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Fix/historical forecasts torch models #2329

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merged 8 commits into from Apr 16, 2024

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dennisbader
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@dennisbader dennisbader commented Apr 16, 2024

Checklist before merging this PR:

  • Mentioned all issues that this PR fixes or addresses.
  • Summarized the updates of this PR under Summary.
  • Added an entry under Unreleased in the Changelog.

Summary

  • simplifies and improves historical forecast tests for torch models, by reducing input series length and checking for minimum length requirements. Speeds up tests from 2min to 1min 15 seconds
  • Improvements to RNNModel:
    • 馃敶 enforce training_length>input_chunk_length
    • the historical forecastable time index is now properly computed for RNNModels
  • ForecastingModel.exteme_lags() now has an additional return element indicating the max_target_lag used during training (specific to RNNModel)
  • simplifies and improves historical forecast tests for torch models, by reducing input series length and checking for minimum length requirements. Speeds up tests from 2min to 1min 15 seconds
  • fixes a bug when using historical forecasts with untrained torch models and using covariates, where the historical forecastable time index computation did not take the covariates into account

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@madtoinou madtoinou left a comment

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Good job spotting and fixing the bug, just noticed some discrepancies in the tests between the comment and the value overlap_end.

I hope that we will find a more elegant solution than adding a 8th output to extreme_lags but this should do for now.

@dennisbader dennisbader merged commit 95f121e into master Apr 16, 2024
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@dennisbader dennisbader deleted the fix/historical_forecasts_torch_models branch April 16, 2024 13:04
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2 participants