Scalable machine learning based time series forecasting
Project description
mlforecast
Scalable machine learning based time series forecasting.
Install
pip install mlforecast
Optional dependencies
If you want more functionality you can instead use pip install mlforecast[extra1, extra2, ...]. The current extra dependencies are:
- aws: adds the functionality to use S3 as the storage in the CLI.
- cli: includes the validations necessary to use the CLI.
- distributed: installs dask to perform distributed training. Note that you'll also need to install either lightgbm or xgboost.
For example, if you want to perform distributed training through the CLI using S3 as your storage you'll need all three extras, which you can get using: pip install mlforecast[aws, cli, distributed].
How to use
Programmatic API
Store your time series in a pandas dataframe with an index named unique_id that identifies each time serie, a column ds that contains the datestamps and a column y with the values.
from mlforecast.utils import generate_daily_series
series = generate_daily_series(20)
display_df(series.head())
| unique_id | ds | y |
|---|---|---|
| id_00 | 2000-01-01 00:00:00 | 0.264447 |
| id_00 | 2000-01-02 00:00:00 | 1.28402 |
| id_00 | 2000-01-03 00:00:00 | 2.4628 |
| id_00 | 2000-01-04 00:00:00 | 3.03552 |
| id_00 | 2000-01-05 00:00:00 | 4.04356 |
Then define your flow configuration. This includes lags, transformations on the lags and date features. The lag transformations are defined as numba jitted functions that transform an array, if they have additional arguments you supply a tuple (transform_func, arg1, arg2, ...).
from window_ops.expanding import expanding_mean
from window_ops.rolling import rolling_mean
flow_config = dict(
lags=[7, 14],
lag_transforms={
1: [expanding_mean],
7: [(rolling_mean, 7), (rolling_mean, 14)]
},
date_features=['dayofweek', 'month']
)
Next define a model. If you want to use the local interface this can be any regressor that follows the scikit-learn API. For distributed training there are LGBMForecast and XGBForecast.
from sklearn.ensemble import RandomForestRegressor
model = RandomForestRegressor()
Now instantiate your forecast object with the model and the flow configuration. There are two types of forecasters, Forecast which is local and DistributedForecast which performs the whole process in a distributed way.
from mlforecast.forecast import Forecast
fcst = Forecast(model, flow_config)
To compute the features and train the model using them call .fit on your Forecast object.
fcst.fit(series)
Forecast(model=RandomForestRegressor(), flow_config={'lags': [7, 14], 'lag_transforms': {1: [CPUDispatcher(<function expanding_mean at 0x7fd7456808b0>)], 7: [(CPUDispatcher(<function rolling_mean at 0x7fd745675700>), 7), (CPUDispatcher(<function rolling_mean at 0x7fd745675700>), 14)]}, 'date_features': ['dayofweek', 'month']})
To get the forecasts for the next 14 days call .predict(14) on the forecaster. This will update the target with each prediction and recompute the features to get the next one.
predictions = fcst.predict(14)
display_df(predictions.head())
| unique_id | ds | y_pred |
|---|---|---|
| id_00 | 2000-08-10 00:00:00 | 5.23864 |
| id_00 | 2000-08-11 00:00:00 | 6.2306 |
| id_00 | 2000-08-12 00:00:00 | 0.216553 |
| id_00 | 2000-08-13 00:00:00 | 1.2501 |
| id_00 | 2000-08-14 00:00:00 | 2.28829 |
CLI
If you're looking for computing quick baselines, want to avoid some boilerplate or just like using CLIs better then you can use the mlforecast binary with a configuration file like the following:
!cat sample_configs/local.yaml
data:
prefix: data
input: train
output: outputs
format: parquet
features:
freq: D
lags: [7, 14]
lag_transforms:
1:
- expanding_mean
7:
- rolling_mean:
window_size: 7
- rolling_mean:
window_size: 14
date_features: ["dayofweek", "month", "year"]
num_threads: 2
backtest:
n_windows: 2
window_size: 7
forecast:
horizon: 7
local:
model:
name: sklearn.ensemble.RandomForestRegressor
params:
n_estimators: 10
max_depth: 7
The configuration is validated using FlowConfig.
This configuration will use the data in data.prefix/data.input to train and write the results to data.prefix/data.output both with data.format.
!mlforecast sample_configs/local.yaml
Split 1 MSE: 0.0239
Split 2 MSE: 0.0191
list((data_path/'outputs').iterdir())
[PosixPath('data/outputs/valid_1.parquet'),
PosixPath('data/outputs/valid_0.parquet'),
PosixPath('data/outputs/forecast.parquet')]
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