Merge pull request #433 from WenjieDu/(feat)add_reformer

Add Reformer as an imputation model

pypots/imputation/__init__.py

@@ -23,6 +23,7 @@
 from .crossformer import Crossformer
 from .informer import Informer
 from .autoformer import Autoformer
+from .reformer import Reformer
 from .dlinear import DLinear
 from .patchtst import PatchTST
 from .usgan import USGAN
@@ -54,6 +55,7 @@
     "DLinear",
     "Informer",
     "Autoformer",
+    "Reformer",
     "NonstationaryTransformer",
     "Pyraformer",
     "BRITS",

pypots/imputation/reformer/__init__.py

@@ -0,0 +1,25 @@
+"""
+The package of the partially-observed time-series imputation model Reformer.
+
+Refer to the paper
+`Kitaev, Nikita, Łukasz Kaiser, and Anselm Levskaya.
+Reformer: The Efficient Transformer.
+International Conference on Learning Representations, 2020.
+<https://openreview.net/pdf?id=rkgNKkHtvB>`_
+
+Notes
+-----
+This implementation is inspired by the official one https://github.com/google/trax/tree/master/trax/models/reformer and
+https://github.com/lucidrains/reformer-pytorch
+
+"""
+
+# Created by Wenjie Du <[email protected]>
+# License: BSD-3-Clause
+
+
+from .model import Reformer
+
+__all__ = [
+    "Reformer",
+]

pypots/imputation/reformer/core.py

@@ -0,0 +1,88 @@
+"""
+The core wrapper assembles the submodules of Reformer imputation model
+and takes over the forward progress of the algorithm.
+"""
+
+# Created by Wenjie Du <[email protected]>
+# License: BSD-3-Clause
+
+import torch.nn as nn
+
+from ...nn.modules.reformer import ReformerEncoder
+from ...nn.modules.saits import SaitsLoss, SaitsEmbedding
+
+
+class _Reformer(nn.Module):
+    def __init__(
+        self,
+        n_steps,
+        n_features,
+        n_layers,
+        d_model,
+        n_heads,
+        bucket_size,
+        n_hashes,
+        causal,
+        d_ffn,
+        dropout,
+        ORT_weight: float = 1,
+        MIT_weight: float = 1,
+    ):
+        super().__init__()
+
+        self.n_steps = n_steps
+
+        self.saits_embedding = SaitsEmbedding(
+            n_features * 2,
+            d_model,
+            with_pos=False,
+            dropout=dropout,
+        )
+        self.encoder = ReformerEncoder(
+            n_steps,
+            n_layers,
+            d_model,
+            n_heads,
+            bucket_size,
+            n_hashes,
+            causal,
+            d_ffn,
+            dropout,
+        )
+
+        # for the imputation task, the output dim is the same as input dim
+        self.output_projection = nn.Linear(d_model, n_features)
+        self.saits_loss_func = SaitsLoss(ORT_weight, MIT_weight)
+
+    def forward(self, inputs: dict, training: bool = True) -> dict:
+        X, missing_mask = inputs["X"], inputs["missing_mask"]
+
+        # WDU: the original Reformer paper isn't proposed for imputation task. Hence the model doesn't take
+        # the missing mask into account, which means, in the process, the model doesn't know which part of
+        # the input data is missing, and this may hurt the model's imputation performance. Therefore, I apply the
+        # SAITS embedding method to project the concatenation of features and masks into a hidden space, as well as
+        # the output layers to project back from the hidden space to the original space.
+        enc_out = self.saits_embedding(X, missing_mask)
+
+        # Reformer encoder processing
+        enc_out = self.encoder(enc_out)
+        # project back the original data space
+        reconstruction = self.output_projection(enc_out)
+
+        imputed_data = missing_mask * X + (1 - missing_mask) * reconstruction
+        results = {
+            "imputed_data": imputed_data,
+        }
+
+        # if in training mode, return results with losses
+        if training:
+            X_ori, indicating_mask = inputs["X_ori"], inputs["indicating_mask"]
+            loss, ORT_loss, MIT_loss = self.saits_loss_func(
+                reconstruction, X_ori, missing_mask, indicating_mask
+            )
+            results["ORT_loss"] = ORT_loss
+            results["MIT_loss"] = MIT_loss
+            # `loss` is always the item for backward propagating to update the model
+            results["loss"] = loss
+
+        return results

pypots/imputation/reformer/data.py

@@ -0,0 +1,24 @@
+"""
+Dataset class for Reformer.
+"""
+
+# Created by Wenjie Du <[email protected]>
+# License: BSD-3-Clause
+
+from typing import Union
+
+from ..saits.data import DatasetForSAITS
+
+
+class DatasetForReformer(DatasetForSAITS):
+    """Actually Reformer uses the same data strategy as SAITS, needs MIT for training."""
+
+    def __init__(
+        self,
+        data: Union[dict, str],
+        return_X_ori: bool,
+        return_y: bool,
+        file_type: str = "hdf5",
+        rate: float = 0.2,
+    ):
+        super().__init__(data, return_X_ori, return_y, file_type, rate)