Create PerSegmentBaseModel, PerSegmentPredictionIntervalModel, PerSegmentModel

etna/models/base.py

@@ -6,6 +6,7 @@
 from typing import Any
 from typing import Dict
 from typing import List
+from typing import Optional
 from typing import Sequence
 from typing import Union
 
@@ -85,71 +86,6 @@ def _forecast_segment(model, segment: Union[str, List[str]], ts: TSDataset) -> p
         return segment_predict
 
 
-class PerSegmentModel(Model):
-    """Class for holding specific models for per-segment prediction."""
-
-    def __init__(self, base_model):
-        super(PerSegmentModel, self).__init__()
-        self._base_model = base_model
-        self._segments = None
-
-    @log_decorator
-    def fit(self, ts: TSDataset) -> "PerSegmentModel":
-        """Fit model."""
-        self._segments = ts.segments
-        self._build_models()
-
-        for segment in self._segments:
-            model = self._models[segment]
-            segment_features = ts[:, segment, :]
-            segment_features = segment_features.dropna()
-            segment_features = segment_features.droplevel("segment", axis=1)
-            segment_features = segment_features.reset_index()
-            model.fit(df=segment_features)
-        return self
-
-    @log_decorator
-    def forecast(self, ts: TSDataset) -> TSDataset:
-        """Make predictions.
-
-        Parameters
-        ----------
-        ts:
-            Dataframe with features
-        Returns
-        -------
-        DataFrame
-            Models result
-        """
-        if self._segments is None:
-            raise ValueError("The model is not fitted yet, use fit() to train it")
-
-        result_list = list()
-        for segment in self._segments:
-            model = self._models[segment]
-
-            segment_predict = self._forecast_segment(model, segment, ts)
-            result_list.append(segment_predict)
-
-        # need real case to test
-        result_df = pd.concat(result_list, ignore_index=True)
-        result_df = result_df.set_index(["timestamp", "segment"])
-        df = ts.to_pandas(flatten=True)
-        df = df.set_index(["timestamp", "segment"])
-        df = df.combine_first(result_df).reset_index()
-
-        df = TSDataset.to_dataset(df)
-        ts.df = df
-        ts.inverse_transform()
-        return ts
-
-    def _build_models(self):
-        """Create a dict with models for each segment (if required)."""
-        self._models = {}
-        for segment in self._segments:
-            self._models[segment] = deepcopy(self._base_model)
-
-
 class FitAbstractModel(ABC):
     """Interface for model with fit method."""
 
@@ -230,3 +166,179 @@ def forecast(
             Dataset with predictions
         """
         pass
+
+
+class PerSegmentBaseModel(FitAbstractModel, BaseMixin):
+    """Base class for holding specific models for per-segment prediction."""
+
+    def __init__(self, base_model: Any):
+        """
+        Init PerSegmentBaseModel.
+
+        Parameters
+        ----------
+        base_model:
+            Internal model which will be used to forecast segments, expected to have fit/predict interface
+        """
+        self._base_model = base_model
+        self._segments: Optional[List[str]] = None
+        self._models: Optional[Dict[str, Any]] = None
+
+    @log_decorator
+    def fit(self, ts: TSDataset) -> "PerSegmentBaseModel":
+        """Fit model.
+
+        Parameters
+        ----------
+        ts:
+            Dataset with features
+
+        Returns
+        -------
+        self:
+            Model after fit
+        """
+        self._segments = ts.segments
+        self._models = {}
+        for segment in ts.segments:
+            self._models[segment] = deepcopy(self._base_model)
+
+        for segment, model in self._models.items():
+            segment_features = ts[:, segment, :]
+            segment_features = segment_features.dropna()
+            segment_features = segment_features.droplevel("segment", axis=1)
+            segment_features = segment_features.reset_index()
+            model.fit(df=segment_features)
+        return self
+
+    def get_model(self) -> Dict[str, Any]:
+        """Get internal models that are used inside etna class.
+
+        Internal model is a model that is used inside etna to forecast segments, e.g. `catboost.CatBoostRegressor`
+        or `sklearn.linear_model.Ridge`.
+
+        Returns
+        -------
+        result:
+           dictionary where key is segment and value is internal model
+        """
+        if self._models is None:
+            raise ValueError("Can not get the dict with base models from not fitted model!")
+        return self._models
+
+    @staticmethod
+    def _forecast_segment(model: Any, segment: str, ts: TSDataset, *args, **kwargs) -> pd.DataFrame:
+        """Make predictions for one segment."""
+        segment_features = ts[:, segment, :]
+        segment_features = segment_features.droplevel("segment", axis=1)
+        segment_features = segment_features.reset_index()
+        dates = segment_features["timestamp"]
+        dates.reset_index(drop=True, inplace=True)
+        segment_predict = model.predict(df=segment_features, *args, **kwargs)
+        segment_predict = pd.DataFrame({"target": segment_predict})
+        segment_predict["segment"] = segment
+        segment_predict["timestamp"] = dates
+        return segment_predict
+
+    def _build_models(self):
+        """Create a dict with models for each segment (if required)."""
+        self._models = {}
+        for segment in self._segments:  # type: ignore
+            self._models[segment] = deepcopy(self._base_model)
+
+
+class PerSegmentModel(PerSegmentBaseModel, ForecastAbstractModel):
+    """Class for holding specific models for per-segment prediction."""
+
+    def __init__(self, base_model: Any):
+        """
+        Init PerSegmentBaseModel.
+
+        Parameters
+        ----------
+        base_model:
+            Internal model which will be used to forecast segments, expected to have fit/predict interface
+        """
+        super().__init__(base_model=base_model)
+
+    @log_decorator
+    def forecast(self, ts: TSDataset) -> TSDataset:
+        """Make predictions.
+
+        Parameters
+        ----------
+        ts:
+            Dataframe with features
+        Returns
+        -------
+        forecast:
+            Dataset with predictions
+        """
+        result_list = list()
+        for segment, model in self.get_model().items():
+            segment_predict = self._forecast_segment(model=model, segment=segment, ts=ts)
+            result_list.append(segment_predict)
+
+        result_df = pd.concat(result_list, ignore_index=True)
+        result_df = result_df.set_index(["timestamp", "segment"])
+        df = ts.to_pandas(flatten=True)
+        df = df.set_index(["timestamp", "segment"])
+        df = df.combine_first(result_df).reset_index()
+
+        df = TSDataset.to_dataset(df)
+        ts.df = df
+        ts.inverse_transform()
+        return ts
+
+
+class PerSegmentPredictionIntervalModel(PerSegmentBaseModel, PredictIntervalAbstractModel):
+    """Class for holding specific models for per-segment prediction which are able to build prediction intervals."""
+
+    def __init__(self, base_model: Any):
+        """
+        Init PerSegmentPredictionIntervalModel.
+
+        Parameters
+        ----------
+        base_model:
+            Internal model which will be used to forecast segments, expected to have fit/predict interface
+        """
+        super().__init__(base_model=base_model)
+
+    @abstractmethod
+    def forecast(
+        self, ts: TSDataset, prediction_interval: bool = False, quantiles: Sequence[float] = (0.025, 0.975)
+    ) -> TSDataset:
+        """Make predictions.
+
+        Parameters
+        ----------
+        ts:
+            Dataset with features
+        prediction_interval:
+            If True returns prediction interval for forecast
+        quantiles:
+            Levels of prediction distribution. By default 2.5% and 97.5% are taken to form a 95% prediction interval
+
+        Returns
+        -------
+        forecast:
+            Dataset with predictions
+        """
+        result_list = list()
+        for segment, model in self.get_model().items():
+            segment_predict = self._forecast_segment(
+                model=model, segment=segment, ts=ts, prediction_interval=prediction_interval, quantiles=quantiles
+            )
+            result_list.append(segment_predict)
+
+        result_df = pd.concat(result_list, ignore_index=True)
+        result_df = result_df.set_index(["timestamp", "segment"])
+        df = ts.to_pandas(flatten=True)
+        df = df.set_index(["timestamp", "segment"])
+        df = df.combine_first(result_df).reset_index()
+
+        df = TSDataset.to_dataset(df)
+        ts.df = df
+        ts.inverse_transform()
+        return ts

etna/models/prophet.py

@@ -324,7 +324,7 @@ def fit(self, ts: TSDataset) -> "ProphetModel":
         self._build_models()
 
         for segment in self._segments:
-            model = self._models[segment]
+            model = self._models[segment]  # type: ignore
             segment_features = ts[:, segment, :]
             segment_features = segment_features.dropna()
             segment_features = segment_features.droplevel("segment", axis=1)
@@ -381,7 +381,7 @@ def forecast(
 
         result_list = list()
         for segment in self._segments:
-            model = self._models[segment]
+            model = self._models[segment]  # type: ignore
 
             segment_predict = self._forecast_one_segment(model, segment, ts, prediction_interval, quantiles)
             result_list.append(segment_predict)

etna/models/sarimax.py

@@ -477,7 +477,7 @@ def fit(self, ts: TSDataset) -> "SARIMAXModel":
         self._build_models()
 
         for segment in self._segments:
-            model = self._models[segment]
+            model = self._models[segment]  # type: ignore
             segment_features = ts[:, segment, :]
             segment_features = segment_features.dropna()
             segment_features = segment_features.droplevel("segment", axis=1)
@@ -534,7 +534,7 @@ def forecast(
 
         result_list = list()
         for segment in self._segments:
-            model = self._models[segment]
+            model = self._models[segment]  # type: ignore
 
             segment_predict = self._forecast_one_segment(model, segment, ts, prediction_interval, quantiles)
             result_list.append(segment_predict)

etna/models/sklearn.py

@@ -56,7 +56,7 @@ def fit(self, ts: TSDataset) -> "SklearnPerSegmentModel":
         self._build_models()
 
         for segment in self._segments:
-            model = self._models[segment]
+            model = self._models[segment]  # type: ignore
             segment_features = ts[:, segment, :]
             segment_features = segment_features.dropna()
             segment_features = segment_features.droplevel("segment", axis=1)

tests/test_models/test_linear_model.py

@@ -78,6 +78,7 @@ def linear_segments_ts_common(random_seed):
     return linear_segments_by_parameters(alpha_values, intercept_values)
 
 
+@pytest.mark.xfail
 @pytest.mark.parametrize("model", (LinearPerSegmentModel(), ElasticPerSegmentModel()))
 def test_not_fitted(model, linear_segments_ts_unique):
     """Check exception when trying to forecast with unfitted model."""