feat: flexible forecaster#1070
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Description
We introduce the
FlexibleForecasterclass, which uses configurableinput_offsetsandoutput_offsetsas well as a configurable autoregressive rollout step throughstep_shift.Although the amount of configurability increases significantly compared to the
Forecasterclass, configurations are validated to ensure they make sense as a forecaster and will work technically.A forecaster predicts the future, and can do so arbitrarily far ahead through autoregressive rollout. Concretely this implies the following validity conditions:
If any of the above conditions are not met, a
ValueErroris raised at initialisation ofFlexibleForecaster.If
step_shiftis not specified in the config it defaults to the largest valid shift. If no valid shift exists, an error is raised.Examples
Forecasteras aFlexibleForecasterInput and output at different frequencies
Multiple valid rollout step shifts
Excluding repeated forecasts
One needs to exclude step shifts that would forecast the same future time at different rollout steps, e.g.
More generally, labelling the outputs in the$n$ -th rollout step as
$$o_i^n=o_i+ns$$ $o_i^n=o_j^m$ , when
$$\exists k=(m-n),,\quad o_i-o_j=ks$$
one sees one gets repeated forecasts,
So one can only allow
step_shifts such that for no pair of output offsets the difference is a mutiple of it. This is taken into account by thestep_shiftvalidation when theFlexibleForecasteris initiated.Code changes
Apart from introducing the
FlexibleForecasterclass this PR alsoinput_offsetandoutput_offsetattributes of theBaseTaskinto aBaseTaskOffsetsclass.ForecastOffsets, which includesstep_shiftand validates the offsets and shift as described above.What problem does this change solve?
See #941
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