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261 Commits
Author SHA1 Message Date
Kashif Rasul c5fac32bb2 initial lstnet multivariate point forecasting model (#9) 
* initial lstnet

* lstnet network

* fixed forward

* fix splitter

* fix prediction

* rename argument to what it is i.e. time_first

* fixed scaling and some default values

* scaler can now take time_first=False tensors
 2020-04-17 17:13:44 +02:00
Dr. Kashif Rasul 2d8f6d31f0 revert back change and added comments 2020-04-07 11:05:17 +02:00
Dr. Kashif Rasul 5b57396cea scale alpha so that sigma scales by scale as well 2020-04-07 09:41:22 +02:00
Dr. Kashif Rasul f615be41f0 Revert "scale alpha so that the var stays the same" 
This reverts commit 3c6bbf28d7.
 2020-04-06 12:09:38 +02:00
Dr. Kashif Rasul 3c6bbf28d7 scale alpha so that the var stays the same 2020-04-06 11:38:35 +02:00
Dr. Kashif Rasul c1883d839c fix easter holiday max_window size 2020-04-01 11:23:38 +02:00
Dr. Kashif Rasul 192f9d3991 fix typo 2020-03-31 11:04:56 +02:00
Dr. Kashif Rasul cb012405bf optimized the imports 2020-03-30 13:01:08 +02:00
Dr. Kashif Rasul 47063478b7 scale alpha by 1/scale so that var scales by scale factor 2020-03-27 11:34:12 +01:00
Dr. Kashif Rasul c52dfe9853 mape metric 2020-03-27 11:33:31 +01:00
Dr. Kashif Rasul 55644c4671 added NormalOutput 2020-03-25 13:34:08 +01:00
Dr. Kashif Rasul 6bc281e526 fix scaling of alpha 2020-03-21 17:47:35 +01:00
Vahe Hakobyan 502f6d6c26 Model serialization (#8) 
* wip: serialization ran successfully

* wip: deserialization ran successfully

* wip: deepar serialization
 2020-03-18 16:49:39 +01:00
Dr. Kashif Rasul 87fab61761 set dtype of cat to int64 
possible fix for issue #1
 2020-03-17 13:43:05 +01:00
Vahe Hakobyan 1b123ef152 Model serialization (#6) 
* wip: serialization ran successfully

* wip: deserialization ran successfully
 2020-03-12 11:32:46 +01:00
Dr. Kashif Rasul b6f333b5fd base block does not need the future target 2020-03-11 14:30:19 +01:00
Dr. Kashif Rasul 830a5df2aa removed unused fields for now 2020-03-11 13:33:51 +01:00
Dr. Kashif Rasul cd887ac254 added n_beats ensemble estimator 2020-03-10 15:30:12 +01:00
Dr. Kashif Rasul 419fb89ffb typo 2020-03-10 13:57:54 +01:00
Kashif Rasul 7cfe8c73f0 initial n-beats (#5) 
* initial n-beats

* typo

* typo

* added losses

* added NBEATSPredictionNetwork

* initialize blocks

* fix loss
 2020-03-10 13:54:01 +01:00
Dr. Kashif Rasul 539108a331 typo 2020-03-09 10:53:45 +01:00
Dr. Kashif Rasul 37fdb0e5b7 set shuffling of time series in file and list dataset to false by default 2020-03-09 10:51:04 +01:00
Kashif Rasul 6bc8de7edb call __init__ before registering buffers 2020-03-05 15:37:45 +01:00
Kashif Rasul 5bb0d7d6b6 Dataset (#4) 
* Dataset is an iterable of DataEntry

* test_forecast_multivariate

* formatting

* offset can also be W-MON

* fix type

* fourier_time_features_from_frequency_str for weekly data

* randomly shuffle dataset for each worker

* filedataset is not scriptable

* read file randomly

* list and file datasets shuffle the time series in train

* do not shuffle time series in multivariate grouper

* fix tests

* formatting

* formatting
 2020-03-05 12:04:09 +01:00
Kashif Rasul 7a16872e26 fix the final log_abs_det_jacobian when scaling (#3) 
* fix the final log_abs_det_jacobian

* fix argument name

* subclass from Flow class

* move buffer for base dist to Flow class as well

* formatting
 2020-02-26 11:02:16 +01:00
Dr. Kashif Rasul f701c90b37 type annotations mypy 2020-02-20 14:34:26 +01:00
Dr. Kashif Rasul aaf1c2dbf3 refactored UniformSplitSampler and TestSplitSampler 2020-02-20 14:26:43 +01:00
Dr. Kashif Rasul d54197cd6a fix prediction length 2020-02-17 14:39:04 +01:00
Dr. Kashif Rasul 923ba8978a move predictor network to device 2020-02-12 17:18:02 +01:00
Dr. Kashif Rasul 1f3c2ef943 consistent ordering of args 2020-02-12 14:57:58 +01:00
Dr. Kashif Rasul b053285fe9 no need for input_size its always 1 2020-02-10 13:22:41 +01:00
Dr. Kashif Rasul 99e144fd04 fixed simple feed forward's mlp 2020-02-10 12:04:08 +01:00
Dr. Kashif Rasul 8566973f8f more formatting 2020-02-03 16:20:01 +01:00
Dr. Kashif Rasul f0b4fc988d time feature is bigger since we need it when sampling 2020-02-03 16:05:46 +01:00
Dr. Kashif Rasul ccc1efbabd formatting 2020-02-03 15:26:53 +01:00
Dr. Kashif Rasul e8a1a07fdd yse fourier time features in transformer 2020-02-03 15:05:49 +01:00
Dr. Kashif Rasul 637a6fb36e use history_length - context_length for past_time_feat in deepvar 2020-02-03 14:51:50 +01:00
Dr. Kashif Rasul 85c9f61988 use history length when making past time features 2020-02-03 14:04:26 +01:00
Kashif Rasul 8fa0297ab7 scale input to network if flag is set 2020-02-01 18:04:01 +01:00
Dr. Kashif Rasul bab7adbc7e Revert "use tqdm.auto" 
This reverts commit ffb839dcd7.
 2020-01-31 17:22:49 +01:00
Dr. Kashif Rasul ffb839dcd7 use tqdm.auto 2020-01-31 17:09:06 +01:00
Dr. Kashif Rasul 91e21aaea5 fix variable name 2020-01-30 16:50:46 +01:00
Dr. Kashif Rasul 721adece9f permute back the transformer output for conditioning 2020-01-29 15:14:25 +01:00
Dr. Kashif Rasul d95a217801 another typo 2020-01-29 15:04:07 +01:00
Dr. Kashif Rasul 2b51a2ad25 use target dim to reshape lags 2020-01-29 15:00:46 +01:00
Dr. Kashif Rasul 50893b3f13 fix typo 2020-01-29 14:51:36 +01:00
Dr. Kashif Rasul 054104019c fix typo 2020-01-29 14:47:07 +01:00
Dr. Kashif Rasul 6ffa46d0f5 fix dims of conditioning vector 2020-01-29 14:46:51 +01:00
Dr. Kashif Rasul d05fc7a242 added missing tgt_mask 2020-01-29 14:42:37 +01:00
Dr. Kashif Rasul e32ea17ce6 unroll_length = subsequences_length 2020-01-29 14:36:01 +01:00