import pandas as pd from models.base import Model from training.types import ModelOverTime, TransformationsOverTime, PredictionsSeries, ProbabilitiesDataFrame from transformations.base import Transformation from utils.helpers import get_first_valid_return_index from tqdm import tqdm from typing import Optional from data_loader.types import XDataFrame import ray def walk_forward_inference( 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) 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_size = int((inference_till - inference_from) / 10) batched_results = ray.get([__inference_from_window.remote(index, index + batch_size, inference_from, retrain_every, X, model_over_time, transformations_over_time, expanding_window, window_size) for index in range(inference_from, inference_till)]) 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 @ray.remote def __inference_from_window(index_start: int, index_end: int, inference_from: int, retrain_every: int, X: XDataFrame, model_over_time: ModelOverTime, transformations_over_time: TransformationsOverTime, expanding_window: bool, window_size: int) -> list[tuple[int, float, pd.Series]]: results = [] for index in range(index_start, index_end): last_model_index = index - ((index - inference_from) % retrain_every) train_window_start = X.index[inference_from] if expanding_window else X.index[index - window_size - 1] current_model = model_over_time[X.index[last_model_index]] current_transformations = [transformation_over_time[X.index[last_model_index]] for transformation_over_time in transformations_over_time] if current_model.predict_window_size == 'window_size': next_timestep = X.loc[train_window_start:X.index[index]] else: # we need to get a Dataframe out of it, since the transformation step always expects a 2D array, but it's equivalent to X.iloc[index] next_timestep = X.loc[X.index[index]:X.index[index]] for transformation in current_transformations: next_timestep = transformation.transform(next_timestep) next_timestep = next_timestep.to_numpy() prediction, probs = current_model.predict(next_timestep) results.append((index, prediction, probs)) return results