
V_sum = V.mean(dim=-2)
contex = V_sum.unsqueeze(-2).expand(B, H,
L_Q, V_sum.shape[-1]).clone()
else: # use mask
# requires that L_Q == L_V, i.e. for self-attention only
assert (L_Q == L_V)
contex = V.cumsum(dim=-2)
return contex
def _update_context(self, context_in, V, scores, index, L_Q, attn_mask):
B, H, L_V, D = V.shape
if self.mask_flag:
attn_mask = ProbMask(B, H, L_Q, index, scores, device=V.device)
scores.masked_fill_(attn_mask.mask, -np.inf)
attn = torch.softmax(scores, dim=-1) # nn.Softmax(dim=-1)(scores)
context_in[torch.arange(B)[:, None, None],
torch.arange(H)[None, :, None],
index, :] = torch.matmul(attn, V).type_as(context_in)
if self.output_attention:
attns = (torch.ones([B, H, L_V, L_V]) /
L_V).type_as(attn).to(attn.device)
attns[torch.arange(B)[:, None, None], torch.arange(H)[
None, :, None], index, :] = attn
return context_in, attns
else:
return context_in, None
def forward(self, queries, keys, values, attn_mask, tau=None, delta=None):
B, L_Q, H, D = queries.shape
_, L_K, _, _ = keys.shape
queries = queries.transpose(2, 1)
keys = keys.transpose(2, 1)
values = values.transpose(2, 1)
U_part = self.factor * \
np.ceil(np.log(L_K)).astype('int').item() # c*ln(L_k)
u = self.factor * \
np.ceil(np.log(L_Q)).astype('int').item() # c*ln(L_q)
U_part = U_part if U_part < L_K else L_K
u = u if u < L_Q else L_Q
scores_top, index = self._prob_QK(
queries, keys, sample_k=U_part, n_top=u)
# add scale factor
scale = self.scale or 1. / sqrt(D)
if scale is not None:
scores_top = scores_top * scale
# get the context
context = self._get_initial_context(values, L_Q)
# update the context with selected top_k queries
context, attn = self._update_context(
context, values, scores_top, index, L_Q, attn_mask)
return context.contiguous(), attn
class AttentionLayer(nn.Module):
def __init__(self, attention, d_model, n_heads, d_keys=None,
d_values=None):
super(AttentionLayer, self).__init__()
d_keys = d_keys or (d_model // n_heads)
d_values = d_values or (d_model // n_heads)
self.inner_attention = attention
self.query_projection = nn.Linear(d_model, d_keys * n_heads)
self.key_projection = nn.Linear(d_model, d_keys * n_heads)
self.value_projection = nn.Linear(d_model, d_values * n_heads)
self.out_projection = nn.Linear(d_values * n_heads, d_model)
self.n_heads = n_heads
def forward(self, queries, keys, values, attn_mask, tau=None, delta=None):
B, L, _ = queries.shape
_, S, _ = keys.shape
H = self.n_heads
queries = self.query_projection(queries).view(B, L, H, -1)
keys = self.key_projection(keys).view(B, S, H, -1)
values = self.value_projection(values).view(B, S, H, -1)
out, attn = self.inner_attention(
queries,
keys,
values,
attn_mask,
tau=tau,
delta=delta
)
out = out.view(B, L, -1)
return self.out_projection(out), attn
class ReformerLayer(nn.Module):
def __init__(self, attention, d_model, n_heads, d_keys=None,
d_values=None, causal=False, bucket_size=4, n_hashes=4):
super().__init__()
self.bucket_size = bucket_size
self.attn = LSHSelfAttention(
dim=d_model,
heads=n_heads,
bucket_size=bucket_size,
n_hashes=n_hashes,
causal=causal
)
def fit_length(self, queries):
# inside reformer: assert N % (bucket_size * 2) == 0
B, N, C = queries.shape
if N % (self.bucket_size * 2) == 0:
return queries
else:
# fill the time series
fill_len = (self.bucket_size * 2) - (N % (self.bucket_size * 2))
return torch.cat([queries, torch.zeros([B, fill_len, C]).to(queries.device)], dim=1)
def forward(self, queries, keys, values, attn_mask, tau, delta):
# in Reformer: defalut queries=keys
B, N, C = queries.shape
queries = self.attn(self.fit_length(queries))[:, :N, :]
return queries, None
class TwoStageAttentionLayer(nn.Module):
'''
The Two Stage Attention (TSA) Layer
input/output shape: [batch_size, Data_dim(D), Seg_num(L), d_model]
'''
def __init__(self, configs,
seg_num, factor, d_model, n_heads, d_ff=None, dropout=0.1):
super(TwoStageAttentionLayer, self).__init__()
d_ff = d_ff or 4 * d_model
self.time_attention = AttentionLayer(FullAttention(False, configs.factor, attention_dropout=configs.dropout,
output_attention=configs.output_attention), d_model, n_heads)
self.dim_sender = AttentionLayer(FullAttention(False, configs.factor, attention_dropout=configs.dropout,
output_attention=configs.output_attention), d_model, n_heads)
self.dim_receiver = AttentionLayer(FullAttention(False, configs.factor, attention_dropout=configs.dropout,
output_attention=configs.output_attention), d_model, n_heads)
self.router = nn.Parameter(torch.randn(seg_num, factor, d_model))
self.dropout = nn.Dropout(dropout)
self.norm1 = nn.LayerNorm(d_model)
self.norm2 = nn.LayerNorm(d_model)
self.norm3 = nn.LayerNorm(d_model)
self.norm4 = nn.LayerNorm(d_model)
self.MLP1 = nn.Sequential(nn.Linear(d_model, d_ff),
nn.GELU(),
nn.Linear(d_ff, d_model))
self.MLP2 = nn.Sequential(nn.Linear(d_model, d_ff),
nn.GELU(),
nn.Linear(d_ff, d_model))
def forward(self, x, attn_mask=None, tau=None, delta=None):
# Cross Time Stage: Directly apply MSA to each dimension
batch = x.shape[0]
time_in = rearrange(x, 'b ts_d seg_num d_model -> (b ts_d) seg_num d_model')
time_enc, attn = self.time_attention(
time_in, time_in, time_in, attn_mask=None, tau=None, delta=None
)
dim_in = time_in + self.dropout(time_enc)
dim_in = self.norm1(dim_in)
dim_in = dim_in + self.dropout(self.MLP1(dim_in))
dim_in = self.norm2(dim_in)
# Cross Dimension Stage: use a small set of learnable vectors to aggregate and distribute messages to build the D-to-D connection
dim_send = rearrange(dim_in, '(b ts_d) seg_num d_model -> (b seg_num) ts_d d_model', b=batch)
batch_router = repeat(self.router, 'seg_num factor d_model -> (repeat seg_num) factor d_model', repeat=batch)
dim_buffer, attn = self.dim_sender(batch_router, dim_send, dim_send, attn_mask=None, tau=None, delta=None)
dim_receive, attn = self.dim_receiver(dim_send, dim_buffer, dim_buffer, attn_mask=None, tau=None, delta=None)
dim_enc = dim_send + self.dropout(dim_receive)
dim_enc = self.norm3(dim_enc)
dim_enc = dim_enc + self.dropout(self.MLP2(dim_enc))
dim_enc = self.norm4(dim_enc)
final_out = rearrange(dim_enc, '(b seg_num) ts_d d_model -> b ts_d seg_num d_model', b=batch)
return final_out
Datasets
Models
