lstm.py

import numpy
import matplotlib.pyplot as plt
from pandas import read_csv
import math
from tensorflow.python.keras.models import Sequential
from tensorflow.python.keras.layers import Dense
from tensorflow.python.keras.layers import LSTM
from sklearn.preprocessing import MinMaxScaler
from sklearn.metrics import mean_squared_error


# convert an array of values into a dataset matrix
def create_dataset(dataset, look_back=1):
    dataX, dataY = [], []
    for i in range(len(dataset) - look_back - 1):
        a = dataset[i:(i + look_back), 0]
        dataX.append(a)
        dataY.append(dataset[i + look_back, 0])
    return numpy.array(dataX), numpy.array(dataY)


# fix random seed for reproducibility
numpy.random.seed(7)
# load the dataset
dataframe = read_csv('airline-passengers.csv', usecols=[1], engine='python')
dataset = dataframe.values
dataset = dataset.astype('float32')
# normalize the dataset
scaler = MinMaxScaler(feature_range=(0, 1))
dataset = scaler.fit_transform(dataset)
# split into train and test sets
train_size = int(len(dataset) * 0.67)
test_size = len(dataset) - train_size
train, test = dataset[0:train_size, :], dataset[train_size:len(dataset), :]
# reshape into X=t and Y=t+1
look_back = 1
trainX, trainY = create_dataset(train, look_back)
testX, testY = create_dataset(test, look_back)
# reshape input to be [samples, time steps, features]
trainX = numpy.reshape(trainX, (trainX.shape[0], 1, trainX.shape[1]))
testX = numpy.reshape(testX, (testX.shape[0], 1, testX.shape[1]))
# create and fit the LSTM network
model = Sequential()
model.add(LSTM(4, input_shape=(1, look_back)))
model.add(Dense(1))
model.compile(loss='mean_squared_error', optimizer='adam')
model.fit(trainX, trainY, epochs=100, batch_size=1, verbose=2)
# make predictions
trainPredict = model.predict(trainX)
testPredict = model.predict(testX)
# invert predictions
trainPredict = scaler.inverse_transform(trainPredict)
trainY = scaler.inverse_transform([trainY])
testPredict = scaler.inverse_transform(testPredict)
testY = scaler.inverse_transform([testY])
# calculate root mean squared error
trainScore = math.sqrt(mean_squared_error(trainY[0], trainPredict[:, 0]))
print('Train Score: %.2f RMSE' % (trainScore))
testScore = math.sqrt(mean_squared_error(testY[0], testPredict[:, 0]))
print('Test Score: %.2f RMSE' % (testScore))
# shift train predictions for plotting
trainPredictPlot = numpy.empty_like(dataset)
trainPredictPlot[:, :] = numpy.nan
trainPredictPlot[look_back:len(trainPredict) + look_back, :] = trainPredict
# shift test predictions for plotting
testPredictPlot = numpy.empty_like(dataset)
testPredictPlot[:, :] = numpy.nan
testPredictPlot[len(trainPredict) + (look_back * 2) + 1:len(dataset) - 1, :] = testPredict
# plot baseline and predictions
plt.plot(scaler.inverse_transform(dataset))
plt.plot(trainPredictPlot)
plt.plot(testPredictPlot)
plt.show()