karansangha / n-beats

Pytorch/Keras implementation of N-BEATS: Neural basis expansion analysis for interpretable time series forecasting.

N-BEATS: Neural basis expansion analysis for interpretable time series forecasting

• Implementation in Pytorch
• Implementation in Keras by @eljdos
• https://arxiv.org/abs/1905.10437

N-Beats at the beginning of the training

Trust me, after a few more steps, the green curve (predictions) matches the ground truth exactly :-)

Installation

From PyPI

Install Keras: pip install nbeats-keras.

Install Pytorch: pip install nbeats-pytorch.

From the sources

Installation is based on a MakeFile. Make sure you are in a virtualenv and have python3 installed.

Command to install N-Beats with Keras: make install-keras

Command to install N-Beats with Pytorch: make install-pytorch

Example

Jupyter notebook: NBeats.ipynb: make run-jupyter.

Model

Pytorch and Keras have the same model arguments:

class NBeatsNet:
    def __init__(self,
                 stack_types=[TREND_BLOCK, SEASONALITY_BLOCK],
                 nb_blocks_per_stack=3,
                 forecast_length=2,
                 backcast_length=10,
                 thetas_dim=[2, 8],
                 share_weights_in_stack=False,
                 hidden_layer_units=128):
        pass                

Which would translate in this model:

--- Model ---
| N-Beats
| --  Stack Trend (#0) (share_weights_in_stack=False)
     | -- TrendBlock(units=128, thetas_dim=2, backcast_length=50, forecast_length=10, share_thetas=True) at @4500902576
     | -- TrendBlock(units=128, thetas_dim=2, backcast_length=50, forecast_length=10, share_thetas=True) at @4779951944
     | -- TrendBlock(units=128, thetas_dim=2, backcast_length=50, forecast_length=10, share_thetas=True) at @4779952280
| --  Stack Seasonality (#1) (share_weights_in_stack=False)
     | -- SeasonalityBlock(units=128, thetas_dim=8, backcast_length=50, forecast_length=10, share_thetas=True) at @4779952616
     | -- SeasonalityBlock(units=128, thetas_dim=8, backcast_length=50, forecast_length=10, share_thetas=True) at @4779952952
     | -- SeasonalityBlock(units=128, thetas_dim=8, backcast_length=50, forecast_length=10, share_thetas=True) at @4779953288