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kernel_regularizer=l1_l2(l1=1e-5, l2=1e-4),
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),
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Dropout(0.2), # Add dropout layer
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LSTM(units=32, kernel_regularizer=l1_l2(l1=1e-5, l2=1e-4)),
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Dropout(0.2), # Add dropout layer
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Dense(
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units=16, activation="relu", kernel_regularizer=l1_l2(l1=1e-5, l2=1e-4)
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),
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Dense(units=1),
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]
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)
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model.compile(optimizer="adam", loss="mean_squared_error")
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return model
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# Create a GRU model for time series prediction
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def create_gru_model(input_shape):
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model = Sequential(
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[
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GRU(
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units=64,
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return_sequences=True,
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input_shape=input_shape,
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kernel_regularizer=l1_l2(l1=1e-5, l2=1e-4),
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),
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Dropout(0.2), # Add dropout layer
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GRU(units=32, kernel_regularizer=l1_l2(l1=1e-5, l2=1e-4)),
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Dropout(0.2), # Add dropout layer
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Dense(
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units=16, activation="relu", kernel_regularizer=l1_l2(l1=1e-5, l2=1e-4)
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),
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Dense(units=1),
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]
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)
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model.compile(optimizer="adam", loss="mean_squared_error")
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return model
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# Train and evaluate a model using time series cross-validation
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def train_and_evaluate_model(model, X, y, n_splits=5, model_name="Model"):
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tscv = TimeSeriesSplit(n_splits=n_splits)
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all_predictions = []
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all_true_values = []
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with tqdm(total=n_splits, desc=f"Training {model_name}", leave=False) as pbar:
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for train_index, test_index in tscv.split(X):
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X_train, X_test = X[train_index], X[test_index]
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y_train, y_test = y[train_index], y[test_index]
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if isinstance(model, (RandomForestRegressor, XGBRegressor)):
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X_train_2d = X_train.reshape(X_train.shape[0], -1)
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X_test_2d = X_test.reshape(X_test.shape[0], -1)
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model.fit(X_train_2d, y_train)
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predictions = model.predict(X_test_2d)
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elif isinstance(model, Sequential):
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early_stopping = EarlyStopping(
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monitor="val_loss", patience=10, restore_best_weights=True
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)
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with tqdm(total=100, desc="Epochs", leave=False) as epoch_pbar:
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class EpochProgressCallback(Callback):
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def on_epoch_end(self, epoch, logs=None):
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epoch_pbar.update(1)
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model.fit(
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X_train,
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y_train,
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epochs=100,
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batch_size=32,
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verbose=0,
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validation_split=0.2,
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callbacks=[early_stopping, EpochProgressCallback()],
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)
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predictions = model.predict(X_test, verbose=0).flatten()
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all_predictions.extend(predictions)
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all_true_values.extend(y_test)
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pbar.update(1)
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score = r2_score(all_true_values, all_predictions)
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return score, 0, score, np.array(all_predictions)
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# Make predictions using an ensemble of models
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def ensemble_predict(models, X):
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predictions = []
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for model in models:
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if isinstance(model, (RandomForestRegressor, XGBRegressor)):
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pred = model.predict(X.reshape(X.shape[0], -1))
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else:
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pred = model.predict(X)
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predictions.append(pred.flatten()) # Flatten the predictions
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return np.mean(predictions, axis=0)
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def weighted_ensemble_predict(models, X, weights):
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predictions = []
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for model, weight in zip(models, weights):
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if isinstance(model, (RandomForestRegressor, XGBRegressor)):
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pred = model.predict(X.reshape(X.shape[0], -1))
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