Forecast Learner

This Learner specializes mlr3::LearnerRegr for forecast problems:

• task_type is set to "fcst".

• Creates mlr3::Predictions of class mlr3::PredictionRegr.

• Possible values for predict_types are:

  • "response": Predicts a numeric response for each observation in the test set.

  • "se": Predicts the standard error for each value of response for each observation in the test set.

  • "distr": Probability distribution as VectorDistribution object (requires package distr6, available via repository https://raphaels1.r-universe.dev).

Predefined learners can be found in the dictionary mlr3::mlr_learners.

See also

• Chapter in the mlr3book: https://mlr3book.mlr-org.com/chapters/chapter2/data_and_basic_modeling.html#sec-learners

• Package mlr3learners for a solid collection of essential learners.

• Package mlr3extralearners for more learners.

• Dictionary of Learners: mlr3::mlr_learners

• as.data.table(mlr_learners) for a table of available Learners in the running session (depending on the loaded packages).

• mlr3pipelines to combine learners with pre- and postprocessing steps.

• Package mlr3viz for some generic visualizations.

• Extension packages for additional task types:

  • mlr3proba for probabilistic supervised regression and survival analysis.

  • mlr3cluster for unsupervised clustering.

• mlr3tuning for tuning of hyperparameters, mlr3tuningspaces for established default tuning spaces.

Other Learner: mlr_learners_fcst.adam, mlr_learners_fcst.arfima, mlr_learners_fcst.arima, mlr_learners_fcst.auto_adam, mlr_learners_fcst.auto_arima, mlr_learners_fcst.auto_ces, mlr_learners_fcst.bats, mlr_learners_fcst.ces, mlr_learners_fcst.ets, mlr_learners_fcst.nnetar, mlr_learners_fcst.tbats

Super classes

mlr3::Learner -> mlr3::LearnerRegr -> LearnerFcst

Methods

Public methods

• LearnerFcst$new()

• LearnerFcst$clone()

Inherited methods

• mlr3::Learner$base_learner()
• mlr3::Learner$configure()
• mlr3::Learner$encapsulate()
• mlr3::Learner$format()
• mlr3::Learner$help()
• mlr3::Learner$predict()
• mlr3::Learner$predict_newdata()
• mlr3::Learner$print()
• mlr3::Learner$reset()
• mlr3::Learner$selected_features()
• mlr3::Learner$train()
• mlr3::LearnerRegr$predict_newdata_fast()

---

Method new()

Creates a new instance of this R6 class.

Usage

LearnerFcst$new(
  id,
  param_set = ps(),
  predict_types = "response",
  feature_types = character(),
  properties = character(),
  packages = character(),
  label = NA_character_,
  man = NA_character_
)

Arguments

id

(character(1))
Identifier for the new instance.

param_set

(paradox::ParamSet)
Set of hyperparameters.

predict_types

(character())
Supported predict types. Must be a subset of mlr_reflections$learner_predict_types.

feature_types

(character())
Feature types the learner operates on. Must be a subset of mlr_reflections$task_feature_types.

properties

(character())
Set of properties of the mlr3::Learner. Must be a subset of mlr_reflections$learner_properties. The following properties are currently standardized and understood by learners in mlr3:

• "missings": The learner can handle missing values in the data.

• "weights": The learner supports observation weights.

• "importance": The learner supports extraction of importance scores, i.e. comes with an $importance() extractor function (see section on optional extractors in mlr3::Learner).

• "selected_features": The learner supports extraction of the set of selected features, i.e. comes with a $selected_features() extractor function (see section on optional extractors in mlr3::Learner).

• "oob_error": The learner supports extraction of estimated out of bag error, i.e. comes with a oob_error() extractor function (see section on optional extractors in mlr3::Learner).

• "validation": The learner can use a validation task during training.

• "internal_tuning": The learner is able to internally optimize hyperparameters (those are also tagged with "internal_tuning").

• "marshal": To save learners with this property, you need to call $marshal() first. If a learner is in a marshaled state, you call first need to call $unmarshal() to use its model, e.g. for prediction.

packages

(character())
Set of required packages. A warning is signaled by the constructor if at least one of the packages is not installed, but loaded (not attached) later on-demand via requireNamespace().

label

(character(1))
Label for the new instance.

man

(character(1))
String in the format [pkg]::[topic] pointing to a manual page for this object. The referenced help package can be opened via method $help().

---

Method clone()

The objects of this class are cloneable with this method.

Usage

LearnerFcst$clone(deep = FALSE)

Arguments

deep

Whether to make a deep clone.

Examples

# get all forecast learners from mlr_learners:
lrns = mlr_learners$mget(mlr_learners$keys("^fcst"))
names(lrns)
#>  [1] "fcst.adam"       "fcst.arfima"     "fcst.arima"      "fcst.auto_adam" 
#>  [5] "fcst.auto_arima" "fcst.auto_ces"   "fcst.bats"       "fcst.ces"       
#>  [9] "fcst.ets"        "fcst.nnetar"     "fcst.tbats"     

# get a specific learner from mlr_learners:
mlr_learners$get("fcst.ets")
#> 
#> ── <LearnerFcstEts> (fcst.ets): ETS ────────────────────────────────────────────
#> • Model: -
#> • Parameters: list()
#> • Packages: mlr3, mlr3forecast, and forecast
#> • Predict Types: [response] and quantiles
#> • Feature Types: logical, integer, numeric, character, factor, ordered,
#> POSIXct, and Date
#> • Encapsulation: none (fallback: -)
#> • Properties: featureless and missings
#> • Other settings: use_weights = 'error'
lrn("fcst.auto_arima")
#> 
#> ── <LearnerFcstAutoArima> (fcst.auto_arima): Auto ARIMA ────────────────────────
#> • Model: -
#> • Parameters: list()
#> • Packages: mlr3, mlr3forecast, and forecast
#> • Predict Types: [response] and quantiles
#> • Feature Types: logical, integer, and numeric
#> • Encapsulation: none (fallback: -)
#> • Properties: exogenous, featureless, and missings
#> • Other settings: use_weights = 'error'