feat: expose fixed theta parameter - #1241
Open
Dresden (DresdenGman) wants to merge 1 commit into
Open
Dresden (DresdenGman) wants to merge 1 commit into
Dresden (DresdenGman) wants to merge 1 commit into
Conversation
This branch has not been deployed
This file contains hidden or bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
Add this suggestion to a batch that can be applied as a single commit.This suggestion is invalid because no changes were made to the code.Suggestions cannot be applied while the pull request is closed.Suggestions cannot be applied while viewing a subset of changes.Only one suggestion per line can be applied in a batch.Add this suggestion to a batch that can be applied as a single commit.Applying suggestions on deleted lines is not supported.You must change the existing code in this line in order to create a valid suggestion.Outdated suggestions cannot be applied.This suggestion has been applied or marked resolved.Suggestions cannot be applied from pending reviews.Suggestions cannot be applied on multi-line comments.Suggestions cannot be applied while the pull request is queued to merge.Suggestion cannot be applied right now. Please check back later.
Summary
thetaparameter onAutoTheta,OptimizedTheta, andDynamicOptimizedTheta[1, 1e10]range used by the internal optimizerMotivation
The lower-level
auto_thetaimplementation already accepts a fixed theta value and skips theta optimization when it is supplied, but the public model constructors did not expose that capability. Users with a known theta therefore had to pay the optimization cost for every series.The default remains
None, so existing callers continue to estimate theta exactly as before. Standard Theta candidates still use their defined value of 2; the supplied value controls optimized OTM/DOTM candidates.In a local five-run benchmark on a 1,440-point synthetic seasonal series, fixing
theta=2.5reduced the medianOptimizedTheta.forecastfit time from 19.6 ms to 4.62 ms (about 4.25x). This is an indicative local measurement rather than a general performance guarantee.Validation
235 passedacross the new regression file plus the existing Theta and model suitesValueErrorCloses #860