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When using AutoNHITS with prediction_intervals, I noticed it creates a new optimization study and reruns the entire hyperparameter search process a second time. Example:
The logs show "A new study created in memory" after the initial training completes, and it runs another complete optimization cycle.
Is this intended behavior? I would have expected it to run one hyperparameter optimization to find the best configuration, and then use the best model to generate prediction intervals.
Versions / Dependencies
Python 3.11, Neural Forecast 1.77
Reproduction script
importnumpyasnpimportpandasaspdfromneuralforecastimportNeuralForecastfromneuralforecast.autoimportAutoNHITSfromneuralforecast.utilsimportPredictionIntervals# Create mock datanp.random.seed(42)
n_samples=1000dates=pd.date_range("2020-01-01", periods=n_samples, freq="h")
data=pd.DataFrame(
{"ds": dates, "unique_id": "A", "y": np.random.normal(0, 1, n_samples)}
)
# Configure modelmodel=AutoNHITS(
h=24, # Forecast horizonnum_samples=2, # Number of trialsbackend="optuna",
)
# Create NeuralForecast wrappernf=NeuralForecast(models=[model], freq="H")
# Fit model - this will show sampling running twiceprint("Starting model fit...")
nf.fit(df=data, prediction_intervals=PredictionIntervals(n_windows=2))
print("Finished model fit")
Issue Severity
Medium: It is a significant difficulty but I can work around it.
The text was updated successfully, but these errors were encountered:
What happened + What you expected to happen
When using AutoNHITS with prediction_intervals, I noticed it creates a new optimization study and reruns the entire hyperparameter search process a second time. Example:
The logs show "A new study created in memory" after the initial training completes, and it runs another complete optimization cycle.
Is this intended behavior? I would have expected it to run one hyperparameter optimization to find the best configuration, and then use the best model to generate prediction intervals.
Versions / Dependencies
Python 3.11, Neural Forecast 1.77
Reproduction script
Issue Severity
Medium: It is a significant difficulty but I can work around it.
The text was updated successfully, but these errors were encountered: