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AutoLagSelectionLayer

Layer for automatically selecting optimal lag features based on autocorrelation analysis.

This layer analyzes the autocorrelation of time series data to identify important lag values, then creates lag features for those values. This is more efficient than creating lag features for all possible lags.

One set of lags is selected for the whole input. Given a 3-D input of shape (batch_size, time_steps, features) the autocorrelation is averaged over the batch and over the channels, so every channel contributes to the choice, and the selected lags are then applied to all of them.

Parameters- max_lag: Maximum lag to consider

  • n_lags: Number of lag features to create (default: 5)
  • threshold: Autocorrelation significance threshold (default: 0.2)
  • method: Method for selecting lags - 'top_k': Select the top k lags with highest autocorrelation - 'threshold': Select all lags with autocorrelation above threshold
  • drop_na: Whether to drop rows with insufficient history
  • fill_value: Value to use for padding when drop_na=False
  • keep_original: Whether to include the original values in the output

Constructor

__init__(self, max_lag=30, n_lags=5, threshold=0.2, method='top_k', drop_na=True, fill_value=0.0, keep_original=True, **kwargs)

Initialize the AutoLagSelectionLayer.

See the class docstring for the accepted arguments and what each one controls.

add_loss

add_loss(self, loss)

Can be called inside of the call() method to add a scalar loss.

Examples

class- **MyLayer(Layer)**: ...
    def call(self, x):
        self.add_loss(ops.sum(x))
        return x

add_variable

add_variable(self, shape, initializer, dtype=None, trainable=True, autocast=True, regularizer=None, constraint=None, name=None)

Add a weight variable to the layer.

Alias of add_weight().

add_weight

add_weight(self, shape=None, initializer=None, dtype=None, trainable=True, autocast=True, regularizer=None, constraint=None, aggregation='none', overwrite_with_gradient=False, name=None)

Add a weight variable to the layer.

Parameters- shape: Shape tuple for the variable. Must be fully-defined

    (no `None` entries). Defaults to `()` (scalar) if unspecified.
  • initializer: Initializer object to use to populate the initial variable value, or string name of a built-in initializer (e.g. "random_normal"). If unspecified, defaults to "glorot_uniform" for floating-point variables and to "zeros" for all other types (e.g. int, bool).
  • dtype: Dtype of the variable to create, e.g. "float32". If unspecified, defaults to the layer's variable dtype (which itself defaults to "float32" if unspecified).
  • trainable: Boolean, whether the variable should be trainable via backprop or whether its updates are managed manually. Defaults to True.
  • autocast: Boolean, whether to autocast layers variables when accessing them. Defaults to True.
  • regularizer: Regularizer object to call to apply penalty on the weight. These penalties are summed into the loss function during optimization. Defaults to None.
  • constraint: Contrainst object to call on the variable after any optimizer update, or string name of a built-in constraint. Defaults to None.
  • aggregation: Optional string, one of None, "none", "mean", "sum" or "only_first_replica". Annotates the variable with the type of multi-replica aggregation to be used for this variable when writing custom data parallel training loops. Defaults to "none".
  • overwrite_with_gradient: Boolean, whether to overwrite the variable with the computed gradient. This is useful for float8 training. Defaults to False.
  • name: String name of the variable. Useful for debugging purposes.

build

build(self, input_shape) -> None

Build the layer's weights for a given input shape.

Parameters- input_shape: Shape of the input tensor.

build_from_config

build_from_config(self, config)

Builds the layer's states with the supplied config dict.

By default, this method calls the build(config["input_shape"]) method, which creates weights based on the layer's input shape in the supplied config. If your config contains other information needed to load the layer's state, you should override this method.

Parameters- config: Dict containing the input shape associated with this layer.

call

call(self, inputs, training=None) -> tensorflow.python.framework.tensor.Tensor

Apply automatic lag selection.

Parameters- inputs: Input tensor of shape (batch_size, time_steps) or (batch_size, time_steps, features)

  • training: Boolean tensor indicating whether the call is for training (not used)

Returns

Tensor with selected lag features

compute_output_shape

compute_output_shape(self, input_shape) -> tuple

Compute the output shape.

count_params

count_params(self)

Count the total number of scalars composing the weights.

Returns

An integer count.

get_build_config

get_build_config(self)

Returns a dictionary with the layer's input shape.

This method returns a config dict that can be used by build_from_config(config) to create all states (e.g. Variables and Lookup tables) needed by the layer.

By default, the config only contains the input shape that the layer was built with. If you're writing a custom layer that creates state in an unusual way, you should override this method to make sure this state is already created when Keras attempts to load its value upon model loading.

Returns

A dict containing the input shape associated with the layer.

get_config

get_config(self) -> dict

Return the configuration.

get_weights

get_weights(self)

Return the values of layer.weights as a list of NumPy arrays.

load_own_variables

load_own_variables(self, store)

Loads the state of the layer.

You can override this method to take full control of how the state of the layer is loaded upon calling keras.models.load_model().

Parameters- store: Dict from which the state of the model will be loaded.

rematerialized_call

rematerialized_call(self, layer_call, *args, **kwargs)

Enable rematerialization dynamically for layer's call method.

Parameters- layer_call: The original call method of a layer.

Returns

Rematerialized layer's `call` method.

save_own_variables

save_own_variables(self, store)

Saves the state of the layer.

You can override this method to take full control of how the state of the layer is saved upon calling model.save().

Parameters- store: Dict where the state of the model will be saved.

set_weights

set_weights(self, weights)

Sets the values of layer.weights from a list of NumPy arrays.

stateless_call

stateless_call(self, trainable_variables, non_trainable_variables, *args, return_losses=False, **kwargs)

Call the layer without any side effects.

Parameters- trainable_variables: List of trainable variables of the model.

  • non_trainable_variables: List of non-trainable variables of the model. *args: Positional arguments to be passed to call().
  • return_losses: If True, stateless_call() will return the list of losses created during call() as part of its return values. **kwargs: Keyword arguments to be passed to call().

Returns

A tuple. By default, returns `(outputs, non_trainable_variables)`.
    If `return_losses = True`, then returns
    `(outputs, non_trainable_variables, losses)`.
  • Note: non_trainable_variables include not only non-trainable weights such as BatchNormalization statistics, but also RNG seed state (if there are any random operations part of the layer, such as dropout), and Metric state (if there are any metrics attached to the layer). These are all elements of state of the layer.

Examples

model = ...
data = ...
trainable_variables = model.trainable_variables
non_trainable_variables = model.non_trainable_variables
# Call the model with zero side effects
outputs, non_trainable_variables = model.stateless_call(
    trainable_variables,
    non_trainable_variables,
    data,
)
# Attach the updated state to the model
# (until you do this, the model is still in its pre-call state).
for ref_var, value in zip(
    model.non_trainable_variables, non_trainable_variables
):
    ref_var.assign(value)