autogluon.timeseries 1.1.2b20241112__py3-none-any.whl → 1.1.2b20241113__py3-none-any.whl

autogluon/timeseries/metrics/__init__.py

@@ -2,7 +2,7 @@ from pprint import pformat
 from typing import Type, Union
 
 from .abstract import TimeSeriesScorer
-from .point import MAE, MAPE, MASE, MSE, RMSE, RMSLE, RMSSE, SMAPE, WAPE
+from .point import MAE, MAPE, MASE, MSE, RMSE, RMSLE, RMSSE, SMAPE, WAPE, WCD
 from .quantile import SQL, WQL
 
 __all__ = [
@@ -16,6 +16,7 @@ __all__ = [
     "RMSSE",
     "SQL",
     "WAPE",
+    "WCD",
     "WQL",
 ]
 
@@ -40,6 +41,11 @@ DEPRECATED_METRICS = {
     "mean_wQuantileLoss": "WQL",
 }
 
+# Experimental metrics that are not yet user facing
+EXPERIMENTAL_METRICS = {
+    "WCD": WCD,
+}
+
 
 def check_get_evaluation_metric(
     eval_metric: Union[str, TimeSeriesScorer, Type[TimeSeriesScorer], None] = None
@@ -51,12 +57,16 @@ def check_get_evaluation_metric(
         eval_metric = eval_metric()
     elif isinstance(eval_metric, str):
         eval_metric = DEPRECATED_METRICS.get(eval_metric, eval_metric)
-        if eval_metric.upper() not in AVAILABLE_METRICS:
+        metric_name = eval_metric.upper()
+        if metric_name in AVAILABLE_METRICS:
+            eval_metric = AVAILABLE_METRICS[metric_name]()
+        elif metric_name in EXPERIMENTAL_METRICS:
+            eval_metric = EXPERIMENTAL_METRICS[metric_name]()
+        else:
             raise ValueError(
                 f"Time series metric {eval_metric} not supported. Available metrics are:\n"
                 f"{pformat(sorted(AVAILABLE_METRICS.keys()))}"
             )
-        eval_metric = AVAILABLE_METRICS[eval_metric.upper()]()
     elif eval_metric is None:
         eval_metric = AVAILABLE_METRICS[DEFAULT_METRIC_NAME]()
     else:

autogluon/timeseries/metrics/point.py

@@ -1,4 +1,5 @@
 import logging
+import warnings
 from typing import Optional
 
 import numpy as np
@@ -359,3 +360,52 @@ class RMSLE(TimeSeriesScorer):
             seasonal_period=seasonal_period,
             **kwargs,
         )
+
+
+class WCD(TimeSeriesScorer):
+    r"""Weighted cumulative discrepancy.
+
+    Measures the discrepancy between the cumulative sum of the forecast and the cumulative sum of the actual values.
+
+    .. math::
+
+        \operatorname{WCD} = 2 \cdot \frac{1}{N} \frac{1}{H} \sum_{i=1}^{N} \sum_{t=T+1}^{T+H} \alpha \cdot \max(0, -d_{i, t}) + (1 - \alpha) \cdot \max(0, d_{i, t})
+
+    where :math:`d_{i, t}` is the difference between the cumulative predicted value and the cumulative actual value
+
+    .. math::
+
+        d_{i, t} = \left(\sum_{s=T+1}^t f_{i, s}) - \left(\sum_{s=T+1}^t y_{i, s})
+
+    Parameters
+    ----------
+    alpha : float, default = 0.5
+        Values > 0.5 correspond put a stronger penalty on underpredictions (when cumulative forecast is below the
+        cumulative actual value). Values < 0.5 put a stronger penalty on overpredictions.
+    """
+
+    def __init__(self, alpha: float = 0.5):
+        assert 0 < alpha < 1, "alpha must be in (0, 1)"
+        self.alpha = alpha
+        self.num_items: Optional[int] = None
+        warnings.warn(
+            f"{self.name} is an experimental metric. Its behavior may change in the future version of AutoGluon."
+        )
+
+    def save_past_metrics(self, data_past: TimeSeriesDataFrame, **kwargs) -> None:
+        self.num_items = data_past.num_items
+
+    def _fast_cumsum(self, y: np.ndarray) -> np.ndarray:
+        """Compute the cumulative sum for each consecutive `prediction_length` items in the array."""
+        y = y.reshape(self.num_items, -1)
+        return np.nancumsum(y, axis=1).ravel()
+
+    def compute_metric(
+        self, data_future: TimeSeriesDataFrame, predictions: TimeSeriesDataFrame, target: str = "target", **kwargs
+    ) -> float:
+        y_true, y_pred = self._get_point_forecast_score_inputs(data_future, predictions, target=target)
+        cumsum_true = self._fast_cumsum(y_true.to_numpy())
+        cumsum_pred = self._fast_cumsum(y_pred.to_numpy())
+        diffs = cumsum_pred - cumsum_true
+        error = diffs * np.where(diffs < 0, -self.alpha, (1 - self.alpha))
+        return 2 * self._safemean(error)

autogluon/timeseries/version.py

@@ -1,3 +1,3 @@
 """This is the autogluon version file."""
-__version__ = '1.1.2b20241112'
+__version__ = '1.1.2b20241113'
 __lite__ = False

{autogluon.timeseries-1.1.2b20241112.dist-info → autogluon.timeseries-1.1.2b20241113.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: autogluon.timeseries
-Version: 1.1.2b20241112
+Version: 1.1.2b20241113
 Summary: Fast and Accurate ML in 3 Lines of Code
 Home-page: https://github.com/autogluon/autogluon
 Author: AutoGluon Community
@@ -53,9 +53,9 @@ Requires-Dist: fugue>=0.9.0
 Requires-Dist: tqdm<5,>=4.38
 Requires-Dist: orjson~=3.9
 Requires-Dist: tensorboard<3,>=2.9
-Requires-Dist: autogluon.core[raytune]==1.1.2b20241112
-Requires-Dist: autogluon.common==1.1.2b20241112
-Requires-Dist: autogluon.tabular[catboost,lightgbm,xgboost]==1.1.2b20241112
+Requires-Dist: autogluon.core[raytune]==1.1.2b20241113
+Requires-Dist: autogluon.common==1.1.2b20241113
+Requires-Dist: autogluon.tabular[catboost,lightgbm,xgboost]==1.1.2b20241113
 Provides-Extra: all
 Requires-Dist: optimum[onnxruntime]<1.20,>=1.17; extra == "all"
 Provides-Extra: chronos-onnx

{autogluon.timeseries-1.1.2b20241112.dist-info → autogluon.timeseries-1.1.2b20241113.dist-info}/RECORD

@@ -1,18 +1,18 @@
-autogluon.timeseries-1.1.2b20241112-py3.8-nspkg.pth,sha256=cQGwpuGPqg1GXscIwt-7PmME1OnSpD-7ixkikJ31WAY,554
+autogluon.timeseries-1.1.2b20241113-py3.8-nspkg.pth,sha256=cQGwpuGPqg1GXscIwt-7PmME1OnSpD-7ixkikJ31WAY,554
 autogluon/timeseries/__init__.py,sha256=_CrLLc1fkjen7UzWoO0Os8WZoHOgvZbHKy46I8v_4k4,304
 autogluon/timeseries/evaluator.py,sha256=l642tYfTHsl8WVIq_vV6qhgAFVFr9UuZD7gLra3A_Kc,250
 autogluon/timeseries/learner.py,sha256=3dUxI-U6TGfNtRQUzWTvBIo1GKeXYOhxIX_q7Fed9eA,14013
 autogluon/timeseries/predictor.py,sha256=R9m-TYmlA4WoJbdYEL_AnEM26EhRIclynOfSmpO7mBk,84926
 autogluon/timeseries/regressor.py,sha256=wcYbvE7kFopdscubfhIfeLI3ovxKe_fUVtt0b1zWdV0,6823
 autogluon/timeseries/splitter.py,sha256=eghGwAAN2_cxGk5aJBILgjGWtLzjxJcytMy49gg_q18,3061
-autogluon/timeseries/version.py,sha256=lXKlufs6aLjs5PeI3KNuQ6bVkvRKxHvpSZbuJ-wwTeo,90
+autogluon/timeseries/version.py,sha256=OGArr6c4pNSqH_iw-M1qDHQMDvnxMN7HervCqm8kQw8,90
 autogluon/timeseries/configs/__init__.py,sha256=BTtHIPCYeGjqgOcvqb8qPD4VNX-ICKOg6wnkew1cPOE,98
 autogluon/timeseries/configs/presets_configs.py,sha256=94-yL9teDHKs2irWjP3kpewI7FE1ChYCgEgz9XHJ6gc,1965
 autogluon/timeseries/dataset/__init__.py,sha256=UvnhAN5tjgxXTHoZMQDy64YMDj4Xxa68yY7NP4vAw0o,81
 autogluon/timeseries/dataset/ts_dataframe.py,sha256=UQ-iT2dGVJF57hlGkivbSEaBwf-5NP0Amohp4DccLUA,48492
-autogluon/timeseries/metrics/__init__.py,sha256=KzgXNj5or7RB_uadjgC8p5gxyV26zjj2hT58OmvnfmA,1875
+autogluon/timeseries/metrics/__init__.py,sha256=LLGmYaexsx7CregV-QaHc5exjZbsJfBSVOtxHRGC0ho,2139
 autogluon/timeseries/metrics/abstract.py,sha256=9xCFQ3NaR1C0hn01M7oBd72a_CiNV-w6QFcRjwUbKYI,8183
-autogluon/timeseries/metrics/point.py,sha256=xy8sKrBbuxZ7yTW21TDPayKnEj2FBj1AEseJxUdneqE,13399
+autogluon/timeseries/metrics/point.py,sha256=z366XJz3n4MFl4JkXOD6ZxL69F_j7Y-jbrwb7J3yDqk,15513
 autogluon/timeseries/metrics/quantile.py,sha256=owMbOAJYwVyzdRkrJpuCGUXk937GU843QndCZyp5n9Y,3967
 autogluon/timeseries/metrics/utils.py,sha256=eJ63TCR-UwbeJ1c2Qm7B2q-8B3sFthPgiooEccrf2Kc,912
 autogluon/timeseries/models/__init__.py,sha256=MYD9JJ-wUDE5B6jW6E6LU2eXQ6vflfQBvqQJkdzJa3A,1189
@@ -59,11 +59,11 @@ autogluon/timeseries/utils/datetime/base.py,sha256=3NdsH3NDq4cVAOSoy3XpaNixyNlbj
 autogluon/timeseries/utils/datetime/lags.py,sha256=GoLtvcZ8oKb3QkoBJ9E59LSPLOP7Qjxrr2UmMSZgjyw,5909
 autogluon/timeseries/utils/datetime/seasonality.py,sha256=h_4w00iEytAz_N_EpCENQ8RCXy7KQITczrYjBgVqWkQ,764
 autogluon/timeseries/utils/datetime/time_features.py,sha256=PAXbYbQ0z_5GFbkxSNi41zLY_2-U3x0Ynm1m_WhdtGc,2572
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-autogluon.timeseries-1.1.2b20241112.dist-info/METADATA,sha256=l1LD3PIyOjR4eUt0Y-j8AmPpj0u4w1SYh9kzhvkCuZ0,12388
-autogluon.timeseries-1.1.2b20241112.dist-info/NOTICE,sha256=7nPQuj8Kp-uXsU0S5so3-2dNU5EctS5hDXvvzzehd7E,114
-autogluon.timeseries-1.1.2b20241112.dist-info/WHEEL,sha256=bFJAMchF8aTQGUgMZzHJyDDMPTO3ToJ7x23SLJa1SVo,92
-autogluon.timeseries-1.1.2b20241112.dist-info/namespace_packages.txt,sha256=giERA4R78OkJf2ijn5slgjURlhRPzfLr7waIcGkzYAo,10
-autogluon.timeseries-1.1.2b20241112.dist-info/top_level.txt,sha256=giERA4R78OkJf2ijn5slgjURlhRPzfLr7waIcGkzYAo,10
-autogluon.timeseries-1.1.2b20241112.dist-info/zip-safe,sha256=AbpHGcgLb-kRsJGnwFEktk7uzpZOCcBY74-YBdrKVGs,1
-autogluon.timeseries-1.1.2b20241112.dist-info/RECORD,,
+autogluon.timeseries-1.1.2b20241113.dist-info/LICENSE,sha256=CeipvOyAZxBGUsFoaFqwkx54aPnIKEtm9a5u2uXxEws,10142
+autogluon.timeseries-1.1.2b20241113.dist-info/METADATA,sha256=BtiE4lTblx5aiB8vlWmsZ3oj0Xy-lfxgWZE27eBa4fc,12388
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