Fix/optimized hfc prob regr (unit8co#2534)

Author: dennisbader

CHANGELOG.md

@@ -24,6 +24,7 @@ but cannot always guarantee backwards compatibility. Changes that may **break co
 
 **Fixed**
 
+- Fixed a bug when performing probabilistic optimized historical forecasts (`num_samples>1, retrain=False, enable_optimization=True`) with regression models, where reshaping the array resulted in a wrong order of samples across components and forecasts. [#2534](https://github.com/unit8co/darts/pull/2534) by [Dennis Bader](https://github.com/dennisbader).
 - Fixed bug when plotting a probabilistic multivariate series, where all confidence intervals (starting from 2nd component) had the same color as the median line. [#2532](https://github.com/unit8co/darts/pull/2532) by [Dennis Bader](https://github.com/dennisbader).
 - Fixed a bug when passing an empty array to `TimeSeries.prepend/append_values()` raised an error. [#2522](https://github.com/unit8co/darts/pull/2522) by [Alessio Pellegrini](https://github.com/AlessiopSymplectic)
 - Fixed a bug with `TimeSeries.prepend/append_values()`, where the name of the (time) index was lost. [#2522](https://github.com/unit8co/darts/pull/2522) by [Alessio Pellegrini](https://github.com/AlessiopSymplectic)

darts/tests/models/forecasting/test_historical_forecasts.py

@@ -2314,6 +2314,93 @@ def test_predict_likelihood_parameters(self, model_type):
             )
             assert len(hist_fc) == n + 1
 
+    @pytest.mark.parametrize(
+        "config",
+        product(
+            [False, True],  # last_points_only
+            [True, False],  # multi_models
+            [1, 2, 3],  # horizon
+        ),
+    )
+    def test_probabilistic_optimized_hist_fc_regression(self, config):
+        """Tests optimized probilistic historical forecasts for regression models."""
+        np.random.seed(42)
+        lpo, multi_models, n = config
+        ocl = 2
+        q = [0.05, 0.50, 0.95]
+
+        y = tg.linear_timeseries(length=20)
+        y = y.stack(y + 1.0)
+        y = [y, y]
+
+        icl = 3
+        model = LinearRegressionModel(
+            lags=icl,
+            output_chunk_length=ocl,
+            likelihood="quantile",
+            quantiles=q,
+            multi_models=multi_models,
+        )
+        model.fit(y)
+        # probabilistic forecasts non-optimized
+        hfcs_no_opt = model.historical_forecasts(
+            series=y,
+            forecast_horizon=n,
+            last_points_only=lpo,
+            retrain=False,
+            enable_optimization=False,
+            num_samples=1000,
+            stride=n,
+        )
+        # probabilistic forecasts optimized
+        hfcs_opt = model.historical_forecasts(
+            series=y,
+            forecast_horizon=n,
+            last_points_only=lpo,
+            retrain=False,
+            enable_optimization=True,
+            num_samples=1000,
+            stride=n,
+        )
+        if n <= ocl:
+            # quantile forecasts optimized
+            hfcs_opt_q = model.historical_forecasts(
+                series=y,
+                forecast_horizon=n,
+                last_points_only=lpo,
+                retrain=False,
+                enable_optimization=True,
+                predict_likelihood_parameters=True,
+                stride=n,
+            )
+            if lpo:
+                q_med = hfcs_opt_q[0].components[1::3].tolist()
+            else:
+                q_med = hfcs_opt_q[0][0].components[1::3].tolist()
+                hfcs_opt_q = (
+                    [concatenate(hfc) for hfc in hfcs_opt_q]
+                    if hfcs_opt_q is not None
+                    else hfcs_opt_q
+                )
+            hfcs_opt_q = (
+                [hfc[q_med] for hfc in hfcs_opt_q]
+                if hfcs_opt_q is not None
+                else hfcs_opt_q
+            )
+        else:
+            hfcs_opt_q = [None] * len(hfcs_opt)
+
+        if not lpo:
+            hfcs_opt = [concatenate(hfc) for hfc in hfcs_opt]
+            hfcs_no_opt = [concatenate(hfc) for hfc in hfcs_no_opt]
+
+        for hfc_opt, mean_opt_q, hfc_no_opt in zip(hfcs_opt, hfcs_opt_q, hfcs_no_opt):
+            mean_opt = hfc_opt.all_values().mean(axis=2)
+            mean_no_opt = hfc_no_opt.all_values().mean(axis=2)
+            assert np.abs(mean_opt - mean_no_opt).max() < 0.1
+            if mean_opt_q is not None:
+                assert np.abs(mean_opt - mean_opt_q.values()).max() < 0.1
+
     @pytest.mark.parametrize(
         "model_type,enable_optimization",
         product(["regression", "torch"], [True, False]),

darts/utils/historical_forecasts/optimized_historical_forecasts_regression.py

@@ -141,18 +141,23 @@ def _optimized_historical_forecasts_last_points_only(
         )
         # forecast has shape ((forecastable_index_length-1)*num_samples, k, n_component)
         # where k = output_chunk length if multi_models, 1 otherwise
-
-        # reshape into (forecasted indexes, n_components, n_samples), components are interleaved
-        forecast = forecast.reshape(X.shape[0], -1, num_samples)
+        # reshape into (forecasted indexes, output_chunk_length, n_components, n_samples)
+        forecast = np.moveaxis(
+            forecast.reshape(
+                X.shape[0],
+                num_samples,
+                model.output_chunk_length if model.multi_models else 1,
+                -1,
+            ),
+            1,
+            -1,
+        )
 
         # extract the last sub-model forecast for each component
         if model.multi_models:
-            forecast = forecast[
-                :,
-                (forecast_horizon - 1) * len(forecast_components) : (forecast_horizon)
-                * len(forecast_components),
-                :,
-            ]
+            forecast = forecast[:, forecast_horizon - 1]
+        else:
+            forecast = forecast[:, 0]
 
         forecasts_list.append(
             TimeSeries.from_times_and_values(
@@ -237,7 +242,6 @@ def _optimized_historical_forecasts_all_points(
 
         # Additional shift, to account for the model output_chunk_length
         shift_start = 0
-        # shift_end = 0
         if model.output_chunk_length > 1:
             # used to convert the shift into the appropriate unit
             unit = freq if series_.has_datetime_index else 1
@@ -296,26 +300,27 @@ def _optimized_historical_forecasts_all_points(
             predict_likelihood_parameters=predict_likelihood_parameters,
             **kwargs,
         )
-
-        # reshape and stride the forecast into (forecastable_index, forecast_horizon, n_components, num_samples)
-        if model.multi_models:
-            # forecast has shape ((forecastable_index_length-1)*num_samples, output_chunk_length, n_component)
-            # and the components are interleaved
-            forecast = forecast.reshape(
+        # forecast has shape ((forecastable_index_length-1)*num_samples, k, n_component)
+        # where k = output_chunk length if multi_models, 1 otherwise
+        # reshape into (forecasted indexes, output_chunk_length, n_components, n_samples)
+        forecast = np.moveaxis(
+            forecast.reshape(
                 X.shape[0],
-                model.output_chunk_length,
-                len(forecast_components),
                 num_samples,
-            )
+                model.output_chunk_length if model.multi_models else 1,
+                -1,
+            ),
+            1,
+            -1,
+        )
+
+        if model.multi_models:
             forecast = forecast[::stride, :forecast_horizon]
         else:
-            # forecast has shape ((forecastable_index_length-1)*num_samples, 1, n_component)
-            # and the components are interleaved
-            forecast = forecast.reshape(X.shape[0], -1, num_samples)
-
-            # forecasts depend on lagged data only, output_chunk_length is reconstitued by applying a sliding window
+            # entire forecast horizon is given by multiple (previous) forecasts -> apply sliding window
             forecast = sliding_window_view(
-                forecast, (forecast_horizon, len(forecast_components), num_samples)
+                forecast[:, 0],
+                (forecast_horizon, len(forecast_components), num_samples),
             )
 
             # apply stride, remove the last windows, slice output_chunk_length to keep forecast_horizon values