An LSTM Autoencoder is an implementation of an autoencoder for sequence data using an Encoder-Decoder LSTM architecture.

Once fit, the encoder part of the model can be used to encode or compress sequence data that in turn may be used in data visualizations or as a feature vector input to a supervised learning model.

In this post, you will discover the LSTM Autoencoder model and how to implement it in Python using Keras.

After reading this post, you will know:

- Autoencoders are a type of self-supervised learning model that can learn a compressed representation of input data.
- LSTM Autoencoders can learn a compressed representation of sequence data and have been used on video, text, audio, and time series sequence data.
- How to develop LSTM Autoencoder models in Python using the Keras deep learning library.

Let’s get started.

## Overview

This post is divided into six sections; they are:

- What Are Autoencoders?
- A Problem with Sequences
- Encoder-Decoder LSTM Models
- What Is an LSTM Autoencoder?
- Early Application of LSTM Autoencoder
- How to Create LSTM Autoencoders in Keras

## What Are Autoencoders?

An autoencoder is a neural network model that seeks to learn a compressed representation of an input.

They are an unsupervised learning method, although technically, they are trained using supervised learning methods, referred to as self-supervised. They are typically trained as part of a broader model that attempts to recreate the input.

For example:

1 |
X = model.predict(X) |

The design of the autoencoder model purposefully makes this challenging by restricting the architecture to a bottleneck at the midpoint of the model, from which the reconstruction of the input data is performed.

There are many types of autoencoders, and their use varies, but perhaps the more common use is as a learned or automatic feature extraction model.

In this case, once the model is fit, the reconstruction aspect of the model can be discarded and the model up to the point of the bottleneck can be used. The output of the model at the bottleneck is a fixed length vector that provides a compressed representation of the input data.

Input data from the domain can then be provided to the model and the output of the model at the bottleneck can be used as a feature vector in a supervised learning model, for visualization, or more generally for dimensionality reduction.

## A Problem with Sequences

Sequence prediction problems are challenging, not least because the length of the input sequence can vary.

This is challenging because machine learning algorithms, and neural networks in particular, are designed to work with fixed length inputs.

Another challenge with sequence data is that the temporal ordering of the observations can make it challenging to extract features suitable for use as input to supervised learning models, often requiring deep expertise in the domain or in the field of signal processing.

Finally, many predictive modeling problems involving sequences require a prediction that itself is also a sequence. These are called sequence-to-sequence, or seq2seq, prediction problems.

You can learn more about sequence prediction problems here:

## Encoder-Decoder LSTM Models

Recurrent neural networks, such as the Long Short-Term Memory, or LSTM, network are specifically designed to support sequences of input data.

They are capable of learning the complex dynamics within the temporal ordering of input sequences as well as use an internal memory to remember or use information across long input sequences.

The LSTM network can be organized into an architecture called the Encoder-Decoder LSTM that allows the model to be used to both support variable length input sequences and to predict or output variable length output sequences.

This architecture is the basis for many advances in complex sequence prediction problems such as speech recognition and text translation.

In this architecture, an encoder LSTM model reads the input sequence step-by-step. After reading in the entire input sequence, the hidden state or output of this model represents an internal learned representation of the entire input sequence as a fixed-length vector. This vector is then provided as an input to the decoder model that interprets it as each step in the output sequence is generated.

You can learn more about the encoder-decoder architecture here:

## What Is an LSTM Autoencoder?

An LSTM Autoencoder is an implementation of an autoencoder for sequence data using an Encoder-Decoder LSTM architecture.

For a given dataset of sequences, an encoder-decoder LSTM is configured to read the input sequence, encode it, decode it, and recreate it. The performance of the model is evaluated based on the model’s ability to recreate the input sequence.

Once the model achieves a desired level of performance recreating the sequence, the decoder part of the model may be removed, leaving just the encoder model. This model can then be used to encode input sequences to a fixed-length vector.

The resulting vectors can then be used in a variety of applications, not least as a compressed representation of the sequence as an input to another supervised learning model.

## Early Application of LSTM Autoencoder

One of the early and widely cited applications of the LSTM Autoencoder was in the 2015 paper titled “Unsupervised Learning of Video Representations using LSTMs.”

In the paper, Nitish Srivastava, et al. describe the LSTM Autoencoder as an extension or application of the Encoder-Decoder LSTM.

They use the model with video input data to both reconstruct sequences of frames of video as well as to predict frames of video, both of which are described as an unsupervised learning task.

The input to the model is a sequence of vectors (image patches or features). The encoder LSTM reads in this sequence. After the last input has been read, the decoder LSTM takes over and outputs a prediction for the target sequence.

— Unsupervised Learning of Video Representations using LSTMs, 2015.

More than simply using the model directly, the authors explore some interesting architecture choices that may help inform future applications of the model.

They designed the model in such a way as to recreate the target sequence of video frames in reverse order, claiming that it makes the optimization problem solved by the model more tractable.

The target sequence is same as the input sequence, but in reverse order. Reversing the target sequence makes the optimization easier because the model can get off the ground by looking at low range correlations.

— Unsupervised Learning of Video Representations using LSTMs, 2015.

They also explore two approaches to training the decoder model, specifically a version conditioned in the previous output generated by the decoder, and another without any such conditioning.

The decoder can be of two kinds – conditional or unconditioned. A conditional decoder receives the last generated output frame as input […]. An unconditioned decoder does not receive that input.

— Unsupervised Learning of Video Representations using LSTMs, 2015.

A more elaborate autoencoder model was also explored where two decoder models were used for the one encoder: one to predict the next frame in the sequence and one to reconstruct frames in the sequence, referred to as a composite model.

… reconstructing the input and predicting the future can be combined to create a composite […]. Here the encoder LSTM is asked to come up with a state from which we can both predict the next few frames as well as reconstruct the input.

— Unsupervised Learning of Video Representations using LSTMs, 2015.

The models were evaluated in many ways, including using encoder to seed a classifier. It appears that rather than using the output of the encoder as an input for classification, they chose to seed a standalone LSTM classifier with the weights of the encoder model directly. This is surprising given the complication of the implementation.

We initialize an LSTM classifier with the weights learned by the encoder LSTM from this model.

— Unsupervised Learning of Video Representations using LSTMs, 2015.

The composite model without conditioning on the decoder was found to perform the best in their experiments.

The best performing model was the Composite Model that combined an autoencoder and a future predictor. The conditional variants did not give any significant improvements in terms of classification accuracy after fine-tuning, however they did give slightly lower prediction errors.

— Unsupervised Learning of Video Representations using LSTMs, 2015.

Many other applications of the LSTM Autoencoder have been demonstrated, not least with sequences of text, audio data and time series.

## How to Create LSTM Autoencoders in Keras

Creating an LSTM Autoencoder in Keras can be achieved by implementing an Encoder-Decoder LSTM architecture and configuring the model to recreate the input sequence.

Let’s look at a few examples to make this concrete.

### Reconstruction LSTM Autoencoder

The simplest LSTM autoencoder is one that learns to reconstruct each input sequence.

For these demonstrations, we will use a dataset of one sample of nine time steps and one feature:

1 |
[0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9] |

We can start-off by defining the sequence and reshaping it into the preferred shape of [*samples, timesteps, features*].

1 2 3 4 5 |
# define input sequence sequence = array([0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9]) # reshape input into [samples, timesteps, features] n_in = len(sequence) sequence = sequence.reshape((1, n_in, 1)) |

Next, we can define the encoder-decoder LSTM architecture that expects input sequences with nine time steps and one feature and outputs a sequence with nine time steps and one feature.

1 2 3 4 5 6 7 |
# define model model = Sequential() model.add(LSTM(100, activation='relu', input_shape=(n_in,1))) model.add(RepeatVector(n_in)) model.add(LSTM(100, activation='relu', return_sequences=True)) model.add(TimeDistributed(Dense(1))) model.compile(optimizer='adam', loss='mse') |

Next, we can fit the model on our contrived dataset.

1 2 |
# fit model model.fit(sequence, sequence, epochs=300, verbose=0) |

The complete example is listed below.

The configuration of the model, such as the number of units and training epochs, was completely arbitrary.

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 |
# lstm autoencoder recreate sequence from numpy import array from keras.models import Sequential from keras.layers import LSTM from keras.layers import Dense from keras.layers import RepeatVector from keras.layers import TimeDistributed from keras.utils import plot_model # define input sequence sequence = array([0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9]) # reshape input into [samples, timesteps, features] n_in = len(sequence) sequence = sequence.reshape((1, n_in, 1)) # define model model = Sequential() model.add(LSTM(100, activation='relu', input_shape=(n_in,1))) model.add(RepeatVector(n_in)) model.add(LSTM(100, activation='relu', return_sequences=True)) model.add(TimeDistributed(Dense(1))) model.compile(optimizer='adam', loss='mse') # fit model model.fit(sequence, sequence, epochs=300, verbose=0) plot_model(model, show_shapes=True, to_file='reconstruct_lstm_autoencoder.png') # demonstrate recreation yhat = model.predict(sequence, verbose=0) print(yhat[0,:,0]) |

Running the example fits the autoencoder and prints the reconstructed input sequence.

The results are close enough, with very minor rounding errors.

1 2 |
[0.10398503 0.20047213 0.29905337 0.3989646 0.4994707 0.60005534 0.70039135 0.80031013 0.8997728 ] |

A plot of the architecture is created for reference.

### Prediction LSTM Autoencoder

We can modify the reconstruction LSTM Autoencoder to instead predict the next step in the sequence.

In the case of our small contrived problem, we expect the output to be the sequence:

1 |
[0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9] |

This means that the model will expect each input sequence to have nine time steps and the output sequence to have eight time steps.

1 2 3 4 5 6 |
# reshape input into [samples, timesteps, features] n_in = len(seq_in) seq_in = seq_in.reshape((1, n_in, 1)) # prepare output sequence seq_out = seq_in[:, 1:, :] n_out = n_in - 1 |

The complete example is listed below.

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 |
# lstm autoencoder predict sequence from numpy import array from keras.models import Sequential from keras.layers import LSTM from keras.layers import Dense from keras.layers import RepeatVector from keras.layers import TimeDistributed from keras.utils import plot_model # define input sequence seq_in = array([0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9]) # reshape input into [samples, timesteps, features] n_in = len(seq_in) seq_in = seq_in.reshape((1, n_in, 1)) # prepare output sequence seq_out = seq_in[:, 1:, :] n_out = n_in - 1 # define model model = Sequential() model.add(LSTM(100, activation='relu', input_shape=(n_in,1))) model.add(RepeatVector(n_out)) model.add(LSTM(100, activation='relu', return_sequences=True)) model.add(TimeDistributed(Dense(1))) model.compile(optimizer='adam', loss='mse') plot_model(model, show_shapes=True, to_file='predict_lstm_autoencoder.png') # fit model model.fit(seq_in, seq_out, epochs=300, verbose=0) # demonstrate prediction yhat = model.predict(seq_in, verbose=0) print(yhat[0,:,0]) |

Running the example prints the output sequence that predicts the next time step for each input time step.

We can see that the model is accurate, barring some minor rounding errors.

1 2 |
[0.1657285 0.28903174 0.40304852 0.5096578 0.6104322 0.70671254 0.7997272 0.8904342 ] |

A plot of the architecture is created for reference.

### Composite LSTM Autoencoder

Finally, we can create a composite LSTM Autoencoder that has a single encoder and two decoders, one for reconstruction and one for prediction.

We can implement this multi-output model in Keras using the functional API. You can learn more about the functional API in this post:

First, the encoder is defined.

1 2 3 |
# define encoder visible = Input(shape=(n_in,1)) encoder = LSTM(100, activation='relu')(visible) |

Then the first decoder that is used for reconstruction.

1 2 3 4 |
# define reconstruct decoder decoder1 = RepeatVector(n_in)(encoder) decoder1 = LSTM(100, activation='relu', return_sequences=True)(decoder1) decoder1 = TimeDistributed(Dense(1))(decoder1) |

Then the second decoder that is used for prediction.

1 2 3 4 |
# define predict decoder decoder2 = RepeatVector(n_out)(encoder) decoder2 = LSTM(100, activation='relu', return_sequences=True)(decoder2) decoder2 = TimeDistributed(Dense(1))(decoder2) |

We then tie the whole model together.

1 2 |
# tie it together model = Model(inputs=visible, outputs=[decoder1, decoder2]) |

The complete example is listed below.

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 |
# lstm autoencoder reconstruct and predict sequence from numpy import array from keras.models import Model from keras.layers import Input from keras.layers import LSTM from keras.layers import Dense from keras.layers import RepeatVector from keras.layers import TimeDistributed from keras.utils import plot_model # define input sequence seq_in = array([0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9]) # reshape input into [samples, timesteps, features] n_in = len(seq_in) seq_in = seq_in.reshape((1, n_in, 1)) # prepare output sequence seq_out = seq_in[:, 1:, :] n_out = n_in - 1 # define encoder visible = Input(shape=(n_in,1)) encoder = LSTM(100, activation='relu')(visible) # define reconstruct decoder decoder1 = RepeatVector(n_in)(encoder) decoder1 = LSTM(100, activation='relu', return_sequences=True)(decoder1) decoder1 = TimeDistributed(Dense(1))(decoder1) # define predict decoder decoder2 = RepeatVector(n_out)(encoder) decoder2 = LSTM(100, activation='relu', return_sequences=True)(decoder2) decoder2 = TimeDistributed(Dense(1))(decoder2) # tie it together model = Model(inputs=visible, outputs=[decoder1, decoder2]) model.compile(optimizer='adam', loss='mse') plot_model(model, show_shapes=True, to_file='composite_lstm_autoencoder.png') # fit model model.fit(seq_in, [seq_in,seq_out], epochs=300, verbose=0) # demonstrate prediction yhat = model.predict(seq_in, verbose=0) print(yhat) |

Running the example both reconstructs and predicts the output sequence, using both decoders.

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 |
[array([[[0.10736275], [0.20335874], [0.30020815], [0.3983948 ], [0.4985725 ], [0.5998295 ], [0.700336 , [0.8001949 ], [0.89984304]]], dtype=float32), array([[[0.16298929], [0.28785267], [0.4030449 ], [0.5104638 ], [0.61162543], [0.70776784], [0.79992455], [0.8889787 ]]], dtype=float32)] |

A plot of the architecture is created for reference.

### Keep Standalone LSTM Encoder

Regardless of the method chosen (reconstruction, prediction, or composite), once the autoencoder has been fit, the decoder can be removed and the encoder can be kept as a standalone model.

The encoder can then be used to transform input sequences to a fixed length encoded vector.

We can do this by creating a new model that has the same inputs as our original model, and outputs directly from the end of encoder model, before the *RepeatVector* layer.

1 2 |
# connect the encoder LSTM as the output layer model = Model(inputs=model.inputs, outputs=model.layers[0].output) |

A complete example of doing this with the reconstruction LSTM autoencoder is listed below.

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 |
# lstm autoencoder recreate sequence from numpy import array from keras.models import Sequential from keras.models import Model from keras.layers import LSTM from keras.layers import Dense from keras.layers import RepeatVector from keras.layers import TimeDistributed from keras.utils import plot_model # define input sequence sequence = array([0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9]) # reshape input into [samples, timesteps, features] n_in = len(sequence) sequence = sequence.reshape((1, n_in, 1)) # define model model = Sequential() model.add(LSTM(100, activation='relu', input_shape=(n_in,1))) model.add(RepeatVector(n_in)) model.add(LSTM(100, activation='relu', return_sequences=True)) model.add(TimeDistributed(Dense(1))) model.compile(optimizer='adam', loss='mse') # fit model model.fit(sequence, sequence, epochs=300, verbose=0) # connect the encoder LSTM as the output layer model = Model(inputs=model.inputs, outputs=model.layers[0].output) plot_model(model, show_shapes=True, to_file='lstm_encoder.png') # get the feature vector for the input sequence yhat = model.predict(sequence) print(yhat.shape) print(yhat) |

Running the example creates a standalone encoder model that could be used or saved for later use.

We demonstrate the encoder by predicting the sequence and getting back the 100 element output of the encoder.

Obviously, this is overkill for our tiny nine-step input sequence.

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 |
[[0.03625513 0.04107533 0.10737951 0.02468692 0.06771207 0. 0.0696108 0. 0. 0.0688471 0. 0. 0. 0. 0. 0. 0. 0.03871286 0. 0. 0.05252134 0. 0.07473809 0.02688836 0. 0. 0. 0. 0. 0.0460703 0. 0. 0.05190025 0. 0. 0.11807001 0. 0. 0. 0. 0. 0. 0. 0.14514188 0. 0. 0. 0. 0.02029926 0.02952124 0. 0. 0. 0. 0. 0.08357017 0.08418129 0. 0. 0. 0. 0. 0.09802645 0.07694854 0. 0.03605933 0. 0.06378153 0. 0.05267526 0.02744672 0. 0.06623861 0. 0. 0. 0.08133873 0.09208347 0.03379713 0. 0. 0. 0.07517676 0.08870222 0. 0. 0. 0. 0.03976351 0.09128518 0.08123557 0. 0.08983088 0.0886112 0. 0.03840019 0.00616016 0.0620428 0. 0. ] |

A plot of the architecture is created for reference.

## Further Reading

This section provides more resources on the topic if you are looking to go deeper.

- Making Predictions with Sequences
- Encoder-Decoder Long Short-Term Memory Networks
- Autoencoder, Wikipedia
- Unsupervised Learning of Video Representations using LSTMs, ArXiv 2015.
- Unsupervised Learning of Video Representations using LSTMs, PMLR, PDF, 2015.
- Unsupervised Learning of Video Representations using LSTMs, GitHub Repository.
- Building Autoencoders in Keras, 2016.
- How to Use the Keras Functional API for Deep Learning

## Summary

In this post, you discovered the LSTM Autoencoder model and how to implement it in Python using Keras.

Specifically, you learned:

- Autoencoders are a type of self-supervised learning model that can learn a compressed representation of input data.
- LSTM Autoencoders can learn a compressed representation of sequence data and have been used on video, text, audio, and time series sequence data.
- How to develop LSTM Autoencoder models in Python using the Keras deep learning library.

Do you have any questions?

Ask your questions in the comments below and I will do my best to answer.

Nice Explained……….

Thanks.

Thanks for the great posts! I have learn a lot from them.

Can this approach for classification problems such as sentiment analysis?

Perhaps.

Hi Jason,

Thanks for the posts, I really enjoy reading this.

I’m trying to use this method to do time series data anomaly detection and I got few questions here:

When you reshape the sequence into [samples, timesteps, features], samples and features always equal to 1. What is the guidance to choose the value here? If the input sequences have variable length, how to set timesteps, always choose max length?

Also, if the input is two dimension tabular data with each row has different length, how will you do the reshape or normalization?

Thanks in advance!

The time steps should provide enough history to make a prediction, the features are the observations recorded at each time step.

More on preparing data for LSTMs here:

https://machinelearningmastery.com/faq/single-faq/how-do-i-prepare-my-data-for-an-lstm

Hi,

I am wondering why the output of encoder has a much higher dimension(100), since we usually use encoders to create lower dimensions!

Could you please bring examples if I am wrong?

And what about variable length of samples? You keep saying that LSTM is useful for variable length. So how does it deal with a training set like:

dataX[0] = [1,2,3,4]

dataX[1] = [2,5,7,8,4]

dataX[2] = [0,3]

I am really confused with my second question and I’d be very thankful for your help! 🙂

The model reproduces the output, e.g. a 1D vector with 9 elements.

You can pad the variable length inputs with 0 and use a masking layer to ignore the padded values.

“I am wondering why the output of encoder has a much higher dimension(100), since we usually use encoders to create lower dimensions!”, I have the same question, can you please explain more?

It is a demonstration of the architecture only, feel free to change the model configuration for your specific problem.

I really likes your posts and they are important.I got a lot of knowledge from your post.

Today, am going to ask your help. I am doing research on local music classifications. the key features of the music is it sequence and it uses five keys out of the seven keys, we call it scale.

1. C – E – F – G – B. This is a major 3rd, minor 2nd, major 2nd, major 3rd, and minor 2nd

2. C – Db – F – G – Ab. This is a minor 2nd, major 3rd, major 2nd, minor 2nd, and major 3rd.

3. C – Db – F – Gb – A. This is a minor 2nd, major 3rd, minor 2nd, minor 3rd, and a minor 3rd.

4. C – D – E – G – A. This is a major 2nd, major 2nd, minor 3rd, major 2nd, and a minor 3rd

it is not dependent on range, rythm, melody and other features.

This key has to be in order. Otherwise it will be out of scale.

So, which tools /algorithm do i need to use for my research purpose and also any sampling mechanism to take 30 sec sample music from each track without affecting the sequence of the keys ?

Regards

Perhaps try a suite of models and discover what works best for your specific dataset.

More here:

https://machinelearningmastery.com/faq/single-faq/what-algorithm-config-should-i-use

Hi, can you please explain the use of repeat vector between encoder and decoder?

Encoder is encoding 1-feature time-series into fixed length 100 vector. In my understanding, decoder should take this 100-length vector and transform it into 1-feature time-series.

So, encoder is like many-to-one lstm, and decoder is one-to-many (even though that ‘one’ is a vector of length 100). Is this understanding correct?

The RepeatVector repeats the internal representation of the input n times for the number of required output steps.

Which model is most suited for stock market prediction

None, a time series of prices is a random walk as far as I’ve read.

More here:

https://machinelearningmastery.com/faq/single-faq/can-you-help-me-with-machine-learning-for-finance-or-the-stock-market

Hi,

thanks for the instructive post!

I am trying to repeat your first example (Reconstruction LSTM Autoencoder) using a different syntax of Keras; here is the code:

import numpy as np

from keras.layers import Input, LSTM, RepeatVector

from keras.models import Model

timesteps = 9

input_dim = 1

latent_dim = 100

# input placeholder

inputs = Input(shape=(timesteps, input_dim))

# “encoded” is the encoded representation of the input

encoded = LSTM(latent_dim,activation=’relu’)(inputs)

# “decoded” is the lossy reconstruction of the input

decoded = RepeatVector(timesteps)(encoded)

decoded = LSTM(input_dim, activation=’relu’, return_sequences=True)(decoded)

sequence_autoencoder = Model(inputs, decoded)

encoder = Model(inputs, encoded)

# compile model

sequence_autoencoder.compile(optimizer=’adadelta’, loss=’mse’)

# run model

sequence_autoencoder.fit(sequence,sequence,epochs=300, verbose=0)

# prediction

sequence_autoencoder.predict(sequence,verbose=0)

I did not know why, but I always get a poor result than the model using your code.

So my question is: is there any difference between the two method (syntax) under the hood? or they are actually the same ?

Thanks.

If you have trouble with the code in the tutorial, confirm that your version of Keras is 2.2.4 or higher and TensorFlow is up to date.

I feel like a bit more description could go into how to setup the LSTM autoencoder. Particularly how to tune the bottleneck. Right now when I apply this to my data its basically just returning the mean for everything, which suggests the its too aggressive but I’m not clear on where to change things.

Thanks for the suggestion.

Hi Jason, thanks for the wonderful article, I took some time and wrote a kernel on Kaggle inspired by your content, showing regular time-series approach using LSTM and another one using a MLP but with features encoded by and LSTM autoencoder, as shown here, for anyone interested here’s the link: https://www.kaggle.com/dimitreoliveira/time-series-forecasting-with-lstm-autoencoders

I would love some feedback.

Well done!

Hey! I am trying to compact the data single row of 217 rows. After running the program it is returning nan values for prediction Can you guide me where did i do wrong?

I have some advice here:

https://machinelearningmastery.com/faq/single-faq/can-you-read-review-or-debug-my-code

Dear Jason

After building and training the model above, how to evaluate the model? (like model.evaluate(train_x, train_y…) in common LSTM)?

Thanks a lot

The model is evaluated by its ability to reconstruct the input. You can use evaluate function or perform the evaluation of the predictions manually.

I have learned a lot from your website. Autoencoder can be used as dimension reduction. Is it possible to merge multiple time-series inputs into one using RNN autoencoder? My data shape is (9500, 20, 5) => (sample size, time steps, features). How to encode-decode into (9500, 20, 1)?

Thank you very much,

Perhaps, that may require some careful design. It might be easier to combine all data to a single input.

Thank you for your reply. Will (9500,100,1) => (9500,20,1) be easier?

Perhaps test it and see.

Hi Jason,

I’m a regular reader of your website, I learned a lot from your posts and books!

This one is also very informative, but there’s one thing I can’t fully understand: if the encoder input is [0.1, 0.2, …, 0.9] and the expected decoder output is [0.2, 0.3, …, 0.9], that’s basically a part of the input sequence. I’m not sure why you say it’s “predicting next step for each input step”. Could you please explain? Is an autoencoder a good fit for multi-step time series prediction?

Another question: does training the composite autoencoder imply that the error is averaged for both expected outputs ([seq_in, seq_out])?

I am demonstrating two ways to learn the encoding, by reproducing the input and by predicting the next step in the output.

Remember, the model outputs a single step at a time in order to construct a sequence.

Good question, I assume the reported error is averaged over both outputs. I’m not sure.