def test_conf_int(X_y_linear_trend):
HORIZON = 5
X, y = X_y_linear_trend
model = TBATS(use_arma_errors=False, use_box_cox=False)
model_wrapped = TBATSWrapper(use_arma_errors=False,
use_box_cox=False,
conf_int=True,
conf_int_level=0.95)
model = model.fit(y[:-HORIZON])
model_wrapped = model_wrapped.fit(X[:-HORIZON], y[:-HORIZON])
preds_orig, conf_int = model.forecast(steps=HORIZON, confidence_level=0.95)
preds = model_wrapped.predict(X[-HORIZON:])
expected_result = (pd.DataFrame(
preds_orig, index=X.index[-HORIZON:],
columns=["TBATS"]).assign(TBATS_lower=conf_int["lower_bound"]).assign(
TBATS_upper=conf_int["upper_bound"]))
print("expected_result", expected_result)
print("preds", preds)
print("preds_orig", preds_orig)
assert_frame_equal(preds, expected_result)
def wrapper_instance(request):
if request.param == "prophet":
return ProphetWrapper(daily_seasonality=False,
weekly_seasonality=False,
yearly_seasonality=False)
elif request.param == "smoothing":
return ExponentialSmoothingWrapper(trend="add")
elif request.param == "tbats":
return TBATSWrapper(use_arma_errors=False, use_box_cox=False)
elif request.param == "sklearn":
return get_sklearn_wrapper(LinearRegression, lags=4)
elif request.param == "sarimax":
return SarimaxWrapper(order=(1, 1, 0), seasonal_order=(1, 1, 1, 2))
elif request.param == "stacking_ensemble":
return StackingEnsemble(
base_learners=[
ExponentialSmoothingWrapper(name="smoot_exp1", trend="add"),
ExponentialSmoothingWrapper(name="smoot_exp2"),
],
meta_model=LinearRegression(),
horizons_as_features=False,
weekdays_as_features=False,
)
elif request.param == "simple_ensemble":
return SimpleEnsemble(base_learners=[
ExponentialSmoothingWrapper(name="smoot_exp1", trend="add"),
ExponentialSmoothingWrapper(name="smoot_exp2"),
])
def pipeline_instance_model_only(request):
if request.param == "prophet":
return Pipeline([(
"regressor",
ProphetWrapper(
daily_seasonality=False,
weekly_seasonality=False,
yearly_seasonality=False,
),
)])
elif request.param == "smoothing":
return Pipeline([("regressor",
ExponentialSmoothingWrapper(trend="add"))])
elif request.param == "tbats":
return Pipeline([("regressor",
TBATSWrapper(use_arma_errors=False,
use_box_cox=False))])
elif request.param == "sklearn":
return Pipeline([("regressor",
get_sklearn_wrapper(LinearRegression, lags=4))])
elif request.param == "sarimax":
return Pipeline([(
"regressor",
SarimaxWrapper(order=(1, 1, 0), seasonal_order=(1, 1, 1, 1)),
)])
elif request.param == "stacking_ensemble":
return Pipeline([(
"regressor",
StackingEnsemble(
base_learners=[
ExponentialSmoothingWrapper(name="smoot_exp1",
trend="add"),
ExponentialSmoothingWrapper(name="smoot_exp2"),
],
meta_model=LinearRegression(),
),
)])
elif request.param == "simple_ensemble":
return Pipeline([(
"regressor",
SimpleEnsemble(base_learners=[
ExponentialSmoothingWrapper(name="smoot_exp1", trend="add"),
ExponentialSmoothingWrapper(name="smoot_exp2"),
]),
)])
else:
return None
def estimators(request):
if request.param is None:
return ["no_estimator"]
options = {
"prophet": [(
"prophet",
ProphetWrapper(
daily_seasonality=False,
weekly_seasonality=False,
yearly_seasonality=False,
),
)],
"sarimax": [("sarimax",
SarimaxWrapper(order=(1, 1, 1),
seasonal_order=(1, 1, 1, 2)))],
"smoothing": [("smoothing", ExponentialSmoothingWrapper())],
"sklearn": [("sklearn", get_sklearn_wrapper(LinearRegression))],
"tbats":
[("tbats", TBATSWrapper(use_arma_errors=False, use_box_cox=False))],
"stacking_ensemble": [(
"stacking_ensemble",
StackingEnsemble(
base_learners=[
ExponentialSmoothingWrapper(name="smoot_exp1",
trend="add"),
ExponentialSmoothingWrapper(name="smoot_exp2"),
],
meta_model=LinearRegression(),
),
)],
"simple_ensemble": [(
"simple_ensemble",
SimpleEnsemble(base_learners=[
ExponentialSmoothingWrapper(name="smoot_exp1", trend="add"),
ExponentialSmoothingWrapper(name="smoot_exp2"),
]),
)],
}
if "all" in request.param:
models = []
[models.extend(options[key]) for key in options]
return models
else:
return options[request.param]
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
def wrapper_instance_capped(request):
if request.param.split(";")[0] == "prophet":
return ProphetWrapper(
daily_seasonality=False,
weekly_seasonality=False,
yearly_seasonality=False,
clip_predictions_lower=float(request.param.split(";")[1]),
clip_predictions_upper=float(request.param.split(";")[2]),
)
elif request.param.split(";")[0] == "smoothing":
return ExponentialSmoothingWrapper(
trend="add",
clip_predictions_lower=float(request.param.split(";")[1]),
clip_predictions_upper=float(request.param.split(";")[2]),
)
elif request.param.split(";")[0] == "tbats":
return TBATSWrapper(
use_arma_errors=False,
use_box_cox=False,
clip_predictions_lower=float(request.param.split(";")[1]),
clip_predictions_upper=float(request.param.split(";")[2]),
)
elif request.param.split(";")[0] == "sklearn":
return get_sklearn_wrapper(
LinearRegression,
lags=4,
clip_predictions_lower=float(request.param.split(";")[1]),
clip_predictions_upper=float(request.param.split(";")[2]),
)
elif request.param.split(";")[0] == "sarimax":
return SarimaxWrapper(
order=(1, 1, 0),
seasonal_order=(1, 1, 1, 2),
clip_predictions_lower=float(request.param.split(";")[1]),
clip_predictions_upper=float(request.param.split(";")[2]),
)
elif request.param.split(";")[0] == "stacking_ensemble":
return StackingEnsemble(
base_learners=[
ExponentialSmoothingWrapper(
name="smoot_exp1",
trend="add",
clip_predictions_lower=float(request.param.split(";")[1]),
clip_predictions_upper=float(request.param.split(";")[2]),
),
ExponentialSmoothingWrapper(
name="smoot_exp2",
clip_predictions_lower=float(request.param.split(";")[1]),
clip_predictions_upper=float(request.param.split(";")[2]),
),
],
meta_model=LinearRegression(),
horizons_as_features=False,
weekdays_as_features=False,
train_n_splits=1,
train_horizon=10,
clip_predictions_lower=float(request.param.split(";")[1]),
clip_predictions_upper=float(request.param.split(";")[2]),
)
elif request.param.split(";")[0] == "simple_ensemble":
return SimpleEnsemble(base_learners=[
ExponentialSmoothingWrapper(
name="smoot_exp1",
trend="add",
clip_predictions_lower=float(request.param.split(";")[1]),
clip_predictions_upper=float(request.param.split(";")[2]),
),
ExponentialSmoothingWrapper(
name="smoot_exp2",
clip_predictions_lower=float(request.param.split(";")[1]),
clip_predictions_upper=float(request.param.split(";")[2]),
),
])