How to set dimension of input data for LSTM?

I have come from Tensorflow background and want to use MATLAB for time-series prediction problems because my colleagues are using MATLAB. I know that in Tensorflow, the input to LSTM for each batch has following dimensions (batch_size, lookback, input_features). The term lookback is taken from Francois Chollet's book, however the similar words such as sequence length, num steps are also used for this. This represents how long sequence is fed to LSTM to predict next value. I do not see an option to set this lookback in the function lstmLayer. My question is how can we set this sequence length/look back? Is it possible to view the data being fed to LSTM at each step or for each batch?

My colleague has distributed the input data into train and test by randomly choosing points from input data as test points and remaining as training points. I have difficulty in understanding that how does this works because by removing certain points from input data, will break the "sequence" nature of the data. The code to split the input data into train and test is as following:

```MATLAB

[data] = xlsread('example.xlsx','Sheet1');

X = (data(:,1:3))';

Y = (data(:,4))';

input = num2cell(X,1);

output = num2cell(Y,1);

data_size = 1:size(input,2);

%% Seperation of training data and validation data

% validation ratio: 0.3

ratio = 0.3;

tst_num = floor(size(input,2)*ratio);

% randomly separate

idx_te = randperm(size(input,2), tst_num);

idx_te2 = sort(idx_te);

idx_tr = setdiff([data_size],idx_te2);

% training/test

XTrain = input(:,idx_tr);

YTrain = output(:,idx_tr);

```

The file "example.xlsx" contains input and output data in different columns.

Answer 1

[Asvin Kumar]

For the first part of your question on number of steps in an LSTM I am going to redirect you to an earlier answer of mine. Essentially, the LSTM unit unrolls to fit the entire length of the sequence.

Have a look at the Japanese Vowel Classification example. It has multiple illustrative cases.

1. It covers the case where you have multiple sequences of varying length while they share the common feature size. JVC: Load Sequence Data
2. You also have control over the ‘SequenceLength’ in each Mini Batch. JVC: Prepare Data for Padding

If these don’t meet your requirements, you can always manually construct your dataset in a forward moving window fashion for the required number of steps and associate it with a prediction. This would come under a data preparation step.

For the second part of the question, it is hard for me to comment on the approach to splitting the dataset since I am not aware of the problem setup. If the data along the second dimension of the ‘input’ variable belongs to the same time sequence, I would agree with you that randomly removing data points / time steps would interfere with the temporal information.

[Ather Abbas]

Thank you for your answer. My problem is related to pollutant prediction in surface water where the input data refers to environmental variables affecting pollutant measured at different time steps while the output is the measurement of target pollutant at same time steps. I have written a running example as following

clc; clear; 
n = 300;
a = linspace(1, 10, n)';
b = rand(1,n)';
c = rand(1, n)';

% a hypothetical function. In reality y is a very complex function of a,b and c
y = sin(a) .* c +  cos(b);
Y = y';

% a b c are input variables affecting y.
% Both input and output are measured at specific time steps.
X = [a b c];

X_min = min(X); X_max = max(X);
Y_min = min(Y); Y_max = max(Y);

for j = 1:size(X,2)
    Normal_Input(:,j) = (X(:,j)-X_min(j))./(X_max(j)-X_min(j))*2;
end

input = num2cell(Normal_Input',1);
output = num2cell(Y,1);

%% Seperation of training data and validation data
%%%%validation ratio: 0.3
ratio = 0.3;
tst_num = floor(size(input,2)*ratio);
tr_ind = 1:size(input,2);
val_ind = randperm(size(input,2),tst_num);
tr_ind(val_ind) = [];

%%
% training/test
XTot = input;
YTot = output;
XTrain = input(:,tr_ind');
YTrain = output(tr_ind);
XTest = input (:,val_ind);
YTest = output (val_ind);

date_value = datetime(2013,01,01,1,0,0) + hours(0:n-1)';



%% Define Network Structure
numResponses = size(YTrain{1},1);
featureDimension = size(XTrain{1},1);
numHiddenUnits = 128;

layers = [ ...
    sequenceInputLayer(featureDimension)
    lstmLayer(numHiddenUnits,'OutputMode','sequence')
    fullyConnectedLayer(featureDimension)  
    dropoutLayer(0.3) 
    fullyConnectedLayer(numResponses)
    regressionLayer];

maxepochs = 300;

options = trainingOptions('adam', ...  %%adam
    'MaxEpochs',maxepochs, ...
    'MiniBatchSize',4, ...
    'GradientThreshold',1, ...
    'InitialLearnRate',1e-2, ...
    'LearnRateSchedule','piecewise', ...
    'LearnRateDropPeriod',125, ...
    'LearnRateDropFactor',1, ...
    'Verbose',0, ...
    'Plots','training-progress');

%% training
net = trainNetwork(XTrain,YTrain,layers,options);
YPred = predict(net,XTrain);
YPred_n = cell2mat(YPred(:));

% test
net = resetState(net);
YPred_t = predict(net,XTest);
YPred_tn = cell2mat(YPred_t(:));

%% Plotting
obs = Y';
sim = YPred_n;
sim_t = YPred_tn;

figure
plot(date_value,obs,'k-o','LineWidth',1)
hold on
plot(date_value(tr_ind),sim,'ro','LineWidth',0.9)
% plot(date_value(1:length(sim)),sim,'r--','LineWidth',0.9)
hold on
plot(date_value(val_ind),sim_t,'bo','LineWidth',0.9)

legend (["Observation" "Training" "Test"],'FontName','Times New Roman','FontSize',12)
ylabel('ARGs(copies/mL)','FontName','Times New Roman','FontSize',14)
datetick('x','yyyy-mm-dd','keeplimits','keepticks')            
title("Prediction of ARGs",'FontName','Times New Roman','FontSize',16)
hold off

The output of above code after 300 epochs is in 'test_me.png' file attached.

My question is, if this method of randomly selecting points from data as training and test is correct, why do I get reasonably good result?

Answer 2

[Sivylla Paraskevopoulou]

1. About permuting your input data from TensorFlow to Deep Learning Toolbox dimension ordering:

For sequence input data, the MATLAB dimension ordering is CSN and the TensorFlow dimension ordering is NSC, where C is the number of features, S is the sequence length, and N is the number of observations.

You can permute the input data by using the permute function. For an example, see Inference Comparison Between TensorFlow and Imported Networks for Image Classification.

The example Sequence Classification Using Imported ONNX Function also provides the helper function preparePermutationVector. This function returns a permutation vector perm, which permutes the dimension ordering in fromDimOrder to the dimension ordering in toDimOrder. To get the preparePermutationVector function open the example and copy paste the helper function.

2. About partitioning your data, you might find the Time Series Forecasting Using Deep Learning example helpful.