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import h5py
import numpy as np
import pandas as pd
class ETL:
"""Extract Transform Load class for all data operations pre model inputs. Data is read in generative way to allow for large datafiles and low memory utilisation"""
def generate_clean_data(self, filename, batch_size=1000, start_index=0):
with h5py.File(filename, 'r') as hf:
i = start_index
while True:
data_x = hf['x'][i:i+batch_size]
data_y = hf['y'][i:i+batch_size]
i += batch_size
yield (data_x, data_y)
def create_clean_datafile(self, filename_in, filename_out, batch_size=1000, x_window_size=100, y_window_size=1, y_col=0, filter_cols=None, normalise=True):
"""Incrementally save a datafile of clean data ready for loading straight into model"""
print('> Creating x & y data files...')
data_gen = self.clean_data(
filename_in,
batch_size = batch_size,
x_window_size = x_window_size,
y_window_size = y_window_size,
y_col = y_col,
filter_cols = filter_cols,
normalise = True
)
i = 0
with h5py.File(filename_out, 'w') as hf:
x1, y1 = next(data_gen)
#Initialise hdf5 x, y datasets with first chunk of data
rcount_x = x1.shape[0]
dset_x = hf.create_dataset('x', shape=x1.shape, maxshape=(None, x1.shape[1], x1.shape[2]), chunks=True)
dset_x[:] = x1
rcount_y = y1.shape[0]
dset_y = hf.create_dataset('y', shape=y1.shape, maxshape=(None,), chunks=True)
dset_y[:] = y1
for x_batch, y_batch in data_gen:
#Append batches to x, y hdf5 datasets
print('> Creating x & y data files | Batch:', i, end='\r')
dset_x.resize(rcount_x + x_batch.shape[0], axis=0)
dset_x[rcount_x:] = x_batch
rcount_x += x_batch.shape[0]
dset_y.resize(rcount_y + y_batch.shape[0], axis=0)
dset_y[rcount_y:] = y_batch
rcount_y += y_batch.shape[0]
i += 1
print('> Clean datasets created in file `' + filename_out + '.h5`')
def clean_data(self, filepath, batch_size, x_window_size, y_window_size, y_col, filter_cols, normalise):
"""Cleans and Normalises the data in batches `batch_size` at a time"""
data = pd.read_csv(filepath, index_col=0)
if(filter_cols):
#Remove any columns from data that we don't need by getting the difference between cols and filter list
rm_cols = set(data.columns) - set(filter_cols)
for col in rm_cols:
del data[col]
#Convert y-predict column name to numerical index
y_col = list(data.columns).index(y_col)
num_rows = len(data)
x_data = []
y_data = []
i = 0
while((i+x_window_size+y_window_size) <= num_rows):
x_window_data = data[i:(i+x_window_size)]
y_window_data = data[(i+x_window_size):(i+x_window_size+y_window_size)]
#Remove any windows that contain NaN
if(x_window_data.isnull().values.any() or y_window_data.isnull().values.any()):
i += 1
continue
if(normalise):
abs_base, x_window_data = self.zero_base_standardise(x_window_data)
_, y_window_data = self.zero_base_standardise(y_window_data, abs_base=abs_base)
#Average of the desired predicter y column
y_average = np.average(y_window_data.values[:, y_col])
x_data.append(x_window_data.values)
y_data.append(y_average)
i += 1
#Restrict yielding until we have enough in our batch. Then clear x, y data for next batch
if(i % batch_size == 0):
#Convert from list to 3 dimensional numpy array [windows, window_val, val_dimension]
x_np_arr = np.array(x_data)
y_np_arr = np.array(y_data)
x_data = []
y_data = []
yield (x_np_arr, y_np_arr)
def zero_base_standardise(self, data, abs_base=pd.DataFrame()):
"""Standardise dataframe to be zero based percentage returns from i=0"""
if(abs_base.empty): abs_base = data.iloc[0]
data_standardised = (data/abs_base)-1
return (abs_base, data_standardised)
def min_max_normalise(self, data, data_min=pd.DataFrame(), data_max=pd.DataFrame()):
"""Normalise a Pandas dataframe using column-wise min-max normalisation (can use custom min, max if desired)"""
if(data_min.empty): data_min = data.min()
if(data_max.empty): data_max = data.max()
data_normalised = (data-data_min)/(data_max-data_min)
return (data_min, data_max, data_normalised)
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