Using GPUs with GluonTS

This section covers how to setup modeltime.gluonts to use GPUs.

GPU Requirements

You must have:

• One or more Nvidia GPUs
• CUDA software properly installed

Refer to MXNet’s Official GPU Documentation on using GPUs.

Step 1: Create a Custom GluonTS Python Environment

Create a Custom GluonTS Python Environment. You will need to install a version of mxnet that is compatible with your CUDA software.

reticulate::py_install(
    envname  = "my_gluonts_env",
    python_version = "3.7.1",
    packages = c(
        # IMPORTANT
        "mxnet-cu92", # replace `cu92` according to your CUDA version.
        
        "gluonts==0.8.0",
        "pandas",
        "numpy",
        "pathlib"
    ),
    method = "conda",
    pip = TRUE
)

Step 2: Connect to the GluonTS GPU Environment

Follow instructions to set the path and check your custom gluonts environment. You will need to:

• Locate the Python Path to your new Custom GPU-enabled Python Environment
• Set the System Environment Variable
• Load Modeltime GluonTS
• Check Your Environment to make sure modeltime.gluonts is connecting to your GPU-enabled GluonTS Python Environment

Step 3: Begin using GPUs.

You’re now ready to start using GPUs. Just start training as normal.

model_fit_deepar <- deep_ar(
  id                    = "id",
  freq                  = "M",
  prediction_length     = 24,
  lookback_length       = 36,
  epochs                = 10, 
  num_batches_per_epoch = 500,
  learn_rate            = 0.001,
  num_layers            = 3,
  num_cells             = 80,
  dropout               = 0.10
) %>%
  set_engine("gluonts_deepar") %>%
  fit(value ~ date + id, m750)

Step 4 (Optional): Configure your GPUs using the MXNet Context (CTX)

One final point is that if you have multiple GPUs, you can configure how to distribute the work using the MXNet Context (ctx). For example, if you have two GPUs, you can specify to use both of them by adding to the set_engine().

mxnet <- reticulate::import("mxnet")

# Modify your set_engine()
  ... %>%
  set_engine("gluonts_deepar", ctx = list(mxnet$gpu(0), mxnet$gpu(1)))