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[FEAT] Implicit Quantile Networks #1007

Merged
merged 9 commits into from
May 23, 2024
Merged

[FEAT] Implicit Quantile Networks #1007

merged 9 commits into from
May 23, 2024

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elephaint
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@elephaint elephaint commented May 14, 2024

Features:

  • Adds Implicit Quantile Loss as a loss function to facilitate Implicite Quantile Networks for all architectures. This implementation is based on the GluonTS implementation, following the original Gouttes IQN paper.
  • Cleanup moving parts to base_model out of the individual architectures, removing exceptions out of individual architectures.
  • Adds a number of class attributes to models that indicate whether the model supports exogenous.
  • Fixes some architecture errors, mostly in *former models.

Tests:

  • Test for a range of architectures on AirPassengers

References:

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@elephaint elephaint marked this pull request as ready for review May 15, 2024 10:04
@elephaint elephaint requested a review from cchallu May 15, 2024 10:05
@elephaint elephaint enabled auto-merge (squash) May 15, 2024 10:05
@elephaint elephaint disabled auto-merge May 15, 2024 10:05
@elephaint elephaint marked this pull request as draft May 15, 2024 16:03
@elephaint elephaint marked this pull request as ready for review May 15, 2024 21:13
test/test_iqloss.py Outdated Show resolved Hide resolved
@elephaint elephaint requested a review from cchallu May 22, 2024 19:58
@elephaint elephaint enabled auto-merge (squash) May 22, 2024 19:58
@elephaint elephaint merged commit 1e0dffc into main May 23, 2024
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@elephaint elephaint deleted the feature/iqn branch May 23, 2024 01:37
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2 participants