Feat/local and global models in EnsembleModel (#1745)

* feat: remove restriction in EnsembleModel, models can be a mix of Local and Global models * feat: EnsembleModel accepts a mixture of local and global models for single ts training/inference only. If provided, the covariates are passed only to the models supporting them (individually) * feat: updated unittests * doc: fix typo in docstring, SeasonalityMode must be imported from darts.utils.utils * doc: updated changelog * feat: logger info when all the models in the ensemble do not support the same covariates, to make the behavior more transparent * fix: typo, using parenthesis to call proterty method * Apply suggestions from code review Co-authored-by: Dennis Bader <dennis.bader@gmx.ch> * fix: made the covariates handling in ensemble model more transparent, added tests for covariates support in ensemble models * Update CHANGELOG.md * Update CHANGELOG.md * Update CHANGELOG.md * Apply suggestions from code review Co-authored-by: Dennis Bader <dennis.bader@gmx.ch> * fix: addressed reviewer comments, added show_warning arg to ensemble_model, support_*_covariates for RegressionModels rely on the lags attribute * fix typo * fix: improve warning synthax --------- Co-authored-by: Dennis Bader <dennis.bader@gmx.ch>
unit8co · May 26, 2023 · ee53a83 · ee53a83
1 parent 52f4004
commit ee53a83
Show file tree

Hide file tree

Showing 8 changed files with 324 additions and 94 deletions.
diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -5,19 +5,22 @@ We do our best to avoid the introduction of breaking changes,
 but cannot always guarantee backwards compatibility. Changes that may **break code which uses a previous release of Darts** are marked with a "🔴".
 
 ## [Unreleased](https://github.com/unit8co/darts/tree/master)
-**Fixed**
-- Fixed a bug when loading the weights of a model trained with encoders or a Likelihood. [#1744](https://github.com/unit8co/darts/pull/1744) by [Antoine Madrona](https://github.com/madtoinou).
 
 [Full Changelog](https://github.com/unit8co/darts/compare/0.24.0...master)
 
 ### For users of the library:
 
 **Improved**
-- Added support for `PathLike` to the `save()` and `load()` functions of `ForecastingModel`. [#1754](https://github.com/unit8co/darts/pull/1754) by [Simon Sudrich](https://github.com/sudrich).
-- Fixed an issue with `TorchForecastingModel.load_from_checkpoint()` not properly loading the loss function and metrics. [#1749](https://github.com/unit8co/darts/pull/1749) by [Antoine Madrona](https://github.com/madtoinou).
+- General model improvements:
+  - Added support for `PathLike` to the `save()` and `load()` functions of all non-deep learning based models. [#1754](https://github.com/unit8co/darts/pull/1754) by [Simon Sudrich](https://github.com/sudrich).
+- Improvements to `EnsembleModel`:
+  - Model creation parameter `forecasting_models` now supports a mix of `LocalForecastingModel` and `GlobalForecastingModel` (single `TimeSeries` training/inference only, due to the local models). [#1745](https://github.com/unit8co/darts/pull/1745) by [Antoine Madrona](https://github.com/madtoinou).
+  - Future and past covariates can now be used even if `forecasting_models` have different covariates support. The covariates passed to `fit()`/`predict()` are used only by models that support it. [#1745](https://github.com/unit8co/darts/pull/1745) by [Antoine Madrona](https://github.com/madtoinou).
 
 **Fixed**
 - Fixed an issue not considering original component names for `TimeSeries.plot()` when providing a label prefix. [#1783](https://github.com/unit8co/darts/pull/1783) by [Simon Sudrich](https://github.com/sudrich).
+- Fixed an issue with `TorchForecastingModel.load_from_checkpoint()` not properly loading the loss function and metrics. [#1749](https://github.com/unit8co/darts/pull/1749) by [Antoine Madrona](https://github.com/madtoinou).
+- Fixed a bug when loading the weights of a `TorchForecastingModel` trained with encoders or a Likelihood. [#1744](https://github.com/unit8co/darts/pull/1744) by [Antoine Madrona](https://github.com/madtoinou).
 
 ## [0.24.0](https://github.com/unit8co/darts/tree/0.24.0) (2023-04-12)
 ### For users of the library:

diff --git a/darts/models/forecasting/baselines.py b/darts/models/forecasting/baselines.py
@@ -163,14 +163,26 @@ def predict(self, n: int, num_samples: int = 1, verbose: bool = False):
 
 class NaiveEnsembleModel(EnsembleModel):
     def __init__(
-        self, models: Union[List[LocalForecastingModel], List[GlobalForecastingModel]]
+        self,
+        models: Union[List[LocalForecastingModel], List[GlobalForecastingModel]],
+        show_warnings: bool = True,
     ):
         """Naive combination model
 
         Naive implementation of `EnsembleModel`
         Returns the average of all predictions of the constituent models
+
+        If `future_covariates` or `past_covariates` are provided at training or inference time,
+        they will be passed only to the models supporting them.
+
+        Parameters
+        ----------
+        models
+            List of forecasting models whose predictions to ensemble
+        show_warnings
+            Whether to show warnings related to models covariates support.
         """
-        super().__init__(models)
+        super().__init__(models=models, show_warnings=show_warnings)
 
     def fit(
         self,
@@ -184,15 +196,12 @@ def fit(
             future_covariates=future_covariates,
         )
         for model in self.models:
-            if self.is_global_ensemble:
-                kwargs = dict(series=series)
-                if model.supports_past_covariates:
-                    kwargs["past_covariates"] = past_covariates
-                if model.supports_future_covariates:
-                    kwargs["future_covariates"] = future_covariates
-                model.fit(**kwargs)
-            else:
-                model.fit(series=series)
+            kwargs = dict(series=series)
+            if model.supports_past_covariates:
+                kwargs["past_covariates"] = past_covariates
+            if model.supports_future_covariates:
+                kwargs["future_covariates"] = future_covariates
+            model.fit(**kwargs)
 
         return self
 

diff --git a/darts/models/forecasting/ensemble_model.py b/darts/models/forecasting/ensemble_model.py
@@ -8,6 +8,7 @@
 
 from darts.logging import get_logger, raise_if, raise_if_not
 from darts.models.forecasting.forecasting_model import (
+    ForecastingModel,
     GlobalForecastingModel,
     LocalForecastingModel,
 )
@@ -22,31 +23,43 @@ class EnsembleModel(GlobalForecastingModel):
     Ensemble models take in a list of forecasting models and ensemble their predictions
     to make a single one according to the rule defined by their `ensemble()` method.
 
+    If `future_covariates` or `past_covariates` are provided at training or inference time,
+    they will be passed only to the models supporting them.
+
     Parameters
     ----------
     models
         List of forecasting models whose predictions to ensemble
+    show_warnings
+        Whether to show warnings related to models covariates support.
     """
 
-    def __init__(
-        self, models: Union[List[LocalForecastingModel], List[GlobalForecastingModel]]
-    ):
+    def __init__(self, models: List[ForecastingModel], show_warnings: bool = True):
         raise_if_not(
             isinstance(models, list) and models,
             "Cannot instantiate EnsembleModel with an empty list of models",
             logger,
         )
 
-        is_local_ensemble = all(
-            isinstance(model, LocalForecastingModel) for model in models
-        )
-        self.is_global_ensemble = all(
+        is_local_model = [isinstance(model, LocalForecastingModel) for model in models]
+        is_global_model = [
             isinstance(model, GlobalForecastingModel) for model in models
-        )
+        ]
+
+        self.is_local_ensemble = all(is_local_model)
+        self.is_global_ensemble = all(is_global_model)
 
         raise_if_not(
-            is_local_ensemble or self.is_global_ensemble,
-            "All models must be of the same type: either GlobalForecastingModel, or LocalForecastingModel.",
+            all(
+                [
+                    local_model or global_model
+                    for local_model, global_model in zip(
+                        is_local_model, is_global_model
+                    )
+                ]
+            ),
+            "All models must be of type `GlobalForecastingModel`, or `LocalForecastingModel`. "
+            "Also, make sure that all models in `forecasting_model/models` are instantiated.",
             logger,
         )
 
@@ -60,6 +73,27 @@ def __init__(
         super().__init__()
         self.models = models
 
+        if show_warnings:
+            if (
+                self.supports_past_covariates
+                and not self._full_past_covariates_support()
+            ):
+                logger.warning(
+                    "Some models in the ensemble do not support past covariates, the past covariates will be "
+                    "provided only to the models supporting them when calling fit()` or `predict()`. "
+                    "To hide these warnings, set `show_warnings=False`."
+                )
+
+            if (
+                self.supports_future_covariates
+                and not self._full_future_covariates_support()
+            ):
+                logger.warning(
+                    "Some models in the ensemble do not support future covariates, the future covariates will be "
+                    "provided only to the models supporting them when calling `fit()` or `predict()`. "
+                    "To hide these warnings, set `show_warnings=False`."
+                )
+
     def fit(
         self,
         series: Union[TimeSeries, Sequence[TimeSeries]],
@@ -71,34 +105,37 @@ def fit(
         Note that `EnsembleModel.fit()` does NOT call `fit()` on each of its constituent forecasting models.
         It is left to classes inheriting from EnsembleModel to do so appropriately when overriding `fit()`
         """
+
+        is_single_series = isinstance(series, TimeSeries)
+
+        # local models OR mix of local and global models
         raise_if(
-            not self.is_global_ensemble and not isinstance(series, TimeSeries),
-            "The models are of type LocalForecastingModel, which does not support training on multiple series.",
-            logger,
-        )
-        raise_if(
-            not self.is_global_ensemble and past_covariates is not None,
-            "The models are of type LocalForecastingModel, which does not support past covariates.",
+            not self.is_global_ensemble and not is_single_series,
+            "The models contain at least one LocalForecastingModel, which does not support training on multiple "
+            "series.",
             logger,
         )
 
-        is_single_series = isinstance(series, TimeSeries)
-
-        # check that if timeseries is single series, than covariates are as well and vice versa
-        error = False
+        # check that if timeseries is single series, that covariates are as well and vice versa
+        error_past_cov = False
+        error_future_cov = False
 
         if past_covariates is not None:
-            error = is_single_series != isinstance(past_covariates, TimeSeries)
+            error_past_cov = is_single_series != isinstance(past_covariates, TimeSeries)
 
         if future_covariates is not None:
-            error = is_single_series != isinstance(future_covariates, TimeSeries)
+            error_future_cov = is_single_series != isinstance(
+                future_covariates, TimeSeries
+            )
 
         raise_if(
-            error,
-            "Both series and covariates have to be either univariate or multivariate.",
+            error_past_cov or error_future_cov,
+            "Both series and covariates have to be either single TimeSeries or sequences of TimeSeries.",
             logger,
         )
 
+        self._verify_past_future_covariates(past_covariates, future_covariates)
+
         super().fit(series, past_covariates, future_covariates)
 
         return self
@@ -125,12 +162,17 @@ def _make_multiple_predictions(
         num_samples: int = 1,
     ):
         is_single_series = isinstance(series, TimeSeries) or series is None
+        # maximize covariate usage
         predictions = [
             model._predict_wrapper(
                 n=n,
                 series=series,
-                past_covariates=past_covariates,
-                future_covariates=future_covariates,
+                past_covariates=past_covariates
+                if model.supports_past_covariates
+                else None,
+                future_covariates=future_covariates
+                if model.supports_future_covariates
+                else None,
                 num_samples=num_samples,
             )
             for model in self.models
@@ -160,6 +202,8 @@ def predict(
             verbose=verbose,
         )
 
+        self._verify_past_future_covariates(past_covariates, future_covariates)
+
         predictions = self._make_multiple_predictions(
             n=n,
             series=series,
@@ -229,3 +273,34 @@ def find_max_lag_or_none(lag_id, aggregator) -> Optional[int]:
 
     def _is_probabilistic(self) -> bool:
         return all([model._is_probabilistic() for model in self.models])
+
+    @property
+    def supports_past_covariates(self) -> bool:
+        return any([model.supports_past_covariates for model in self.models])
+
+    @property
+    def supports_future_covariates(self) -> bool:
+        return any([model.supports_future_covariates for model in self.models])
+
+    def _full_past_covariates_support(self) -> bool:
+        return all([model.supports_past_covariates for model in self.models])
+
+    def _full_future_covariates_support(self) -> bool:
+        return all([model.supports_future_covariates for model in self.models])
+
+    def _verify_past_future_covariates(self, past_covariates, future_covariates):
+        """
+        Verify that any non-None covariates comply with the model type.
+        """
+        raise_if(
+            past_covariates is not None and not self.supports_past_covariates,
+            "`past_covariates` were provided to an `EnsembleModel` but none of its "
+            "base models support such covariates.",
+            logger,
+        )
+        raise_if(
+            future_covariates is not None and not self.supports_future_covariates,
+            "`future_covariates` were provided to an `EnsembleModel` but none of its "
+            "base models support such covariates.",
+            logger,
+        )
diff --git a/darts/models/forecasting/regression_ensemble_model.py b/darts/models/forecasting/regression_ensemble_model.py
@@ -8,10 +8,7 @@
 
 from darts.logging import get_logger, raise_if, raise_if_not
 from darts.models.forecasting.ensemble_model import EnsembleModel
-from darts.models.forecasting.forecasting_model import (
-    GlobalForecastingModel,
-    LocalForecastingModel,
-)
+from darts.models.forecasting.forecasting_model import ForecastingModel
 from darts.models.forecasting.linear_regression_model import LinearRegressionModel
 from darts.models.forecasting.regression_model import RegressionModel
 from darts.timeseries import TimeSeries
@@ -23,11 +20,10 @@
 class RegressionEnsembleModel(EnsembleModel):
     def __init__(
         self,
-        forecasting_models: Union[
-            List[LocalForecastingModel], List[GlobalForecastingModel]
-        ],
+        forecasting_models: List[ForecastingModel],
         regression_train_n_points: int,
         regression_model=None,
+        show_warnings: bool = True,
     ):
         """
         Use a regression model for ensembling individual models' predictions.
@@ -38,6 +34,11 @@ def __init__(
         as in :class:`RegressionModel`, where the regression model is used to produce forecasts based on the
         lagged series.
 
+        If `future_covariates` or `past_covariates` are provided at training or inference time,
+        they will be passed only to the forecasting models supporting them.
+
+        The regression model does not leverage the covariates passed to ``fit()`` and ``predict()``.
+
         Parameters
         ----------
         forecasting_models
@@ -47,8 +48,10 @@ def __init__(
         regression_model
             Any regression model with ``predict()`` and ``fit()`` methods (e.g. from scikit-learn)
             Default: ``darts.model.LinearRegressionModel(fit_intercept=False)``
+        show_warnings
+            Whether to show warnings related to forecasting_models covariates support.
         """
-        super().__init__(forecasting_models)
+        super().__init__(models=forecasting_models, show_warnings=show_warnings)
         if regression_model is None:
             regression_model = LinearRegressionModel(
                 lags=None, lags_future_covariates=[0], fit_intercept=False
@@ -115,10 +118,15 @@ def fit(
             )
 
         for model in self.models:
+            # maximize covariate usage
             model._fit_wrapper(
                 series=forecast_training,
-                past_covariates=past_covariates,
-                future_covariates=future_covariates,
+                past_covariates=past_covariates
+                if model.supports_past_covariates
+                else None,
+                future_covariates=future_covariates
+                if model.supports_future_covariates
+                else None,
             )
 
         predictions = self._make_multiple_predictions(

diff --git a/darts/models/forecasting/regression_model.py b/darts/models/forecasting/regression_model.py
@@ -802,6 +802,14 @@ def lagged_feature_names(self) -> Optional[List[str]]:
     def __str__(self):
         return self.model.__str__()
 
+    @property
+    def supports_past_covariates(self) -> bool:
+        return len(self.lags.get("past", [])) > 0
+
+    @property
+    def supports_future_covariates(self) -> bool:
+        return len(self.lags.get("future", [])) > 0
+
     @property
     def supports_static_covariates(self) -> bool:
         return True

diff --git a/darts/models/forecasting/theta.py b/darts/models/forecasting/theta.py
@@ -40,7 +40,7 @@ def __init__(
 
         `season_mode` must be a ``SeasonalityMode`` Enum member.
 
-        You can access the Enum with ``from darts import SeasonalityMode``.
+        You can access the Enum with ``from darts.utils.utils import SeasonalityMode``.
 
         Parameters
         ----------