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[timeseries] Create an abstract class for time series ensembles #2712

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merged 2 commits into from
Jan 20, 2023
Merged

[timeseries] Create an abstract class for time series ensembles #2712

merged 2 commits into from
Jan 20, 2023

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shchur
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@shchur shchur commented Jan 17, 2023 •
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This PR lays the groundwork for the implementation of more sophisticated ensembling strategies for time series.

Description of changes:

  • Introduce AbstractTimeSeriesEnsembleModel - base class implementing different ensembling strategies for time series models.
  • Refactor and simplify the logic for fitting the simple greedy ensemble for time series.
    • Combine SimpleTimeSeriesWeightedEnsemble and TimeSeriesEnsembleWrapper into a single class -> TimeSeriesGreedyEnsemble
    • Simplify the logic in AbstractTimeSeriesTrainer.fit_ensemble.
    • Save ensemble to disk as a usual model instead of storing it inside the model_graph.
  • Minor change: 10x speedup for mean_wQuantileLoss calculation using vectorization.

By submitting this pull request, I confirm that you can use, modify, copy, and redistribute this contribution, under the terms of your choice.

@shchur shchur added this to the 0.7 Release milestone Jan 17, 2023
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Job PR-2712-56debe2 is done.
Docs are uploaded to http://autogluon-staging.s3-website-us-west-2.amazonaws.com/PR-2712/56debe2/index.html

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Job PR-2712-e188de8 is done.
Docs are uploaded to http://autogluon-staging.s3-website-us-west-2.amazonaws.com/PR-2712/e188de8/index.html

canerturkmen
canerturkmen approved these changes Jan 20, 2023
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LGTM!

@shchur shchur merged commit 93f20d2 into autogluon:master Jan 20, 2023
@shchur shchur deleted the ts-ensemble branch January 20, 2023 19:02
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@canerturkmen canerturkmen canerturkmen approved these changes

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