# Understanding Keras LSTMs

I am trying to reconcile my understand of LSTMs and pointed out here in this post by Christopher Olah implemented in Keras. I am following the blog written by Jason Brownlee for the Keras tutorial. What I am mainly confused about is,

- The reshaping of the data series into
`[samples, time steps, features]`

and, - The stateful LSTMs

Lets concentrate on the above two q with reference to the code pasted below:

```
# reshape into X=t and Y=t+1
look_back = 3
trainX, trainY = create_dataset(train, look_back)
testX, testY = create_dataset(test, look_back)
# reshape input to be [samples, time steps, features]
trainX = numpy.reshape(trainX, (trainX.shape[0], look_back, 1))
testX = numpy.reshape(testX, (testX.shape[0], look_back, 1))
########################
# The IMPORTANT BIT
##########################
# create and fit the LSTM network
batch_size = 1
model = Sequential()
model.add(LSTM(4, batch_input_shape=(batch_size, look_back, 1), stateful=True))
model.add(Dense(1))
model.compile(loss='mean_squared_error', optimizer='adam')
for i in range(100):
model.fit(trainX, trainY, nb_epoch=1, batch_size=batch_size, verbose=2, shuffle=False)
model.reset_states()
```

Note: create_dataset takes a sequence of length N and returns a `N-look_back`

array of which each element is a `look_back`

length sequence.

# What is Time Steps and Features?

As can be seen TrainX is a 3-D array with Time_steps and Feature being the last two dimensions respectively (3 and 1 in this particular code). With respect to the image below, does this mean that we are considering the `many to one`

case, where the number of pink boxes are 3? Or does it literally mean the chain length is 3 (i.e. only 3 green boxes considered).

Does the features argument become relevant when we consider multivariate series? e.g. modelling two financial stocks simultaneously?

# Stateful LSTMs

Does stateful LSTMs mean that we save the cell memory values between runs of batches? If this is the case, `batch_size`

is one, and the memory is reset between the training runs so what was the point of saying that it was stateful. I'm guessing this is related to the fact that training data is not shuffled, but I'm not sure how.

Any thoughts? Image reference: http://karpathy.github.io/2015/05/21/rnn-effectiveness/

## Edit 1:

A bit confused about @van's comment about the red and green boxes being equal. So just to confirm, does the following API calls correspond to the unrolled diagrams? Especially noting the second diagram (`batch_size`

was arbitrarily chosen.):

## Edit 2:

For people who have done Udacity's deep learning course and still confused about the time_step argument, look at the following discussion: https://discussions.udacity.com/t/rnn-lstm-use-implementation/163169

## Update:

It turns out `model.add(TimeDistributed(Dense(vocab_len)))`

was what I was looking for. Here is an example: https://github.com/sachinruk/ShakespeareBot

## Update2:

I have summarised most of my understanding of LSTMs here: https://www.youtube.com/watch?v=ywinX5wgdEU

First of all, you choose great tutorials(1,2) to start.

**What Time-step means** : `Time-steps==3`

in X.shape (Describing data shape) means there are three pink boxes. Since in Keras each step requires an input, therefore the number of the green boxes should usually equal to the number of red boxes. Unless you hack the structure.

**many to many vs. many to one** : In keras, there is a `return_sequences`

parameter when your initializing `LSTM`

or `GRU`

or `SimpleRNN`

. When `return_sequences`

is `False`

(by default), then it is **many to one** as shown in the picture. Its return shape is `(batch_size, hidden_unit_length)`

, which represent the last state. When `return_sequences`

is `True`

, then it is **many to many**. Its return shape is `(batch_size, time_step, hidden_unit_length)`

**Does the features argument become relevant** : Feature argument means **"How big is your red box"** or what is the input dimension each step. If you want to predict from, say, 8 kinds of market information, then you can generate your data with `feature==8`

.

**Stateful** : You can look up the source code. When initializing the state, if `stateful==True`

, then the state from last training will be used as the initial state, otherwise it will generate a new state. I haven't turn on `stateful`

yet. However, I disagree with that the `batch_size`

can only be 1 when `stateful==True`

.

Currently, you generate your data with collected data. Image your stock information is coming as stream, rather than waiting for a day to collect all sequential, you would like to generate input data **online** while training/predicting with network. If you have 400 stocks sharing a same network, then you can set `batch_size==400`

.

From: stackoverflow.com/q/38714959