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AzulGarza
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Nov 4, 2024
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cchallu
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Feb 24, 2025
This was referenced Feb 24, 2025
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This is a large refactoring PR and open for discussion. The main goal of the PR is to unify API across different model types, and unify loss functions across different loss types.
Refactoring:
BaseWindows,BaseMultivariateandBaseRecurrentintoBaseModel, removing the need for separate classes and unifying model API across different model types. Instead, this PR introduces two model attributes, yielding four possible model options:RECURRENT(True/False) andMULTIVARIATE(True/False). We currently have a model for every combination except a recurrent multivariate model (e.g. a multivariate LSTM), however this is now relatively simple to add. In addition, this change allows to have models that can be recurrent or not, or multivariate or not on-the-fly, based on users' input. This also allows for easier modelling going forward.domain_mapfunctions.loss.domain_mapoutside of models toBaseModelTSMixer,TSMixerxandRMoKtocommon.modulesFeatures:
DistributionLossnow supports the use ofquantilesinpredict, allowing for easy quantile retrieval for all DistributionLosses.GMM,PMMandNBMM) now support learned weights for weighted mixture distribution outputs.quantilesinpredict, allowing for easy quantile retrieval.ISQFby adding softplus protection around some parameters instead of using.absBug fixes:
MASEloss now works.StudentTincrease default DoF to 3 to reduce unbound variance issues.eval: falseon the examples whilst not having any other tests, causing most models to effectively not being tested at all.Breaking changes:
input_sizeto be given.TCNandDRNNare now windows models, not recurrent models.Tests:
common._model_checks.pythat includes a model testing function. This function runs on every separate model, ensuring that every model is tested on push.Todo: