LSTM Autoencoder on timeseries

Question

I'm currently trying to implement an LSTM autoencoder to be used in order allow compression of transactions timeseries (Berka dataset) into a smaller encoded vector. The data I'm working with looks like this (it's the cumulative balance of a single account throughout time).

I decided to use Keras, and I tried to create a simple autoencoder following this tutorial. The model doesn't work.

My code is this:

import keras
from keras import Input, Model
from keras.layers import Lambda, LSTM, RepeatVector
from matplotlib import pyplot as plt
from scipy import io
from sklearn.preprocessing import MinMaxScaler
import numpy as np

class ResultPlotter(keras.callbacks.Callback):
    def on_epoch_end(self, epoch, logs={}):
        plt.subplots(2, 2, figsize=(10, 3))
        indexes = np.random.randint(datapoints, size=4)
        for i in range(4):
            plt.subplot(2, 2, i+1)
            plt.plot(sparse_balances[indexes[i]])
            result = sequence_autoencoder.predict(sparse_balances[0:1])
            plt.plot(result.T)
            plt.xticks([])
            plt.yticks([])
        plt.tight_layout()
        plt.show()
        return

result_plotter = ResultPlotter()

sparse_balances = io.mmread("my_path_to_sparse_balances.mtx")
sparse_balances = sparse_balances.todense()
scaler = MinMaxScaler(feature_range=(0, 1))
sparse_balances = scaler.fit_transform(sparse_balances)

N = sparse_balances.shape[0]
D = sparse_balances.shape[1]


batch_num = 32
timesteps = 500
latent_dim = 32
datapoints = N

model_inputs = Input(shape=(timesteps,))
inputs = Lambda(lambda x: keras.backend.expand_dims(x, -1))(model_inputs)
encoded = LSTM(latent_dim)(inputs)
decoded = RepeatVector(timesteps)(encoded)
decoded = LSTM(1, return_sequences=True)(decoded)
decoded = Lambda(lambda x: keras.backend.squeeze(x, -1))(decoded)
sequence_autoencoder = Model(model_inputs, decoded)
encoder = Model(model_inputs, encoded)

earlyStopping = keras.callbacks.EarlyStopping(monitor='loss', patience=5, verbose=0, mode='auto')

sequence_autoencoder.compile(loss='mean_squared_error', optimizer='adam')

sequence_autoencoder.fit(sparse_balances[:datapoints], sparse_balances[:datapoints],
                         batch_size=batch_num, epochs=100,
                        callbacks=[earlyStopping, result_plotter])

I'm not adding the code for generating the sparse_balanced.mtx in order to keep everything clear, feel free to ask for it and I will post it.

The problem is that the autoencoder seems to get stuck on predicting a single line , instead of returning outputs that closely follow the trend of the input, but after an extensive research I still have to find a solution. I did some experiments using a dense layer as the latent-to-output part of the model, and it's able to return much better results .

The question then is: given the fact that by using LSTM->Dense or Dense->Dense autoencoders I'm able to get decent results, and using Dense->LSTM and LSTM->LSTM results in the same bad predictions, is the problem in my model, in the concept or elsewhere?

Every comment is much appreciated, thanks.

Answer 1

The problem was that my dataset is too niche to be easily autoencoded by LSTMs. I am currently writing my master thesis on the topic of transactions generation, and I analyzed this problem in detail. If you are not working with this dataset in particular, I suggest to try with some synthetic time-related data, such as sine waves, sawtooth waves etc. as the model should be able to work correctly on that. If it still doesn't work probably you have some bugs in your code.