autogluon.timeseries 1.4.1b20251010__py3-none-any.whl → 1.4.1b20251115__py3-none-any.whl

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  1. autogluon/timeseries/dataset/ts_dataframe.py +66 -53
  2. autogluon/timeseries/learner.py +5 -4
  3. autogluon/timeseries/metrics/quantile.py +1 -1
  4. autogluon/timeseries/metrics/utils.py +4 -4
  5. autogluon/timeseries/models/autogluon_tabular/mlforecast.py +28 -36
  6. autogluon/timeseries/models/autogluon_tabular/per_step.py +14 -5
  7. autogluon/timeseries/models/autogluon_tabular/transforms.py +9 -7
  8. autogluon/timeseries/models/chronos/model.py +101 -68
  9. autogluon/timeseries/models/chronos/{pipeline/utils.py → utils.py} +64 -32
  10. autogluon/timeseries/models/ensemble/__init__.py +29 -2
  11. autogluon/timeseries/models/ensemble/abstract.py +1 -37
  12. autogluon/timeseries/models/ensemble/array_based/__init__.py +3 -0
  13. autogluon/timeseries/models/ensemble/array_based/abstract.py +247 -0
  14. autogluon/timeseries/models/ensemble/array_based/models.py +50 -0
  15. autogluon/timeseries/models/ensemble/array_based/regressor/__init__.py +10 -0
  16. autogluon/timeseries/models/ensemble/array_based/regressor/abstract.py +87 -0
  17. autogluon/timeseries/models/ensemble/array_based/regressor/per_quantile_tabular.py +133 -0
  18. autogluon/timeseries/models/ensemble/array_based/regressor/tabular.py +141 -0
  19. autogluon/timeseries/models/ensemble/weighted/__init__.py +8 -0
  20. autogluon/timeseries/models/ensemble/weighted/abstract.py +41 -0
  21. autogluon/timeseries/models/ensemble/{basic.py → weighted/basic.py} +0 -10
  22. autogluon/timeseries/models/gluonts/abstract.py +2 -2
  23. autogluon/timeseries/models/gluonts/dataset.py +2 -2
  24. autogluon/timeseries/models/local/abstract_local_model.py +2 -2
  25. autogluon/timeseries/models/multi_window/multi_window_model.py +1 -1
  26. autogluon/timeseries/models/toto/model.py +5 -3
  27. autogluon/timeseries/predictor.py +10 -26
  28. autogluon/timeseries/regressor.py +9 -7
  29. autogluon/timeseries/splitter.py +1 -25
  30. autogluon/timeseries/trainer/ensemble_composer.py +250 -0
  31. autogluon/timeseries/trainer/trainer.py +124 -193
  32. autogluon/timeseries/trainer/utils.py +18 -0
  33. autogluon/timeseries/transforms/covariate_scaler.py +1 -1
  34. autogluon/timeseries/transforms/target_scaler.py +7 -7
  35. autogluon/timeseries/utils/features.py +9 -5
  36. autogluon/timeseries/utils/forecast.py +5 -5
  37. autogluon/timeseries/version.py +1 -1
  38. autogluon.timeseries-1.4.1b20251115-py3.9-nspkg.pth +1 -0
  39. {autogluon.timeseries-1.4.1b20251010.dist-info → autogluon_timeseries-1.4.1b20251115.dist-info}/METADATA +25 -15
  40. {autogluon.timeseries-1.4.1b20251010.dist-info → autogluon_timeseries-1.4.1b20251115.dist-info}/RECORD +47 -41
  41. {autogluon.timeseries-1.4.1b20251010.dist-info → autogluon_timeseries-1.4.1b20251115.dist-info}/WHEEL +1 -1
  42. autogluon/timeseries/evaluator.py +0 -6
  43. autogluon/timeseries/models/chronos/pipeline/__init__.py +0 -10
  44. autogluon/timeseries/models/chronos/pipeline/base.py +0 -160
  45. autogluon/timeseries/models/chronos/pipeline/chronos.py +0 -544
  46. autogluon/timeseries/models/chronos/pipeline/chronos_bolt.py +0 -580
  47. autogluon.timeseries-1.4.1b20251010-py3.9-nspkg.pth +0 -1
  48. /autogluon/timeseries/models/ensemble/{greedy.py → weighted/greedy.py} +0 -0
  49. {autogluon.timeseries-1.4.1b20251010.dist-info → autogluon_timeseries-1.4.1b20251115.dist-info/licenses}/LICENSE +0 -0
  50. {autogluon.timeseries-1.4.1b20251010.dist-info → autogluon_timeseries-1.4.1b20251115.dist-info/licenses}/NOTICE +0 -0
  51. {autogluon.timeseries-1.4.1b20251010.dist-info → autogluon_timeseries-1.4.1b20251115.dist-info}/namespace_packages.txt +0 -0
  52. {autogluon.timeseries-1.4.1b20251010.dist-info → autogluon_timeseries-1.4.1b20251115.dist-info}/top_level.txt +0 -0
  53. {autogluon.timeseries-1.4.1b20251010.dist-info → autogluon_timeseries-1.4.1b20251115.dist-info}/zip-safe +0 -0
@@ -0,0 +1,247 @@
1
+ import os
2
+ from abc import ABC, abstractmethod
3
+ from typing import Any, Optional, Sequence, Union
4
+
5
+ import numpy as np
6
+ from typing_extensions import Self
7
+
8
+ from autogluon.timeseries.dataset import TimeSeriesDataFrame
9
+ from autogluon.timeseries.metrics.abstract import TimeSeriesScorer
10
+ from autogluon.timeseries.utils.features import CovariateMetadata
11
+
12
+ from ..abstract import AbstractTimeSeriesEnsembleModel
13
+ from .regressor import EnsembleRegressor
14
+
15
+
16
+ class ArrayBasedTimeSeriesEnsembleModel(AbstractTimeSeriesEnsembleModel, ABC):
17
+ """Abstract base class for time series ensemble models which operate on arrays of base model
18
+ predictions for training and inference.
19
+
20
+ Other Parameters
21
+ ----------------
22
+ isotonization: str, default = "sort"
23
+ The isotonization method to use (i.e. the algorithm to prevent quantile non-crossing).
24
+ Currently only "sort" is supported.
25
+ detect_and_ignore_failures: bool, default = True
26
+ Whether to detect and ignore "failed models", defined as models which have a loss that is larger
27
+ than 10x the median loss of all the models. This can be very important for the regression-based
28
+ ensembles, as moving the weight from such a "failed model" to zero can require a long training
29
+ time.
30
+ """
31
+
32
+ def __init__(
33
+ self,
34
+ path: Optional[str] = None,
35
+ name: Optional[str] = None,
36
+ hyperparameters: Optional[dict[str, Any]] = None,
37
+ freq: Optional[str] = None,
38
+ prediction_length: int = 1,
39
+ covariate_metadata: Optional[CovariateMetadata] = None,
40
+ target: str = "target",
41
+ quantile_levels: Sequence[float] = (0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9),
42
+ eval_metric: Union[str, TimeSeriesScorer, None] = None,
43
+ ):
44
+ super().__init__(
45
+ path=path,
46
+ name=name,
47
+ hyperparameters=hyperparameters,
48
+ freq=freq,
49
+ prediction_length=prediction_length,
50
+ covariate_metadata=covariate_metadata,
51
+ target=target,
52
+ quantile_levels=quantile_levels,
53
+ eval_metric=eval_metric,
54
+ )
55
+ self.ensemble_regressor: Optional[EnsembleRegressor] = None
56
+ self._model_names: list[str] = []
57
+
58
+ def _get_default_hyperparameters(self) -> dict[str, Any]:
59
+ return {
60
+ "isotonization": "sort",
61
+ "detect_and_ignore_failures": True,
62
+ }
63
+
64
+ @classmethod
65
+ def load(cls, path: str, reset_paths: bool = True, load_oof: bool = False, verbose: bool = True) -> Self:
66
+ model = super().load(path=path, reset_paths=reset_paths, load_oof=load_oof, verbose=verbose)
67
+
68
+ if reset_paths and model.ensemble_regressor is not None:
69
+ model.ensemble_regressor.set_path(os.path.join(model.path, "ensemble_regressor"))
70
+
71
+ return model
72
+
73
+ @staticmethod
74
+ def to_array(df: TimeSeriesDataFrame) -> np.ndarray:
75
+ """Given a TimeSeriesDataFrame object, return a single array composing the values contained
76
+ in the data frame.
77
+
78
+ Parameters
79
+ ----------
80
+ df
81
+ TimeSeriesDataFrame to convert to an array. Must contain exactly `prediction_length`
82
+ values for each item. The columns of `df` can correspond to ground truth values
83
+ or predictions (in which case, these will be the mean or quantile forecasts).
84
+
85
+ Returns
86
+ -------
87
+ array
88
+ of shape (num_items, prediction_length, num_outputs).
89
+ """
90
+ assert df.index.is_monotonic_increasing
91
+ array = df.to_numpy()
92
+ num_items = df.num_items
93
+ shape = (
94
+ num_items,
95
+ df.shape[0] // num_items, # timesteps per item
96
+ df.shape[1], # num_outputs
97
+ )
98
+ return array.reshape(shape)
99
+
100
+ def _get_base_model_predictions(
101
+ self,
102
+ predictions_per_window: Union[dict[str, list[TimeSeriesDataFrame]], dict[str, TimeSeriesDataFrame]],
103
+ ) -> tuple[np.ndarray, np.ndarray]:
104
+ """Given a mapping from model names to a list of data frames representing
105
+ their predictions per window, return a multidimensional array representation.
106
+
107
+ Parameters
108
+ ----------
109
+ predictions_per_window
110
+ A dictionary with list[TimeSeriesDataFrame] values, where each TimeSeriesDataFrame
111
+ contains predictions for the window in question. If the dictionary values are
112
+ TimeSeriesDataFrame, they will be treated like a single window.
113
+
114
+ Returns
115
+ -------
116
+ base_model_mean_predictions
117
+ Array of shape (num_windows, num_items, prediction_length, 1, num_models)
118
+ base_model_quantile_predictions
119
+ Array of shape (num_windows, num_items, prediction_length, num_quantiles, num_models)
120
+ """
121
+
122
+ if not predictions_per_window:
123
+ raise ValueError("No base model predictions are provided.")
124
+
125
+ first_prediction = list(predictions_per_window.values())[0]
126
+ if isinstance(first_prediction, TimeSeriesDataFrame):
127
+ predictions_per_window = {k: [v] for k, v in predictions_per_window.items()} # type: ignore
128
+
129
+ predictions = {
130
+ model_name: [self.to_array(window) for window in windows] # type: ignore
131
+ for model_name, windows in predictions_per_window.items()
132
+ }
133
+ base_model_predictions = np.stack([x for x in predictions.values()], axis=-1)
134
+
135
+ return base_model_predictions[:, :, :, :1, :], base_model_predictions[:, :, :, 1:, :]
136
+
137
+ def _isotonize(self, prediction_array: np.ndarray) -> np.ndarray:
138
+ """Apply isotonization to ensure quantile non-crossing.
139
+
140
+ Parameters
141
+ ----------
142
+ prediction_array
143
+ Array of shape (num_windows, num_items, prediction_length, num_quantiles)
144
+
145
+ Returns
146
+ -------
147
+ isotonized_array
148
+ Array with same shape but quantiles sorted along last dimension
149
+ """
150
+ isotonization = self.get_hyperparameters()["isotonization"]
151
+ if isotonization == "sort":
152
+ return np.sort(prediction_array, axis=-1)
153
+ return prediction_array
154
+
155
+ def _fit(
156
+ self,
157
+ predictions_per_window: dict[str, list[TimeSeriesDataFrame]],
158
+ data_per_window: list[TimeSeriesDataFrame],
159
+ model_scores: Optional[dict[str, float]] = None,
160
+ time_limit: Optional[float] = None,
161
+ ) -> None:
162
+ # process inputs
163
+ filtered_predictions = self._filter_failed_models(predictions_per_window, model_scores)
164
+ base_model_mean_predictions, base_model_quantile_predictions = self._get_base_model_predictions(
165
+ filtered_predictions
166
+ )
167
+
168
+ # process labels
169
+ ground_truth_per_window = [y.slice_by_timestep(-self.prediction_length, None) for y in data_per_window]
170
+ labels = np.stack(
171
+ [self.to_array(gt) for gt in ground_truth_per_window], axis=0
172
+ ) # (num_windows, num_items, prediction_length, 1)
173
+
174
+ self._model_names = list(filtered_predictions.keys())
175
+ self.ensemble_regressor = self._get_ensemble_regressor()
176
+ self.ensemble_regressor.fit(
177
+ base_model_mean_predictions=base_model_mean_predictions,
178
+ base_model_quantile_predictions=base_model_quantile_predictions,
179
+ labels=labels,
180
+ time_limit=time_limit,
181
+ )
182
+
183
+ @abstractmethod
184
+ def _get_ensemble_regressor(self) -> EnsembleRegressor:
185
+ pass
186
+
187
+ def _predict(self, data: dict[str, TimeSeriesDataFrame], **kwargs) -> TimeSeriesDataFrame:
188
+ if self.ensemble_regressor is None:
189
+ if not self._model_names:
190
+ raise ValueError("Ensemble model has not been fitted yet.")
191
+ # Try to recreate the regressor (for loaded models)
192
+ self.ensemble_regressor = self._get_ensemble_regressor()
193
+
194
+ input_data = {}
195
+ for m in self.model_names:
196
+ assert m in data, f"Predictions for model {m} not provided during ensemble prediction."
197
+ input_data[m] = data[m]
198
+
199
+ base_model_mean_predictions, base_model_quantile_predictions = self._get_base_model_predictions(input_data)
200
+
201
+ mean_predictions, quantile_predictions = self.ensemble_regressor.predict(
202
+ base_model_mean_predictions=base_model_mean_predictions,
203
+ base_model_quantile_predictions=base_model_quantile_predictions,
204
+ )
205
+
206
+ quantile_predictions = self._isotonize(quantile_predictions)
207
+ prediction_array = np.concatenate([mean_predictions, quantile_predictions], axis=-1)
208
+
209
+ output = list(input_data.values())[0].copy()
210
+ num_folds, num_items, num_timesteps, num_outputs = prediction_array.shape
211
+ assert (num_folds, num_timesteps) == (1, self.prediction_length)
212
+ assert len(output.columns) == num_outputs
213
+
214
+ output[output.columns] = prediction_array.reshape((num_items * num_timesteps, num_outputs))
215
+
216
+ return output
217
+
218
+ @property
219
+ def model_names(self) -> list[str]:
220
+ return self._model_names
221
+
222
+ def remap_base_models(self, model_refit_map: dict[str, str]) -> None:
223
+ """Update names of the base models based on the mapping in model_refit_map."""
224
+ self._model_names = [model_refit_map.get(name, name) for name in self._model_names]
225
+
226
+ def _filter_failed_models(
227
+ self,
228
+ predictions_per_window: dict[str, list[TimeSeriesDataFrame]],
229
+ model_scores: Optional[dict[str, float]],
230
+ ) -> dict[str, list[TimeSeriesDataFrame]]:
231
+ """Filter out failed models based on detect_and_ignore_failures setting."""
232
+ if not self.get_hyperparameters()["detect_and_ignore_failures"]:
233
+ return predictions_per_window
234
+
235
+ if model_scores is None or len(model_scores) == 0:
236
+ return predictions_per_window
237
+
238
+ valid_scores = {k: v for k, v in model_scores.items() if np.isfinite(v)}
239
+ if len(valid_scores) == 0:
240
+ raise ValueError("All models have NaN scores. At least one model must run successfully to fit an ensemble")
241
+
242
+ losses = {k: -v for k, v in valid_scores.items()}
243
+ median_loss = np.nanmedian(list(losses.values()))
244
+ threshold = 10 * median_loss
245
+ good_models = {k for k, loss in losses.items() if loss <= threshold}
246
+
247
+ return {k: v for k, v in predictions_per_window.items() if k in good_models}
@@ -0,0 +1,50 @@
1
+ import os
2
+ from abc import ABC
3
+ from typing import Any, Type
4
+
5
+ from .abstract import ArrayBasedTimeSeriesEnsembleModel
6
+ from .regressor import (
7
+ EnsembleRegressor,
8
+ MedianEnsembleRegressor,
9
+ PerQuantileTabularEnsembleRegressor,
10
+ TabularEnsembleRegressor,
11
+ )
12
+
13
+
14
+ class MedianEnsemble(ArrayBasedTimeSeriesEnsembleModel):
15
+ def _get_ensemble_regressor(self) -> MedianEnsembleRegressor:
16
+ return MedianEnsembleRegressor()
17
+
18
+
19
+ class BaseTabularEnsemble(ArrayBasedTimeSeriesEnsembleModel, ABC):
20
+ ensemble_regressor_type: Type[EnsembleRegressor]
21
+
22
+ def _get_default_hyperparameters(self) -> dict[str, Any]:
23
+ default_hps = super()._get_default_hyperparameters()
24
+ default_hps.update(
25
+ {
26
+ "tabular_hyperparameters": {"GBM": {}},
27
+ }
28
+ )
29
+ return default_hps
30
+
31
+ def _get_ensemble_regressor(self):
32
+ return self.ensemble_regressor_type(
33
+ path=os.path.join(self.path, "ensemble_regressor"),
34
+ quantile_levels=list(self.quantile_levels),
35
+ tabular_hyperparameters=self.get_hyperparameters()["tabular_hyperparameters"],
36
+ )
37
+
38
+
39
+ class TabularEnsemble(BaseTabularEnsemble):
40
+ """Time series ensemble model using single AutoGluon TabularPredictor for all quantiles."""
41
+
42
+ ensemble_regressor_type = TabularEnsembleRegressor
43
+
44
+
45
+ class PerQuantileTabularEnsemble(BaseTabularEnsemble):
46
+ """Time series ensemble model using separate `TabularPredictor` instances for each quantile in
47
+ addition to a dedicated `TabularPredictor` for the mean (point) forecast.
48
+ """
49
+
50
+ ensemble_regressor_type = PerQuantileTabularEnsembleRegressor
@@ -0,0 +1,10 @@
1
+ from .abstract import EnsembleRegressor, MedianEnsembleRegressor
2
+ from .per_quantile_tabular import PerQuantileTabularEnsembleRegressor
3
+ from .tabular import TabularEnsembleRegressor
4
+
5
+ __all__ = [
6
+ "EnsembleRegressor",
7
+ "MedianEnsembleRegressor",
8
+ "PerQuantileTabularEnsembleRegressor",
9
+ "TabularEnsembleRegressor",
10
+ ]
@@ -0,0 +1,87 @@
1
+ from abc import ABC, abstractmethod
2
+
3
+ import numpy as np
4
+ from typing_extensions import Self
5
+
6
+
7
+ class EnsembleRegressor(ABC):
8
+ def __init__(self, *args, **kwargs):
9
+ pass
10
+
11
+ def set_path(self, path: str) -> None:
12
+ pass
13
+
14
+ @abstractmethod
15
+ def fit(
16
+ self,
17
+ base_model_mean_predictions: np.ndarray,
18
+ base_model_quantile_predictions: np.ndarray,
19
+ labels: np.ndarray,
20
+ **kwargs,
21
+ ) -> Self:
22
+ """
23
+ Parameters
24
+ ----------
25
+ base_model_mean_predictions
26
+ Mean (point) predictions of base models. Array of shape
27
+ (num_windows, num_items, prediction_length, 1, num_models)
28
+
29
+ base_model_quantile_predictions
30
+ Quantile predictions of base models. Array of shape
31
+ (num_windows, num_items, prediction_length, num_quantiles, num_models)
32
+
33
+ labels
34
+ Ground truth array of shape
35
+ (num_windows, num_items, prediction_length, 1)
36
+ """
37
+ pass
38
+
39
+ @abstractmethod
40
+ def predict(
41
+ self,
42
+ base_model_mean_predictions: np.ndarray,
43
+ base_model_quantile_predictions: np.ndarray,
44
+ ) -> tuple[np.ndarray, np.ndarray]:
45
+ """Predict with the fitted ensemble regressor for a single window.
46
+ The items do not have to refer to the same item indices used when fitting
47
+ the model.
48
+
49
+ Parameters
50
+ ----------
51
+ base_model_mean_predictions
52
+ Mean (point) predictions of base models. Array of shape
53
+ (1, num_items, prediction_length, 1, num_models)
54
+
55
+ base_model_quantile_predictions
56
+ Quantile predictions of base models. Array of shape
57
+ (1, num_items, prediction_length, num_quantiles, num_models)
58
+
59
+ Returns
60
+ -------
61
+ ensemble_mean_predictions
62
+ Array of shape (1, num_items, prediction_length, 1)
63
+ ensemble_quantile_predictions
64
+ Array of shape (1, num_items, prediction_length, num_quantiles)
65
+ """
66
+ pass
67
+
68
+
69
+ class MedianEnsembleRegressor(EnsembleRegressor):
70
+ def fit(
71
+ self,
72
+ base_model_mean_predictions: np.ndarray,
73
+ base_model_quantile_predictions: np.ndarray,
74
+ labels: np.ndarray,
75
+ **kwargs,
76
+ ) -> Self:
77
+ return self
78
+
79
+ def predict(
80
+ self,
81
+ base_model_mean_predictions: np.ndarray,
82
+ base_model_quantile_predictions: np.ndarray,
83
+ ) -> tuple[np.ndarray, np.ndarray]:
84
+ return (
85
+ np.nanmedian(base_model_mean_predictions, axis=-1),
86
+ np.nanmedian(base_model_quantile_predictions, axis=-1),
87
+ )
@@ -0,0 +1,133 @@
1
+ import logging
2
+ import os
3
+ from typing import Optional
4
+
5
+ import numpy as np
6
+ import pandas as pd
7
+ from typing_extensions import Self
8
+
9
+ from autogluon.tabular import TabularPredictor
10
+
11
+ from .abstract import EnsembleRegressor
12
+
13
+ logger = logging.getLogger(__name__)
14
+
15
+
16
+ class PerQuantileTabularEnsembleRegressor(EnsembleRegressor):
17
+ """TabularPredictor ensemble regressor using separate models per quantile plus dedicated mean model."""
18
+
19
+ def __init__(
20
+ self,
21
+ path: str,
22
+ quantile_levels: list[float],
23
+ tabular_hyperparameters: Optional[dict] = None,
24
+ ):
25
+ super().__init__()
26
+ self.path = path
27
+ self.quantile_levels = quantile_levels
28
+ self.tabular_hyperparameters = tabular_hyperparameters or {}
29
+ self.quantile_predictors: list[TabularPredictor] = []
30
+ self.mean_predictor: Optional[TabularPredictor] = None
31
+
32
+ def set_path(self, path: str) -> None:
33
+ self.path = path
34
+
35
+ def fit(
36
+ self,
37
+ base_model_mean_predictions: np.ndarray,
38
+ base_model_quantile_predictions: np.ndarray,
39
+ labels: np.ndarray,
40
+ **kwargs,
41
+ ) -> Self:
42
+ """Fit separate TabularPredictor for mean and each quantile level."""
43
+ # TODO: implement time_limit
44
+
45
+ num_windows, num_items, prediction_length = base_model_mean_predictions.shape[:3]
46
+ target = labels.reshape(num_windows * num_items * prediction_length).ravel()
47
+
48
+ # fit mean predictor, based on mean predictions of base models
49
+ mean_df = self._get_feature_df(base_model_mean_predictions, 0)
50
+ mean_df["target"] = target
51
+ self.mean_predictor = TabularPredictor(
52
+ label="target",
53
+ path=os.path.join(self.path, "mean"),
54
+ verbosity=1,
55
+ problem_type="regression",
56
+ ).fit(
57
+ mean_df,
58
+ hyperparameters=self.tabular_hyperparameters,
59
+ )
60
+
61
+ # fit quantile predictors, each quantile predictor is based on the
62
+ # estimates of that quantile from base models
63
+ for i, quantile in enumerate(self.quantile_levels):
64
+ q_df = self._get_feature_df(base_model_quantile_predictions, i)
65
+ q_df["target"] = target
66
+
67
+ predictor = TabularPredictor(
68
+ label="target",
69
+ path=os.path.join(self.path, f"quantile_{quantile}"),
70
+ verbosity=1,
71
+ problem_type="regression",
72
+ ).fit(q_df, hyperparameters=self.tabular_hyperparameters)
73
+ self.quantile_predictors.append(predictor)
74
+
75
+ return self
76
+
77
+ def _get_feature_df(self, predictions: np.ndarray, index: int) -> pd.DataFrame:
78
+ num_windows, num_items, prediction_length, _, num_models = predictions.shape
79
+ num_tabular_items = num_windows * num_items * prediction_length
80
+
81
+ df = pd.DataFrame(
82
+ predictions[:, :, :, index].reshape(num_tabular_items, num_models),
83
+ columns=[f"model_{mi}" for mi in range(num_models)],
84
+ )
85
+
86
+ return df
87
+
88
+ def load_predictors(self):
89
+ if self.mean_predictor is None or len(self.quantile_predictors) < len(self.quantile_levels):
90
+ try:
91
+ self.mean_predictor = TabularPredictor.load(os.path.join(self.path, "mean"))
92
+
93
+ self.quantile_predictors = []
94
+ for quantile in self.quantile_levels:
95
+ predictor = TabularPredictor.load(os.path.join(self.path, f"quantile_{quantile}"))
96
+ self.quantile_predictors.append(predictor)
97
+
98
+ except FileNotFoundError:
99
+ raise ValueError("Model must be fitted before loading for prediction")
100
+
101
+ def predict(
102
+ self, base_model_mean_predictions: np.ndarray, base_model_quantile_predictions: np.ndarray
103
+ ) -> tuple[np.ndarray, np.ndarray]:
104
+ self.load_predictors()
105
+
106
+ num_windows, num_items, prediction_length, _, _ = base_model_mean_predictions.shape
107
+ assert num_windows == 1, "Prediction expects a single window to be provided"
108
+
109
+ # predict means
110
+ assert self.mean_predictor is not None
111
+ mean_predictions = self.mean_predictor.predict(
112
+ self._get_feature_df(base_model_mean_predictions, 0),
113
+ as_pandas=False,
114
+ ).reshape(num_windows, num_items, prediction_length, 1)
115
+
116
+ # predict quantiles
117
+ quantile_predictions_list = []
118
+ for i, predictor in enumerate(self.quantile_predictors):
119
+ quantile_predictions_list.append(
120
+ predictor.predict(self._get_feature_df(base_model_quantile_predictions, i), as_pandas=False).reshape(
121
+ num_windows, num_items, prediction_length
122
+ )
123
+ )
124
+ quantile_predictions = np.stack(quantile_predictions_list, axis=-1)
125
+
126
+ return mean_predictions, quantile_predictions
127
+
128
+ def __getstate__(self):
129
+ state = self.__dict__.copy()
130
+ # Remove predictors to avoid pickling heavy TabularPredictor objects
131
+ state["mean_predictor"] = None
132
+ state["quantile_predictors"] = []
133
+ return state
@@ -0,0 +1,141 @@
1
+ import logging
2
+ from typing import Optional
3
+
4
+ import numpy as np
5
+ import pandas as pd
6
+ from typing_extensions import Self
7
+
8
+ from autogluon.tabular import TabularPredictor
9
+
10
+ from .abstract import EnsembleRegressor
11
+
12
+ logger = logging.getLogger(__name__)
13
+
14
+
15
+ class TabularEnsembleRegressor(EnsembleRegressor):
16
+ """TabularPredictor ensemble regressor using AutoGluon-Tabular as a single
17
+ quantile regressor for the target.
18
+ """
19
+
20
+ def __init__(
21
+ self,
22
+ path: str,
23
+ quantile_levels: list[float],
24
+ tabular_hyperparameters: Optional[dict] = None,
25
+ ):
26
+ super().__init__()
27
+ self.path = path
28
+ self.quantile_levels = quantile_levels
29
+ self.tabular_hyperparameters = tabular_hyperparameters or {}
30
+ self.predictor: Optional[TabularPredictor] = None
31
+
32
+ def set_path(self, path: str) -> None:
33
+ self.path = path
34
+
35
+ def fit(
36
+ self,
37
+ base_model_mean_predictions: np.ndarray,
38
+ base_model_quantile_predictions: np.ndarray,
39
+ labels: np.ndarray,
40
+ time_limit: Optional[int] = None,
41
+ **kwargs,
42
+ ) -> Self:
43
+ self.predictor = TabularPredictor(
44
+ path=self.path,
45
+ label="target",
46
+ problem_type="quantile",
47
+ quantile_levels=self.quantile_levels,
48
+ verbosity=1,
49
+ )
50
+
51
+ # get features
52
+ df = self._get_feature_df(base_model_mean_predictions, base_model_quantile_predictions)
53
+
54
+ # get labels
55
+ num_windows, num_items, prediction_length = base_model_mean_predictions.shape[:3]
56
+ label_series = labels.reshape(num_windows * num_items * prediction_length)
57
+ df["target"] = label_series
58
+
59
+ self.predictor.fit(
60
+ df,
61
+ hyperparameters=self.tabular_hyperparameters,
62
+ time_limit=time_limit, # type: ignore
63
+ )
64
+
65
+ return self
66
+
67
+ def predict(
68
+ self,
69
+ base_model_mean_predictions: np.ndarray,
70
+ base_model_quantile_predictions: np.ndarray,
71
+ ) -> tuple[np.ndarray, np.ndarray]:
72
+ if self.predictor is None:
73
+ try:
74
+ self.predictor = TabularPredictor.load(self.path)
75
+ except FileNotFoundError:
76
+ raise ValueError("Model must be fitted before prediction")
77
+
78
+ num_windows, num_items, prediction_length = base_model_mean_predictions.shape[:3]
79
+ assert num_windows == 1, "Prediction expects a single window to be provided"
80
+
81
+ df = self._get_feature_df(base_model_mean_predictions, base_model_quantile_predictions)
82
+
83
+ pred = self.predictor.predict(df, as_pandas=False)
84
+
85
+ # Reshape back to (num_windows, num_items, prediction_length, num_quantiles)
86
+ pred = pred.reshape(num_windows, num_items, prediction_length, len(self.quantile_levels))
87
+
88
+ # Use median quantile as mean prediction
89
+ median_idx = self._get_median_quantile_index()
90
+ mean_pred = pred[:, :, :, median_idx : median_idx + 1]
91
+ quantile_pred = pred
92
+
93
+ return mean_pred, quantile_pred
94
+
95
+ def _get_feature_df(
96
+ self,
97
+ base_model_mean_predictions: np.ndarray,
98
+ base_model_quantile_predictions: np.ndarray,
99
+ ) -> pd.DataFrame:
100
+ num_windows, num_items, prediction_length, _, num_models = base_model_mean_predictions.shape
101
+ num_tabular_items = num_windows * num_items * prediction_length
102
+
103
+ X = np.hstack(
104
+ [
105
+ base_model_mean_predictions.reshape(num_tabular_items, -1),
106
+ base_model_quantile_predictions.reshape(num_tabular_items, -1),
107
+ ]
108
+ )
109
+
110
+ df = pd.DataFrame(X, columns=self._get_feature_names(num_models))
111
+ return df
112
+
113
+ def _get_feature_names(self, num_models: int) -> list[str]:
114
+ feature_names = []
115
+ for mi in range(num_models):
116
+ feature_names.append(f"model_{mi}_mean")
117
+ for quantile in self.quantile_levels:
118
+ for mi in range(num_models):
119
+ feature_names.append(f"model_{mi}_q{quantile}")
120
+
121
+ return feature_names
122
+
123
+ def _get_median_quantile_index(self):
124
+ """Get quantile index closest to 0.5"""
125
+ quantile_array = np.array(self.quantile_levels)
126
+ median_idx = int(np.argmin(np.abs(quantile_array - 0.5)))
127
+ selected_quantile = quantile_array[median_idx]
128
+
129
+ if selected_quantile != 0.5:
130
+ logger.warning(
131
+ f"Selected quantile {selected_quantile} is not exactly 0.5. "
132
+ f"Using closest available quantile for median prediction."
133
+ )
134
+
135
+ return median_idx
136
+
137
+ def __getstate__(self):
138
+ state = self.__dict__.copy()
139
+ # Remove the predictor to avoid pickling heavy TabularPredictor objects
140
+ state["predictor"] = None
141
+ return state
@@ -0,0 +1,8 @@
1
+ from .basic import PerformanceWeightedEnsemble, SimpleAverageEnsemble
2
+ from .greedy import GreedyEnsemble
3
+
4
+ __all__ = [
5
+ "SimpleAverageEnsemble",
6
+ "PerformanceWeightedEnsemble",
7
+ "GreedyEnsemble",
8
+ ]