"""
PyTorch Loss Functions
----------------------
"""
# Inspiration: https://github.com/ElementAI/N-BEATS/blob/master/common/torch/losses.py
import numpy as np
import torch
import torch.nn as nn
def _divide_no_nan(a, b):
"""
a/b where the resulted NaN or Inf are replaced by 0.
"""
result = a / b
result[result != result] = 0.0
result[result == np.inf] = 0.0
result[result == np.NINF] = 0.0
return result
[docs]class SmapeLoss(nn.Module):
def __init__(self, block_denom_grad: bool = True):
"""
sMAPE loss as defined in https://robjhyndman.com/hyndsight/smape/ (Chen and Yang 2004)
Given a time series of actual values :math:`y_t` and a time series of predicted values :math:`\\hat{y}_t`
both of length :math:`T`, it is computed as
.. math::
\\frac{1}{T}
\\sum_{t=1}^{T}{\\frac{\\left| y_t - \\hat{y}_t \\right|}
{\\left| y_t \\right| + \\left| \\hat{y}_t \\right|} }.
The results of divisions yielding NaN or Inf are replaced by 0. Note that we drop the coefficient of
200 usually used for computing sMAPE values, as it impacts only the magnitude of the gradients
and not their direction.
Parameters
----------
block_denom_grad
Whether to stop the gradient in the denominator
"""
super().__init__()
self.block_denom_grad = block_denom_grad
[docs] def forward(self, inpt, tgt):
num = torch.abs(tgt - inpt)
denom = torch.abs(tgt) + torch.abs(inpt)
if self.block_denom_grad:
denom = denom.detach()
return torch.mean(_divide_no_nan(num, denom))
[docs]class MapeLoss(nn.Module):
def __init__(self):
"""
MAPE loss as defined in: https://en.wikipedia.org/wiki/Mean_absolute_percentage_error.
Given a time series of actual values :math:`y_t` and a time series of predicted values :math:`\\hat{y}_t`
both of length :math:`T`, it is computed as
.. math::
\\frac{1}{T}
\\sum_{t=1}^{T}{\\frac{\\left| y_t - \\hat{y}_t \\right|}{y_t}}.
The results of divisions yielding NaN or Inf are replaced by 0. Note that we drop the coefficient of
100 usually used for computing MAPE values, as it impacts only the magnitude of the gradients
and not their direction.
"""
super().__init__()
[docs] def forward(self, inpt, tgt):
return torch.mean(torch.abs(_divide_no_nan(tgt - inpt, tgt)))
[docs]class MAELoss(nn.Module):
def __init__(self):
"""
MAE loss as defined in: https://en.wikipedia.org/wiki/Mean_absolute_error.
Given a time series of actual values :math:`y_t` and a time series of predicted values :math:`\\hat{y}_t`
both of length :math:`T`, it is computed as
.. math::
\\frac{1}{T}
\\sum_{t=1}^{T}{\\left| y_t - \\hat{y}_t \\right|}.
Note that this is the same as torch.nn.L1Loss.
"""
super().__init__()
[docs] def forward(self, inpt, tgt):
return torch.mean(torch.abs(tgt - inpt))