PyTorch: Dataloader for time series task
I have a Pandas dataframe with n rows and k columns loaded into memory. I would like to get batches for a forecasting task where the first training example of a batch should have shape (q, k) with q referring to the number of rows from the original dataframe (e.g. 0:128). The next example should be (128:256, k) and so on. So, ultimately, one batch should have the shape (32, q, k) with 32 corresponding to the batch size.
Since TensorDataset from data_utils does not work here, I am wondering what the best way would be. I tried to use np.array_split() to get as first dimension the number of possible splits of q values in order to write a custom DataLoader but then reshaping is not guaranteed to work since not all arrays have the same shape.
Here is a minimal example to make it more clear. In this case, batch size is 3 and q is 2:
import pandas as pd
import numpy as np
df = pd.DataFrame(data=np.arange(0,30).reshape(10,3),columns=['A','B','C'])

The dataset:
    A   B   C
0   0   1   2
1   3   4   5
2   6   7   8
3   9   10  11
4   12  13  14
5   15  16  17
6   18  19  20
7   21  22  23
8   24  25  26
9   27  28  29

The first batch in this case should have the shape (3,2,3) and look like:
array([[[ 0.,  1.,  2.],
        [ 3.,  4.,  5.]],

       [[ 3.,  4.,  5.],
        [ 6.,  7.,  8.]],

       [[ 6.,  7.,  8.],
        [ 9., 10., 11.]]])


You can write your analog of the TensorDataset. To do this you need to inherit from the Dataset class.

from torch.utils.data import Dataset, DataLoader

class MyDataset(Dataset):
    def __init__(self, data_frame, q):
        self.data = data_frame.values
        self.q = q

    def __len__(self):
        return self.data.shape[0] // self.q

    def __getitem__(self, index):
        return self.data[index * self.q: (index+1) * self.q]

