Add HorizontalSMAModel

- the model applies a simple moving average on horizontal time series
- refactor `db.Forecast.from_dataframe()` to correctly convert
  `float('NaN')` values into `None`; otherwise, SQLAlchemy complains
This commit is contained in:
Alexander Hess 2021-02-02 12:40:53 +01:00
commit 015d304306
Signed by: alexander
GPG key ID: 344EA5AB10D868E0
5 changed files with 116 additions and 14 deletions

View file

@ -31,5 +31,6 @@ A future `planning` sub-package will contain the `*Model`s used to plan the
from urban_meal_delivery.forecasts.models.base import ForecastingModelABC
from urban_meal_delivery.forecasts.models.tactical.horizontal import HorizontalETSModel
from urban_meal_delivery.forecasts.models.tactical.horizontal import HorizontalSMAModel
from urban_meal_delivery.forecasts.models.tactical.realtime import RealtimeARIMAModel
from urban_meal_delivery.forecasts.models.tactical.vertical import VerticalARIMAModel

View file

@ -65,3 +65,66 @@ class HorizontalETSModel(base.ForecastingModelABC):
raise RuntimeError('missing prediction for `predict_at`')
return predictions
class HorizontalSMAModel(base.ForecastingModelABC):
"""A simple moving average model applied on a horizontal time series."""
name = 'hsma'
def predict(
self, pixel: db.Pixel, predict_at: dt.datetime, train_horizon: int,
) -> pd.DataFrame:
"""Predict demand for a time step.
Args:
pixel: pixel in which the prediction is made
predict_at: time step (i.e., "start_at") to make the prediction for
train_horizon: weeks of historic data used to predict `predict_at`
Returns:
actual order counts (i.e., the "actual" column) and
point forecasts (i.e., the "prediction" column);
this model does not support confidence intervals;
contains one row for the `predict_at` time step
# noqa:DAR401 RuntimeError
"""
# Generate the historic (and horizontal) order time series.
training_ts, frequency, actuals_ts = self._order_history.make_horizontal_ts(
pixel_id=pixel.id, predict_at=predict_at, train_horizon=train_horizon,
)
# Sanity checks.
if frequency != 7: # pragma: no cover
raise RuntimeError('`frequency` should be `7`')
if len(actuals_ts) != 1: # pragma: no cover
raise RuntimeError(
'the hsma model can only predict one step into the future',
)
# The "prediction" is calculated as the `np.mean()`.
# As the `training_ts` covers only full week horizons,
# no adjustment regarding the weekly seasonality is needed.
predictions = pd.DataFrame(
data={
'actual': actuals_ts,
'prediction': training_ts.values.mean(),
'low80': float('NaN'),
'high80': float('NaN'),
'low95': float('NaN'),
'high95': float('NaN'),
},
index=actuals_ts.index,
)
# Sanity checks.
if ( # noqa:WPS337
predictions[['actual', 'prediction']].isnull().any().any()
): # pragma: no cover
raise RuntimeError('missing predictions in hsma model')
if predict_at not in predictions.index: # pragma: no cover
raise RuntimeError('missing prediction for `predict_at`')
return predictions