请用python语言写出8自变量输入4因变量的LSTM拟合模型,其中拟合过程中须利用分布滞后模型重点考虑某一行自变量数据变化从时序上对四个因变量数据的滞后影响。
时间: 2024-10-13 10:13:59 浏览: 28
要在Python中编写一个使用LSTM和分布滞后模型的8自变量输入、4因变量的模型,可以使用Keras库,假设我们已经有一个包含时间序列数据的DataFrame `df`,并且有一列名为`lag_variable`的自变量我们要特别关注它的滞后影响。这里是一个基本的示例:
```python
import numpy as np
import pandas as pd
from keras.models import Sequential
from keras.layers import Dense, LSTM, TimeDistributed
from sklearn.preprocessing import MinMaxScaler
# 假设df有8个自变量(X1, X2, ..., X8)和4个因变量(Y1, Y2, Y3, Y4)
df['time'] = df. int(len(data) * 0.7)
train, test = data[:train_size], data[train_size:]
# 数据预处理 - 归一化
scaler = MinMaxScaler()
train_scaled = scaler.fit_transform(train[:, :-4]) # 只归一化除因变量外的自变量
test_scaled = scaler.transform(test[:, :-4])
# 创建分布滞后矩阵
lags = df['lag_variable'].shift(1).dropna() # 滞后一格的数据
lag_matrix = pd.concat([lags.shift(i) for i in range(1, 5)]) # 生成前4步的滞后矩阵
# 将滞后矩阵添加到每个样本上
for i, row in enumerate(lag_matrix):
train_scaled[i] = np.concatenate((train_scaled[i], row))
test_scaled[i] = np.concatenate((test_scaled[i], row))
# 将数据重塑为LSTM所需的形状
train_X, train_y = [], []
test_X, test_y = [], []
for i in range(LEN_TRAIN - SEQUENCE_LENGTH):
train_X.append(train_scaled[i:i+SEQUENCE_LENGTH])
train_y.append(train_scaled[i+SEQUENCE_LENGTH][:-4]) # 取出因变量
test_X.append(test_scaled[i:i+SEQUENCE_LENGTH])
test_y.append(test_scaled[i+SEQUENCE_LENGTH][:-4])
train_X, train_y = np.array(train_X), np.array(train_y)
test_X, test_y = np.array(test_X), np.array(test_y)
# 构建LSTM模型
model = Sequential([
LSTM(units=64, input_shape=(SEQUENCE_LENGTH, 8 + lag_matrix.shape[1]), return_sequences=True),
LSTM(units=64),
TimeDistributed(Dense(4)), # 因变量的数量
])
# 编译并训练模型
model.compile(loss='mean_squared_error', optimizer='adam')
history = model.fit(train_X, train_y, epochs=EPOCHS, validation_data=(test_X, test_y), verbose=1)
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