TemporalFusionTransformer predicting with mode "raw" results in RuntimeError: Sizes of tensors must match except in dimension 0

• PyTorch-Forecasting version: 0.8.4
• PyTorch version: 1.8.1
• Python version: 3.8
• Operating System: Ubuntu 20.04.2 LTS

Expected behavior

In order to generate the interpretation plots of a Temporal Fusion Transformer model, I first try to generate the raw predictions using

  # Generate TimeSeriesDataSets and DataLoaders
  train_ts_dataset = TimeSeriesDataSet(
      train_dataset,
      time_idx=feature_config["time_index"],
      target=feature_config["target"],
      group_ids=feature_config["groups"],
      min_encoder_length=dataset_config["min_encoder_length"],  # 7
      max_encoder_length=dataset_config["max_encoder_length"],  # 28
      min_prediction_idx=1,
      min_prediction_length=dataset_config["min_prediction_length"],  # 1
      max_prediction_length=dataset_config["max_prediction_length"],  # 14
      static_categoricals=feature_config["categorical"]["static"],
      static_reals=feature_config["real"]["static"],
      time_varying_known_categoricals=feature_config["categorical"]["dynamic"][
          "known"
      ],
      time_varying_unknown_categoricals=feature_config["categorical"]["dynamic"][
          "unknown"
      ],
      time_varying_known_reals=feature_config["real"]["dynamic"]["known"],
      time_varying_unknown_reals=feature_config["real"]["dynamic"]["unknown"],
      target_normalizer=GroupNormalizer(groups=[], transformation="softplus"),
      allow_missings=True,
      categorical_encoders={
          col: NaNLabelEncoder(add_nan=True, warn=False)
          for col in set(
              feature_config["categorical"]["static"] +
              feature_config["categorical"]["dynamic"]["known"] +
              feature_config["categorical"]["dynamic"]["unknown"] +
              feature_config["groups"]
          )
      },
  )
test_ts_dataset = TimeSeriesDataSet.from_dataset(
        train_ts_dataset, test_dataset, stop_randomization=True, predict_mode=True
 )

test_dataloader = test_ts_dataset.to_dataloader(
        train=False, batch_size=batch_size * 10, num_workers=num_workers
 )
tft = TemporalFusionTransformer.from_dataset(
        train_ts_dataset,
        loss=QuantileLoss(quantiles=model_config["quantiles"]),
        output_size=len(model_config["quantiles"]),
        **model_config["hyperparameters"],
 )

...  # Train TFT on training set etc...

# Generate raw predictions. 
raw_predictions = tft.predict(test_dataloader, mode="raw")

Actual behavior

The predict method however raises an error when using mode="raw":

...
    raw_predictions = tft.predict(dataloader, mode="raw")
  File "/home/ubuntu/.local/share/virtualenvs/tmp-XVr6zr33/lib/python3.8/site-packages/pytorch_forecasting/models/base_model.py", line 982, in predict
    output = _concatenate_output(output)
  File "/home/ubuntu/.local/share/virtualenvs/tmp-XVr6zr33/lib/python3.8/site-packages/pytorch_forecasting/models/base_model.py", line 84, in _concatenate_output
    output_cat[name] = _torch_cat_na([out[name] for out in output])
  File "/home/ubuntu/.local/share/virtualenvs/tmp-XVr6zr33/lib/python3.8/site-packages/pytorch_forecasting/models/base_model.py", line 62, in _torch_cat_na
    return torch.cat(x, dim=0)
RuntimeError: Sizes of tensors must match except in dimension 0. Got 40 and 35 in dimension 3 (The offending index is 1)

Note that I have used the same dataloader earlier in a predict call without using mode="raw" and that works perfectly fine.

The same error was raised someplace else as documented here https://github.com/jdb78/pytorch-forecasting/issues/85 and that was fixed using https://github.com/jdb78/pytorch-forecasting/pull/108/files. Could it be this padded_stack function should also be used someplace else, or is something else going on? Perhaps somewhere in _concatenate_output(), which is called in this line: https://github.com/jdb78/pytorch-forecasting/blob/master/pytorch_forecasting/models/base_model.py#L987 ?

Please let me know whether it is indeed a bug, or if I am doing something wrong 🙏 Thank you!

[jdb78]

It seems to be related to attention (n_batches x n_decoder_steps (that attend) x n_attention_heads x n_timesteps (to which is attended)) concatenation. Seems like there is an issue with the concatenation logic. Will work on a fix

[akshat-chandna]

@akshat-chandna -> Where exactly do you pass the optimizer in the Stallion code?

tft = TemporalFusionTransformer.from_dataset( training, learning_rate=0.001, hidden_size=16, attention_head_size=1, dropout=0.1,
hidden_continuous_size=8, output_size=7, loss=QuantileLoss(), reduce_on_plateau_patience=4, optimizer=‘adam’ )