The error message indicates that there is an index out of range error in the `MultiHeadAttention` layer. This may be caused by the `num_heads` or `key_dim` parameters being set incorrectly.
I would suggest checking the values of these parameters to make sure they are compatible with the input shapes. For example, if `num_heads` is too large relative to the input shape, it could cause an index out of range error.
Here's an updated version of the code with some modifications that might help:
```
def LSTNet(trainX1, trainX2, trainY, config):
input1 = Input(shape=(trainX1.shape[1], trainX1.shape[2]))
conv1 = Conv1D(filters=48, kernel_size=6, strides=1, activation='relu')(input1)
gru1 = CuDNNGRU(64)(conv1)
attention1 = MultiHeadAttention(num_heads=4, key_dim=16)(gru1, gru1)
attention1 = LayerNormalization()(attention1 + gru1)
input2 = Input(shape=(trainX2.shape[1], trainX2.shape[2]))
conv2 = Conv1D(filters=48, kernel_size=6, strides=1, activation='relu')(input2)
gru2 = CuDNNGRU(64)(conv2)
output = concatenate([attention1, gru2], axis=2)
output = Dense(trainY.shape[1])(output)
# Highway network
highway_window = config.highway_window
z = Lambda(lambda k: k[:, -highway_window:, :])(input1)
z = Lambda(lambda k: K.permute_dimensions(k, (0, 2, 1)))(z)
z = Lambda(lambda k: K.reshape(k, (-1, highway_window * trainX1.shape[2])))(z)
z = Dense(trainY.shape[1])(z)
output = add([output, z])
output = Activation('sigmoid')(output)
model = Model(inputs=[input1, input2], outputs=output)
model.compile(loss='binary_crossentropy', optimizer='adam', metrics=['accuracy'])
return model
```
In this version of the code, I've reduced the `num_heads` parameter to 4 and the `key_dim` parameter to 16. You may