Source code for oats.models.predictive.lightgbm

"""
LightGBM
-----------------
"""

from typing import Any
from functools import partial

from darts import models
import numpy as np
import numpy.typing as npt
import optuna

from oats.models._darts_simple import SimpleDartsModel


class LightGBMModel(SimpleDartsModel):
    """LightGBM Model

    Using regression via gradient boosted trees as a predictor. Anomalies scores are deviations from predictions.

    Reference: https://unit8co.github.io/darts/generated_api/darts.models.forecasting.gradient_boosted_model.html
    """

    def __init__(
        self,
        window: int = 10,
        n_steps: int = 1,
        lags: int = 1,
        val_split: float = 0.0,
        **kwargs
    ):
        """
        initialization also accepts any parameters used by: https://unit8co.github.io/darts/generated_api/darts.models.forecasting.gradient_boosted_model.html

        Args:
            window (int, optional): rolling window size to feed into the predictor. Defaults to 10.
            n_steps (int, optional): number of steps to predict forward. Defaults to 1.
            lags (int, optional): number of lags. Defaults to 1.
            val_split (float, optional): proportion of data points reserved for validation; only used if using auto-tuning (not tested). Defaults to 0.
        """

        model_cls = models.LightGBMModel

        super().__init__(model_cls, window, n_steps, lags, val_split, **kwargs)

    def _model_objective(self, trial, train_data: npt.NDArray[Any]):
        params = {
            "lambda_l1": trial.suggest_loguniform("lambda_l1", 1e-8, 10.0),
            "lambda_l2": trial.suggest_loguniform("lambda_l2", 1e-8, 10.0),
            "num_leaves": trial.suggest_int("num_leaves", 2, 256),
            "feature_fraction": trial.suggest_uniform("feature_fraction", 0.4, 1.0),
            "bagging_fraction": trial.suggest_uniform("bagging_fraction", 0.4, 1.0),
            "bagging_freq": trial.suggest_int("bagging_freq", 1, 7),
            "min_child_samples": trial.suggest_int("min_child_samples", 5, 100),
        }

        return self._get_hyperopt_res(params, train_data)