Added several models and cleaned figures

code/wilshire_5000/nn.py

@@ -7,7 +7,7 @@ import tensorflow_addons as tfa
 from statsmodels.tsa.arima.model import ARIMA
 
 def snake(x):
-    return(x+(tf.math.sin(50*x)**2)/50)
+    return(x+(tf.math.sin(20*x)**2)/20)
 def sinus(x):
     return(tf.math.sin(x))
 def sinus_cosinus(x):
@@ -20,7 +20,7 @@ def swish(x):
 activations = [snake]
 
 
-def prepare_data(filename="WILL5000INDFC2.csv"):
+def prepare_data(filename="WILL5000INDFC.csv"):
     df_train,df_test,index = wilshire.preprocess(filename)
     x_train = np.arange(df_train.shape[0])
     maximum = np.max(x_train)
@@ -37,7 +37,8 @@ def prepare_data(filename="WILL5000INDFC2.csv"):
 def arima_pred(y_train,y_test,orders=[[2,1,1],[2,2,1],[3,1,1],[2,1,2]],n=5):
     mse=[]
     for order in orders :
-        mean_err=np.array()
+        
+        mean_err= []
         for k in range(n):
             train = y_train
             preds = []
@@ -45,10 +46,11 @@ def arima_pred(y_train,y_test,orders=[[2,1,1],[2,2,1],[3,1,1],[2,1,2]],n=5):
                 model = ARIMA(train, order=(order[0],order[1],order[2]))
                 model = model.fit()
                 output = model.forecast() 
-                preds.append(output[0])
+                #print(output)
+                preds.append(output)
                 #train.append(y_test[te
             mean_err.append((np.square(np.array(preds) - np.array(y_test))).mean())
-        mse.append(mean_err.mean())
+        mse.append([np.array(mean_err).mean(),np.array(mean_err).std()])
     return(mse)
 
 
@@ -60,7 +62,7 @@ def create_model(activation):
     model.add(tf.keras.layers.Dense(64,activation=activation))
     model.add(tf.keras.layers.Dense(1))
 
-    opt = tf.keras.optimizers.SGD(learning_rate=0.01,momentum=0.9)
+    opt = tf.keras.optimizers.SGD(learning_rate=0.01,momentum=0.8)
     model.compile(optimizer=opt, loss='mse')
     model.build()
     model.summary()
@@ -78,8 +80,8 @@ def training_testing(n=5,activations = [tf.keras.activations.relu,swish,sinus_co
         errors_test_5=[]
         for k in range(n):
 
-            model = create_model(activations)
-            model.fit(x_train,y_train, batch_size=1, epochs=1)
+            model = create_model(activation)
+            model.fit(x_train,y_train, batch_size=1, epochs=50)
 
             y_pred_test = model.predict(x_test)
             y_pred_train = model.predict(x_train)
@@ -96,10 +98,10 @@ def training_testing(n=5,activations = [tf.keras.activations.relu,swish,sinus_co
         errors_test.append([np.mean(errors_test_5),np.std(errors_test_5)])
         # y_preds_train.append(y_pred_train)
         # y_preds_test.append(y_pred_test)
-        return models,errors_train,errors_test
+    return models,errors_train,errors_test
 
 
-def final_plot(models,errors_test,arima_err):
+def final_plot(models,errors_test,arima_err,activations=["ReLU","Swish","Sinus Cosinus","Sinus","Snake"]):
     x_train,x_test,y_train,y_test,maximum,index = prepare_data(filename="WILL5000INDFC2.csv")
     x = np.arange(9000)
     x_n = x / maximum
@@ -111,17 +113,17 @@ def final_plot(models,errors_test,arima_err):
 
     print("----- ARIMA Test MSE -----")
     orders_ARIMA = ["[2,1,1]","[2,2,1]","[3,1,1]","[2,1,2]"]
-    for k in range(len(orders_ARIMA)):
-        print("ARIMA"+orders_ARIMA[k]+" : "+str(arima_err[k]))
+    # for k in range(len(orders_ARIMA)):
+    #     print("ARIMA"+orders_ARIMA[k]+" : "+str(arima_err[k]))
     
     print("----- DNN Test MSE -----")
-    activations = ["ReLU","Swish","Sinus Cosinus","Sinus","Snake"]
+    
     for k in range(len(activations)):
         print("DNN "+activations[k]+" : "+str(errors_test[k]))
     plt.figure()
     plt.plot(x_cut,y_true,label="True data")
     plt.plot(x,future_preds,label="Predictions")
-    plt.xticks(range(0, 9000, 250), range(1995, 2031, 1))
+    plt.xticks(range(0, 9000, 500), range(1995, 2031, 2))
     plt.xlabel("Années")
     plt.ylabel("Index Willshire5000 normalisé")
     plt.vlines([index,index+85],ymin=0,ymax=1,colors="r",label="Test Samples")
@@ -129,4 +131,40 @@ def final_plot(models,errors_test,arima_err):
     plt.show()
 
 
+x_train,x_test,y_train,y_test,maximum,index = prepare_data()
+#mse = arima_pred(y_train,y_test)
+# mse=[]
+# # models,errors_train,errors_test = training_testing(n=1,activations=[snake])
+# # models[0].save("Snake20a")
+# models=[]
+# errors_test=[]
+# models.append(tf.keras.models.load_model("Snake30a"))
+# print(mse,errors_test)
+# final_plot(models,errors_test,mse,activations=[])
+
+def plot_all_a(a=["1","10","20","30","100"]):
+    models=[]
+    for param in a :
+        models.append(tf.keras.models.load_model("Snake"+param+"a"))
+    x_train,x_test,y_train,y_test,maximum,index = prepare_data(filename="WILL5000INDFC2.csv")
+    x = np.arange(9000)
+    x_n = x / maximum
+    y_true = np.concatenate((y_train,y_test))
+    x_cut = np.arange(x_train.shape[0]+x_test.shape[0])
+    future_preds=[]
+    for k in range(len(models)):
+        future_preds.append(models[k].predict(x_n) )
+
+    
+    
+    plt.figure()
+    plt.plot(x_cut,y_true,label="True data")
+    for k in range(len(models)):
+        plt.plot(x,future_preds[k],label="a = "+a[k])
+    plt.xticks(range(0, 9000, 500), range(1995, 2031, 2))
+    plt.xlabel("Années")
+    plt.ylabel("Index Willshire5000 normalisé")
+    plt.legend()
+    plt.show()
 
+# plot_all_a()

code/wilshire_5000/wilshire.py

@@ -6,12 +6,9 @@ import matplotlib.pyplot as plt
 
 def parser(path):
     df = pd.read_csv(path,na_values='.')
-    print(df.shape)
     #df = df.interpolate()
     df = df.dropna().reset_index(drop=True)
-    print(df.shape)
     #df = df.drop(labels=np.arange(1825)) ### To obtain the same graph than in the article
-    print(df.shape)
     return(df)
 
 def preprocess(path):
@@ -20,9 +17,6 @@ def preprocess(path):
     df_normalized = df[:]
     df_normalized["WILL5000INDFC"]=df_normalized["WILL5000INDFC"]/np.max(df_normalized["WILL5000INDFC"])
     index_train = int(df_normalized[df_normalized["DATE"]=="2020-01-31"].index.array[0])
-    print(df)
-    print(df_normalized)
-    print(df_normalized[df_normalized["DATE"]=="2020-01-31"])
     # df.plot()
     # plt.show()
     df_train = df_normalized[:index_train]