v0.3.0

[AzulGarza]

Computational Efficiency Improvements

• New aggregate function that generates the hierarchical time series and the aggregation constraints matrix. Improve from $O((N_{a}+N_{b})^{2}log(N_{a}+N_{b}))$ to $O((N_{a}+N_{b})$.
• Vectorization of the creation of probabilistic prediction levels, before done in for loops now performed in a single vectorized numpy call.

Evaluation Utilities

• Added scaled continuous ranked probability scores (sCRPS).
• Added mean scaled squared errors (MSSE).
• Added energy score metric.
• Added random sampling outputs to probabilistic reconcilers.
• Added core.bootstrap_reconcile method to apply over different random seeds the reconcilers and generate standard deviations.

Refactorization of the HierarchicalForecast classes

• Overall improvement of the core.reconciliation method.
• Decoupled the probabilistic reconciler classes from the mean reconciler classes.
• Decoupled fit protections from reconciliation.
• Reconciler's inputs now mostly receive mostly numpy arrays.
• Simplified and deprecated dependencies.

Documentation Improvements

• Installation guide.
• New introduction tutorial with minimal, intuitive example.
• Tutorial on evaluation of reconciliation probabilistic reconciliation baselines.

New Collaborators and HierarchicalForecast Paper

• We started a fruitful collaboration with Souhaib Ben Taieb
  and Shanika Wickramasuriya.
• We submitted the HierarchicalForecast library paper to the Journal of Machine Learning Research.

What's Changed

• [FEAT] Ignore jupyter notebooks as part of languages in [FEAT] Ignore jupyter notebooks as part of languages #120
• [FEAT] Factorizing reverse_sigmah from HierarchicalReconciliation in Factorizing reverse_sigmah from HierarchicalReconciliation #121
• [FEAT] Decoupling _reconcile, from _get_PW_matrices. in Decoupling _reconcile, from _get_PW_matrices. #123
• [FEAT] PW initialization in PW initialization #124
• Prob Reconciler's tests location in Prob Reconciler's tests location #125
• Core Refactorization + Reconcilers.fit in Core Refactorization + Reconcilers.fit #128
• CircleCI in CircleCI #129
• Shared HReconciler + predict method in Shared HReconciler + predict method. #131
• [FEAT] Reconciler's sample method in [FEAT] Reconciler's sample method #133
• [FEAT] CRPS, MSSE and Energy Score metrics in [FEAT] CRPS, MSSE and Energy Score metrics #134
• time tracking utils in time tracking utils #135
• [FEAT] Faster creation of ProbReconciler's ordered levels in [FEAT] Faster creation of ProbReconciler's ordered levels #137
• [FIX] Matplotlib and numba errors in [FIX] Matplotlib and numba errors #142
• [FIX] Circle ci integration in [FIX] Circle ci integration #141
• [BUG] PERMBU unique_id order and num_samples in [BUG] PERMBU unique_id order and num_samples #143
• [Bug] Fixed S_df categorical index ordering in [Bug] Fixed S_df categorical index ordering #145
• [FEAT] seed/num_samples usage possibility + MSSE evaluation example in [FEAT] seed/num_samples usage possibility + MSSE evaluation example #147
• [FEAT] Faster aggregate function + Gaussian Log Score in [FEAT] Faster aggregate function + Gaussian Log Score #150
• [FIX] Documentation + Update bib reference in [FIX] Documentation + Update bib reference #156
• light improvements to readme in light improvements to readme #157
• [FIX] Use micromamba instead of miniconda (CI) in [FIX] Use micromamba instead of miniconda (CI) #167
• [BUG] Added level domain protection for normality and permbu methods in [BUG] Added level domain protection for normality and permbu methods. #166
• Level domain protection in Level domain protection #169
• Omit expensive linear algebra when not necessary in MinTrace in Omit expensive linear algebra when not necessary in MinTrace #171
• [FIX] Add correct github link in [FIX] Add correct github link #173
• [DOCS] Improved index, intro, quick start, and geographical forecasts in [DOCS] Improved index, intro, quick start, and geographical forecasts #175

New Contributors

• @melopeo made their first contribution in light improvements to readme #157
• @mcsqr made their first contribution in Omit expensive linear algebra when not necessary in MinTrace #171
• @cchallu made their first contribution in [DOCS] Improved index, intro, quick start, and geographical forecasts #175

Full Changelog: v0.2.1...v0.3.0

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This discussion was created from the release v0.3.0.