Authors: Jinsung Yoon, Daniel Jarrett, Mihaela van der Schaar
Reference: Jinsung Yoon, Daniel Jarrett, Mihaela van der Schaar, "Time-series Generative Adversarial Networks," Neural Information Processing Systems (NeurIPS), 2019.
Paper Link: https://papers.nips.cc/paper/8789-time-series-generative-adversarial-networks
Contact: jsyoon0823@gmail.com
This directory contains implementations of TimeGAN framework for synthetic time-series data generation using one synthetic dataset and two real-world datasets.
- Sine data: Synthetic
- Stock data: https://finance.yahoo.com/quote/GOOG/history?p=GOOG
- Energy data: http://archive.ics.uci.edu/ml/datasets/Appliances+energy+prediction
To run the pipeline for training and evaluation on TimeGAN framwork, simply run python3 -m main_timegan.py or see jupyter-notebook tutorial of TimeGAN in tutorial_timegan.ipynb.
Note that any model architecture can be used as the generator and discriminator model such as RNNs or Transformers.
(1) data_loading.py
- Transform raw time-series data to preprocessed time-series data (Googld data)
- Generate Sine data
(2) Metrics directory (a) visualization_metrics.py
- PCA and t-SNE analysis between Original data and Synthetic data (b) discriminative_metrics.py
- Use Post-hoc RNN to classify Original data and Synthetic data (c) predictive_metrics.py
- Use Post-hoc RNN to predict one-step ahead (last feature)
(3) timegan.py
- Use original time-series data as training set to generater synthetic time-series data
(4) main_timegan.py
- Report discriminative and predictive scores for the dataset and t-SNE and PCA analysis
(5) utils.py
- Some utility functions for metrics and timeGAN.
- data_name: sine, stock, or energy
- seq_len: sequence length
- module: gru, lstm, or lstmLN
- hidden_dim: hidden dimensions
- num_layers: number of layers
- iterations: number of training iterations
- batch_size: the number of samples in each batch
- metric_iterations: number of iterations for metric computation
Note that network parameters should be optimized for different datasets.
$ python3 main_timegan.py --data_name stock --seq_len 24 --module gru
--hidden_dim 24 --num_layer 3 --iteration 50000 --batch_size 128
--metric_iteration 10- ori_data: original data
- generated_data: generated synthetic data
- metric_results: discriminative and predictive scores
- visualization: PCA and tSNE analysis