你可以按照以下方式在 `gru1out` 后面添加多头注意力机制:
```python
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') # for input1
# It's a probelm that I can't find any way to use the same Conv1D layer to train the two inputs,
conv2 = Conv1D(filters=48, kernel_size=6 , strides=1, activation='relu') # for input2
conv2.set_weights(conv1.get_weights()) # at least use same weight
conv1out = conv1(input1)
attention1_output = MultiHeadAttention(num_heads=8, key_dim=64)(conv1out, conv1out)
attention1_output = LayerNormalization()(attention1_output + conv1out)
gru1out = CuDNNGRU(64, return_sequences=True)(attention1_output)
attention2_output = MultiHeadAttention(num_heads=8, key_dim=64)(gru1out, gru1out)
attention2_output = LayerNormalization()(attention2_output + gru1out)
gru1out = Dropout(config.dropout)(attention2_output)
input2 = Input(shape=(trainX2.shape[1], trainX2.shape[2]))
conv2out = conv2(input2)
attention3_output = MultiHeadAttention(num_heads=8, key_dim=64)(conv2out, conv2out)
attention3_output = LayerNormalization()(attention3_output + conv2out)
gru2out = CuDNNGRU(64)(attention3_output)
gru2out = Dropout(config.dropout)(gru2out)
gru_out = concatenate([gru1out,gru2out])
output = Dense(trainY.shape[1])(gru_out)
#highway 使用Dense模拟AR自回归过程,为预测添加线性成份,同时使输出可以响应输入的尺度变化。
highway_window = config.highway_window
#截取近3