Keras version of LSTNet

Environment

• python 3.6.0

• tensorflow 1.12.0

• Keras 2.2.0

Usage

unzip data.zip
mkdir save/ logs/
./er.sh

Multi-input

The original version is a little redundant since it should put the huge tensor into the model as the input.
However, if the time interval is small, like 5 or 10 mins, the input may be too huge for memory and lacking of efficiency during training.
Therefore, I wrote a version called LSTNet_multi_inputs which deconstructs the input as (1) short-term time series, like (t-3, t-2, t-1, t) and (2) long-term skip time series, like (t-2xskip, t-skip, t).
The result is as good as the original one, but much faster.