Multilayer Perceptron Forecast Learner

Automatic time series forecasting with a multilayer perceptron neural network, including automatic input lag selection, deterministic seasonality handling, and ensemble combination across multiple training repetitions. Calls nnfor::mlp() from package nnfor.

Dictionary

This mlr3::Learner can be instantiated via the dictionary mlr3::mlr_learners or with the associated sugar function mlr3::lrn():

mlr_learners$get("fcst.mlp")
lrn("fcst.mlp")

Meta Information

• Task type: “fcst”

• Predict Types: “response”

• Feature Types: “logical”, “integer”, “numeric”, “character”, “factor”, “ordered”, “POSIXct”, “Date”

• Required Packages: mlr3, mlr3forecast, nnfor, forecast

Parameters

Id	Type	Default	Levels	Range
m	integer	-		\([1, \infty)\)
hd	untyped	NULL		-
reps	integer	20		\([1, \infty)\)
comb	character	median	median, mean, mode	-
lags	untyped	NULL		-
keep	untyped	NULL		-
difforder	untyped	NULL		-
sel.lag	logical	TRUE	TRUE, FALSE	-
allow.det.season	logical	TRUE	TRUE, FALSE	-
det.type	character	auto	auto, bin, trg	-
hd.auto.type	character	set	set, valid, cv, elm	-
hd.max	integer	NULL		\([1, \infty)\)
retrain	logical	FALSE	TRUE, FALSE	-

References

Kourentzes, Nikolaos, Barrow, K. D, Crone, F. S (2014). “Neural network ensemble operators for time series forecasting.” Expert Systems with Applications, 41(9), 4235–4244. doi:10.1016/j.eswa.2013.12.011 .

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: LearnerFcst, 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.auto_gum, mlr_learners_fcst.auto_msarima, mlr_learners_fcst.auto_ssarima, mlr_learners_fcst.bagged, mlr_learners_fcst.bats, mlr_learners_fcst.ces, mlr_learners_fcst.croston, mlr_learners_fcst.elm, mlr_learners_fcst.es, mlr_learners_fcst.ets, mlr_learners_fcst.gum, mlr_learners_fcst.holt_winters, mlr_learners_fcst.mean, mlr_learners_fcst.msarima, mlr_learners_fcst.nnetar, mlr_learners_fcst.prophet, mlr_learners_fcst.random_walk, mlr_learners_fcst.rlgt, mlr_learners_fcst.sma, mlr_learners_fcst.spline, mlr_learners_fcst.ssarima, mlr_learners_fcst.stlm, mlr_learners_fcst.struct_ts, mlr_learners_fcst.tbats, mlr_learners_fcst.theta, mlr_learners_fcst.tscount, mlr_learners_fcst.tslm

Super classes

mlr3::Learner -> mlr3::LearnerRegr -> LearnerFcst -> LearnerFcstForecast -> LearnerFcstMlp

Methods

Public methods

• LearnerFcstMlp$new()

• LearnerFcstMlp$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()

---

LearnerFcstMlp$new()

Creates a new instance of this R6 class.

Usage

LearnerFcstMlp$new()

---

LearnerFcstMlp$clone()

The objects of this class are cloneable with this method.

Usage

LearnerFcstMlp$clone(deep = FALSE)

Arguments

deep

Whether to make a deep clone.

Examples

# Define the Learner and set parameter values
learner = lrn("fcst.mlp")
print(learner)
#> 
#> ── <LearnerFcstMlp> (fcst.mlp): Multilayer Perceptron ──────────────────────────
#> • Model: -
#> • Parameters: list()
#> • Packages: mlr3, mlr3forecast, nnfor, and forecast
#> • Predict Types: [response]
#> • Feature Types: logical, integer, numeric, character, factor, ordered,
#> POSIXct, and Date
#> • Encapsulation: none (fallback: -)
#> • Properties: featureless
#> • Other settings: use_weights = 'error', predict_raw = 'FALSE'

# Define a Task
task = tsk("airpassengers")

# Create train and test set
ids = partition(task)

# Train the learner on the training ids
learner$train(task, row_ids = ids$train)

# Print the model
print(learner$model)
#> $model
#> MLP fit with 5 hidden nodes and 20 repetitions.
#> Series modelled in differences: D1.
#> Univariate lags: (3,4,7,8,10,12)
#> Deterministic seasonal dummies included.
#> Forecast combined using the median operator.
#> MSE: 2.3951.
#> 
#> $row_ids
#>  [1]  1  2  3  4  5  6  7  8  9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25
#> [26] 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50
#> [51] 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75
#> [76] 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96
#> 
#> $max_index
#> [1] "1956-12-01"
#> 

# Importance method
if ("importance" %in% learner$properties) print(learner$importance())

# Make predictions for the test rows
predictions = learner$predict(task, row_ids = ids$test)

# Score the predictions
predictions$score()
#> regr.mse 
#> 1747.516