tslearn.svm
.TimeSeriesSVR¶
- class tslearn.svm.TimeSeriesSVR(C=1.0, kernel='gak', degree=3, gamma='auto', coef0=0.0, tol=0.001, epsilon=0.1, shrinking=True, cache_size=200, n_jobs=None, verbose=0, max_iter=-1)[source]¶
Time-series specific Support Vector Regressor.
- Parameters:
- Cfloat, optional (default=1.0)
Penalty parameter C of the error term.
- kernelstring, optional (default=’gak’)
Specifies the kernel type to be used in the algorithm. It must be one of ‘gak’ or a kernel accepted by
sklearn.svm.SVC
. If none is given, ‘gak’ will be used. If a callable is given it is used to pre-compute the kernel matrix from data matrices; that matrix should be an array of shape(n_samples, n_samples)
.- degreeint, optional (default=3)
Degree of the polynomial kernel function (‘poly’). Ignored by all other kernels.
- gammafloat, optional (default=’auto’)
Kernel coefficient for ‘gak’, ‘rbf’, ‘poly’ and ‘sigmoid’. If gamma is ‘auto’ then:
for ‘gak’ kernel, it is computed based on a sampling of the training set (cf tslearn.metrics.gamma_soft_dtw)
for other kernels (eg. ‘rbf’), 1/n_features will be used.
- coef0float, optional (default=0.0)
Independent term in kernel function. It is only significant in ‘poly’ and ‘sigmoid’.
- tolfloat, optional (default=1e-3)
Tolerance for stopping criterion.
- epsilonfloat, optional (default=0.1)
Epsilon in the epsilon-SVR model. It specifies the epsilon-tube within which no penalty is associated in the training loss function with points predicted within a distance epsilon from the actual value.
- shrinkingboolean, optional (default=True)
Whether to use the shrinking heuristic.
- cache_sizefloat, optional (default=200.0)
Specify the size of the kernel cache (in MB).
- n_jobsint or None, optional (default=None)
The number of jobs to run in parallel for GAK cross-similarity matrix computations.
None
means 1 unless in ajoblib.parallel_backend
context.-1
means using all processors. See scikit-learns’ Glossary for more details.- verboseint, default: 0
Enable verbose output. Note that this setting takes advantage of a per-process runtime setting in libsvm that, if enabled, may not work properly in a multithreaded context.
- max_iterint, optional (default=-1)
Hard limit on iterations within solver, or -1 for no limit.
- Attributes:
- support_array-like, shape = [n_SV]
Indices of support vectors.
- support_vectors_array of shape [n_SV, sz, d]
Support vectors in tslearn dataset format
- dual_coef_array, shape = [1, n_SV]
Coefficients of the support vector in the decision function.
- coef_array, shape = [1, n_features]
Weights assigned to the features (coefficients in the primal problem). This is only available in the case of a linear kernel. coef_ is readonly property derived from dual_coef_ and support_vectors_.
- intercept_array, shape = [1]
Constants in decision function.
- sample_weightarray-like, shape = [n_samples]
Individual weights for each sample
- svm_estimator_sklearn.svm.SVR
The underlying sklearn estimator
References
Fast Global Alignment Kernels. Marco Cuturi. ICML 2011.
Examples
>>> from tslearn.generators import random_walk_blobs >>> X, y = random_walk_blobs(n_ts_per_blob=10, sz=64, d=2, n_blobs=2) >>> import numpy >>> y = y.astype(float) + numpy.random.randn(20) * .1 >>> reg = TimeSeriesSVR(kernel="gak", gamma="auto") >>> reg.fit(X, y).predict(X).shape (20,) >>> sv = reg.support_vectors_ >>> sv.shape (..., 64, 2) >>> sv.shape[0] <= 20 True
Methods
fit
(X, y[, sample_weight])Fit the SVM model according to the given training data.
Get metadata routing of this object.
get_params
([deep])Get parameters for this estimator.
predict
(X)Predict class for a given set of time series.
score
(X, y[, sample_weight])Return the coefficient of determination of the prediction.
set_fit_request
(*[, sample_weight])Request metadata passed to the
fit
method.set_params
(**params)Set the parameters of this estimator.
set_score_request
(*[, sample_weight])Request metadata passed to the
score
method.- fit(X, y, sample_weight=None)[source]¶
Fit the SVM model according to the given training data.
- Parameters:
- Xarray-like of shape=(n_ts, sz, d)
Time series dataset.
- yarray-like of shape=(n_ts, )
Time series labels.
- sample_weightarray-like of shape (n_samples,), default=None
Per-sample weights. Rescale C per sample. Higher weights force the classifier to put more emphasis on these points.
- get_metadata_routing()[source]¶
Get metadata routing of this object.
Please check User Guide on how the routing mechanism works.
- Returns:
- routingMetadataRequest
A
MetadataRequest
encapsulating routing information.
- get_params(deep=True)[source]¶
Get parameters for this estimator.
- Parameters:
- deepbool, default=True
If True, will return the parameters for this estimator and contained subobjects that are estimators.
- Returns:
- paramsdict
Parameter names mapped to their values.
- predict(X)[source]¶
Predict class for a given set of time series.
- Parameters:
- Xarray-like of shape=(n_ts, sz, d)
Time series dataset.
- Returns:
- array of shape=(n_ts, ) or (n_ts, dim_output), depending on the shape
- of the target vector provided at training time.
Predicted targets
- score(X, y, sample_weight=None)[source]¶
Return the coefficient of determination of the prediction.
The coefficient of determination \(R^2\) is defined as \((1 - \frac{u}{v})\), where \(u\) is the residual sum of squares
((y_true - y_pred)** 2).sum()
and \(v\) is the total sum of squares((y_true - y_true.mean()) ** 2).sum()
. The best possible score is 1.0 and it can be negative (because the model can be arbitrarily worse). A constant model that always predicts the expected value of y, disregarding the input features, would get a \(R^2\) score of 0.0.- Parameters:
- Xarray-like of shape (n_samples, n_features)
Test samples. For some estimators this may be a precomputed kernel matrix or a list of generic objects instead with shape
(n_samples, n_samples_fitted)
, wheren_samples_fitted
is the number of samples used in the fitting for the estimator.- yarray-like of shape (n_samples,) or (n_samples, n_outputs)
True values for X.
- sample_weightarray-like of shape (n_samples,), default=None
Sample weights.
- Returns:
- scorefloat
\(R^2\) of
self.predict(X)
w.r.t. y.
Notes
The \(R^2\) score used when calling
score
on a regressor usesmultioutput='uniform_average'
from version 0.23 to keep consistent with default value ofr2_score()
. This influences thescore
method of all the multioutput regressors (except forMultiOutputRegressor
).
- set_fit_request(*, sample_weight: bool | None | str = '$UNCHANGED$') TimeSeriesSVR [source]¶
Request metadata passed to the
fit
method.Note that this method is only relevant if
enable_metadata_routing=True
(seesklearn.set_config()
). Please see User Guide on how the routing mechanism works.The options for each parameter are:
True
: metadata is requested, and passed tofit
if provided. The request is ignored if metadata is not provided.False
: metadata is not requested and the meta-estimator will not pass it tofit
.None
: metadata is not requested, and the meta-estimator will raise an error if the user provides it.str
: metadata should be passed to the meta-estimator with this given alias instead of the original name.
The default (
sklearn.utils.metadata_routing.UNCHANGED
) retains the existing request. This allows you to change the request for some parameters and not others.New in version 1.3.
Note
This method is only relevant if this estimator is used as a sub-estimator of a meta-estimator, e.g. used inside a
Pipeline
. Otherwise it has no effect.- Parameters:
- sample_weightstr, True, False, or None, default=sklearn.utils.metadata_routing.UNCHANGED
Metadata routing for
sample_weight
parameter infit
.
- Returns:
- selfobject
The updated object.
- set_params(**params)[source]¶
Set the parameters of this estimator.
The method works on simple estimators as well as on nested objects (such as
Pipeline
). The latter have parameters of the form<component>__<parameter>
so that it’s possible to update each component of a nested object.- Parameters:
- **paramsdict
Estimator parameters.
- Returns:
- selfestimator instance
Estimator instance.
- set_score_request(*, sample_weight: bool | None | str = '$UNCHANGED$') TimeSeriesSVR [source]¶
Request metadata passed to the
score
method.Note that this method is only relevant if
enable_metadata_routing=True
(seesklearn.set_config()
). Please see User Guide on how the routing mechanism works.The options for each parameter are:
True
: metadata is requested, and passed toscore
if provided. The request is ignored if metadata is not provided.False
: metadata is not requested and the meta-estimator will not pass it toscore
.None
: metadata is not requested, and the meta-estimator will raise an error if the user provides it.str
: metadata should be passed to the meta-estimator with this given alias instead of the original name.
The default (
sklearn.utils.metadata_routing.UNCHANGED
) retains the existing request. This allows you to change the request for some parameters and not others.New in version 1.3.
Note
This method is only relevant if this estimator is used as a sub-estimator of a meta-estimator, e.g. used inside a
Pipeline
. Otherwise it has no effect.- Parameters:
- sample_weightstr, True, False, or None, default=sklearn.utils.metadata_routing.UNCHANGED
Metadata routing for
sample_weight
parameter inscore
.
- Returns:
- selfobject
The updated object.