Time Series Forecasting with Azure ML

airline1_web-0When we have a series of data points indexed in time order we can define that as a “Time Series”. Most commonly, a time series is a sequence taken at successive equally spaced points in time. Monthly rainfall data, temperature data of a certain place are some examples for time series.

In the field of predictive analytics, there are many incidents that need to analyze time series data and forecast the future values of that based on the previous values. Think of a scenario where you’ve to do a time series prediction for your business data or an incident where part of your predictive experiment contains a time series field that need to predict the future data points… There are many algorithms and machine learning models that you can use for forecasting time series values.

Multi-layer perception, Bayesian neural networks, radial basis functions, generalized regression neural networks (also called kernel regression), K-nearest neighbor regression, CART regression trees, support vector regression, and Gaussian processes are some machine learning algorithms that can be used for time series forecasting.

See here for more about these methods

Autoregressive Moving Average (ARIMA), Seasonal-ARIMA, Exponential smoothing (ETS) are some algorithms that widely used for this kind of time series analysis. I’m not going to dig deep into the algorithms, trend analysis and all numbers & characteristics bound with time series. Just going to demonstrate a simple way that you can do time series analysis in your deployments using Azure ML Studio.

After adding a dataset that contains a time series data into AzureML Studio, you can perform the time series analysis and predictions by using python or R scripts. In addition to that ML Studio offers a pre-built module for Anomaly detection of time series datasets. It can learn the normal characteristics of the provided time series and detect deviations from the normal pattern.

Here I’ve used forecast R package to write code snippets enabling AzureML Studio to do TS forecasting using popular time series algorithms namely as ARIMA, Seasonal ARIMA and ETS.

ARIMA seasonal & ARIMA non-seasonal

#ARIMA Seasonal / ARIMA non-seasonal 
library(forecast)
# Map 1-based optional input ports to variables
dataset1 <- maml.mapInputPort(1) # class: data.frame
dataset2 <- maml.mapInputPort(2) # class: data.frame

#Enter the seasonality of the timeseries here
#For non-seasonal model use '1' as the seasonality
seasonality<-12
labels <- as.numeric(dataset1$data)
timeseries <- ts(labels,frequency=seasonality)
model <- auto.arima(timeseries)
numPeriodsToForecast <- ceiling(max(dataset2$date)) - ceiling(max(dataset1$date))
numPeriodsToForecast <- max(numPeriodsToForecast, 0)
forecastedData <- forecast(model, h=numPeriodsToForecast)
forecastedData <- as.numeric(forecastedData$mean)

output <- data.frame(date=dataset2$date,forecast=forecastedData)
data.set <- output

# Select data.frame to be sent to the output Dataset port
maml.mapOutputPort("data.set");

 

ETS seasonal & ETS non-seasonal

#ETS seasonal / ETS non-seasonal 
library(forecast)
# Map 1-based optional input ports to variables
dataset1 <- maml.mapInputPort(1) # class: data.frame
dataset2 <- maml.mapInputPort(2) # class: data.frame

#Add the seasonality here
#Assign seasonality as 'a' for non-seasonal ETS  
seasonality<-12
labels <- as.numeric(dataset1$data)
timeseries <- ts(labels,frequency=seasonality)
model <- ets(timeseries)
numPeriodsToForecast <- ceiling(max(dataset2$date)) - ceiling(max(dataset1$date))
numPeriodsToForecast <- max(numPeriodsToForecast, 0)
forecastedData <- forecast(model, h=numPeriodsToForecast)
forecastedData <- as.numeric(forecastedData$mean)

output <- data.frame(date=dataset2$date,forecast=forecastedData)
data.set <- output

# Select data.frame to be sent to the output Dataset port
maml.mapOutputPort("data.set");

 

The advantage of using R script for the prediction is the ability of customizing the script as you want. But if you want looking for an instant solution for doing time series prediction, there’s a custom module in Cortana Intelligence gallery to do time series forecasting.

https://gallery.cortanaintelligence.com/Experiment/Time-Series-Forecasting-using-Custom-Modules-1

You just have to open that in your studio and re-use the built modules in your experiment. See what’s happening to your sales in next December! 🙂

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SQL support in R tools for Visual Studio

If you have any kind of interest in data science or machine learning, you’ll probably found out that R language is the ultimate survivor. If you are a developer familiar with Visual Studio, you don’t have to adopt for RStudio again. You can code R inside VS!

R Tools for Visual Studio (RTVS) recently released the 0.5 version. One useful feature comes with the new version is SQL integration. With that you can directly import the data loads in your SQL database to a R environment. SQL queries can help you to fetch the data that you want. You can easily play with the data using R then.

First, you have to have Visual Studio 2015 with update 3. (Visual Studio 2015 Comunity edition is freely available to download) Update your VS if you haven’t done it yet and download RTVS 0.5 from here & install it.
https://aka.ms/rtvs-current

1
In your R project you can add SQL Query item (Right click on solution explorer and “Add new item”) which is created as a *.sql file.

2
On the top of the panel you can connect the database using “connect” icon. There you should configure the server name, server authentication and the database details.

3

Inside the .sql file you can execute the typical SQL queries to fetch data from the SQL database. One main advantage of this is, by enabling the execution plan you can analyze and optimize the SQL query you written.

4

Adding a database connection for the R project –

Go to R tools -> Data -> Add Database Connectionconnection-prop
Provide the authentication details of the database that you want to access. Then test the connection using “Test Connection” button. After clicking ‘ok’, you can see the database connection string is automatically generated inside settings.R file. Within the R code you can access for data inside the particular database as shown in the following example code.

final-screen

The str() output is shown in the R console

The example shows the code used for accessing the data in ‘Iris Data’ table inside ‘DMDatasets’ database placed in the local SQL server. Make sure to install “RODBC” R package to use the database related functions inside R.

#Need RODBC package to extablish the ODBC database iterface
install.packages("RODBC")
require("RODBC")

#Auto-generated Settings.R file should be added as a source
#The connection string contains in this file  
source("Settings.R")
conn <- odbcDriverConnect(connection = dbConnection)

#To get the tables of particualr database
tbls <- sqlTables(conn, tableType = "TABLE")
print(tbls)

#The SQL query is used to fetch data from the table 
sql <- "SELECT * FROM [dbo].[Iris Data]"
df <- sqlQuery(conn, sql)
str(df)
#plotting the dataset
plot(df) 

No need of switching developer environments to handle your coding as well as data analytics tasks. Just keep Visual Studio as your default IDE! 🙂