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Add RMSEWithUncertainty likelihood to catboost model #1024

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jonasracine opened this issue Jun 21, 2022 · 0 comments · Fixed by #1044
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Add RMSEWithUncertainty likelihood to catboost model #1024

jonasracine opened this issue Jun 21, 2022 · 0 comments · Fixed by #1044
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jonasracine commented Jun 21, 2022

Currently CatBoost fails with RMSEWithUncertainty as likelihood when output_chunk_length is greater than 1.

Crux of the problem: because CatBoost outputs two values [mu, sigma], arrays need to be reshaped all over the place. Contrary to what we thought, it seems that MultiOutputRegressor does not fail.

Some (messy) work has already been done and can be found on the branch feat/rmse_uncertainty_catboost

A good place to start debugging is to look at the following tests:

  • test_models_accuracy_univariate
  • test_models_accuracy_multivariate
  • test_models_accuracy_multiseries_multivariate
@jonasracine jonasracine added the improvement New feature or improvement label Jun 21, 2022
@jonasracine jonasracine self-assigned this Jun 26, 2022
@jonasracine jonasracine linked a pull request Jun 28, 2022 that will close this issue
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