Kevin Chen f718d18b5e
time series forecasting with panel datasets (#541)
* time series forecasting with panel datasets
- integrate Temporal Fusion Transformer as a learner based on pytorchforecasting

Signed-off-by: Kevin Chen <chenkevin.8787@gmail.com>

* update setup.py

Signed-off-by: Kevin Chen <chenkevin.8787@gmail.com>

* update test_forecast.py

Signed-off-by: Kevin Chen <chenkevin.8787@gmail.com>

* update setup.py

Signed-off-by: Kevin Chen <chenkevin.8787@gmail.com>

* update setup.py

Signed-off-by: Kevin Chen <chenkevin.8787@gmail.com>

* update model.py and test_forecast.py
- remove blank lines

Signed-off-by: Kevin Chen <chenkevin.8787@gmail.com>

* update model.py to prevent errors

Signed-off-by: Kevin Chen <chenkevin.8787@gmail.com>

* update automl.py and data.py
- change forecast task name
- update documentation for fit() method

Signed-off-by: Kevin Chen <chenkevin.8787@gmail.com>

* update test_forecast.py

Signed-off-by: Kevin Chen <chenkevin.8787@gmail.com>

* update test_forecast.py
- add performance test
- use 'fit_kwargs_by_estimator'

Signed-off-by: Kevin Chen <chenkevin.8787@gmail.com>

* add time index function

Signed-off-by: Kevin Chen <chenkevin.8787@gmail.com>

* update test_forecast.py performance test

Signed-off-by: Kevin Chen <chenkevin.8787@gmail.com>

* update data.py

Signed-off-by: Kevin Chen <chenkevin.8787@gmail.com>

* update automl.py

Signed-off-by: Kevin Chen <chenkevin.8787@gmail.com>

* update data.py to prevent type error

Signed-off-by: Kevin Chen <chenkevin.8787@gmail.com>

* update setup.py

Signed-off-by: Kevin Chen <chenkevin.8787@gmail.com>

* update for pytorch forecasting tft on panel datasets

Signed-off-by: Kevin Chen <chenkevin.8787@gmail.com>

* update automl.py documentations

Signed-off-by: Kevin Chen <chenkevin.8787@gmail.com>

* - rename estimator
- add 'gpu_per_trial' for tft estimator

Signed-off-by: Kevin Chen <chenkevin.8787@gmail.com>

* update test_forecast.py

Signed-off-by: Kevin Chen <chenkevin.8787@gmail.com>

* include ts panel forecasting as an example

Signed-off-by: Kevin Chen <chenkevin.8787@gmail.com>

* update model.py

Signed-off-by: Kevin Chen <chenkevin.8787@gmail.com>

* update documentations

Signed-off-by: Kevin Chen <chenkevin.8787@gmail.com>

* update automl_time_series_forecast.ipynb

Signed-off-by: Kevin Chen <chenkevin.8787@gmail.com>

* update documentations

Signed-off-by: Kevin Chen <chenkevin.8787@gmail.com>

* "weights_summary" argument deprecated and removed for pl.Trainer()

Signed-off-by: Kevin Chen <chenkevin.8787@gmail.com>

* update model.py tft estimator prediction method

Signed-off-by: Kevin Chen <chenkevin.8787@gmail.com>

* update model.py

Signed-off-by: Kevin Chen <chenkevin.8787@gmail.com>

* update `fit_kwargs` documentation

Signed-off-by: Kevin Chen <chenkevin.8787@gmail.com>

* update automl.py

Signed-off-by: Kevin Chen <chenkevin.8787@gmail.com>

Signed-off-by: Kevin Chen <chenkevin.8787@gmail.com>
Co-authored-by: Chi Wang <wang.chi@microsoft.com>
2022-08-12 08:39:22 -07:00
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