Question

我第一次使用线程库，以加快我的SARIMAX模型的训练时间。但代码仍然失败，出现以下错误

Bad direction in the line search; refresh the lbfgs memory and restart the iteration.
This problem is unconstrained.
This problem is unconstrained.
This problem is unconstrained.

以下是我的代码：

import numpy as np
import pandas as pd
from statsmodels.tsa.arima_model import ARIMA
import statsmodels.tsa.api as smt
from threading import Thread

def process_id(ndata):
   train = ndata[0:-7]
   test = ndata[len(train):]
   try:
       model = smt.SARIMAX(train.asfreq(freq='1d'), exog=None, order=(0, 1, 1), seasonal_order=(0, 1, 1, 7)).fit()
       pred = model.get_forecast(len(test))
       fcst = pred.predicted_mean
       fcst.index = test.index
       mapelist = []
       for i in range(len(fcst)):
            mapelist.insert(i, (np.absolute(test[i] - fcst[i])) / test[i])
       mape = np.mean(mapelist) * 100
       print(mape)
    except:
       mape = 0
       pass
return mape

def process_range(ndata, store=None):
   if store is None:
      store = {}
   for id in ndata:
      store[id] = process_id(ndata[id])
   return store


def threaded_process_range(nthreads,ndata):
    store = {}
    threads = []
    # create the threads
    k = 0
    tk = ndata.columns
    for i in range(nthreads):
        dk  = tk[k:len(tk)/nthreads+k]
        k = k+len(tk)/nthreads
        t = Thread(target=process_range, args=(ndata[dk],store))
        threads.append(t)
    [ t.start() for t in threads ]
    [ t.join() for t in threads ]
    return store

outdata = threaded_process_range(4,ndata)

我想提几件事：

数据是数据框中的每日库存时间序列
线程适用于ARIMA模型
SARIMAX模型在for循环中完成

非常感谢任何见解，谢谢！

Answer 1

我在使用lbfgs时遇到了同样的错误，我不确定为什么lbfgs不能进行梯度评估，但是我尝试更改优化器。您也可以尝试此方法，从这些优化器中选择

“牛顿”代表Newton-Raphson，“ nm”代表Nelder-Mead

“ Bfgs”代表Broyden-Fletcher-Goldfarb-Shanno（BFGS）

“ lbfgs”用于具有可选框约束的有限内存BFGS

“鲍威尔”以修改鲍威尔的方法

共轭梯度的“ cg”

“ ncg”表示牛顿共轭梯度

全球盆地跳跃求解器的“ basinhopping”

在您的代码中更改

model = smt.SARIMAX(train.asfreq(freq='1d'), exog=None, order=(0, 1, 1), seasonal_order=(0, 1, 1, 7)).fit(method='cg')

这是一个古老的问题，但我仍在回答，以防将来有人遇到相同的问题。

线程SARIMAX模型出错

1 个答案: