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Enable uncertainty quantification using quantile loss #168

Merged
merged 14 commits into from
Dec 15, 2021
Merged

Enable uncertainty quantification using quantile loss #168

merged 14 commits into from
Dec 15, 2021

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kailingding
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Summary

  • torchts
    • added quantile_loss
    • added criterion_args parameter in TimeSeriesModel class in order to enable users to pass in customized quantile
    • added unit test for loss.py
  • examples
    • added an example notebook that shows how to use torchts to make prediction intervals

Reviewer Request

@klane

Paper

https://dl.acm.org/doi/pdf/10.1145/3447548.3467325

@torchts-bot torchts-bot bot added examples Improvements or additions to examples source Updates to source code test Updates to unit tests labels Nov 24, 2021
@yuqirose
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yuqirose commented Dec 1, 2021

@DongxiaW, pls review this commit.

@yuqirose yuqirose requested review from DongxiaW and klane December 1, 2021 23:58
@klane klane added this to the 0.2.0 milestone Dec 4, 2021
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codecov bot commented Dec 6, 2021

Codecov Report

Merging #168 (53c7081) into main (27071ae) will increase coverage by 3.61%.
The diff coverage is 100.00%.

Impacted file tree graph

@@            Coverage Diff             @@
##             main     #168      +/-   ##
==========================================
+ Coverage   18.52%   22.13%   +3.61%     
==========================================
  Files           7        7              
  Lines         394      402       +8     
==========================================
+ Hits           73       89      +16     
+ Misses        321      313       -8     
Impacted Files Coverage Δ
torchts/nn/loss.py 100.00% <100.00%> (+100.00%) ⬆️
torchts/nn/model.py 79.66% <100.00%> (+1.08%) ⬆️

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torchts/nn/model.py Show resolved Hide resolved
@klane klane changed the title Enable uncertainty quantification (using quantile loss) Enable uncertainty quantification using quantile loss Dec 15, 2021
@klane klane merged commit 230bb43 into Rose-STL-Lab:main Dec 15, 2021
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3 participants