PaddleX/paddlex/inference/models/common/ts/funcs.py

# copyright (c) 2024 PaddlePaddle Authors. All Rights Reserve.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
#    http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.


from typing import Any, Callable, List, Optional, Sequence, Tuple, Union, Dict
import os
import numpy as np
import pandas as pd
import chinese_calendar
from pandas.tseries.offsets import DateOffset, Easter, Day
from pandas.tseries import holiday as hd
from sklearn.preprocessing import StandardScaler


MAX_WINDOW = 183 + 17
EasterSunday = hd.Holiday("Easter Sunday", month=1, day=1, offset=[Easter(), Day(0)])
NewYearsDay = hd.Holiday("New Years Day", month=1, day=1)
SuperBowl = hd.Holiday("Superbowl", month=2, day=1, offset=DateOffset(weekday=hd.SU(1)))
MothersDay = hd.Holiday(
    "Mothers Day", month=5, day=1, offset=DateOffset(weekday=hd.SU(2))
)
IndependenceDay = hd.Holiday("Independence Day", month=7, day=4)
ChristmasEve = hd.Holiday("Christmas", month=12, day=24)
ChristmasDay = hd.Holiday("Christmas", month=12, day=25)
NewYearsEve = hd.Holiday("New Years Eve", month=12, day=31)
BlackFriday = hd.Holiday(
    "Black Friday",
    month=11,
    day=1,
    offset=[pd.DateOffset(weekday=hd.TH(4)), Day(1)],
)
CyberMonday = hd.Holiday(
    "Cyber Monday",
    month=11,
    day=1,
    offset=[pd.DateOffset(weekday=hd.TH(4)), Day(4)],
)

HOLIDAYS = [
    hd.EasterMonday,
    hd.GoodFriday,
    hd.USColumbusDay,
    hd.USLaborDay,
    hd.USMartinLutherKingJr,
    hd.USMemorialDay,
    hd.USPresidentsDay,
    hd.USThanksgivingDay,
    EasterSunday,
    NewYearsDay,
    SuperBowl,
    MothersDay,
    IndependenceDay,
    ChristmasEve,
    ChristmasDay,
    NewYearsEve,
    BlackFriday,
    CyberMonday,
]


def _cal_year(
    x: np.datetime64,
):
    return x.year


def _cal_month(
    x: np.datetime64,
):
    return x.month


def _cal_day(
    x: np.datetime64,
):
    return x.day


def _cal_hour(
    x: np.datetime64,
):
    return x.hour


def _cal_weekday(
    x: np.datetime64,
):
    return x.dayofweek


def _cal_quarter(
    x: np.datetime64,
):
    return x.quarter


def _cal_hourofday(
    x: np.datetime64,
):
    return x.hour / 23.0 - 0.5


def _cal_dayofweek(
    x: np.datetime64,
):
    return x.dayofweek / 6.0 - 0.5


def _cal_dayofmonth(
    x: np.datetime64,
):
    return x.day / 30.0 - 0.5


def _cal_dayofyear(
    x: np.datetime64,
):
    return x.dayofyear / 364.0 - 0.5


def _cal_weekofyear(
    x: np.datetime64,
):
    return x.weekofyear / 51.0 - 0.5


def _cal_holiday(
    x: np.datetime64,
):
    return float(chinese_calendar.is_holiday(x))


def _cal_workday(
    x: np.datetime64,
):
    return float(chinese_calendar.is_workday(x))


def _cal_minuteofhour(
    x: np.datetime64,
):
    return x.minute / 59 - 0.5


def _cal_monthofyear(
    x: np.datetime64,
):
    return x.month / 11.0 - 0.5


CAL_DATE_METHOD = {
    "year": _cal_year,
    "month": _cal_month,
    "day": _cal_day,
    "hour": _cal_hour,
    "weekday": _cal_weekday,
    "quarter": _cal_quarter,
    "minuteofhour": _cal_minuteofhour,
    "monthofyear": _cal_monthofyear,
    "hourofday": _cal_hourofday,
    "dayofweek": _cal_dayofweek,
    "dayofmonth": _cal_dayofmonth,
    "dayofyear": _cal_dayofyear,
    "weekofyear": _cal_weekofyear,
    "is_holiday": _cal_holiday,
    "is_workday": _cal_workday,
}


def load_from_one_dataframe(
    data: Union[pd.DataFrame, pd.Series],
    time_col: Optional[str] = None,
    value_cols: Optional[Union[List[str], str]] = None,
    freq: Optional[Union[str, int]] = None,
    drop_tail_nan: bool = False,
    dtype: Optional[Union[type, Dict[str, type]]] = None,
) -> pd.DataFrame:
    """Transforms a DataFrame or Series into a time-indexed DataFrame.

    Args:
        data (Union[pd.DataFrame, pd.Series]): The input data containing time series information.
        time_col (Optional[str]): The column name representing time information. If None, uses the index.
        value_cols (Optional[Union[List[str], str]]): Columns to extract as values. If None, uses all except time_col.
        freq (Optional[Union[str, int]]): The frequency of the time series data.
        drop_tail_nan (bool): If True, drop trailing NaN values from the data.
        dtype (Optional[Union[type, Dict[str, type]]]): Enforce a specific data type on the resulting DataFrame.

    Returns:
        pd.DataFrame: A DataFrame with time as the index and specified value columns.

    Raises:
        ValueError: If the time column doesn't exist, or if frequency cannot be inferred.

    """
    # Initialize series_data with specified value columns or all except time_col
    series_data = None
    if value_cols is None:
        if isinstance(data, pd.Series):
            series_data = data.copy()
        else:
            series_data = data.loc[:, data.columns != time_col].copy()
    else:
        series_data = data.loc[:, value_cols].copy()

    # Determine the time column values
    if time_col:
        if time_col not in data.columns:
            raise ValueError(
                "The time column: {} doesn't exist in the `data`!".format(time_col)
            )
        time_col_vals = data.loc[:, time_col]
    else:
        time_col_vals = data.index

    # Handle integer-based time column values when frequency is a string
    if np.issubdtype(time_col_vals.dtype, np.integer) and isinstance(freq, str):
        time_col_vals = time_col_vals.astype(str)

    # Process integer-based time column values
    if np.issubdtype(time_col_vals.dtype, np.integer):
        if freq:
            if not isinstance(freq, int) or freq < 1:
                raise ValueError(
                    "The type of `freq` should be `int` when the type of `time_col` is `RangeIndex`."
                )
        else:
            freq = 1  # Default frequency for integer index
        start_idx, stop_idx = min(time_col_vals), max(time_col_vals) + freq
        if (stop_idx - start_idx) / freq != len(data):
            raise ValueError("The number of rows doesn't match with the RangeIndex!")
        time_index = pd.RangeIndex(start=start_idx, stop=stop_idx, step=freq)

    # Process datetime-like time column values
    elif np.issubdtype(time_col_vals.dtype, np.object_) or np.issubdtype(
        time_col_vals.dtype, np.datetime64
    ):
        time_col_vals = pd.to_datetime(time_col_vals, infer_datetime_format=True)
        time_index = pd.DatetimeIndex(time_col_vals)
        if freq:
            if not isinstance(freq, str):
                raise ValueError(
                    "The type of `freq` should be `str` when the type of `time_col` is `DatetimeIndex`."
                )
        else:
            # Attempt to infer frequency if not provided
            freq = pd.infer_freq(time_index)
            if freq is None:
                raise ValueError(
                    "Failed to infer the `freq`. A valid `freq` is required."
                )
            if freq[0] == "-":
                freq = freq[1:]

    # Raise error for unsupported time column types
    else:
        raise ValueError("The type of `time_col` is invalid.")

    # Ensure series_data is a DataFrame
    if isinstance(series_data, pd.Series):
        series_data = series_data.to_frame()

    # Set time index and sort data
    series_data.set_index(time_index, inplace=True)
    series_data.sort_index(inplace=True)
    return series_data


def load_from_dataframe(
    df: pd.DataFrame,
    group_id: Optional[str] = None,
    time_col: Optional[str] = None,
    target_cols: Optional[Union[List[str], str]] = None,
    label_col: Optional[Union[List[str], str]] = None,
    observed_cov_cols: Optional[Union[List[str], str]] = None,
    feature_cols: Optional[Union[List[str], str]] = None,
    known_cov_cols: Optional[Union[List[str], str]] = None,
    static_cov_cols: Optional[Union[List[str], str]] = None,
    freq: Optional[Union[str, int]] = None,
    fill_missing_dates: bool = False,
    fillna_method: str = "pre",
    fillna_window_size: int = 10,
    **kwargs,
) -> Dict[str, Optional[Union[pd.DataFrame, Dict[str, any]]]]:
    """Loads and processes time series data from a DataFrame.

    This function extracts and organizes time series data from a given DataFrame.
    It supports optional grouping and extraction of specific columns as features.

    Args:
        df (pd.DataFrame): The input DataFrame containing time series data.
        group_id (Optional[str]): Column name used for grouping the data.
        time_col (Optional[str]): Name of the time column.
        target_cols (Optional[Union[List[str], str]]): Columns to be used as target.
        label_col (Optional[Union[List[str], str]]): Columns to be used as label.
        observed_cov_cols (Optional[Union[List[str], str]]): Columns for observed covariates.
        feature_cols (Optional[Union[List[str], str]]): Columns to be used as features.
        known_cov_cols (Optional[Union[List[str], str]]): Columns for known covariates.
        static_cov_cols (Optional[Union[List[str], str]]): Columns for static covariates.
        freq (Optional[Union[str, int]]): Frequency of the time series data.
        fill_missing_dates (bool): Whether to fill missing dates in the time series.
        fillna_method (str): Method to fill missing values ('pre' or 'post').
        fillna_window_size (int): Window size for filling missing values.
        **kwargs: Additional keyword arguments.

    Returns:
        Dict[str, Optional[Union[pd.DataFrame, Dict[str, any]]]]: A dictionary containing processed time series data.
    """
    # List to store DataFrames if grouping is applied
    dfs = []

    # Separate the DataFrame into groups if group_id is provided
    if group_id is not None:
        group_unique = df[group_id].unique()
        for column in group_unique:
            dfs.append(df[df[group_id].isin([column])])
    else:
        dfs = [df]

    # Result list to store processed data from each group
    res = []

    # If label_col is provided, ensure it is a single column
    if label_col:
        if isinstance(label_col, str) and len(label_col) > 1:
            raise ValueError("The length of label_col must be 1.")
        target_cols = label_col

    # If feature_cols is provided, treat it as observed_cov_cols
    if feature_cols:
        observed_cov_cols = feature_cols

    # Process each DataFrame in the list
    for df in dfs:
        target = None
        observed_cov = None
        known_cov = None
        static_cov = dict()

        # If no specific columns are provided, use all columns except time_col
        if not any([target_cols, observed_cov_cols, known_cov_cols, static_cov_cols]):
            target = load_from_one_dataframe(
                df,
                time_col,
                [a for a in df.columns if a != time_col],
                freq,
            )
        else:
            if target_cols:
                target = load_from_one_dataframe(
                    df,
                    time_col,
                    target_cols,
                    freq,
                )

            if observed_cov_cols:
                observed_cov = load_from_one_dataframe(
                    df,
                    time_col,
                    observed_cov_cols,
                    freq,
                )

            if known_cov_cols:
                known_cov = load_from_one_dataframe(
                    df,
                    time_col,
                    known_cov_cols,
                    freq,
                )

            if static_cov_cols:
                if isinstance(static_cov_cols, str):
                    static_cov_cols = [static_cov_cols]
                for col in static_cov_cols:
                    if col not in df.columns or len(np.unique(df[col])) != 1:
                        raise ValueError(
                            "Static covariate columns data is not in columns or schema is not correct!"
                        )
                    static_cov[col] = df[col].iloc[0]
        # Append the processed data into the results list
        res.append(
            {
                "past_target": target,
                "observed_cov_numeric": observed_cov,
                "known_cov_numeric": known_cov,
                "static_cov_numeric": static_cov,
            }
        )
    # Return the first processed result
    return res[0]


def _distance_to_holiday(holiday) -> Callable[[pd.Timestamp], float]:
    """Creates a function to calculate the distance in days to the nearest holiday.

    This function generates a closure that computes the number of days from
    a given date index to the nearest holiday within a defined window.

    Args:
        holiday: An object that provides a `dates` method, which returns the
            dates of holidays within a specified range.

    Returns:
        Callable[[pd.Timestamp], float]: A function that takes a date index
        as input and returns the distance in days to the nearest holiday.
    """

    def _distance_to_day(index: pd.Timestamp) -> float:
        """Calculates the distance in days from a given date index to the nearest holiday.

        Args:
            index (pd.Timestamp): The date index for which the distance to the
                nearest holiday should be calculated.

        Returns:
            float: The number of days to the nearest holiday.

        Raises:
            AssertionError: If no holiday is found within the specified window.
        """
        holiday_date = holiday.dates(
            index - pd.Timedelta(days=MAX_WINDOW),
            index + pd.Timedelta(days=MAX_WINDOW),
        )
        assert (
            len(holiday_date) != 0
        ), f"No closest holiday for the date index {index} found."
        # It sometimes returns two dates if it is exactly half a year after the
        # holiday. In this case, the smaller distance (182 days) is returned.
        return float((index - holiday_date[0]).days)

    return _distance_to_day


def time_feature(
    dataset: Dict,
    freq: Optional[Union[str, int]],
    feature_cols: List[str],
    extend_points: int,
    inplace: bool = False,
) -> Dict:
    """Transforms the time column of a dataset into time features.

    This function extracts time-related features from the time column in a
    dataset, optionally extending the time series for future points and
    normalizing holiday distances.

    Args:
        dataset (Dict): Dataset to be transformed.
        freq: Optional[Union[str, int]]: Frequency of the time series data. If not provided,
            the frequency will be inferred.
        feature_cols (List[str]): List of feature columns to be extracted.
        extend_points (int): Number of future points to extend the time series.
        inplace (bool): Whether to perform the transformation inplace. Default is False.

    Returns:
        Dict: The transformed dataset with time features added.

    Raises:
        ValueError: If the time column is of an integer type instead of datetime.
    """
    new_ts = dataset
    if not inplace:
        new_ts = dataset.copy()
    # Get known_cov_numeric or initialize with past target index
    kcov = new_ts["known_cov_numeric"]
    if not kcov:
        tf_kcov = new_ts["past_target"].index.to_frame()
    else:
        tf_kcov = kcov.index.to_frame()
    time_col = tf_kcov.columns[0]
    # Check if time column is of datetime type
    if np.issubdtype(tf_kcov[time_col].dtype, np.integer):
        raise ValueError(
            "The time_col can't be the type of numpy.integer, and it must be the type of numpy.datetime64"
        )
    # Extend the time series if no known_cov_numeric
    if not kcov:
        freq = freq if freq is not None else pd.infer_freq(tf_kcov[time_col])
        extend_time = pd.date_range(
            start=tf_kcov[time_col][-1],
            freq=freq,
            periods=extend_points + 1,
            closed="right",
            name=time_col,
        ).to_frame()
        tf_kcov = pd.concat([tf_kcov, extend_time])

    # Extract and add time features to known_cov_numeric
    for k in feature_cols:
        if k != "holidays":
            v = tf_kcov[time_col].apply(lambda x: CAL_DATE_METHOD[k](x))
            v.index = tf_kcov[time_col]

            if new_ts["known_cov_numeric"] is None:
                new_ts["known_cov_numeric"] = pd.DataFrame(v.rename(k), index=v.index)
            else:
                new_ts["known_cov_numeric"][k] = v.rename(k).reindex(
                    new_ts["known_cov_numeric"].index
                )
        else:
            holidays_col = []
            for i, H in enumerate(HOLIDAYS):
                v = tf_kcov[time_col].apply(_distance_to_holiday(H))
                v.index = tf_kcov[time_col]
                holidays_col.append(k + "_" + str(i))
                if new_ts["known_cov_numeric"] is None:
                    new_ts["known_cov_numeric"] = pd.DataFrame(
                        v.rename(k + "_" + str(i)), index=v.index
                    )
                else:
                    new_ts["known_cov_numeric"][k + "_" + str(i)] = v.rename(k).reindex(
                        new_ts["known_cov_numeric"].index
                    )

            scaler = StandardScaler()
            scaler.fit(new_ts["known_cov_numeric"][holidays_col])
            new_ts["known_cov_numeric"][holidays_col] = scaler.transform(
                new_ts["known_cov_numeric"][holidays_col]
            )
    return new_ts