请写出deepar时间序列概率预测的matlab代码
时间: 2023-07-30 16:05:29 浏览: 63
以下是使用MATLAB实现DeepAR时间序列概率预测的代码示例:
```matlab
% 准备数据集
data = readtable('data.csv');
timestamps = datetime(data.Timestamp);
target = data.Target;
% 数据预处理
target(target < 0) = NaN;
target = fillmissing(target, 'linear');
target = normalize(target);
% 数据处理和转换
context_feat = data.ContextFeat;
time_feat = data.TimeFeat;
time_feat = normalize(time_feat);
% 构建DeepAR模型
num_epochs = 100;
mini_batch_size = 32;
learning_rate = 0.001;
dropout_rate = 0.1;
prediction_length = 24;
cardinality = [1];
embedding_dimension = [10];
num_cells = 32;
num_layers = 2;
input_layer = sequenceInputLayer(1, 'Name', 'Feature');
lstm_layer = lstmLayer(num_cells, 'OutputMode', 'last', 'Name', 'LSTM');
output_layer = fullyConnectedLayer(1, 'Name', 'FC');
network = layerGraph();
network = addLayers(network, input_layer);
network = addLayers(network, lstm_layer);
network = addLayers(network, output_layer);
network = connectLayers(network, 'input', 'LSTM');
network = connectLayers(network, 'LSTM', 'FC');
net = trainNetwork(XTrain,YTrain,layers,options);
% 训练模型
XTrain = cat(3, target', context_feat', time_feat');
YTrain = target(p + 1:end)';
options = trainingOptions('adam', ...
'MaxEpochs',num_epochs, ...
'MiniBatchSize',mini_batch_size, ...
'GradientThreshold',1, ...
'InitialLearnRate',learning_rate, ...
'LearnRateSchedule','piecewise', ...
'LearnRateDropFactor',0.1, ...
'LearnRateDropPeriod',50, ...
'L2Regularization',0.01, ...
'ValidationData',{XTest,YTest}, ...
'ValidationFrequency',24, ...
'Verbose',0, ...
'Plots','training-progress');
% 评估模型
XTest = cat(3, target(end-p+1:end)', context_feat(end-p+1:end)', time_feat(end-p+1:end)');
YTest = target(end-p+1:end)';
YPred = predict(net,XTest,'MiniBatchSize',1,'SequenceLength','longest');
% 预测未来值
future_time = timestamps(end) + hours(1:prediction_length);
future_context_feat = randi([0,1], prediction_length, 1);
future_time_feat = repmat(time_feat(end, :), prediction_length, 1);
future_data = table(future_time, future_context_feat, future_time_feat);
future_target = zeros(prediction_length, 1);
for i = 1:prediction_length
XNew = cat(3, future_target(1:i-1)', future_context_feat(1:i-1)', future_time_feat(1:i-1)');
YNew = predict(net, XNew, 'MiniBatchSize', 1, 'SequenceLength', 'longest');
future_target(i) = YNew(end);
end
future_target = denormalize(future_target);
```
这段代码仅作为示例,具体实现需要根据实际情况进行调整。同时,需要注意的是,DeepAR模型的训练和预测需要大量的计算资源,需要根据实际情况选择合适的硬件和参数配置。