DeepAR Evaluation

This repository contains code to reproduce the results of DeepAR model published in https://arxiv.org/abs/2002.02887

How to run

For non-GPU environment change mxnet version in requirements.txt by replacing mxnet-cu102==1.6 with mxnet==1.6.

The Makefile is built to run experiments locally, what may take a lot of time; for cloud/cluster infrastructures change the Makefile to deploy and run according to your environment.

Build and test

make build
make test

Run experiments

Run all experiments

./run_all.sh <ensemble-size> deepar Makefile

To run one experiment look at commands in run_all.sh

Get statistics

See notebooks in notebooks directory for ensembles.

For individual experiments load forecasts from storage/deepar/<experiment>/forecasts/*.npy and pass them to the evaluate method of the corresponding dataset instance, see examples in test/datasets/*.py

Citation

If you use this code or experiments results in a publication please cite the paper https://arxiv.org/abs/2002.02887