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Double Seasonal Exponential Smoothing using PyTorch + ES-RNN capabilities on top

Project description

torch-es

Double Seasonal Exponential Smoothing using PyTorch with batched data and multiple series training support.

📋 Roadmap

There are lots of tools built on top of the code in this repository, so the plan is to add them here eventually.

Here's what's published:

  • [x] 3d Holt-Winters implementation
  • [x] Additive and Multiplicative seasonalities
  • [x] Blender module to merge predictions from multiple series.
  • [ ] Training loop for normal and bptt training.
  • [ ] Uncertainty estimation via sampling.
  • [ ] Additional losses
  • [ ] RNN training on top of HW.

📚 Dependencies

  • torch
  • numpy

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