Julien Herzen hrzn

Engineering lead at @isomorphiclabs. Prev: creator of Darts for ML on time series.

hrzn / reconciliation_reconciled_mae.py

Created August 23, 2022 14:27

measure_mae(reconcilied_preds)

hrzn / reconciliation_plot5.py

Created August 23, 2022 14:26

plot_forecast_sums(reconcilied_preds)

hrzn / reconciliation_mint.py

Created August 23, 2022 14:25

	reconciliator = MinTReconciliator(method="wls_val")
	reconciliator.fit(train)
	reconcilied_preds = reconciliator.transform(pred)

hrzn / reconciliation_plot4.py

Created August 23, 2022 14:23

	def plot_forecast_sums(pred_series):
	plt.figure(figsize=(10, 5))

	pred_series["Total"].plot(label="total", lw=6, alpha=0.3, color="grey")
	sum([pred_series[r] for r in regions]).plot(label="sum of regions")
	sum([pred_series[r] for r in reasons]).plot(label="sum of reasons")
	sum([pred_series[t] for t in regions_reasons_comps]).plot(
	label="sum of (region, reason) series"
	)
	sum([pred_series[t] for t in regions_reasons_city_comps]).plot(

hrzn / reconciliation_mae.py

Created August 23, 2022 14:22

	# we pre-generate some of the components' names
	regions_reasons_comps = list(
	map(lambda t: "{} - {}".format(t[0], t[1].lower()), product(regions, reasons))
	)

	regions_reasons_city_comps = list(
	map(
	lambda t: "{} - {} - {}".format(t[0], t[1].lower(), t[2]),
	product(regions, reasons, city_labels),
	)

hrzn / reconciliation_forecasts1.py

Created August 23, 2022 14:21

	components_to_show = ["Total", "NSW", "NSW - bus", "NSW - hol", "NSW - bus - city"]
	plt.figure(figsize=(14, 8))
	tourism_series[components_to_show].plot(lw=5)
	pred[components_to_show].plot(lw=2)

hrzn / reconciliation_forecast_multiv.py

Created August 23, 2022 14:20

	model = LinearRegressionModel(lags=12)
	model.fit(train)
	pred = model.predict(n=len(val))

hrzn / reconciliation_split.py

Created August 23, 2022 14:20

train, val = tourism_series[:-12], tourism_series[-12:]

hrzn / reconciliation_embed_hierarchy.py

Created August 23, 2022 14:19

tourism_series = tourism_series.with_hierarchy(hierarchy)

hrzn / reconciliation_hierarchy_check.py

Created August 23, 2022 14:18

	for component in ["Hol", "NSW - hol", "NSW - bus - city"]:
	print(f"{component} -> {hierarchy[component]}")