Ensemble proposal

experiments/ensembles-first-run.py

@@ -0,0 +1,289 @@
+import os
+import sys
+import urllib.request
+
+import numpy as np
+import pandas as pd
+
+sys.path.insert(0, "/home/el-cacomixtle/timecopilot/")
+
+from timecopilot.models.ensembles.median import MedianEnsemble
+from timecopilot.models.ensembles.trimmed import TrimmedEnsemble
+from timecopilot.models.foundation.chronos import Chronos
+from timecopilot.models.foundation.timesfm import TimesFM
+from timecopilot.models.foundation.tirex import TiRex
+from timecopilot.models.stats import SeasonalNaive, Theta
+
+
+# -----------------------------
+# metric
+# -----------------------------
+def smape(y_true, y_pred):
+    y_true = np.asarray(y_true, dtype=float)
+    y_pred = np.asarray(y_pred, dtype=float)
+    return 100 * np.mean(
+        2 * np.abs(y_pred - y_true) / (np.abs(y_true) + np.abs(y_pred) + 1e-8)
+    )
+
+
+# -----------------------------
+# data fetch
+# -----------------------------
+def ensure_m4_monthly_csvs(data_dir="data/m4"):
+    os.makedirs(data_dir, exist_ok=True)
+    base = "https://raw.githubusercontent.com/Mcompetitions/M4-methods/master/Dataset"
+    files = {
+        "Monthly-train.csv": f"{base}/Train/Monthly-train.csv",
+        "Monthly-test.csv": f"{base}/Test/Monthly-test.csv",
+    }
+    for fname, url in files.items():
+        path = os.path.join(data_dir, fname)
+        if not os.path.exists(path):
+            print(f"[download] {fname}")
+            urllib.request.urlretrieve(url, path)
+    return (
+        os.path.join(data_dir, "Monthly-train.csv"),
+        os.path.join(data_dir, "Monthly-test.csv"),
+    )
+
+
+def melt_train_test_monthly_period(train_wide, test_wide, ids, start="2000-01"):
+    # ---- train ----
+    tr = train_wide[train_wide["V1"].isin(ids)].copy()
+    tr_long = (
+        tr.melt(id_vars="V1", var_name="t", value_name="y")
+        .dropna()
+        .rename(columns={"V1": "unique_id"})
+    )
+    tr_long["k"] = tr_long.groupby("unique_id").cumcount()
+
+    # per-series lengths
+    n_train = tr_long.groupby("unique_id")["k"].max() + 1  # Series: unique_id -> len
+
+    # month-end ds for train
+    def _train_ds(uid, k):
+        pr = pd.period_range(start=start, periods=int(n_train[uid]), freq="M")
+        return pr.to_timestamp(how="end")[k]
+
+    tr_long["ds"] = tr_long.apply(
+        lambda r: _train_ds(r["unique_id"], int(r["k"])), axis=1
+    )
+    tr_long = tr_long[["unique_id", "ds", "y"]]
+
+    # ---- test ----
+    te = test_wide[test_wide["V1"].isin(ids)].copy()
+    te_long = (
+        te.melt(id_vars="V1", var_name="t", value_name="y")
+        .dropna()
+        .rename(columns={"V1": "unique_id"})
+    )
+    te_long["k"] = te_long.groupby("unique_id").cumcount()
+
+    # month-end ds for test continues after train
+    def _test_ds(uid, k):
+        pr = pd.period_range(
+            start=start,
+            periods=int(n_train[uid])
+            + int(te_long[te_long["unique_id"] == uid]["k"].max() + 1),
+            freq="M",
+        )
+        return pr.to_timestamp(how="end")[int(n_train[uid]) + k]
+
+    te_long["ds"] = te_long.apply(
+        lambda r: _test_ds(r["unique_id"], int(r["k"])), axis=1
+    )
+    te_long = te_long[["unique_id", "ds", "y"]]
+
+    return tr_long, te_long
+
+
+def melt_train_test_monthly_fast(train_wide, test_wide, ids, start="2000-01"):
+    # --- train long ---
+    tr = train_wide[train_wide["V1"].isin(ids)]
+    tr_long = (
+        tr.melt(id_vars="V1", var_name="t", value_name="y")
+        .dropna()
+        .rename(columns={"V1": "unique_id"})
+    )
+    tr_long["k"] = tr_long.groupby("unique_id").cumcount()
+
+    # train lengths per series
+    n_train = tr_long.groupby("unique_id")["k"].max().add(1).astype(int)
+
+    # --- test long ---
+    te = test_wide[test_wide["V1"].isin(ids)]
+    te_long = (
+        te.melt(id_vars="V1", var_name="t", value_name="y")
+        .dropna()
+        .rename(columns={"V1": "unique_id"})
+    )
+    te_long["k"] = te_long.groupby("unique_id").cumcount()
+    n_test = te_long.groupby("unique_id")["k"].max().add(1).astype(int)
+
+    # total length per series and a global calendar
+    # big enough for max total length
+    n_total = (n_train + n_test).astype(int)
+    max_total = int(n_total.max())
+
+    # month-end timeline once
+    cal = pd.period_range(start=start, periods=max_total, freq="M").to_timestamp(
+        how="end"
+    )
+
+    # assign ds by indexing into cal (vectorized via numpy take)
+    tr_ds_idx = tr_long["k"].to_numpy()
+    tr_long["ds"] = cal.take(tr_ds_idx)
+
+    te_ds_idx = (te_long["k"] + te_long["unique_id"].map(n_train)).to_numpy()
+    te_long["ds"] = cal.take(te_ds_idx)
+
+    train_df = tr_long[["unique_id", "ds", "y"]]
+    test_df = te_long[["unique_id", "ds", "y"]]
+    return train_df, test_df
+
+
+# -----------------------------
+# Fix B: datetime ds + freq="M"
+# -----------------------------
+def melt_monthly_datetime(df, ids):
+    df = df[df["V1"].isin(ids)]
+    long = (
+        df.melt(id_vars="V1", var_name="t", value_name="y")
+        .dropna()
+        .rename(columns={"V1": "unique_id"})
+    )
+    # integer time index per series
+    long["k"] = long.groupby("unique_id").cumcount()
+    # fake monthly datetimes (spacing is what's relevant here)
+    long["ds"] = pd.to_datetime("2000-01-01") + pd.to_timedelta(
+        long["k"] * 30, unit="D"
+    )
+    long = long.drop(columns=["t", "k"])
+    return long[["unique_id", "ds", "y"]]
+
+
+# -----------------------------
+# debug helpers
+# -----------------------------
+def debug_df(name, df):
+    print(f"\n[{name}] shape={df.shape}")
+    print(df.head(3))
+    print(f"[{name}] dtypes:\n{df.dtypes}")
+    print(f"[{name}] unique_id n={df['unique_id'].nunique()}")
+    print(f"[{name}] ds min/max: {df['ds'].min()} -> {df['ds'].max()}")
+    print(f"[{name}] y NaNs: {df['y'].isna().sum()}")
+    # per-series lengths
+    lens = df.groupby("unique_id").size()
+    print(f"[{name}] per-series length:\n{lens.to_string()}")
+
+
+def debug_forecast_output(name, fcst, alias):
+    print(f"\n[{name}] forecast shape={fcst.shape}")
+    print(fcst.head(3))
+    print(f"[{name}] columns: {list(fcst.columns)}")
+    if alias not in fcst.columns:
+        raise RuntimeError(f"[{name}] missing point column: {alias}")
+
+    na_point = fcst[alias].isna().sum()
+    print(f"[{name}] point NaNs ({alias}): {na_point}/{len(fcst)}")
+
+    # show any quantile cols if present
+    qcols = [c for c in fcst.columns if c.startswith(f"{alias}-q-")]
+    if qcols:
+        na_q = fcst[qcols].isna().sum().sort_values(ascending=False)
+        print(f"[{name}] quantile cols: {qcols}")
+        print(f"[{name}] quantile NaNs (top):\n{na_q.head(5).to_string()}")
+    else:
+        print(
+            f"[{name}] no quantile columns found \
+            (ok if you didn't request quantiles)."
+        )
+
+
+# -----------------------------
+# run
+# -----------------------------
+train_path, test_path = ensure_m4_monthly_csvs()
+train = pd.read_csv(train_path)
+test = pd.read_csv(test_path)
+
+# lengths in the wide file = count of
+# non-null values across columns V2..end
+len_by_id = train.set_index("V1").notna().sum(axis=1) - 0
+len_by_id = train.set_index("V1").iloc[:, 1:].notna().sum(axis=1)
+
+eligible = len_by_id[len_by_id >= 70].index
+series_ids = eligible[:50].to_numpy()  # or .sample(50, random_state=0)
+print(f"[setup] eligible(>=70)={len(eligible)}; using={len(series_ids)}")
+
+# train_df = melt_train_test_monthly_datetime(train, series_ids)
+# test_df  = melt_trian_test_monthly_datetime(test, series_ids)
+# Fast version works for transforming bigger amounts of data.
+train_df, test_df = melt_train_test_monthly_fast(train, test, series_ids)
+
+
+debug_df("train_df", train_df)
+debug_df("test_df", test_df)
+
+# horizon = test length per series
+h = int(test_df.groupby("unique_id").size().iloc[0])
+print(f"\n[setup] horizon h={h}")
+
+# -----------------------------
+# models
+# -----------------------------
+batch_size = 64
+base_models = [
+    Chronos(repo_id="amazon/chronos-2", batch_size=batch_size),
+    TimesFM(repo_id="google/timesfm-2.5-200m-pytorch", batch_size=batch_size),
+    TiRex(batch_size=batch_size),
+    SeasonalNaive(),
+    Theta(),
+]
+
+median_ens = MedianEnsemble(models=base_models, alias="Median")
+trimmed_ens = TrimmedEnsemble(models=base_models, alias="Trimmed")
+
+
+def run_and_score(ens, name):
+    print(f"\n=== running {name} ===")
+    fcst = ens.forecast(df=train_df, h=h, freq="M")  # Fix B call
+    debug_forecast_output(name, fcst, ens.alias)
+
+    merged = fcst.merge(
+        test_df, on=["unique_id", "ds"], how="inner", suffixes=("", "_true")
+    )
+    print(f"[{name}] merge rows={len(merged)} (expected ~ {len(test_df)})")
+    print(
+        f"[{name}] merged NaNs: y={merged['y'].isna().sum()}, \
+        pred={merged[ens.alias].isna().sum()}"
+    )
+
+    # if merge got weird (ds mismatch), this will expose it fast
+    if len(merged) == 0:
+        print(
+            f"[{name}] ERROR: merge is empty. \
+            ds alignment is wrong (train/test ds mismatch)."
+        )
+        return None, None, fcst
+
+    # per-series smape
+    per_series = merged.groupby("unique_id").apply(
+        lambda x: smape(x["y"], x[ens.alias])
+    )
+    overall = float(per_series.mean())
+
+    print(f"[{name}] sMAPE per series:\n{per_series.round(2).to_string()}")
+    print(f"[{name}] sMAPE overall: {overall:.2f}")
+
+    return overall, per_series, fcst
+
+
+median_overall, median_per, median_fcst = run_and_score(median_ens, "MedianEnsemble")
+trim_overall, trim_per, trim_fcst = run_and_score(trimmed_ens, "TrimmedEnsemble")
+
+print("\n=== summary (sMAPE ↓ better) ===")
+if median_overall is not None:
+    print(f"MedianEnsemble : {median_overall:.2f}")
+if trim_overall is not None:
+    print(f"TrimmedEnsemble: {trim_overall:.2f}")

mkdocs.yml

@@ -27,6 +27,7 @@ nav:
           - examples/ts-foundation-models-comparison-quickstart.ipynb
           - examples/gift-eval.ipynb
           - examples/chronos-family.ipynb
+          - examples/crytpocurrency-quickstart.ipynb
   - Experiments:
       - experiments/gift-eval.md
       - experiments/fev.md

timecopilot/forecaster.py

@@ -113,10 +113,7 @@ def _call_models(
                     # to cross validation
                     # (the initial model)
                     res_df_model = res_df_model.drop(columns=["y"])
-                res_df = res_df.merge(
-                    res_df_model,
-                    on=merge_on,
-                )
+                res_df = res_df.merge(res_df_model, on=merge_on, how="left")
         return res_df
 
     def forecast(