Create DirectEnsemble

[iKintosh]

🚀 Feature Request

Add DirectEnsemble

Motivation

ETNA does not have direct strategy at the moment.

Proposal

DirectEnsemble should merge forecasts according to direct strategy.

Ensemble expects several pipelines during init. These pipelines are expected to have different forecasting horizons.
In case the horizons are same for two or more models, DirectEnsemble should raise an error.

DirectEnsemble runs every pipeline with the same data and merges the result according to the forecasting horizons.

Init interface:

DirectEnsemble(pipelines: List[Pipeline], n_jobs: int, joblib_params: [Dict, Any])

DirectEnsemble has fit method which should work similar to other Ensembles.

While _forecast method DirectEnsemble is expected to return results in the following format (results of pipelines with smaller horizon have higher priority)

pipeline horizon 1 forecasts	pipeline horizon 2 forecasts	Ensemble forecasts
1	2	1
NaN	2	2

pipeline horizon 2 forecasts	pipeline horizon 7 forecasts	Ensemble forecasts
1	2	1
1	2	1
NaN	2	2
NaN	2	2
NaN	2	2
NaN	2	2
NaN	2	2

Implement this merge logic as a separate private method

Test cases

• if horizons are the same DirectEnsemble raises an error
• test that merge works correctly

Alternatives

No response

Additional context

No response

Checklist

• I discussed this issue with ETNA Team