M4 Competition

import random

import lightgbm as lgb
import numpy as np
import pandas as pd
from sklearn.linear_model import LinearRegression
from utilsforecast.plotting import plot_series

from mlforecast import MLForecast
from mlforecast.lag_transforms import (
    ExponentiallyWeightedMean,
    RollingMean,
)
from mlforecast.lgb_cv import LightGBMCV
from mlforecast.target_transforms import Differences
from mlforecast.utils import PredictionIntervals

df = pd.read_parquet('https://datasets-nixtla.s3.amazonaws.com/m4-hourly.parquet')
ids = df['unique_id'].unique()
random.seed(0)
sample_ids = random.choices(ids, k=4)
sample_df = df[df['unique_id'].isin(sample_ids)]
sample_df

horizon = 48
valid = sample_df.groupby('unique_id').tail(horizon)
train = sample_df.drop(valid.index)
train.shape, valid.shape

((3840, 3), (192, 3))

fcst = MLForecast(
    models=lgb.LGBMRegressor(random_state=0, verbosity=-1),
    freq=1,
    lags=[24 * (i+1) for i in range(7)],
    lag_transforms={
        48: [ExponentiallyWeightedMean(alpha=0.3)],
    },
    num_threads=1,
    target_transforms=[Differences([24])],
)

fcst

MLForecast(models=[LGBMRegressor], freq=1, lag_features=['lag24', 'lag48', 'lag72', 'lag96', 'lag120', 'lag144', 'lag168', 'exponentially_weighted_mean_lag48_alpha0.3'], date_features=[], num_threads=1)

fcst = MLForecast(
    models=lgb.LGBMRegressor(random_state=0, verbosity=-1),
    freq=1,
    lags=[24 * (i+1) for i in range(7)],
    lag_transforms={
        48: [ExponentiallyWeightedMean(alpha=0.3)],
    },
    num_threads=1,
    target_transforms=[Differences([24])],
)

train2 = train.copy()
train2['weight'] = np.random.default_rng(seed=0).random(train2.shape[0])
fcst.fit(train2, weight_col='weight', as_numpy=True).predict(5)

fcst.cross_validation(train2, n_windows=2, h=5, weight_col='weight', as_numpy=True)

fcst.fit(train, fitted=True);

expected_future = fcst.make_future_dataframe(h=1)
expected_future

missing_future = fcst.get_missing_future(h=1, X_df=expected_future.head(2))
pd.testing.assert_frame_equal(
    missing_future,
    expected_future.tail(2).reset_index(drop=True)
)

fcst.forecast_fitted_values()

fcst.forecast_fitted_values(level=[90])

predictions = fcst.predict(horizon)

results = valid.merge(predictions, on=['unique_id', 'ds'])
fig = plot_series(forecasts_df=results)

fig

fcst.fit(
    train,
    prediction_intervals=PredictionIntervals(n_windows=3, h=48)
)

MLForecast(models=[LGBMRegressor], freq=1, lag_features=['lag24', 'lag48', 'lag72', 'lag96', 'lag120', 'lag144', 'lag168', 'exponentially_weighted_mean_lag48_alpha0.3'], date_features=[], num_threads=1)

predictions_w_intervals = fcst.predict(48, level=[50, 80, 95])
predictions_w_intervals.head()

results = valid.merge(predictions_w_intervals, on=['unique_id', 'ds'])
fig = plot_series(forecasts_df=results, level=[50, 80, 95])
fig

fcst.fit(
    train,
    prediction_intervals=PredictionIntervals(n_windows=3, h=1)
);

predictions_w_intervals_ws_1 = fcst.predict(48, level=[80, 90, 95])

results = valid.merge(predictions_w_intervals_ws_1, on=['unique_id', 'ds'])
fig = plot_series(forecasts_df=results, level=[90])
fig

ercot_df = pd.read_csv('https://datasets-nixtla.s3.amazonaws.com/ERCOT-clean.csv')

# we have to convert the ds column to integers
# since MLForecast was trained with that structure

ercot_df['ds'] = np.arange(1, len(ercot_df) + 1)
# use the `new_df` argument to pass the ercot dataset
ercot_fcsts = fcst.predict(horizon, new_df=ercot_df)
fig = plot_series(ercot_df, ercot_fcsts, max_insample_length=48 * 2)
fig

prep_df = fcst.preprocess(train)
prep_df

X, y = prep_df.drop(columns=['unique_id', 'ds', 'y']), prep_df['y']
fcst.fit_models(X, y)

MLForecast(models=[LGBMRegressor], freq=1, lag_features=['lag24', 'lag48', 'lag72', 'lag96', 'lag120', 'lag144', 'lag168', 'exponentially_weighted_mean_lag48_alpha0.3'], date_features=[], num_threads=1)

fcst

MLForecast(models=[LGBMRegressor], freq=1, lag_features=['lag24', 'lag48', 'lag72', 'lag96', 'lag120', 'lag144', 'lag168', 'exponentially_weighted_mean_lag48_alpha0.3'], date_features=[], num_threads=1)

predictions2 = fcst.predict(horizon)
pd.testing.assert_frame_equal(predictions, predictions2)

fcst = MLForecast(
    models=lgb.LGBMRegressor(random_state=0, verbosity=-1),
    freq=1,
    lags=[24 * (i+1) for i in range(7)],
    lag_transforms={
        1: [RollingMean(window_size=24)],
        24: [RollingMean(window_size=24)],
        48: [ExponentiallyWeightedMean(alpha=0.3)],
    },
    num_threads=1,
    target_transforms=[Differences([24])],
)
cv_results = fcst.cross_validation(
    train,
    n_windows=2,
    h=horizon,
    step_size=horizon,
    fitted=True,
)
cv_results

fcst.cross_validation_fitted_values()

cv_results_intervals = fcst.cross_validation(
    train,
    n_windows=2,
    h=horizon,
    step_size=horizon,
    prediction_intervals=PredictionIntervals(h=horizon),
    level=[80, 90]
)
cv_results_intervals

fcst = MLForecast(
    models=LinearRegression(),
    freq=1,
    lags=[1, 24],
)
for refit, expected_models in zip([True, False, 2], [4, 1, 2]):
    fcst.cross_validation(
        train,
        n_windows=4,
        h=horizon,
        refit=refit,
    )
assert len(fcst.cv_models_) == expected_models

fig = plot_series(forecasts_df=cv_results.drop(columns='cutoff'))
fig

fig = plot_series(forecasts_df=cv_results_intervals.drop(columns='cutoff'), level=[90])
fig

cv = LightGBMCV(
    freq=1,
    lags=[24 * (i+1) for i in range(7)],
    lag_transforms={
        48: [ExponentiallyWeightedMean(alpha=0.3)],
    },
    num_threads=1,
    target_transforms=[Differences([24])]
)
hist = cv.fit(
    train,
    n_windows=2,
    h=horizon,
    params={'verbosity': -1},
)

[10] mape: 0.118569
[20] mape: 0.111506
[30] mape: 0.107314
[40] mape: 0.106089
[50] mape: 0.106630
Early stopping at round 50
Using best iteration: 40

fcst = MLForecast.from_cv(cv)
assert cv.best_iteration_ == fcst.models['LGBMRegressor'].n_estimators