Samay: Time-series Foundational Models Library

Package for training and evaluating time-series foundational models.

Current repository contains the following models:

1. LPTM
2. MOMENT
3. TimesFM
4. Chronos
5. MOIRAI
6. TinytTimeMixers

More models will be added soon...

Installation

You can add the package to your project by running the following command:

pip install git+https://github.com/AdityaLab/Samay.git

Note: If the installation fails because rust is missing run:

For MacOS:

brew install rustup
rustup-init
source ~/.cargo/env

For Linux:

curl --proto '=https' --tlsv1.2 -sSf https://sh.rustup.rs | sh
source ~/.cargo/env

Development workflow

To develop on the project, you can clone the repository and install the package in editable mode:

## Clone repo
git clone https://github.com/AdityaLab/Samay.git

## Install uv
curl -LsSf https://astral.sh/uv/install.sh | sh

## Install dependencies
uv sync --reinstall

Usage Examples

Check out example notebooks at examples/ for more detailed examples. We also have google colab notebooks at examples/colab/.

LPTM

Loading Model

from samay.model import LPTMModel

config = {
    "task_name": "forecasting",
    "forecast_horizon": 192,
    "freeze_encoder": True,  # Freeze the patch embedding layer
    "freeze_embedder": True,  # Freeze the transformer encoder
    "freeze_head": False,  # The linear forecasting head must be trained
}
model = LPTMModel(config)

Loading Dataset

from samay.dataset import LPTMDataset

train_dataset = LPTMDataset(
    name="ett",
    datetime_col="date",
    path="./data/data/ETTh1.csv",
    mode="train",
    horizon=192,
)

finetuned_model = model.finetune(train_dataset)

Zero-Forecasting

avg_loss, trues, preds, histories = lptm.evaluate(val_dataset)

TimesFM

Loading Model

from samay.model import TimesfmModel
from samay.dataset import TimesfmDataset

repo = "google/timesfm-1.0-200m-pytorch"
config = {
    "context_len": 512,
    "horizon_len": 192,
    "backend": "gpu",
    "per_core_batch_size": 32,
    "input_patch_len": 32,
    "output_patch_len": 128,
    "num_layers": 20,
    "model_dims": 1280,
    "quantiles": [0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9],
}

tfm = TimesfmModel(config=config, repo=repo)

Loading Dataset

train_dataset = TimesfmDataset(name="ett", datetime_col='date', path='data/ETTh1.csv', 
                              mode='train', context_len=config["context_len"], horizon_len=128)
val_dataset = TimesfmDataset(name="ett", datetime_col='date', path='data/ETTh1.csv',
                              mode='test', context_len=config["context_len"], horizon_len=config["horizon_len"])

Zero-Forecasting

avg_loss, trues, preds, histories = tfm.evaluate(val_dataset)

MOIRAI

Loading Model

from samay.dataset import MoiraiDataset
from samay.model import MoiraiTSModel

repo = "Salesforce/moirai-moe-1.0-R-small"
config = {
        "context_len": 128,
        "horizon_len": 64,
        "num_layers": 100,
        "model_type": "moirai-moe",
        "model_size": "small"
    }

moirai_model = MoiraiTSModel(repo=repo, config=config)

Loading Dataset

train_dataset = MoiraiDataset(name="ett", mode="train", path="data/ETTh1.csv", datetime_col="date", freq="h",
                            context_len=config['context_len'], horizon_len=config['horizon_len'])

test_dataset = MoiraiDataset(name="ett", mode="test", path="data/ETTh1.csv", datetime_col="date", freq="h",
                            context_len=config['context_len'], horizon_len=config['horizon_len'])

Zero-Forecasting

eval_results, trues, preds, histories = moirai_model.evaluate(test_dataset, metrics=["MSE", "MASE"])

Support

Tested on Python 3.11-3.13 on Linux (CPU + GPU) and MacOS (CPU). Supports NVIDIA GPUs. Support for Windows and Apple Silicon GPUs is planned.

Citation

If you use this code in your research, please cite the following paper:

@inproceedings{
kamarthi2024large,
title={Large Pre-trained time series models for cross-domain Time series analysis tasks},
author={Harshavardhan Kamarthi and B. Aditya Prakash},
booktitle={The Thirty-eighth Annual Conference on Neural Information Processing Systems},
year={2024},
url={https://openreview.net/forum?id=vMMzjCr5Zj}
}

Contact

If you have any feedback or questions, you can contact us via email: [email protected], [email protected].