modeltime.gluonts 0.3.1 | GluonTS 0.8.0

Installation Support

Windows Conflicting Dependencies

Improved support for conflicting package dependencies on Windows Operating Systems. Solution is to separate the installation process into two stages, which happens inside of install_gluonts(). #32

pytorch-lightning 1.3.8 depends on numpy>=1.17.2
mxnet 1.7.0.post1 depends on numpy<1.17.0 and >=1.8.2

New Uninstall Function

Users can now uninstall_gluonts().

modeltime.gluonts 0.3.0 | GluonTS 0.8.0

Support for GluonTS 0.8.0 and Pytorch Backend:

Modeltime GluonTS now support gluonts 0.8.0. Simply run install_gluonts() to upgrade. The upgraded support makes modeltime.gluonts incompatible with earlier versions of GluonTS (e.g. gluonts 0.6.3). The solution is to upgrade to gluonts 0.8.0, which requires:

• gluonts==0.8.0

• mxnet~=1.7

Additionally, GluonTS 0.8.0 now supports pytorch as a backend. Use install_gluonts(include_pytorch = TRUE) to simplify installation of the PyTorch backend. Pytorch backend requirements:

• torch~=1.6.0

• pytorch-lightning~=1.1

New Algorithms

Pytorch DeepAR

A new engine has been added to deep_ar() that enables the Pytorch backend using set_engine("torch"). This requires the Python packages pytorch and pytorch-lightning. Use install_gluonts(include_pytorch = TRUE) to simplify installation.

GP Forecaster Algorithm

A new function, gp_forecaster(), integrates the Gaussian Process Estimator from GluonTS.

Deep State Algorithm

A new function, deep_state(), integrates the Deep State Estimator from GluonTS.

Tutorials

• We've updated the Installation Guide. This includes revised requirements for installation, upgrading to modeltime.gluonts >= 0.3.0, troubleshooting installation, python environment requirements, and custom python environments.

• We've updated the Getting Started Guide to go through a DeepAR example.

• We've update the GPU Setup Instructions to cover Modeltime >=0.3.0.

modeltime.gluonts 0.2.2 | GluonTS 0.6.3

This version uses the GluonTS Dependencies:

• gluonts==0.6.3
• mxnet==1.6.0