import pandas as pd from training.types import ModelOverTime, TransformationsOverTime, PredictionsSeries, ProbabilitiesDataFrame from utils.helpers import get_first_valid_return_index from tqdm import tqdm from typing import Optional from data_loader.types import XDataFrame from tqdm import tqdm def walk_forward_inference_batched( model_name: str, model_over_time: ModelOverTime, transformations_over_time: TransformationsOverTime, X: XDataFrame, expanding_window: bool, window_size: int, retrain_every: int, from_index: Optional[pd.Timestamp], ) -> tuple[PredictionsSeries, ProbabilitiesDataFrame]: predictions = pd.Series(index=X.index, dtype='object').rename(model_name) probabilities = pd.DataFrame(index=X.index, columns=['0', '1']) inference_from = max(get_first_valid_return_index(model_over_time), get_first_valid_return_index(X.iloc[:,0])) if from_index is None else X.index.to_list().index(from_index) inference_till = X.shape[0] first_model = model_over_time[inference_from] if first_model.only_column is not None: X = X[[column for column in X.columns if first_model.only_column in column]] if first_model.data_transformation == 'original': transformations_over_time = [] batch_indices = range(inference_from, inference_till, retrain_every) if inference_till - inference_from > retrain_every else [inference_from] batched_results = [__inference_from_window(index, index + retrain_every, X, model_over_time, transformations_over_time, expanding_window, window_size) for index in tqdm(batch_indices)] for batch in batched_results: for index, prediction, probs in batch: predictions[X.index[index]] = prediction probabilities.loc[X.index[index]] = probs return predictions, probabilities def __inference_from_window(index_start: int, index_end: int, X: XDataFrame, model_over_time: ModelOverTime, transformations_over_time: TransformationsOverTime, expanding_window: bool, window_size: int) -> list[tuple[int, float, pd.Series]]: current_model = model_over_time[X.index[index_start]] current_transformations = [transformation_over_time[X.index[index_start]] for transformation_over_time in transformations_over_time] input_data = X.iloc[index_start:index_end] for transformation in current_transformations: input_data = transformation.transform(input_data) input_data = input_data.to_numpy() predictions = current_model.predict(input_data) probs = current_model.predict_proba(input_data) results = [(index_start + index, predictions[index], probs[index]) for index in range(len(predictions))] return results