While trying to reconcile my understanding of LSTMs pointed out here in this post by Christopher Olah implemented in Keras and following the blog written by Jason Brownlee for the Keras tutorial, I am confused about the following:

1. The reshaping of the data series into [samples, time steps, features] and,
2. The stateful LSTMs

Considering the above two questions that are referenced by the code 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 are the Time Steps and Features?

As it 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). Looking at the image below, does this mean that we are considering the many to one case, where the number of pink boxes is 3? Or does it mean the chain length is 3 (?.

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 am guessing this is related to the fact that training data is not shuffled, but am 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. 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 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.