Merge pull request #102 from zillow/batch-model-bug-fixes

Luminaire Package Upgrade

Author: sayanchk

.github/workflows/github-pages.yml

@@ -11,10 +11,10 @@ jobs:
     steps:
       - uses: actions/checkout@v2
 
-      - name: Setup Python
+      - name: Set up Python 3.10
         uses: actions/setup-python@v2
         with:
-          python-version: '3.7'
+          python-version: '3.10'
 
       - name: Install dependencies
         run: |

.github/workflows/python-app.yml

@@ -13,10 +13,10 @@ jobs:
     steps:
     - uses: actions/checkout@v2
 
-    - name: Set up Python 3.7
+    - name: Set up Python 3.10
       uses: actions/setup-python@v2
       with:
-        python-version: '3.7'
+        python-version: '3.10'
 
     - name: Cache Dependencies
       id: cache

.github/workflows/python-publish.yml

@@ -15,10 +15,10 @@ jobs:
     steps:
     - uses: actions/checkout@v2
 
-    - name: Set up Python 3.7
+    - name: Set up Python 3.10
       uses: actions/setup-python@v2
       with:
-        python-version: '3.7'
+        python-version: '3.10'
 
     - name: Install dependencies
       run: |

docs/tutorial/dataprofiling.rst

@@ -8,6 +8,11 @@ Luminaire *DataExploration* implements different exploratory data analysis to de
 
 Luminaire data exploration and profiling runs two different workflows. The impute only option in profiling performs imputation for any missing data in the input time series and does not run any profiling to generate insights from the input time series.
 
+.. NOTE::
+    If duplicate dates dates are present in the input time series, Data profiling processes the data dates by averaging
+    the duplicates and merging them as a single data date.
+
+
 >>> from luminaire.exploration.data_exploration import DataExploration
 >>> data
                raw

docs/tutorial/outlier_batch.rst

@@ -34,6 +34,13 @@ These *preprocessing_parameters* are used for training the structural model.
 >>> print(success, model_date, model)
 (True, '2020-06-07 00:00:00', <luminaire_models.model.lad_structural.LADStructuralModel object at 0x7f97e127d320>)
 
+.. NOTE::
+    Luminaire allows to run model validation during the training process. This validation is a check for any underfit
+    that might have occurred due to any misspecification of the model hyperparameters or due to nonstationarity.
+    Validation flag is set to false by default but that can be turned on by simply setting *validation = True* during
+    training. This option is only available for the *LADStructuralModel* class. Refer to the API reference for more
+    information.
+
 The trained model works as a data-driven source of truth to evaluate any future time series values to be monitored. The *score* method is used to check whether new data points are anomalous.
 
 >>> model.score(2000, '2020-06-08')

luminaire/exploration/data_exploration.py

@@ -130,9 +130,24 @@ def __init__(self,
         self.tc_max_window_length = 24
 
     def add_missing_index(self, df=None, freq=None):
+        """
+        This function reindexes a pandas dataframe with missing dates for a given time series frequency.
+
+        Note: If duplicate dates dates are present in the dataframe, this function takes average of the duplicate
+        data dates and merges them as a single data date.
+
+        :param pandas.DataFrame df: Input pandas dataframe containing the time series
+        :param str freq: The frequency of the time-series. A `Pandas offset`_ such as 'D', 'H', or 'M'
+        :return: pandas dataframe after reindexing missing data dates
+
+        :rtype: pandas.DataFrame
+        """
 
         import pandas as pd
 
+        # Adding a group by logic for duplicate index
+        df = df.groupby(df.index).mean()
+
         # Create a new Pandas data frame based on the first valid index and
         # current date using the frequency defined by the use
         idx = pd.date_range(start=df.first_valid_index(), end=df.last_valid_index(), freq=freq)
@@ -798,14 +813,20 @@ def kf_naive_outlier_detection(self, input_series, idx_position):
         from pykalman import KalmanFilter
 
         kf = KalmanFilter()
-        filtered_state_means, filtered_state_covariance = kf.em(input_series).filter(input_series)
 
-        residuals = input_series - filtered_state_means[:,0]
+        truncated_series = input_series[-(self.min_ts_length * 3):] \
+            if idx_position == len(input_series) - 1 else input_series
+        idx_position = len(truncated_series) - 1
+
+        filtered_state_means, filtered_state_covariance = kf.em(truncated_series).filter(truncated_series)
 
+        residuals = truncated_series - filtered_state_means[:, 0]
+
+        # Catching marginal anomalies to avoid during training
         is_anomaly = residuals[idx_position] < np.mean(residuals) \
-                     - (2.5 * np.sqrt(filtered_state_covariance)[idx_position][0][0]) \
+                     - (1 * np.sqrt(filtered_state_covariance)[idx_position][0][0]) \
                      or residuals[idx_position] > np.mean(residuals) \
-                     + (2.5 * np.sqrt(filtered_state_covariance)[idx_position][0][0])
+                     + (1 * np.sqrt(filtered_state_covariance)[idx_position][0][0])
 
         return is_anomaly
 
@@ -882,6 +903,9 @@ def _prepare(self, df, impute_only, streaming=False, **kwargs):
             df = df.iloc[-min(max_ts_length, len(df)):]
             df = self._truncate_by_data_gaps(df=df, target_metric=target_metric)
 
+            if len(df) < min_ts_length:
+                raise ValueError("Due to a recent data gap, training is waiting for more data to populate")
+
         if not streaming and len(df) < min_ts_length:
             raise ValueError("The training data observed continuous missing data near the end. Require more stable "
                              "data to train")

luminaire/model/lad_structural.py

@@ -237,7 +237,7 @@ def _seasonal_arima(self, endog=None, exog=None, p=None, d=None, q=None, imodels
         """
 
         import numpy as np
-        import statsmodels.tsa.arima_model as arima
+        import statsmodels.tsa.arima.model as arima
 
         # Extract the exogenous variable generated based on (imodels * 2) number of most significant
         # frequencies
@@ -257,13 +257,7 @@ def _seasonal_arima(self, endog=None, exog=None, p=None, d=None, q=None, imodels
 
         try:
             stepwise_fit.append(arima.ARIMA(endog=endog, exog=exog,
-                                            order=(p, d, q)).fit(seasonal=False, trace=False,
-                                                                 method='css',
-                                                                 solver='bfgs',
-                                                                 error_action='ignore',
-                                                                 stepwise_fit=True,
-                                                                 warn_convergence=False,
-                                                                 disp=False))
+                                            order=(p, d, q)).fit(method='statespace'))
         except Exception as e:
             raise LADStructuralError(message=str(e))
 
@@ -442,12 +436,77 @@ def _training(self, data, ts_start, ts_end, min_ts_length=None, min_ts_mean=None
 
         return result, order
 
-    def train(self, data, optimize=False, **kwargs):
+    def _validate_model(self, data, hyper_params, result):
+        """
+        This function validates a newly trained model before publishing. This valudation checks for underfit due to
+        misspecification of hyperparameters or nonstationarity.
+
+        :param pandas.DataFrame data: Input time series data
+        :param dict hyper_params: Hyperparameters for model training
+        :param dict result: Training outputs
+        :return: A validation flag for model to publish. The function returns True when the validation is successful,
+        False otherwise.
+
+        :rtype: bool
+        """
+
+        import numpy as np
+        import scipy.stats as st
+
+        levene_alpha = 0.05
+        grubb_alpha = 0.001
+        f_test_alpha = 0.05
+        mwu_alpha = 0.0005
+        passed = True
+
+        model = LADStructuralModel(hyper_params=self.hyper_params, **result)
+
+        freq = "1" + result['freq'] if not any(char.isdigit() for char in result['freq']) else result['freq']
+
+        baseline = data[self._imputed_metric][-self.max_scoring_length:].values
+        baseline = (np.exp(baseline) - 1).tolist() if hyper_params['is_log_transformed'] else baseline.tolist()
+
+        predictions = []
+        pred_date = pd.Timestamp(result['training_end_date'])
+        for i in range(len(baseline)):
+            pred_date = pred_date + pd.Timedelta(freq)
+            result = model.score(baseline[i], pred_date)
+            if result['Success']:
+                predictions.append(result['Prediction'])
+
+        # We perform Levene test, Mann-Whitney U test, and Grubb test between the predictions and the baseline
+        # to understand if the are widely different. The two arrays need to be of the same length in order to
+        # perform these tests.
+        if len(predictions) == len(baseline):
+            N = len(predictions)
+
+            pvalue_levene = st.levene(predictions, baseline)[1]
+            pvalue_levene_diff = st.levene(np.diff(predictions), np.diff(baseline))[1]
+            pvalue_mwu = st.mannwhitneyu(predictions, baseline)[1] if predictions != baseline else 1.0
+
+            grubb_test_stat = max(abs(np.array(predictions) - np.mean(predictions))) / np.std(predictions, ddof=1)
+            t_cutoff = st.t.ppf((grubb_alpha / (2 * N)), df=N - 2)
+            grubb_test = grubb_test_stat > ((N - 1) / np.sqrt(N)) * np.sqrt((t_cutoff**2) / (N - 2 + (t_cutoff**2)))
+
+            if grubb_test:
+                passed = False
+            if np.std(baseline, ddof=1) > 0:
+                if (not np.isnan(pvalue_levene) and not np.isnan(pvalue_levene_diff) and not np.isnan(pvalue_mwu)) and \
+                        (pvalue_levene < levene_alpha or pvalue_levene_diff < levene_alpha):
+                    F = (np.std(predictions, ddof=1) ** 2) / (np.std(baseline, ddof=1) ** 2)
+                    f_test_pval = 1 - st.f.cdf(F, N - 1, len(baseline) - 1)
+                    if f_test_pval < f_test_alpha and pvalue_mwu < mwu_alpha:
+                        passed = False
+
+        return passed
+
+    def train(self, data, optimize=False, validate=False, **kwargs):
         """
         This function trains a structural LAD model for a given time series.
 
         :param pandas.DataFrame data: Input time series data
         :param bool optimize: Flag to identify whether called from hyperparameter optimization
+        :param bool validate: Flag to identify whether to run model validation after training
         :return: success flag, the model date and the trained lad structural model object
         :rtype: tuple[bool, str, LADStructuralModel object]
 
@@ -493,6 +552,13 @@ def train(self, data, optimize=False, **kwargs):
 
         success = False if 'ErrorMessage' in result else True
 
+        # Model validation step to check underfit due to misspecification of hyperparameters to some other reasons.
+        if success and validate and not optimize:
+            passed = self._validate_model(data=data, hyper_params=self.hyper_params, result=result)
+            if not passed:
+                success = False
+                result['ErrorMessage'] = 'Model validation failed! Check any issues with the input data or the hyper-parameters.'
+
         return success, kwargs['ts_end'], LADStructuralModel(hyper_params=self.hyper_params, **result)
 
     @classmethod
@@ -569,7 +635,11 @@ def _predict(cls, model, is_log_transformed,
                 else:
                     pred_exog['fourier_feature'] = seasonal_feature_scoring[:forecast_ndays]
 
-            forecast = list(model.forecast(steps=forecast_ndays, alpha=alpha, exog=pred_exog))
+            forecast = []
+            forecast_obj = model.get_forecast(steps=forecast_ndays, alpha=alpha, exog=pred_exog)
+            forecast.append(np.real(forecast_obj.predicted_mean).tolist())      # adding prediction mean to forecast
+            forecast.append(np.real(forecast_obj.se_mean).tolist())         # adding prediction standard error to forecast
+            forecast.append(np.real(forecast_obj.conf_int()).tolist())      # adding predictions ci's to forecast
             interpolated_training_data = list(zip(*training_tail))[1]
 
             for order in list(reversed(range(order_of_diff))):

luminaire/model/model_utils.py

@@ -58,6 +58,8 @@ class LADHolidays(pandas.tseries.holiday.AbstractHolidayCalendar):
                             offset=_DateOffset(weekday=_H.SU(1)))
     Easter = _H.Holiday('Easter', month=1, day=1, offset=[_H.Easter(), _H.Day(0)])
 
+    USThanksgivingWednesday = _H.Holiday('Thanksgiving Wednesday', month=11, day=1,
+                                   offset=[_DateOffset(weekday=_H.TH(4)), _DateOffset(days=-1)])
     USThanksgivingDay = _H.Holiday('Thanksgiving', month=11, day=1,
                                 offset=_DateOffset(weekday=_H.TH(4)))
     USThanksgivingFriday = _H.Holiday('Thanksgiving Friday', month=11, day=1,
@@ -67,6 +69,7 @@ class LADHolidays(pandas.tseries.holiday.AbstractHolidayCalendar):
     USThanksgivingSunday = _H.Holiday('Thanksgiving Sunday', month=11, day=1,
                                    offset=[_DateOffset(weekday=_H.TH(4)), _DateOffset(days=3)])
 
+    Dec23 = _H.Holiday('December 23', month=12, day=23)
     ChristmasEve = _H.Holiday('Christmas Eve', month=12, day=24)
     ChristmasDay = _H.Holiday('Christmas Day', month=12, day=25)
     ChristmasDayObserved = _H.Holiday('Christmas Day Observed', month=12, day=25, observance=_H.nearest_workday)
@@ -79,6 +82,8 @@ class LADHolidays(pandas.tseries.holiday.AbstractHolidayCalendar):
 
     NewYearsDay = _H.Holiday('New Years Day', month=1, day=1)
     NewYearsDayObserved = _H.Holiday('New Years Day Observed', month=1, day=1, observance=_H.nearest_workday)
+    Jan2 = _H.Holiday('January 2', month=1, day=2)
+    Jan3 = _H.Holiday('January 3', month=1, day=3)
 
     rules = [
         USMemorialDay,
@@ -105,10 +110,12 @@ class LADHolidays(pandas.tseries.holiday.AbstractHolidayCalendar):
         Superbowl,
         Easter,
 
+        USThanksgivingWednesday,
         USThanksgivingDay,
         USThanksgivingFriday,
         USThanksgivingSaturday,
         USThanksgivingSunday,
+        Dec23,
         ChristmasEve,
         ChristmasDay,
         ChristmasDayObserved,
@@ -120,6 +127,8 @@ class LADHolidays(pandas.tseries.holiday.AbstractHolidayCalendar):
         Dec31,
         NewYearsDay,
         NewYearsDayObserved,
+        Jan2,
+        Jan3,
     ]
 
     def __init__(self, name=None, holiday_rules=None):

luminaire/model/window_density.py

@@ -102,14 +102,16 @@ def _volume_shift_detection(self, mean_list=None, sd_list=None, probability_thre
         :rtype: int
         """
         import numpy as np
-        from bayesian_changepoint_detection import offline_changepoint_detection as offcd
+        from bayesian_changepoint_detection.priors import const_prior
+        from bayesian_changepoint_detection.bayesian_models import offline_changepoint_detection
+        import bayesian_changepoint_detection.offline_likelihoods as offline_ll
         from functools import partial
 
         # Volume shift detection over the means of the training window
-        q, p, pcp = offcd.offline_changepoint_detection(
+        q, p, pcp = offline_changepoint_detection(
             data=np.array(mean_list),
-            prior_func=partial(offcd.const_prior, l=(len(mean_list) + 1)),
-            observation_log_likelihood_function=offcd.gaussian_obs_log_likelihood,
+            prior_function=partial(const_prior, p=1/(len(mean_list) + 1)),
+            log_likelihood_class=offline_ll.StudentT(),
             truncate=-10)
 
         mask_mean = np.append(0, np.exp(pcp).sum(0)) > probability_threshold
@@ -118,10 +120,10 @@ def _volume_shift_detection(self, mean_list=None, sd_list=None, probability_thre
         change_points = np.array(mask_mean).nonzero()
         last_mean_cp = change_points[0][-1] if len(change_points[0]) > 0 else []
 
-        q, p, pcp = offcd.offline_changepoint_detection(
+        q, p, pcp = offline_changepoint_detection(
             data=np.array(sd_list),
-            prior_func=partial(offcd.const_prior, l=(len(sd_list) + 1)),
-            observation_log_likelihood_function=offcd.gaussian_obs_log_likelihood,
+            prior_function=partial(const_prior, p=1/(len(sd_list) + 1)),
+            log_likelihood_class=offline_ll.StudentT(),
             truncate=-10)
 
         mask_sd = np.append(0, np.exp(pcp).sum(0)) > probability_threshold
@@ -155,8 +157,8 @@ def _distance_function(self, data=None, called_for=None, baseline=None):
         if called_for == "training":
             distance = []
             for i in range(0, len(data) - 1):
-                q = stats.kde.gaussian_kde(data[i])
-                p = stats.kde.gaussian_kde(data[i + 1])
+                q = stats.gaussian_kde(data[i])
+                p = stats.gaussian_kde(data[i + 1])
 
                 ts_min = min(np.min(data[i]), np.min(data[i + 1]))
                 ts_max = max(np.max(data[i]), np.max(data[i + 1]))
@@ -176,8 +178,8 @@ def _distance_function(self, data=None, called_for=None, baseline=None):
 
         # If called for scoring, Kl divergence is performed between the scoring window and the baseline
         elif called_for == "scoring":
-            q = stats.kde.gaussian_kde(baseline)
-            p = stats.kde.gaussian_kde(data)
+            q = stats.gaussian_kde(baseline)
+            p = stats.gaussian_kde(data)
 
             ts_min = min(np.min(baseline), np.min(data))
             ts_max = max(np.max(baseline), np.max(data))

luminaire/tests/models/lad_structural_model

@@ -1,10 +1,10 @@
-bayesian-changepoint-detection>=0.2.dev1
+bayesian-changepoint-detection @ git+https://github.com/hildensia/bayesian_changepoint_detection@2dd95f5c1d028116899a842ccb3baa173f9d5be9
 changepy>=0.3.1
 hyperopt>=0.1.2
 numpy>=1.17.5
 pandas>=0.25.3
 pykalman>=0.9.5
-scipy<=1.2.3
-statsmodels>=0.10.2,<=0.12.2
+scipy>=1.6.0
+statsmodels>=0.13.0
 scikit-learn>=0.24.2
 decorator>=5.1.0