Merge pull request #400 from unit8co/develop

v0.9.1

Author: hrzn

.github/workflows/develop.yml

@@ -11,8 +11,8 @@ jobs:
     strategy:
       matrix:
         os: [macos-latest, ubuntu-latest]
-        python-version: [3.7, 3.8, 3.9]
-        flavour: ['core', 'all']
+        python-version: [3.9]
+        flavour: ['all']
 
     steps:
       - name: "1. Clone repository"
@@ -38,14 +38,14 @@ jobs:
 
       - name: "4. Setup pip"
         run: |
-          ./gradlew setupPip
+          ./gradlew installPipLatest
 
       - name: "5. Attach cache for pip"
         uses: actions/cache@v1
         id: cache
         with:
           path: ~/.cache/pip
-          key: tests-${{ runner.os }}-${{ matrix.python-version }}-pip-${{ hashFiles('requirements/core.txt', 'requirements/dev.txt', 'requirements/fbprophet.txt', 'requirements/pmdarima.txt', 'requirements/torch.txt') }}
+          key: tests-${{ runner.os }}-${{ matrix.python-version }}-pip-${{ hashFiles('requirements-latest.txt') }}
 
       - name: "6. Tests"
         run: |
@@ -57,10 +57,10 @@ jobs:
       - name: "1. Clone repository"
         uses: actions/checkout@v2
 
-      - name: "2. Set up Python 3.8"
+      - name: "2. Set up Python 3.9"
         uses: actions/setup-python@v1
         with:
-          python-version: 3.8
+          python-version: 3.9
 
       - name: "3. Install pandoc"
         run: |
@@ -88,7 +88,7 @@ jobs:
         id: cache
         with:
           path: ~/.cache/pip
-          key: tests-${{ runner.os }}-3.8-pip-${{ hashFiles('requirements/core.txt', 'requirements/release.txt') }}
+          key: tests-${{ runner.os }}-3.9-pip-${{ hashFiles('requirements/core.txt', 'requirements/release.txt') }}
 
       - name: "7. Build docs"
         run: |
@@ -103,10 +103,10 @@ jobs:
       - name: "1. Clone repository"
         uses: actions/checkout@v2
 
-      - name: "2. Set up Python 3.8"
+      - name: "2. Set up Python 3.9"
         uses: actions/setup-python@v1
         with:
-          python-version: 3.8
+          python-version: 3.9
 
         # downloading gradle multiple times in parallel can yield to connection errors
       - name: "3. Cache gradle distribution"
@@ -124,4 +124,3 @@ jobs:
       - name: "4. Run examples ${{matrix.example-name}}"
         run: |
           ./gradlew checkExample -PexampleName=${{matrix.example-name}}
-

.github/workflows/merge.yml

@@ -13,7 +13,7 @@ jobs:
       matrix:
         os: [macos-latest, ubuntu-latest]
         python-version: [3.7, 3.8, 3.9]
-        flavour: ['core', 'all', 'pmdarima', 'torch', 'fbprophet']
+        flavour: ['all']
 
     steps:
       - name: "1. Clone repository"
@@ -39,14 +39,14 @@ jobs:
 
       - name: "4. Setup pip"
         run: |
-          ./gradlew setupPip
+          ./gradlew installPipLatest
 
       - name: "5. Attach cache for pip"
         uses: actions/cache@v1
         id: cache
         with:
           path: ~/.cache/pip
-          key: tests-${{ runner.os }}-${{ matrix.python-version }}-pip-${{ hashFiles('requirements/core.txt', 'requirements/dev.txt', 'requirements/fbprophet.txt', 'requirements/pmdarima.txt', 'requirements/torch.txt') }}
+          key: tests-${{ runner.os }}-${{ matrix.python-version }}-pip-${{ hashFiles('requirements-latest.txt') }}
 
       - name: "6. Tests"
         run: |
@@ -61,10 +61,10 @@ jobs:
       - name: "1. Clone repository"
         uses: actions/checkout@v2
 
-      - name: "2. Set up Python 3.8"
+      - name: "2. Set up Python 3.9"
         uses: actions/setup-python@v1
         with:
-          python-version: 3.8
+          python-version: 3.9
 
       # downloading gradle multiple times in parallel can yield to connection errors
       - name: "3. Cache gradle distribution"
@@ -79,6 +79,7 @@ jobs:
           path: ~/.gradle/caches
           key: tests-${{ runner.os }}-gradle-${{ hashFiles('gradle/wrapper/gradle-wrapper.properties', 'build.gradle') }}
 
+      # TODO: why is this a matrix? there is no pip caching, and we restart this for each item in the matrix
       - name: "4. Run examples ${{matrix.example-name}}"
         run: |
           ./gradlew checkExample -PexampleName=${{matrix.example-name}}
@@ -90,10 +91,10 @@ jobs:
       - name: "1. Clone repository"
         uses: actions/checkout@v2
 
-      - name: "2. Set up Python 3.8"
+      - name: "2. Set up Python 3.9"
         uses: actions/setup-python@v1
         with:
-          python-version: 3.8
+          python-version: 3.9
 
       - name: "3. Install pandoc"
         run: |
@@ -121,7 +122,7 @@ jobs:
         id: cache
         with:
           path: ~/.cache/pip
-          key: release-${{ runner.os }}-3.8-pip-${{ hashFiles('requirements/core.txt', 'requirements/release.txt') }}
+          key: release-${{ runner.os }}-3.9-pip-${{ hashFiles('requirements/core.txt', 'requirements/release.txt') }}
 
       - name: "7. Build docs"
         run: |

.github/workflows/release.yml

@@ -17,10 +17,10 @@ jobs:
           token: ${{ secrets.RELEASE_WORKFLOW_TOKEN }}
           fetch-depth: '1'
 
-      - name: "2. Set up Python 3.8"
+      - name: "2. Set up Python 3.9"
         uses: actions/setup-python@v1
         with:
-          python-version: 3.8
+          python-version: 3.9
 
       - name: "3. Update pip"
         run: |
@@ -128,10 +128,10 @@ jobs:
       - name: "1. Clone repository"
         uses: actions/checkout@v2
 
-      - name: "2. Set up Python 3.8"
+      - name: "2. Set up Python 3.9"
         uses: actions/setup-python@v1
         with:
-          python-version: 3.8
+          python-version: 3.9
 
       - name: "3. Install pandoc"
         run: |

.gitignore

@@ -17,3 +17,6 @@ coverage.xml
 docs_env
 .DS_Store
 .gradle
+
+# used by CI to build with latest versions of dependencies
+requirements-latest.txt

CHANGELOG.md

@@ -4,7 +4,33 @@
 Darts is still in an early development phase and we 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/develop)
-[Full Changelog](https://github.com/unit8co/darts/compare/0.9.0...develop)
+[Full Changelog](https://github.com/unit8co/darts/compare/0.9.1...develop)
+
+## [0.9.1](https://github.com/unit8co/darts/tree/0.9.1) (2021-07-17)
+### For users of the library:
+
+**Added:**
+- Improved `GaussianProcessFilter`, now handling missing values, and better handling
+time series indexed by datetimes.
+- Improved Gaussian Process notebook.
+
+**Fixed:**
+- `TimeSeries` now supports indexing using `pandas.Int64Index` and not just `pandas.RangeIndex`,
+which solves some indexing issues.
+- We have changed all factory methods of `TimeSeries` to have `fill_missing_dates=False` by
+default. This is because in some cases inferring the frequency for missing dates and
+resampling the series is causing significant performance overhead.
+- Fixed backtesting to make it work with integer-indexed series.
+- Fixed a bug that was causing inference to crash on GPUs for some models.
+- Fixed the default folder name, which was causing issues on Windows systems.
+- We have slightly improved the documentation rendering and fixed the titles 
+of the documentation pages for `RNNModel` and `BlockRNNModel` to distinguish them.
+
+**Changed:**
+- The dependencies are not pinned to some exact versions anymore.
+
+### For developers of the library:
+- We have fixed the building process.
 
 ## [0.9.0](https://github.com/unit8co/darts/tree/0.9.0) (2021-07-09)
 ### For users of the library:

MANIFEST.in

@@ -0,0 +1 @@
+graft requirements

README.md

@@ -112,22 +112,21 @@ Here's a breakdown of the forecasting models currently implemented in Darts. We
 on bringing more models and features.
 
 Model | Univariate | Multivariate | Probabilistic | Multiple-series training | Past-observed covariates support | Future-known covariates support
---- | --- | --- | --- | --- | --- | --- |
-`ARIMA` | x | | x | | | |
-`VARIMA` | x | x | | | | |
-`AutoARIMA` | x | | | | | |
-`ExponentialSmoothing` | x | | x | | | |
-`Theta` and `FourTheta` | x | | | | | |
-`Prophet` | x | | | | | |
-`FFT` (Fast Fourier Transform) | x | | | | | |
-Regression Models (incl `RandomForest` and `LinearRegressionModel`) | x | | | | | |
-`RNNModel` (incl. LSTM and GRU); equivalent to DeepAR in its probabilistic version | x | x | x | x | x | x |
-`BlockRNNModel` (incl. LSTM and GRU) | x | x | | x | x | (x) |
-`NBEATSModel` | x | x | | x | x | (x) |
-`TCNModel` | x | x | x | x | x | (x) |
-`TransformerModel` | x | x | | x | x | (x) |
-Naive Baselines | x | | | | | |
-
+--- | --- | --- | --- | --- | --- | ---
+`ARIMA` | x | | x | | |
+`VARIMA` | x | x | | | |
+`AutoARIMA` | x | | | | |
+`ExponentialSmoothing` | x | | x | | |
+`Theta` and `FourTheta` | x | | | | |
+`Prophet` | x | | | | |
+`FFT` (Fast Fourier Transform) | x | | | | |
+Regression Models (incl `RandomForest` and `LinearRegressionModel`) | x | | | | |
+`RNNModel` (incl. LSTM and GRU); equivalent to DeepAR in its probabilistic version | x | x | x | x | x | x
+`BlockRNNModel` (incl. LSTM and GRU) | x | x | | x | x | ( x )
+`NBEATSModel` | x | x | | x | x | ( x )
+`TCNModel` | x | x | x | x | x | ( x )
+`TransformerModel` | x | x | | x | x | ( x )
+Naive Baselines | x | | | | |
 
 ## Contribute
 
@@ -145,12 +144,12 @@ If what you want to tell us is not a suitable github issue, feel free to send us
 
 ### Preconditions
 
-Some of the models depend on `fbprophet` and `torch`, which have non-Python dependencies.
+Some of the models depend on `prophet` and `torch`, which have non-Python dependencies.
 A Conda environment is thus recommended because it will handle all of those in one go.
 
 The following steps assume running inside a conda environment.
 If that's not possible, first follow the official instructions to install
-[fbprophet](https://facebook.github.io/prophet/docs/installation.html#python)
+[prophet](https://facebook.github.io/prophet/docs/installation.html#python)
 and [torch](https://pytorch.org/get-started/locally/), then skip to
 [Install darts](#install-darts)
 
@@ -166,11 +165,11 @@ Don't forget to activate your virtual environment
 
 #### MAC
 
-    conda install -c conda-forge -c pytorch pip fbprophet pytorch
+    conda install -c conda-forge -c pytorch pip prophet pytorch
 
 #### Linux and Windows
 
-    conda install -c conda-forge -c pytorch pip fbprophet pytorch cpuonly
+    conda install -c conda-forge -c pytorch pip prophet pytorch cpuonly
 
 ### Install darts
 
@@ -181,7 +180,7 @@ we also maintain the `u8darts` package, which provides the following alternate l
 
 * Install core only (without neural networks, Prophet or AutoARIMA): `pip install u8darts`
 * Install core + neural networks (PyTorch): `pip install 'u8darts[torch]'`
-* Install core + Facebook Prophet: `pip install 'u8darts[fbprophet]'`
+* Install core + Facebook Prophet: `pip install 'u8darts[prophet]'`
 * Install core + AutoARIMA: `pip install 'u8darts[pmdarima]'`
 
 ### Running the examples only, without installing:
@@ -213,7 +212,7 @@ alternatively you can run
 ./gradlew lint         # to run linter
 ```
 
-To run the tests for specific flavours of the library, replace `_all` with `_core`, `_fbprophet`, `_pmdarima` or `_torch`.
+To run the tests for specific flavours of the library, replace `_all` with `_core`, `_prophet`, `_pmdarima` or `_torch`.
 
 ### Documentation
 

build.gradle

@@ -57,6 +57,21 @@ task setupPip(type: Exec) {
     commandLine "python", "-m", "pip", "install", "--upgrade", "pip"
 }
 
+task installPipLatest {
+    dependsOn setupPip
+    doLast {
+        exec {
+            commandLine "pip", "install", "pip-tools"
+        }
+        exec {
+            commandLine "pip-compile", "-o", "requirements-latest.txt"
+        }
+        exec {
+            commandLine "pip", "install", "-r", "requirements-latest.txt"
+        }
+    }
+}
+
 void createPipInstallTask(String flavour) {
    String taskName = "pip_" + flavour;
    String taskArgument = "requirements/" + flavour + ".txt";
@@ -65,7 +80,7 @@ void createPipInstallTask(String flavour) {
    }
 }
 
-String[] flavours = ["core", "fbprophet", "pmdarima", "dev", "torch", "release"];
+String[] flavours = ["core", "prophet", "pmdarima", "dev", "torch", "release"];
 
 for(String flavour : flavours) {
     createPipInstallTask(flavour);
@@ -79,7 +94,7 @@ task pipInstall() {
     doFirst {
         setupPip
     }
-    dependsOn pip_core, pip_dev, pip_fbprophet, pip_pmdarima, pip_torch, pip_release
+    dependsOn pip_core, pip_dev, pip_prophet, pip_pmdarima, pip_torch, pip_release
 }
 
 // Tests
@@ -115,19 +130,25 @@ void createPipRelatedTask(String flavour) {
    }
 }
 
-flavours = ["core", "fbprophet", "pmdarima", "torch"];
+flavours = ["core", "prophet", "pmdarima", "torch"];
 
 for(String flavour : flavours) {
     createPipRelatedTask(flavour);
 }
 
 task unitTest_all(type: Exec) {
-    dependsOn pip_core, pip_dev, pip_fbprophet, pip_pmdarima, pip_torch
+    dependsOn installPipLatest, pip_dev
+    doFirst {
+        installPipLatest
+    }
     commandLine "python", "-m", "unittest"
 }
 
 task coverageTest_all() {
-    dependsOn pip_core, pip_dev, pip_fbprophet, pip_pmdarima, pip_torch
+    dependsOn installPipLatest, pip_dev
+    doFirst {
+        installPipLatest
+    }
     doLast {
         coverageTestSteps()
     }

darts/datasets/__init__.py

@@ -140,7 +140,8 @@ def __init__(self):
             uri=_DEFAULT_PATH+"/monthly-milk-incomplete.csv",
             hash="49b275c7e2f8f28a6a05224be1a049a4",
             header_time="Month",
-            format_time="%Y-%m"
+            format_time="%Y-%m",
+            freq='M'
         ))
 
 
@@ -197,7 +198,8 @@ def __init__(self):
             uri=_DEFAULT_PATH+"/temps.csv",
             hash="ce5b5e4929793ec8b6a54711110acebf",
             header_time="Date",
-            format_time="%m/%d/%Y"
+            format_time="%m/%d/%Y",
+            freq='D'
         ))
 
 

darts/datasets/dataset_loaders.py

@@ -23,6 +23,8 @@ class DatasetLoaderMetadata:
     # used to convert the string date to pd.Datetime
     # https://docs.python.org/3/library/datetime.html#strftime-and-strptime-behavior
     format_time: str = None
+    # used to indicate the freq when we already know it
+    freq: str = None
 
 
 class DatasetLoadingException(BaseException):
@@ -145,5 +147,5 @@ def _load_from_disk(self, path_to_file: Path, metadata: DatasetLoaderMetadata) -
         df = pd.read_csv(path_to_file)
         if metadata.header_time is not None:
             df = self._format_time_column(df)
-            return TimeSeries.from_dataframe(df=df, time_col=metadata.header_time)
+            return TimeSeries.from_dataframe(df=df, time_col=metadata.header_time, freq=metadata.freq)
         return TimeSeries.from_dataframe(df)