def test_seasonality_transformer(
X_start, X_len, weekdays, weeks, months, quarter, year
):
X = pd.DataFrame(index=pd.date_range(X_start, periods=X_len, freq="D"))
y = pd.Series(np.arange(len(X)), name="values", index=X.index)
freq = pd.infer_freq(X.index)
df = pd.concat(
[X, y, SeasonalityTransformer(freq=freq).fit(X, y).transform(X)], axis=1
)
assert set(weekdays).issubset(df.columns)
assert set(weeks).issubset(df.columns)
assert set(months).issubset(df.columns)
assert set(quarter).issubset(df.columns)
assert set(year).issubset(df.columns)
first_row = df.head(1).T
cols_with_ones = first_row[first_row[first_row.columns[0]] == 1].index
single_date_cols = (
SeasonalityTransformer(freq=freq)
.fit(X.head(1), y.head(1))
.transform(X.head(1))
.columns
)
assert set(cols_with_ones) == set(single_date_cols)
def grid_search(request):
from sklearn.dummy import DummyRegressor
from sklearn.metrics import mean_absolute_error
from sklearn.model_selection import GridSearchCV
from sklearn.pipeline import Pipeline
from hcrystalball.feature_extraction import HolidayTransformer
from hcrystalball.feature_extraction import SeasonalityTransformer
from hcrystalball.metrics import make_ts_scorer
from hcrystalball.model_selection import FinerTimeSplit
from hcrystalball.wrappers import get_sklearn_wrapper
scoring = make_ts_scorer(mean_absolute_error, greater_is_better=False)
bad_dummy = get_sklearn_wrapper(DummyRegressor,
strategy="constant",
constant=42,
name="bad_dummy",
lags=2)
good_dummy = get_sklearn_wrapper(DummyRegressor,
strategy="mean",
name="good_dummy",
lags=2)
parameters = [
{
"model": [good_dummy]
},
{
"model": [bad_dummy],
"model__strategy": ["constant"],
"model__constant": [42],
},
]
holiday_model = Pipeline([
("holiday", HolidayTransformer(country_code_column="Holidays_code")),
("seasonality", SeasonalityTransformer(week_day=True, freq="D")),
("model", good_dummy),
])
cv = FinerTimeSplit(n_splits=2, horizon=5)
grid_search = GridSearchCV(holiday_model,
parameters,
cv=cv,
scoring=scoring)
return grid_search
def test_seasonality_transformer_ensure_cols():
X = pd.DataFrame(index=pd.date_range("2019-01-01", periods=10, freq="D"))
y = pd.Series(np.arange(len(X)), name="values", index=X.index)
head_t = SeasonalityTransformer(freq="D").fit(X.head(6), y.head(6))
head_1 = head_t.transform(X.head(6))
# names of columns in transformer are accessible over get_feature_names after first transform
assert set(head_1.columns) == set(head_t.get_feature_names())
head_2 = head_t.transform(X.tail(6))
assert set(head_1.columns) == set(head_2.columns)
tail_t = SeasonalityTransformer(freq="D").fit(X.tail(6), y.tail(6))
tail_1 = tail_t.transform(X.tail(6))
# missing column was brought back from first transform
assert ("Friday" not in tail_1.columns) & ("Friday" in head_2.columns)
# extra columns from 2nd and other transforms are clipped away
assert ("2_week" in tail_1.columns) & ("2_week" not in head_2.columns)
def get_gridsearch(
frequency,
horizon=10,
n_splits=5,
between_split_lag=None,
scoring="neg_mean_absolute_error",
country_code_column=None,
country_code=None,
holidays_days_before=0,
holidays_days_after=0,
holidays_bridge_days=False,
sklearn_models=True,
sklearn_models_optimize_for_horizon=False,
autosarimax_models=False,
autoarima_dict=None,
prophet_models=False,
tbats_models=False,
exp_smooth_models=False,
theta_models=False,
average_ensembles=False,
stacking_ensembles=False,
stacking_ensembles_train_horizon=10,
stacking_ensembles_train_n_splits=20,
clip_predictions_lower=None,
clip_predictions_upper=None,
exog_cols=None,
):
"""Get grid search object based on selection criteria.
Parameters
----------
frequency : str
Frequency of timeseries. Pandas compatible frequncies
horizon : int
How many units of frequency (e.g. 4 quarters), should be used to find the best models
n_splits : int
How many cross-validation folds should be used in model selection
between_split_lag : int
How big lag of observations should cv_splits have
If kept as None, horizon is used resulting in non-overlaping cv_splits
scoring : str, callable
String of sklearn regression metric name, or hcrystalball compatible scorer. For creation
of hcrystalball compatible scorer use `make_ts_scorer` function.
country_code_column : str, list
Column(s) in data, that contain country code in str (e.g. 'DE'). Used in holiday transformer.
Only one of `country_code_column` or `country_code` can be set.
country_code : str, list
Country code(s) in str (e.g. 'DE'). Used in holiday transformer.
Only one of `country_code_column` or `country_code` can be set.
holidays_days_before : int
Number of days before the holiday which will be taken into account
(i.e. 2 means that new bool column will be created and will be True for 2 days before holidays,
otherwise False)
holidays_days_after : int
Number of days after the holiday which will be taken into account
(i.e. 2 means that new bool column will be created and will be True for 2 days after holidays,
otherwise False)
holidays_bridge_days : bool
Overlaping `holidays_days_before` and `holidays_days_after` feature which serves for modeling between
holidays working days
sklearn_models : bool
Whether to consider sklearn models
sklearn_models_optimize_for_horizon: bool
Whether to add to default sklearn behavior also models, that optimize predictions for each horizon
autosarimax_models : bool
Whether to consider auto sarimax models
autoarima_dict : dict
Specification of pmdautoarima search space
prophet_models : bool
Whether to consider FB prophet models
exp_smooth_models : bool
Whether to consider exponential smoothing models
average_ensembles : bool
Whether to consider average ensemble models
stacking_ensembles : bool
Whether to consider stacking ensemble models
stacking_ensembles_train_horizon : int
Which horizon should be used in meta model in stacking ensembles
stacking_ensembles_train_n_splits : int
Number of splits used in meta model in stacking ensembles
clip_predictions_lower : float, int
Minimal number allowed in the predictions
clip_predictions_upper : float, int
Maximal number allowed in the predictions
exog_cols : list
List of columns to be used as exogenous variables
Returns
-------
sklearn.model_selection.GridSearchCV
CV / Model selection configuration
"""
exog_cols = exog_cols or []
country_code_columns = ([country_code_column] if isinstance(
country_code_column, str) else country_code_column)
country_codes = [country_code] if isinstance(country_code,
str) else country_code
# ensures only exogenous columns and country code column will be passed to model if provided
# and columns names will be stored in TSColumnTransformer
if exog_cols:
cols = exog_cols + country_code_columns if country_code_columns else exog_cols
exog_passthrough = TSColumnTransformer(transformers=[("raw_cols",
"passthrough",
cols)])
else:
exog_passthrough = "passthrough"
# ensures holiday transformer is added to the pipeline if requested
if country_codes:
holiday = Pipeline([(
f"holiday_{code}",
HolidayTransformer(
country_code=code,
days_before=holidays_days_before,
days_after=holidays_days_after,
bridge_days=holidays_bridge_days,
),
) for code in country_codes])
elif country_code_columns:
holiday = Pipeline([(
f"holiday_{col}",
HolidayTransformer(
country_code_column=col,
days_before=holidays_days_before,
days_after=holidays_days_after,
bridge_days=holidays_bridge_days,
),
) for col in country_code_columns])
else:
holiday = "passthrough"
estimator = Pipeline([("exog_passthrough", exog_passthrough),
("holiday", holiday), ("model", "passthrough")])
cv = FinerTimeSplit(n_splits=n_splits,
horizon=horizon,
between_split_lag=between_split_lag)
grid_search = GridSearchCV(
estimator=estimator,
param_grid=[],
scoring=get_scorer(scoring),
cv=cv,
refit=False,
error_score=np.nan,
)
if autosarimax_models:
# adding autosarimax to param_grid might cause differently found models
# for different splits and raise inconsistency based errors.
# sarimax pipeline is added to new grid_search's attribute (`grid_search.autosarimax`)
# and handled in `hcrystalball.model_seleciton.select_model` function in following way
# 1. get best model for the data part on last split
# 2. append this best model to original `param_grid`
# 3. run full grid search with `param_grid` containing
# sarimax model selected from autosarimax in point 1
from hcrystalball.wrappers import SarimaxWrapper
if autoarima_dict is None:
autoarima_dict = {}
if "error_action" not in autoarima_dict:
autoarima_dict.update({"error_action": "raise"})
grid_search.autosarimax = Pipeline(estimator.steps[:-1])
grid_search.autosarimax.steps.append((
"model",
SarimaxWrapper(
init_with_autoarima=True,
autoarima_dict=autoarima_dict,
clip_predictions_lower=clip_predictions_lower,
clip_predictions_upper=clip_predictions_upper,
),
))
if stacking_ensembles or average_ensembles or sklearn_models:
from sklearn.linear_model import ElasticNet
from sklearn.ensemble import RandomForestRegressor
# TODO when scoring time is fixed, add HistGradientBoostingRegressor
# from sklearn.experimental import enable_hist_gradient_boosting
# from sklearn.ensemble import HistGradientBoostingRegressor
from hcrystalball.wrappers import get_sklearn_wrapper
from hcrystalball.feature_extraction import SeasonalityTransformer
sklearn_model = get_sklearn_wrapper(
RandomForestRegressor,
clip_predictions_lower=clip_predictions_lower,
clip_predictions_upper=clip_predictions_upper,
)
sklearn_model_pipeline = Pipeline([
("seasonality", SeasonalityTransformer(auto=True, freq=frequency)),
("model", sklearn_model)
])
# TODO make sure naming here works as expected
sklearn_model_pipeline.name = f"seasonality_{sklearn_model.name}"
if sklearn_models:
classes = [ElasticNet, RandomForestRegressor]
models = {
model_class.__name__: get_sklearn_wrapper(
model_class,
clip_predictions_lower=clip_predictions_lower,
clip_predictions_upper=clip_predictions_upper,
)
for model_class in classes
}
optimize_for_horizon = [
False, True
] if sklearn_models_optimize_for_horizon else [False]
grid_search.param_grid.append({
"model": [sklearn_model_pipeline],
"model__seasonality__weekly": [True, False],
"model__model":
list(models.values()),
# TODO change add once HistGradientBoostingRegressor is back
# "model__model": list(models.values()) + [sklearn_model]
"model__model__optimize_for_horizon":
optimize_for_horizon,
"model__model__lags": [3, 7, 10, 14],
})
grid_search.param_grid.append({
"model": [sklearn_model_pipeline],
"model__seasonality__weekly": [True, False],
"model__model__optimize_for_horizon":
optimize_for_horizon,
"model__model": [sklearn_model],
"model__model__max_depth": [6],
})
if prophet_models:
from hcrystalball.wrappers import ProphetWrapper
extra_regressors = [None] if exog_cols is None else [None, exog_cols]
grid_search.param_grid.append({
"model": [
ProphetWrapper(
clip_predictions_lower=clip_predictions_lower,
clip_predictions_upper=clip_predictions_upper,
)
],
"model__seasonality_mode": ["multiplicative", "additive"],
"model__extra_regressors":
extra_regressors,
})
grid_search.param_grid.append({
"model": [
ProphetWrapper(
clip_predictions_lower=clip_predictions_lower,
clip_predictions_upper=clip_predictions_upper,
)
],
"model__extra_seasonalities": [[{
"name": "quarterly",
"period": 90.0625,
"fourier_order": 5,
"prior_scale": 15.0,
"mode": None,
}]],
"model__extra_regressors":
extra_regressors,
})
if exp_smooth_models:
from hcrystalball.wrappers import ExponentialSmoothingWrapper
from hcrystalball.wrappers import HoltSmoothingWrapper
from hcrystalball.wrappers import SimpleSmoothingWrapper
# commented options show non deterministic behavior
grid_search.param_grid.append({
"model": [
ExponentialSmoothingWrapper(
freq=frequency,
clip_predictions_lower=clip_predictions_lower,
clip_predictions_upper=clip_predictions_upper,
)
],
"model__trend": ["add"],
"model__seasonal": [None, "add"],
"model__damped": [True, False],
"model__fit_params": [
{
"use_boxcox": True,
"use_basinhopping": False
},
# {'use_boxcox':True, 'use_basinhopping':True},
{
"use_boxcox": False,
"use_basinhopping": False
},
# {'use_boxcox':False, 'use_basinhopping':True}
],
})
grid_search.param_grid.append({
"model": [
ExponentialSmoothingWrapper(
freq=frequency,
clip_predictions_lower=clip_predictions_lower,
clip_predictions_upper=clip_predictions_upper,
)
],
"model__trend": ["add"],
"model__seasonal": ["mul"],
"model__damped": [True, False],
"model__fit_params": [
{
"use_boxcox": False,
"use_basinhopping": False
},
# {'use_boxcox':False, 'use_basinhopping':True}
],
})
grid_search.param_grid.append({
"model": [
ExponentialSmoothingWrapper(
freq=frequency,
clip_predictions_lower=clip_predictions_lower,
clip_predictions_upper=clip_predictions_upper,
)
],
"model__trend": [None],
"model__seasonal": [None, "add", "mul"],
"model__damped": [False],
"model__fit_params": [
{
"use_boxcox": False,
"use_basinhopping": False
},
# {'use_boxcox':False, 'use_basinhopping':True}
],
})
grid_search.param_grid.append({
"model": [
SimpleSmoothingWrapper(
clip_predictions_lower=clip_predictions_lower,
clip_predictions_upper=clip_predictions_upper,
),
HoltSmoothingWrapper(
clip_predictions_lower=clip_predictions_lower,
clip_predictions_upper=clip_predictions_upper,
),
]
})
if theta_models:
from hcrystalball.wrappers import ThetaWrapper
grid_search.param_grid.append({
"model": [
ThetaWrapper(
clip_predictions_lower=clip_predictions_lower,
clip_predictions_upper=clip_predictions_upper,
)
]
})
if tbats_models:
from hcrystalball.wrappers import TBATSWrapper
grid_search.param_grid.append({
"model": [
TBATSWrapper(
use_arma_errors=False,
clip_predictions_lower=clip_predictions_lower,
clip_predictions_upper=clip_predictions_upper,
)
]
})
if stacking_ensembles:
from hcrystalball.ensemble import StackingEnsemble
from hcrystalball.wrappers import ProphetWrapper
from hcrystalball.wrappers import ThetaWrapper
from sklearn.ensemble import RandomForestRegressor
grid_search.param_grid.append({
"model": [
StackingEnsemble(
train_n_splits=stacking_ensembles_train_n_splits,
train_horizon=stacking_ensembles_train_horizon,
meta_model=ElasticNet(),
horizons_as_features=True,
weekdays_as_features=True,
base_learners=[],
clip_predictions_lower=clip_predictions_lower,
clip_predictions_upper=clip_predictions_upper,
)
],
"model__meta_model": [ElasticNet(),
RandomForestRegressor()],
"model__base_learners": [
[
ProphetWrapper(
clip_predictions_lower=clip_predictions_lower,
clip_predictions_upper=clip_predictions_upper,
),
sklearn_model_pipeline,
ThetaWrapper(
clip_predictions_lower=clip_predictions_lower,
clip_predictions_upper=clip_predictions_upper,
),
],
],
})
if average_ensembles:
from hcrystalball.ensemble import SimpleEnsemble
from hcrystalball.wrappers import ProphetWrapper
from hcrystalball.wrappers import ThetaWrapper
grid_search.param_grid.append({
"model": [
SimpleEnsemble(
base_learners=[],
clip_predictions_lower=clip_predictions_lower,
clip_predictions_upper=clip_predictions_upper,
)
],
"model__base_learners": [
[
ProphetWrapper(
clip_predictions_lower=clip_predictions_lower,
clip_predictions_upper=clip_predictions_upper,
),
sklearn_model_pipeline,
ThetaWrapper(
clip_predictions_lower=clip_predictions_lower,
clip_predictions_upper=clip_predictions_upper,
),
],
],
})
return grid_search