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Feat/CatBoost model #1007

Merged
merged 23 commits into from
Jun 27, 2022
Merged

Feat/CatBoost model #1007

merged 23 commits into from
Jun 27, 2022

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jonasracine
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  • Added Catboost regression model. Currently, supports same probabilistic prediction possibilities (quantile and poisson) as Dart's LGBM implementation.

  • The Catboost class is mostly a copy-paste of the LGBM class.
    Question: should this be refactored to avoid code duplication?

  • Future work: add support for Catboost's own "RMSEWithUncertainty" loss function, that returns [mean, variance] (see https://towardsdatascience.com/tutorial-uncertainty-estimation-with-catboost-255805ff217e)

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codecov-commenter commented Jun 13, 2022

Codecov Report

Attention: Patch coverage is 94.54545% with 3 lines in your changes missing coverage. Please review.

Project coverage is 91.33%. Comparing base (8eb331a) to head (6060bf4).
Report is 467 commits behind head on master.

Files with missing lines Patch % Lines
darts/models/forecasting/catboost_model.py 94.44% 3 Missing ⚠️
Additional details and impacted files
@@           Coverage Diff           @@
##           master    #1007   +/-   ##
=======================================
  Coverage   91.32%   91.33%           
=======================================
  Files          77       78    +1     
  Lines        7876     7917   +41     
=======================================
+ Hits         7193     7231   +38     
- Misses        683      686    +3     

☔ View full report in Codecov by Sentry.
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@jonasracine jonasracine marked this pull request as ready for review June 14, 2022 14:17
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Thanks @jonasracine , it looks like a good start.
Could you add unit tests?
Concerning factoring out the code, I think it's not necessary at the moment (we can do it later if we have more similar models coming).
Finally, how much work is it to add the RMSE mu/sigma version? It's probably not too difficult I imagine, in which case I'd vote for making it part of this PR.

darts/models/forecasting/catboost_model.py Outdated Show resolved Hide resolved
@hrzn hrzn linked an issue Jun 19, 2022 that may be closed by this pull request
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hrzn commented Jun 21, 2022

@jonasracine there are ~60 .coverage files committed too :) could you remove them?

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LGTM, thanks

@jonasracine jonasracine merged commit e4608d1 into master Jun 27, 2022
@jonasracine jonasracine deleted the jonas_catboost_861 branch June 27, 2022 10:55
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[New model] Catboost-based regression model
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