Double Seasonal Exponential Smoothing using PyTorch + ES-RNN capabilities on top
Double Seasonal Exponential Smoothing using
PyTorch with batched data and multiple series training support.
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.
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