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[FEAT] Faster creation of ProbReconciler's ordered levels #137

Merged
merged 15 commits into from
Dec 17, 2022
Merged

[FEAT] Faster creation of ProbReconciler's ordered levels #137

merged 15 commits into from
Dec 17, 2022

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kdgutier
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To evaluate efficiently CRPS it is convenient to have ordered levels that are fast to run, to achieve this I:

  • Added get_prediction_quantiles method to replace get_prediction_levels
  • Vectorized the creation of the quantiles and the memory allocation of the quantiles.
  • Ordered the quantiles to be able to parse them for CRPS.

PENDING:

  • CI tests with evaluation of CRPS/EScore performance and execution time.

@kdgutier kdgutier requested a review from cchallu December 17, 2022 01:09
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@kdgutier kdgutier changed the title [FEAT] Faster creation of ProbReconciler's levels [FEAT] Faster creation of ProbReconciler's ordered levels Dec 17, 2022
@cchallu cchallu merged commit 81abd7b into main Dec 17, 2022
@cchallu cchallu deleted the vectorized_ordered_quantiles branch December 17, 2022 16:26
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@cchallu cchallu cchallu approved these changes

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@kdgutier @cchallu