autogluon.timeseries 1.2.1b20250224__py3-none-any.whl → 1.4.1b20251215__py3-none-any.whl

autogluon/timeseries/models/abstract/model_trial.py

@@ -76,7 +76,8 @@ def fit_and_save_model(model, fit_kwargs, train_data, val_data, eval_metric, tim
     time_fit_start = time.time()
     model.fit(train_data=train_data, val_data=val_data, time_limit=time_left, **fit_kwargs)
     model.fit_time = time.time() - time_fit_start
-    model.score_and_cache_oof(val_data, store_val_score=True, store_predict_time=True)
+    if val_data is not None:
+        model.score_and_cache_oof(val_data, store_val_score=True, store_predict_time=True)
 
     logger.debug(f"\tHyperparameter tune run: {model.name}")
     logger.debug(f"\t\t{model.val_score:<7.4f}".ljust(15) + f"= Validation score ({eval_metric.name_with_sign})")

autogluon/timeseries/models/abstract/tunable.py

@@ -0,0 +1,189 @@
+from __future__ import annotations
+
+import logging
+import os
+import time
+from abc import ABC, abstractmethod
+from contextlib import nullcontext
+from typing import Any
+
+from typing_extensions import Self
+
+from autogluon.common.savers import save_pkl
+from autogluon.common.utils.distribute_utils import DistributedContext
+from autogluon.common.utils.log_utils import DuplicateFilter
+from autogluon.common.utils.try_import import try_import_ray
+from autogluon.core.hpo.constants import CUSTOM_BACKEND, RAY_BACKEND
+from autogluon.core.hpo.exceptions import EmptySearchSpace
+from autogluon.core.hpo.executors import HpoExecutor, HpoExecutorFactory, RayHpoExecutor
+from autogluon.core.models import Tunable
+from autogluon.timeseries.dataset import TimeSeriesDataFrame
+from autogluon.timeseries.utils.warning_filters import disable_stdout, warning_filter
+
+from .model_trial import model_trial, skip_hpo
+
+logger = logging.getLogger(__name__)
+dup_filter = DuplicateFilter()
+logger.addFilter(dup_filter)
+
+
+class TimeSeriesTunable(Tunable, ABC):
+    @abstractmethod
+    def __init__(self) -> None:
+        self.name: str
+        self.path: str
+        self.path_root: str
+
+    def hyperparameter_tune(
+        self,
+        train_data: TimeSeriesDataFrame,
+        val_data: TimeSeriesDataFrame | None,
+        val_splitter: Any = None,
+        default_num_trials: int | None = 1,
+        refit_every_n_windows: int | None = 1,
+        hyperparameter_tune_kwargs: str | dict = "auto",
+        time_limit: float | None = None,
+    ) -> tuple[dict[str, Any], Any]:
+        hpo_executor = self._get_default_hpo_executor()
+        hpo_executor.initialize(
+            hyperparameter_tune_kwargs, default_num_trials=default_num_trials, time_limit=time_limit
+        )
+
+        # we use k_fold=1 to circumvent autogluon.core logic to manage resources during parallelization
+        # of different folds
+        # FIXME: we pass in self which currently does not inherit from AbstractModel
+        hpo_executor.register_resources(self, k_fold=1, **self._get_system_resources())  # type: ignore
+
+        time_start = time.time()
+        logger.debug(f"\tStarting hyperparameter tuning for {self.name}")
+        search_space = self._get_search_space()
+
+        try:
+            hpo_executor.validate_search_space(search_space, self.name)
+        except EmptySearchSpace:
+            return skip_hpo(self, train_data, val_data, time_limit=hpo_executor.time_limit)
+
+        train_path, val_path = self._save_with_data(train_data, val_data)
+
+        train_fn_kwargs = self._get_hpo_train_fn_kwargs(
+            model_cls=self.__class__,
+            init_params=self.get_params(),
+            time_start=time_start,
+            time_limit=hpo_executor.time_limit,
+            fit_kwargs=dict(
+                val_splitter=val_splitter,
+                refit_every_n_windows=refit_every_n_windows,
+            ),
+            train_path=train_path,
+            val_path=val_path,
+            hpo_executor=hpo_executor,
+        )
+
+        minimum_resources = self.get_minimum_resources(is_gpu_available=self._is_gpu_available())
+        hpo_context = disable_stdout if isinstance(hpo_executor, RayHpoExecutor) else nullcontext
+
+        minimum_cpu_per_trial = minimum_resources.get("num_cpus", 1)
+        if not isinstance(minimum_cpu_per_trial, int):
+            logger.warning(
+                f"Minimum number of CPUs per trial for {self.name} is not an integer. "
+                f"Setting to 1. Minimum number of CPUs per trial: {minimum_cpu_per_trial}"
+            )
+            minimum_cpu_per_trial = 1
+
+        with hpo_context(), warning_filter():  # prevent Ray from outputting its results to stdout with print
+            hpo_executor.execute(
+                model_trial=model_trial,
+                train_fn_kwargs=train_fn_kwargs,
+                directory=self.path,
+                minimum_cpu_per_trial=minimum_cpu_per_trial,
+                minimum_gpu_per_trial=minimum_resources.get("num_gpus", 0),
+                model_estimate_memory_usage=None,  # type: ignore
+                adapter_type="timeseries",
+            )
+
+            assert self.path_root is not None
+            hpo_models, analysis = hpo_executor.get_hpo_results(
+                model_name=self.name,
+                model_path_root=self.path_root,
+                time_start=time_start,
+            )
+
+        return hpo_models, analysis
+
+    def _get_default_hpo_executor(self) -> HpoExecutor:
+        backend = (
+            self._get_model_base()._get_hpo_backend()
+        )  # If ensemble, will use the base model to determine backend
+        if backend == RAY_BACKEND:
+            try:
+                try_import_ray()
+            except Exception as e:
+                warning_msg = f"Will use custom hpo logic because ray import failed. Reason: {str(e)}"
+                dup_filter.attach_filter_targets(warning_msg)
+                logger.warning(warning_msg)
+                backend = CUSTOM_BACKEND
+        hpo_executor = HpoExecutorFactory.get_hpo_executor(backend)()  # type: ignore
+        return hpo_executor
+
+    def _get_hpo_backend(self) -> str:
+        """Choose which backend("ray" or "custom") to use for hpo"""
+        if DistributedContext.is_distributed_mode():
+            return RAY_BACKEND
+        return CUSTOM_BACKEND
+
+    def _get_hpo_train_fn_kwargs(self, **train_fn_kwargs) -> dict:
+        """Update kwargs passed to model_trial depending on the model configuration.
+
+        These kwargs need to be updated, for example, by MultiWindowBacktestingModel.
+        """
+        return train_fn_kwargs
+
+    def estimate_memory_usage(self, *args, **kwargs) -> float | None:
+        """Return the estimated memory usage of the model. None if memory usage cannot be
+        estimated.
+        """
+        return None
+
+    def get_minimum_resources(self, is_gpu_available: bool = False) -> dict[str, int | float]:
+        return {
+            "num_cpus": 1,
+        }
+
+    def _save_with_data(
+        self, train_data: TimeSeriesDataFrame, val_data: TimeSeriesDataFrame | None
+    ) -> tuple[str, str]:
+        self.path = os.path.abspath(self.path)
+        self.path_root = self.path.rsplit(self.name, 1)[0]
+
+        dataset_train_filename = "dataset_train.pkl"
+        train_path = os.path.join(self.path, dataset_train_filename)
+        save_pkl.save(path=train_path, object=train_data)
+
+        dataset_val_filename = "dataset_val.pkl"
+        val_path = os.path.join(self.path, dataset_val_filename)
+        save_pkl.save(path=val_path, object=val_data)
+        return train_path, val_path
+
+    @abstractmethod
+    def _get_model_base(self) -> Self:
+        pass
+
+    @abstractmethod
+    def _is_gpu_available(self) -> bool:
+        pass
+
+    @abstractmethod
+    def _get_search_space(self) -> dict[str, Any]:
+        pass
+
+    @abstractmethod
+    def get_params(self) -> dict:
+        """Return a clean copy of constructor parameters that can be used to
+        clone the current model.
+        """
+        pass
+
+    @staticmethod
+    @abstractmethod
+    def _get_system_resources() -> dict[str, Any]:
+        pass

autogluon/timeseries/models/autogluon_tabular/__init__.py

@@ -1,6 +1,8 @@
 from .mlforecast import DirectTabularModel, RecursiveTabularModel
+from .per_step import PerStepTabularModel
 
 __all__ = [
     "DirectTabularModel",
     "RecursiveTabularModel",
+    "PerStepTabularModel",
 ]