Added code for experiments in the paper

fmpr · Aug 16, 2018 · 1155a14 · 1155a14
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diff --git a/.DS_Store b/.DS_Store
diff --git a/barclays_events.tsv b/barclays_events.tsv
diff --git a/barclays_events_preprocessed.tsv b/barclays_events_preprocessed.tsv
diff --git a/barclays_fc/.DS_Store b/barclays_fc/.DS_Store
diff --git a/...1day-LSTM-withEvents-withText-noTimeLSTM-moreData-betterDetrending-Copy1-checkpoint.ipynb b/...1day-LSTM-withEvents-withText-noTimeLSTM-moreData-betterDetrending-Copy1-checkpoint.ipynb
diff --git a/...1day-LSTM-withEvents-withText-noTimeLSTM-moreData-betterDetrending-Copy2-checkpoint.ipynb b/...1day-LSTM-withEvents-withText-noTimeLSTM-moreData-betterDetrending-Copy2-checkpoint.ipynb
diff --git a/...1day-LSTM-withEvents-withText-noTimeLSTM-moreData-betterDetrending-Copy3-checkpoint.ipynb b/...1day-LSTM-withEvents-withText-noTimeLSTM-moreData-betterDetrending-Copy3-checkpoint.ipynb
diff --git a/...1day-LSTM-withEvents-withText-noTimeLSTM-moreData-betterDetrending-Copy4-checkpoint.ipynb b/...1day-LSTM-withEvents-withText-noTimeLSTM-moreData-betterDetrending-Copy4-checkpoint.ipynb
diff --git a/...ecast-1day-LSTM-withEvents-withText-noTimeLSTM-moreData-betterDetrending-checkpoint.ipynb b/...ecast-1day-LSTM-withEvents-withText-noTimeLSTM-moreData-betterDetrending-checkpoint.ipynb
diff --git a/...ast-1day-LSTM-withEvents-withText-noTimeLSTM-moreData-originalDetrending-checkpoint.ipynb b/...ast-1day-LSTM-withEvents-withText-noTimeLSTM-moreData-originalDetrending-checkpoint.ipynb
diff --git a/...ecast-1day-LSTM-withEvents-withText-noTimeLSTM-moreData-simpleDetrending-checkpoint.ipynb b/...ecast-1day-LSTM-withEvents-withText-noTimeLSTM-moreData-simpleDetrending-checkpoint.ipynb
diff --git a/...y-LSTM-withEvents-withText-noTimeLSTM-moreData-simpleDetrending-test2016-checkpoint.ipynb b/...y-LSTM-withEvents-withText-noTimeLSTM-moreData-simpleDetrending-test2016-checkpoint.ipynb
diff --git a/...cast-1day-LSTM-withEvents-withText-withTimeCNN-moreData-simpleDetrending-checkpoint.ipynb b/...cast-1day-LSTM-withEvents-withText-withTimeCNN-moreData-simpleDetrending-checkpoint.ipynb
diff --git a/...ay-LSTM-withEvents-withText-withTimeLSTM-moreData-simpleDetrending-Copy1-checkpoint.ipynb b/...ay-LSTM-withEvents-withText-withTimeLSTM-moreData-simpleDetrending-Copy1-checkpoint.ipynb
diff --git a/...ay-LSTM-withEvents-withText-withTimeLSTM-moreData-simpleDetrending-Copy2-checkpoint.ipynb b/...ay-LSTM-withEvents-withText-withTimeLSTM-moreData-simpleDetrending-Copy2-checkpoint.ipynb
diff --git a/...ay-LSTM-withEvents-withText-withTimeLSTM-moreData-simpleDetrending-Copy3-checkpoint.ipynb b/...ay-LSTM-withEvents-withText-withTimeLSTM-moreData-simpleDetrending-Copy3-checkpoint.ipynb
diff --git a/...ay-LSTM-withEvents-withText-withTimeLSTM-moreData-simpleDetrending-Copy4-checkpoint.ipynb b/...ay-LSTM-withEvents-withText-withTimeLSTM-moreData-simpleDetrending-Copy4-checkpoint.ipynb
diff --git a/...ay-LSTM-withEvents-withText-withTimeLSTM-moreData-simpleDetrending-Copy5-checkpoint.ipynb b/...ay-LSTM-withEvents-withText-withTimeLSTM-moreData-simpleDetrending-Copy5-checkpoint.ipynb
diff --git a/...ay-LSTM-withEvents-withText-withTimeLSTM-moreData-simpleDetrending-Copy6-checkpoint.ipynb b/...ay-LSTM-withEvents-withText-withTimeLSTM-moreData-simpleDetrending-Copy6-checkpoint.ipynb
diff --git a/...hEvents-withText-withTimeLSTM-moreData-simpleDetrending-attemptFULLmodel-checkpoint.ipynb b/...hEvents-withText-withTimeLSTM-moreData-simpleDetrending-attemptFULLmodel-checkpoint.ipynb
diff --git a/...ast-1day-LSTM-withEvents-withText-withTimeLSTM-moreData-simpleDetrending-checkpoint.ipynb b/...ast-1day-LSTM-withEvents-withText-withTimeLSTM-moreData-simpleDetrending-checkpoint.ipynb
diff --git a/...day-LSTM-withEvents-withText-withTimeMLP-moreData-simpleDetrending-Copy1-checkpoint.ipynb b/...day-LSTM-withEvents-withText-withTimeMLP-moreData-simpleDetrending-Copy1-checkpoint.ipynb
diff --git a/...day-LSTM-withEvents-withText-withTimeMLP-moreData-simpleDetrending-Copy2-checkpoint.ipynb b/...day-LSTM-withEvents-withText-withTimeMLP-moreData-simpleDetrending-Copy2-checkpoint.ipynb
diff --git a/...day-LSTM-withEvents-withText-withTimeMLP-moreData-simpleDetrending-Copy3-checkpoint.ipynb b/...day-LSTM-withEvents-withText-withTimeMLP-moreData-simpleDetrending-Copy3-checkpoint.ipynb
diff --git a/...day-LSTM-withEvents-withText-withTimeMLP-moreData-simpleDetrending-Copy4-checkpoint.ipynb b/...day-LSTM-withEvents-withText-withTimeMLP-moreData-simpleDetrending-Copy4-checkpoint.ipynb
diff --git a/...day-LSTM-withEvents-withText-withTimeMLP-moreData-simpleDetrending-Copy5-checkpoint.ipynb b/...day-LSTM-withEvents-withText-withTimeMLP-moreData-simpleDetrending-Copy5-checkpoint.ipynb
diff --git a/...day-LSTM-withEvents-withText-withTimeMLP-moreData-simpleDetrending-Copy6-checkpoint.ipynb b/...day-LSTM-withEvents-withText-withTimeMLP-moreData-simpleDetrending-Copy6-checkpoint.ipynb
diff --git a/...day-LSTM-withEvents-withText-withTimeMLP-moreData-simpleDetrending-Copy7-checkpoint.ipynb b/...day-LSTM-withEvents-withText-withTimeMLP-moreData-simpleDetrending-Copy7-checkpoint.ipynb
diff --git a/...cast-1day-LSTM-withEvents-withText-withTimeMLP-moreData-simpleDetrending-checkpoint.ipynb b/...cast-1day-LSTM-withEvents-withText-withTimeMLP-moreData-simpleDetrending-checkpoint.ipynb
diff --git a/...-LSTM-withEvents-withText-withTimeMLP-moreData-simpleDetrending-dropoffs-checkpoint.ipynb b/...-LSTM-withEvents-withText-withTimeMLP-moreData-simpleDetrending-dropoffs-checkpoint.ipynb
diff --git a/...vents-withText-withTimeMLP-moreData-simpleDetrending-fixLateEvents-Copy1-checkpoint.ipynb b/...vents-withText-withTimeMLP-moreData-simpleDetrending-fixLateEvents-Copy1-checkpoint.ipynb
diff --git a/...ithText-withTimeMLP-moreData-simpleDetrending-fixLateEvents-biggerRadius-checkpoint.ipynb b/...ithText-withTimeMLP-moreData-simpleDetrending-fixLateEvents-biggerRadius-checkpoint.ipynb
diff --git a/...-withEvents-withText-withTimeMLP-moreData-simpleDetrending-fixLateEvents-checkpoint.ipynb b/...-withEvents-withText-withTimeMLP-moreData-simpleDetrending-fixLateEvents-checkpoint.ipynb
diff --git a/...xt-withTimeMLP-moreData-simpleDetrending-fixLateEvents-withWeather-Copy1-checkpoint.ipynb b/...xt-withTimeMLP-moreData-simpleDetrending-fixLateEvents-withWeather-Copy1-checkpoint.ipynb
diff --git a/...xt-withTimeMLP-moreData-simpleDetrending-fixLateEvents-withWeather-Copy2-checkpoint.ipynb b/...xt-withTimeMLP-moreData-simpleDetrending-fixLateEvents-withWeather-Copy2-checkpoint.ipynb
diff --git a/...withText-withTimeMLP-moreData-simpleDetrending-fixLateEvents-withWeather-checkpoint.ipynb b/...withText-withTimeMLP-moreData-simpleDetrending-fixLateEvents-withWeather-checkpoint.ipynb
diff --git a/...TimeMLP-moreData-simpleDetrending-fixLateEvents-withWeather-final-EncDec-checkpoint.ipynb b/...TimeMLP-moreData-simpleDetrending-fixLateEvents-withWeather-final-EncDec-checkpoint.ipynb
diff --git a/...xt-withTimeMLP-moreData-simpleDetrending-fixLateEvents-withWeather-final-checkpoint.ipynb b/...xt-withTimeMLP-moreData-simpleDetrending-fixLateEvents-withWeather-final-checkpoint.ipynb
diff --git a/...hTimeMLP-moreData-simpleDetrending-fixLateEvents-withWeather-final-plots-checkpoint.ipynb b/...hTimeMLP-moreData-simpleDetrending-fixLateEvents-withWeather-final-plots-checkpoint.ipynb
diff --git a/barclays_fc/30runs.sh b/barclays_fc/30runs.sh
@@ -0,0 +1,6 @@
+#!/bin/sh
+
+for RUN in {1..30}
+do
+	py $1
+done
diff --git a/barclays_fc/compute_results_statistics.py b/barclays_fc/compute_results_statistics.py
@@ -0,0 +1,74 @@
+import sys
+import numpy as np
+
+def read_results(filename):
+	f = open(filename)
+	header = f.readline()
+	header = [x.strip() for x in header.split(",")]
+	vals = [[] for x in range(len(header))]
+	for line in f:
+		splt = line.strip().split(",")
+		for i in xrange(len(splt)-1):
+			vals[i].append(float(splt[i]))
+	f.close()
+	vals = np.array(vals)
+	return vals, header
+
+mae_vals, header = read_results("results_mae.txt")
+mae_means = np.mean(mae_vals, axis=1)
+mae_stds = np.std(mae_vals, axis=1)
+mae_best = np.min(mae_vals, axis=1)
+
+rae_vals, header = read_results("results_rae.txt")
+rae_means = np.mean(rae_vals, axis=1)
+rae_stds = np.std(rae_vals, axis=1)
+rae_best = np.min(rae_vals, axis=1)
+
+rmse_vals, header = read_results("results_rmse.txt")
+rmse_means = np.mean(rmse_vals, axis=1)
+rmse_stds = np.std(rmse_vals, axis=1)
+rmse_best = np.min(rmse_vals, axis=1)
+
+rrse_vals, header = read_results("results_rrse.txt")
+rrse_means = np.mean(rrse_vals, axis=1)
+rrse_stds = np.std(rrse_vals, axis=1)
+rrse_best = np.min(rrse_vals, axis=1)
+
+mape_vals, header = read_results("results_mape.txt")
+mape_means = np.mean(mape_vals, axis=1)
+mape_stds = np.std(mape_vals, axis=1)
+mape_best = np.min(mape_vals, axis=1)
+
+r2_vals, header = read_results("results_r2.txt")
+r2_means = np.mean(r2_vals, axis=1)
+r2_stds = np.std(r2_vals, axis=1)
+r2_best = np.max(r2_vals, axis=1)
+
+print "Num runs:", mae_vals.shape[1]
+#print "Results statistics:"
+
+print "Method,MAE (mean),MAE (std),MAE (min),RAE (mean),RAE (std),RAE (min),RMSE (mean),RMSE (std),RMSE (min),RRSE (mean),RRSE (std),RRSE (min),MAPE (mean),MAPE (std),MAPE (min),R2 (mean),R2 (std),R2 (min)"
+for i in xrange(len(header)):
+	s = header[i]
+	s += ",%.3f,%.3f,%.3f" % (mae_means[i],mae_stds[i],mae_best[i])
+	s += ",%.3f,%.3f,%.3f" % (rae_means[i],rae_stds[i],rae_best[i])
+	s += ",%.3f,%.3f,%.3f" % (rmse_means[i],rmse_stds[i],rmse_best[i])
+	s += ",%.3f,%.3f,%.3f" % (rrse_means[i],rrse_stds[i],rrse_best[i])
+	s += ",%.3f,%.3f,%.3f" % (mape_means[i],mape_stds[i],mape_best[i])
+	s += ",%.3f,%.3f,%.3f" % (r2_means[i],r2_stds[i],r2_best[i])
+	print s
+
+print 
+print "FOR LATEX:"
+#print "Method & MAE & RAE & RMSE & RRSE  & MAPE & R2\\\\"
+print "Method & MAE & RMSE & MAPE & R2\\\\"
+header = ["LR L","LR L+W","LR L+W+E1","LR L+W+E1","LR L+W+E2","DL L","DL L+W","DL L+W+E1","DL L+W+E1","DL L+W+E2","DL L+W+E1+T","DL L+W+E2+T"]
+for i in xrange(len(header)):
+	s = header[i]
+	s += " & %.1f ($\pm$%.1f)" % (mae_means[i],mae_stds[i])
+	#s += " & %.3f ($\pm$%.3f)" % (rae_means[i],rae_stds[i])
+	s += " & %.1f ($\pm$%.1f)" % (rmse_means[i],rmse_stds[i])
+	#s += " & %.3f ($\pm$%.3f)" % (rrse_means[i],rrse_stds[i])
+	s += " & %.1f ($\pm$%.1f)" % (mape_means[i],mape_stds[i])
+	s += " & %.3f ($\pm$%.3f)" % (r2_means[i],r2_stds[i])
+	print s+"\\\\"
diff --git a/barclays_fc/results_mae.txt b/barclays_fc/results_mae.txt
@@ -0,0 +1,31 @@
+LR L,LR L+W,LR L+W+E,LR L+W+E+LF,LR L+W+E+LF+EL,MLP L,MLP L+W,MLP L+W+E,MLP L+W+E+LF,MLP L+W+E+LF+EL,MLP L+W+E+LF+ET,MLP L+W+E+LF+EL+ET
+119.619,119.179,100.877,99.661,95.042,120.815,120.425,100.951,99.625,95.303,96.953,92.661,
+119.619,119.179,100.877,99.661,95.042,122.968,119.327,103.041,98.546,97.140,96.221,94.215,
+119.619,119.179,100.877,99.661,95.042,122.116,119.956,100.698,99.718,95.280,96.441,92.576,
+119.619,119.179,100.877,99.661,95.042,120.889,120.715,100.141,100.707,94.177,96.238,93.424,
+119.619,119.179,100.877,99.661,95.042,120.247,121.976,101.313,100.228,95.256,96.339,92.682,
+119.619,119.179,100.877,99.661,95.042,120.688,119.068,101.514,101.010,94.667,95.273,92.648,
+119.619,119.179,100.877,99.661,95.042,119.877,119.507,100.535,99.684,95.523,96.488,94.218,
+119.619,119.179,100.877,99.661,95.042,120.171,121.584,100.855,99.933,95.641,95.755,92.855,
+119.619,119.179,100.877,99.661,95.042,121.860,119.709,100.162,99.559,96.085,98.022,92.992,
+119.619,119.179,100.877,99.661,95.042,122.414,119.357,99.904,100.779,95.401,96.115,92.354,
+119.619,119.179,100.877,99.661,95.042,121.015,119.283,100.805,99.790,96.793,97.079,92.702,
+119.619,119.179,100.877,99.661,95.042,119.191,118.833,100.333,99.240,95.801,97.037,92.329,
+119.619,119.179,100.877,99.661,95.042,120.664,119.372,101.184,98.877,94.735,95.959,92.840,
+119.619,119.179,100.877,99.661,95.042,119.940,120.769,102.491,101.014,95.801,95.869,92.803,
+119.619,119.179,100.877,99.661,95.042,120.932,119.092,100.988,99.577,93.870,96.755,93.708,
+119.619,119.179,100.877,99.661,95.042,120.136,117.439,100.322,100.279,95.558,96.070,94.653,
+119.619,119.179,100.877,99.661,95.042,119.224,120.534,103.070,100.270,96.389,96.025,93.388,
+119.619,119.179,100.877,99.661,95.042,120.808,118.795,100.956,98.195,93.717,97.472,93.748,
+119.619,119.179,100.877,99.661,95.042,120.169,119.807,100.973,99.479,96.522,96.497,93.107,
+119.619,119.179,100.877,99.661,95.042,121.068,120.122,100.599,98.435,95.028,95.807,96.360,
+119.619,119.179,100.877,99.661,95.042,120.388,118.841,100.401,98.939,96.438,96.918,93.302,
+119.619,119.179,100.877,99.661,95.042,120.962,119.789,100.417,99.515,95.334,95.635,92.996,
+119.619,119.179,100.877,99.661,95.042,119.369,120.086,101.770,99.251,96.700,96.520,92.141,
+119.619,119.179,100.877,99.661,95.042,119.578,119.851,100.624,101.087,96.769,94.768,92.163,
+119.619,119.179,100.877,99.661,95.042,120.224,118.732,101.067,100.929,93.907,95.008,93.596,
+119.619,119.179,100.877,99.661,95.042,119.756,120.255,99.834,98.215,96.890,95.654,93.851,
+119.619,119.179,100.877,99.661,95.042,122.690,121.434,100.197,100.839,94.480,95.820,93.108,
+119.619,119.179,100.877,99.661,95.042,121.910,119.548,101.902,100.296,95.902,94.890,92.724,
+119.619,119.179,100.877,99.661,95.042,123.956,118.397,101.008,102.639,96.199,96.009,93.651,
+119.619,119.179,100.877,99.661,95.042,119.928,120.605,99.813,99.621,95.268,96.006,93.298,
diff --git a/barclays_fc/results_mape.txt b/barclays_fc/results_mape.txt
@@ -0,0 +1,31 @@
+LR L,LR L+W,LR L+W+E,LR L+W+E+LF,LR L+W+E+LF+EL,MLP L,MLP L+W,MLP L+W+E,MLP L+W+E+LF,MLP L+W+E+LF+EL,MLP L+W+E+LF+ET,MLP L+W+E+LF+EL+ET
+15.387,15.375,13.115,12.965,12.536,15.810,15.741,13.455,13.140,12.674,12.622,12.257,
+15.387,15.375,13.115,12.965,12.536,16.195,15.536,13.772,12.790,12.956,12.491,12.440,
+15.387,15.375,13.115,12.965,12.536,16.026,15.625,13.182,13.089,12.602,12.716,12.195,
+15.387,15.375,13.115,12.965,12.536,15.895,15.931,13.194,13.326,12.521,12.602,12.338,
+15.387,15.375,13.115,12.965,12.536,15.752,16.149,13.211,13.312,12.498,12.566,12.100,
+15.387,15.375,13.115,12.965,12.536,15.801,15.554,13.333,13.115,12.570,12.592,12.141,
+15.387,15.375,13.115,12.965,12.536,15.544,15.529,13.202,13.093,12.646,12.572,12.195,
+15.387,15.375,13.115,12.965,12.536,15.648,15.923,13.332,13.276,12.670,12.534,12.257,
+15.387,15.375,13.115,12.965,12.536,15.930,15.497,13.075,13.060,12.907,12.806,12.256,
+15.387,15.375,13.115,12.965,12.536,16.119,15.462,13.092,13.453,12.462,12.662,12.182,
+15.387,15.375,13.115,12.965,12.536,15.844,15.490,13.133,13.133,12.925,12.391,12.244,
+15.387,15.375,13.115,12.965,12.536,15.303,15.519,13.122,13.144,12.826,12.806,12.259,
+15.387,15.375,13.115,12.965,12.536,15.763,15.531,13.429,12.907,12.655,12.392,12.204,
+15.387,15.375,13.115,12.965,12.536,15.628,15.842,13.583,13.417,12.684,12.485,12.120,
+15.387,15.375,13.115,12.965,12.536,15.868,15.416,13.283,13.105,12.293,12.784,12.262,
+15.387,15.375,13.115,12.965,12.536,15.688,15.104,13.120,13.226,12.608,12.470,12.411,
+15.387,15.375,13.115,12.965,12.536,15.314,15.842,13.697,13.197,12.752,12.536,12.367,
+15.387,15.375,13.115,12.965,12.536,15.738,15.375,13.187,12.856,12.422,12.865,12.245,
+15.387,15.375,13.115,12.965,12.536,15.577,15.499,13.375,13.043,12.965,12.632,12.173,
+15.387,15.375,13.115,12.965,12.536,15.868,15.656,13.250,12.968,12.645,12.479,12.513,
+15.387,15.375,13.115,12.965,12.536,15.771,15.404,13.171,12.907,12.717,12.634,12.323,
+15.387,15.375,13.115,12.965,12.536,15.789,15.646,13.179,13.037,12.594,12.578,12.323,
+15.387,15.375,13.115,12.965,12.536,15.527,15.611,13.448,13.175,13.019,12.744,12.261,
+15.387,15.375,13.115,12.965,12.536,15.534,15.667,13.218,13.296,12.907,12.475,12.234,
+15.387,15.375,13.115,12.965,12.536,15.600,15.468,13.204,13.412,12.460,12.413,12.424,
+15.387,15.375,13.115,12.965,12.536,15.348,15.797,13.103,12.952,12.873,12.594,12.403,
+15.387,15.375,13.115,12.965,12.536,16.075,16.026,13.012,13.287,12.630,12.402,12.216,
+15.387,15.375,13.115,12.965,12.536,15.946,15.715,13.549,13.256,12.688,12.484,12.105,
+15.387,15.375,13.115,12.965,12.536,16.409,15.440,13.328,13.631,12.833,12.691,12.344,
+15.387,15.375,13.115,12.965,12.536,15.597,15.764,13.007,13.031,12.296,12.416,12.283,
diff --git a/barclays_fc/results_r2.txt b/barclays_fc/results_r2.txt
@@ -0,0 +1,31 @@
+LR L,LR L+W,LR L+W+E,LR L+W+E+LF,LR L+W+E+LF+EL,MLP L,MLP L+W,MLP L+W+E,MLP L+W+E+LF,MLP L+W+E+LF+EL,MLP L+W+E+LF+ET,MLP L+W+E+LF+EL+ET
+0.448,0.452,0.585,0.594,0.624,0.469,0.475,0.598,0.609,0.628,0.623,0.645,
+0.448,0.452,0.585,0.594,0.624,0.465,0.474,0.588,0.608,0.622,0.624,0.640,
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diff --git a/barclays_fc/results_rae.txt b/barclays_fc/results_rae.txt
@@ -0,0 +1,31 @@
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diff --git a/barclays_fc/results_rmse.txt b/barclays_fc/results_rmse.txt
@@ -0,0 +1,31 @@
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diff --git a/barclays_fc/results_rrse.txt b/barclays_fc/results_rrse.txt
@@ -0,0 +1,31 @@
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