Set up AutoML to train a time-series forecasting model with Python

APPLIES TO: Python SDK azure-ai-ml v2 (current)

In this article, you'll learn how to set up AutoML training for time-series forecasting models with Azure Machine Learning automated ML in the Azure Machine Learning Python SDK.

To do so, you:

  • Prepare data for training.
  • Configure specific time-series parameters in a Forecasting Job.
  • Get predictions from trained time-series models.

For a low code experience, see the Tutorial: Forecast demand with automated machine learning for a time-series forecasting example using automated ML in the Azure Machine Learning studio.

AutoML uses standard machine learning models along with well-known time series models to create forecasts. Our approach incorporates multiple contextual variables and their relationship to one another during training. Since multiple factors can influence a forecast, this method aligns itself well with real world forecasting scenarios. For example, when forecasting sales, interactions of historical trends, exchange rate, and price can all jointly drive the sales outcome. For more details, see our article on forecasting methodology.

Prerequisites

For this article you need,

Training and validation data

Input data for AutoML forecasting must contain valid time series in tabular format. Each variable must have its own corresponding column in the data table. AutoML requires at least two columns: a time column representing the time axis and the target column which is the quantity to forecast. Other columns can serve as predictors. For more details, see how AutoML uses your data.

Important

When training a model for forecasting future values, ensure all the features used in training can be used when running predictions for your intended horizon.

For example, a feature for current stock price could massively increase training accuracy. However, if you intend to forecast with a long horizon, you may not be able to accurately predict future stock values corresponding to future time-series points, and model accuracy could suffer.

AutoML forecasting jobs require that your training data is represented as an MLTable object. An MLTable specifies a data source and steps for loading the data. For more information and use cases, see the MLTable how-to guide. As a simple example, suppose your training data is contained in a CSV file in a local directory, ./train_data/timeseries_train.csv. You can define a new MLTable by copying the following YAML code to a new file, ./train_data/MLTable:

$schema: https://azuremlschemas.azureedge.net/latest/MLTable.schema.json

type: mltable
paths:
    - file: ./timeseries_train.csv

transformations:
    - read_delimited:
        delimiter: ','
        encoding: ascii

You can now define an input data object, which is required to start a training job, using the AzureML Python SDK as follows:

from azure.ai.ml.constants import AssetTypes
from azure.ai.ml import Input

# Training MLTable defined locally, with local data to be uploaded
my_training_data_input = Input(
    type=AssetTypes.MLTABLE, path="./train_data"
)

You can specify validation data in a similar way, by creating a MLTable and an input data object. Alternatively, if you don't supply validation data, AutoML automatically creates cross-validation splits from your training data to use for model selection. See our article on forecasting model selection for more details. Also see training data length requirements for details on how much training data you need to successfully train a forecasting model.

Learn more about how AutoML applies cross validation to prevent over fitting.

Compute to run experiment

AutoML uses AzureML Compute, which is a fully managed compute resource, to run the training job. In the following example, a compute cluster named cpu-compute is created:

from azure.ai.ml.entities import AmlCompute

# specify aml compute name.
cpu_compute_target = "cpu-cluster"

try:
    ml_client.compute.get(cpu_compute_target)
except Exception:
    print("Creating a new cpu compute target...")
    compute = AmlCompute(
        name=cpu_compute_target, size="STANDARD_D2_V2", min_instances=0, max_instances=4
    )
    ml_client.compute.begin_create_or_update(compute).result()

Configure experiment

There are several options that you can use to configure your AutoML forecasting experiment. These configuration parameters are set in the automl.forecasting() task method. You can also set job training settings and exit criteria with the set_training() and set_limits() functions, respectively.

The following example shows how to create a forecasting job with normalized root mean squared error as the primary metric and automatically configured cross-validation folds:

from azure.ai.ml import automl

# note that the below is a code snippet -- you might have to modify the variable values to run it successfully
forecasting_job = automl.forecasting(
    compute=compute_name,
    experiment_name=exp_name,
    training_data=my_training_data_input,
    target_column_name=target_column_name,
    primary_metric="NormalizedRootMeanSquaredError",
    n_cross_validations="auto",
)

# Limits are all optional
forecasting_job.set_limits(
    timeout_minutes=120,
    trial_timeout_minutes=30,
    max_concurrent_trials=4,
)

Configuration settings

Forecasting tasks have many settings that are specific to forecasting. Use the set_forecast_settings() method of a ForecastingJob to set forecasting parameters. In the following example, we provide the name of the time column in the training data and set the forecast horizon:

# Forecasting specific configuration
forecasting_job.set_forecast_settings(
    time_column_name=time_column_name,
    forecast_horizon=24
)

The time column name is a required setting and you should generally set the forecast horizon according to your prediction scenario. If your data contains multiple time series, you can specify the names of the time series ID columns. These columns, when grouped, define the individual series. For example, suppose that you have data consisting of hourly sales from different stores and brands. The following sample shows how to set the time series ID columns assuming the data contains columns named "store" and "brand":

# Forecasting specific configuration
# Add time series IDs for store and brand
forecasting_job.set_forecast_settings(
    ...,  # other settings
    time_series_id_column_names=['store', 'brand']
)

AutoML tries to automatically detect time series ID columns in your data if none are specified.

Other settings are optional and reviewed in the optional settings section.

Optional settings

Optional configurations are available for forecasting tasks, such as enabling deep learning and specifying a target rolling window aggregation. A complete list of parameters is available in the forecast_settings API doc.

Model search settings

There are two optional settings that control the model space where AutoML searches for the best model, allowed_training_algorithms and blocked_training_algorithms. To restrict the search space to a given set of model classes, use allowed_training_algorithms as in the following sample:

# Only search ExponentialSmoothing and ElasticNet models
forecasting_job.set_training(
    allowed_training_algorithms=["ExponentialSmoothing", "ElasticNet"]
)

In this case, the forecasting job only searches over Exponential Smoothing and Elastic Net model classes. To remove a given set of model classes from the search space, use the blocked_training_algorithms as in the following sample:

# Search over all model classes except Prophet
forecasting_job.set_training(
    blocked_training_algorithms=["Prophet"]
)

Now, the job searches over all model classes except Prophet. For a list of forecasting model names that are accepted in allowed_training_algorithms and blocked_training_algorithms, see supported forecasting models and supported regression models.

Enable deep learning

AutoML ships with a custom deep neural network (DNN) model called ForecastTCN. This model is a temporal convolutional network, or TCN, that applies common imaging task methods to time series modeling. Namely, one-dimensional "causal" convolutions form the backbone of the network and enable the model to learn complex patterns over long durations in the training history.

Diagram showing major components of AutoML's ForecastTCN.

The ForecastTCN often achieves higher accuracy than standard time series models when there are thousands or more observations in the training history. However, it also takes longer to train and sweep over ForecastTCN models due to their higher capacity.

You can enable the ForecastTCN in AutoML by setting the enable_dnn_training flag in the set_training() method as follows:

# Include ForecastTCN models in the model search
forecasting_job.set_training(
    enable_dnn_training=True
)

To enable DNN for an AutoML experiment created in the Azure Machine Learning studio, see the task type settings in the studio UI how-to.

Note

  • When you enable DNN for experiments created with the SDK, best model explanations are disabled.
  • DNN support for forecasting in Automated Machine Learning is not supported for runs initiated in Databricks.
  • GPU compute types are recommended when DNN training is enabled

Target rolling window aggregation

Recent values of the target are often impactful features in a forecasting model. Rolling window aggregations allow you to add rolling aggregations of data values as features. Generating and using these features as extra contextual data helps with the accuracy of the train model.

Consider an energy demand forecasting scenario where weather data and historical demand are available. The table shows resulting feature engineering that occurs when window aggregation is applied over the most recent three hours. Columns for minimum, maximum, and sum are generated on a sliding window of three hours based on the defined settings. For instance, for the observation valid on September 8, 2017 4:00am, the maximum, minimum, and sum values are calculated using the demand values for September 8, 2017 1:00AM - 3:00AM. This window of three hours shifts along to populate data for the remaining rows.

target rolling window

You can enable rolling window aggregation features and set the window size through the set_forecast_settings() method. In the following sample, we set the window size to "auto" so that AutoML will automatically determine a good value for your data:

forecasting_job.set_forecast_settings(
    ...,  # other settings
    target_rolling_window_size='auto'
)

Short series handling

Automated ML considers a time series a short series if there aren't enough data points to conduct the train and validation phases of model development. See training data length requirements for more details on length requirements.

AutoML has several actions it can take for short series. These actions are configurable with the short_series_handling_config setting. The default value is "auto." The following table describes the settings:

Setting Description
auto The default value for short series handling.
- If all series are short, pad the data.
- If not all series are short, drop the short series.
pad If short_series_handling_config = pad, then automated ML adds random values to each short series found. The following lists the column types and what they're padded with:
- Object columns with NaNs
- Numeric columns with 0
- Boolean/logic columns with False
- The target column is padded with random values with mean of zero and standard deviation of 1.
drop If short_series_handling_config = drop, then automated ML drops the short series, and it will not be used for training or prediction. Predictions for these series will return NaN's.
None No series is padded or dropped

In the following example, we set the short series handling so that all short series are padded to the minimum length:

forecasting_job.set_forecast_settings(
    ...,  # other settings
    short_series_handling_config='pad'
)

Warning

Padding may impact the accuracy of the resulting model, since we are introducing artificial data just to get past training without failures. If many of the series are short, then you may also see some impact in explainability results

Frequency & target data aggregation

Use the frequency and data aggregation options to avoid failures caused by irregular data. Your data is irregular if it doesn't follow a set cadence in time, like hourly or daily. Point-of-sales data is a good example of irregular data. In these cases, AutoML can aggregate your data to a desired frequency and then build a forecasting model from the aggregates.

You need to set the frequency and target_aggregate_function settings to handle irregular data. The frequency setting accepts Pandas DateOffset strings as input. Supported values for the aggregation function are:

Function Description
sum  Sum of target values
mean  Mean or average of target values
min Minimum value of a target 
max Maximum value of a target 
  • The target column values are aggregated according to the specified operation. Typically, sum is appropriate for most scenarios.
  • Numerical predictor columns in your data are aggregated by sum, mean, minimum value, and maximum value. As a result, automated ML generates new columns suffixed with the aggregation function name and applies the selected aggregate operation.
  • For categorical predictor columns, the data is aggregated by mode, the most prominent category in the window.
  • Date predictor columns are aggregated by minimum value, maximum value and mode.

The following example sets the frequency to hourly and the aggregation function to summation:

# Aggregate the data to hourly frequency
forecasting_job.set_forecast_settings(
    ...,  # other settings
    frequency='H',
    target_aggregate_function='sum'
)

Custom cross-validation settings

There are two customizable settings that control cross-validation for forecasting jobs: the number of folds, n_cross_validations, and the step size defining the time offset between folds, cv_step_size. See forecasting model selection for more information on the meaning of these parameters. By default, AutoML sets both settings automatically based on characteristics of your data, but advanced users may want to set them manually. For example, suppose you have daily sales data and you want your validation setup to consist of five folds with a seven-day offset between adjacent folds. The following code sample shows how to set these:

from azure.ai.ml import automl

# Create a job with five CV folds
forecasting_job = automl.forecasting(
    ...,  # other training parameters
    n_cross_validations=5,
)

# Set the step size between folds to seven days
forecasting_job.set_forecast_settings(
    ...,  # other settings
    cv_step_size=7
)

Custom featurization

By default, AutoML augments training data with engineered features to increase the accuracy of the models. See automated feature engineering for more information. Some of the preprocessing steps can be customized using the set_featurization() method of the forecasting job.

Supported customizations for forecasting include:

Customization Description Options
Column purpose update Override the auto-detected feature type for the specified column. "Categorical", "DateTime", "Numeric"
Transformer parameter update Update the parameters for the specified imputer. {"strategy": "constant", "fill_value": <value>}, {"strategy": "median"}, {"strategy": "ffill"}

For example, suppose you have a retail demand scenario where the data includes features like price, an "on sale" flag, and a product type. The following sample shows how you can set customized types and imputers for these features:

from azure.ai.ml.automl import ColumnTransformer

# Customize imputation methods for price and is_on_sale features
# Median value imputation for price, constant value of zero for is_on_sale
transformer_params = {
    "imputer": [
        ColumnTransformer(fields=["price"], parameters={"strategy": "median"}),
        ColumnTransformer(fields=["is_on_sale"], parameters={"strategy": "constant", "fill_value": 0}),
    ],
}

# Set the featurization
# Ensure that product_type feature is interpreted as categorical
forecasting_job.set_featurization(
    mode="custom",
    transformer_params=transformer_params,
    column_name_and_types={"product_type": "Categorical"},
)

If you're using the Azure Machine Learning studio for your experiment, see how to customize featurization in the studio.

Run the experiment

After all settings are configured, you can launch the forecasting job via the mlcient as follows:

# Submit the AutoML job
returned_job = ml_client.jobs.create_or_update(
    forecasting_job
)

print(f"Created job: {returned_job}")

# Get a URL for the status of the job
returned_job.services["Studio"].endpoint

Forecasting with a trained model

Once you've used AutoML to train and select a best model, the next step is to evaluate the model. If it meets your requirements, you can use it to generate forecasts into the future. This section shows how to write Python scripts for evaluation and prediction. For an example of deploying a trained model with an inference script, see our example notebook.

Evaluating model accuracy with a rolling forecast

Before you put a model into production, you should evaluate its accuracy on a test set held out from the training data. A best practice procedure is a rolling evaluation that rolls the trained forecaster forward in time over the test set, averaging error metrics over several prediction windows. Ideally, the test set for the evaluation is long relative to the model's forecast horizon. Estimates of forecasting error may otherwise be statistically noisy and, therefore, less reliable.

For example, suppose you train a model on daily sales to predict demand up to two weeks (14 days) into the future. If there's sufficient historic data available, you might reserve the final several months to even a year of the data for the test set. The rolling evaluation begins by generating a 14-day-ahead forecast for the first two weeks of the test set. Then, the forecaster is advanced by some number of days into the test set and you generate another 14-day-ahead forecast from the new position. The process continues until you get to the end of the test set.

To do a rolling evaluation, you call the rolling_forecast method of the fitted_model, then compute desired metrics on the result. A rolling evaluation inference script is shown in the following code sample:

"""
This is the script that is executed on the compute instance. It relies
on the model.pkl file which is uploaded along with this script to the
compute instance.
"""

import os
import pandas as pd

from sklearn.externals import joblib


def init():
    global target_column_name
    global fitted_model

    target_column_name = os.environ["TARGET_COLUMN_NAME"]
    # AZUREML_MODEL_DIR is an environment variable created during deployment
    # It is the path to the model folder (./azureml-models)
    # Please provide your model's folder name if there's one
    model_path = os.path.join(os.environ["AZUREML_MODEL_DIR"], "model.pkl")
    try:
        fitted_model = joblib.load(model_path)
    except Exception:
        print("Loading pickle failed. Trying torch.load()")

        import torch
        model_path = os.path.join(os.environ["AZUREML_MODEL_DIR"], "model.pt") 
        device = torch.device("cuda:0" if torch.cuda.is_available() else "cpu")
        fitted_model = torch.load(model_path, map_location=device)


def run(mini_batch):
    print(f"run method start: {__file__}, run({mini_batch})")
    resultList = []
    for test in mini_batch:
        if not test.endswith(".csv"):
            continue
        X_test = pd.read_csv(test, parse_dates=[fitted_model.time_column_name])
        y_test = X_test.pop(target_column_name).values

        # Make a rolling forecast, advancing the forecast origin by 1 period on each iteration through the test set
        X_rf = fitted_model.rolling_forecast(
            X_test, y_test, step=1, ignore_data_errors=True
        )

        resultList.append(X_rf)

    return pd.concat(resultList, sort=False, ignore_index=True)

In this sample, the step size for the rolling forecast is set to one which means that the forecaster is advanced one period, or one day in our demand prediction example, at each iteration. The total number of forecasts returned by rolling_forecast depends on the length of the test set and this step size. For more details and examples, see the rolling_forecast() documentation and the Forecasting away from training data notebook.

Prediction into the future

The forecast_quantiles() generates forecasts for given quantiles of the prediction distribution. This method thus provides a way to get a point forecast with a cone of uncertainty around it. Learn more in the Forecasting away from training data notebook.

In the following example, you first replace all values in y_pred with NaN. The forecast origin is at the end of training data in this case. However, if you replaced only the second half of y_pred with NaN, the function would leave the numerical values in the first half unmodified, but forecast the NaN values in the second half. The function returns both the forecasted values and the aligned features.

You can also use the forecast_destination parameter in the forecast_quantiles() function to forecast values up to a specified date.

label_query = test_labels.copy().astype(np.float)
label_query.fill(np.nan)
label_fcst, data_trans = fitted_model.forecast_quantiles(
    test_dataset, label_query, forecast_destination=pd.Timestamp(2019, 1, 8)
)

No quantiles are specified here, so only the point forecast is generated. You may want to understand the predictions at a specific quantile of the distribution. For example, when the forecast is used to control inventory like grocery items or virtual machines for a cloud service. In such cases, the control point is usually something like "we want the item to be in stock and not run out 99% of the time". The following sample demonstrates how to specify forecast quantiles, such as 50th or 95th percentile:

# Get forecasts for the 5th, 50th, and 90th percentiles 
fitted_model.quantiles = [0.05, 0.5, 0.9]
fitted_model.forecast_quantiles(
    test_dataset, label_query, forecast_destination=pd.Timestamp(2019, 1, 8)
)

You can calculate model metrics like, root mean squared error (RMSE) or mean absolute percentage error (MAPE) to help you estimate the models performance. See the Evaluate section of the Bike share demand notebook for an example.

After the overall model accuracy has been determined, the most realistic next step is to use the model to forecast unknown future values.

Supply a data set in the same format as the test set test_dataset but with future datetimes, and the resulting prediction set is the forecasted values for each time-series step. Assume the last records in the data set were for December 31, 2018. To forecast demand, create a time series record for each store starting on January 1, 2019.

day_datetime,store,week_of_year
01/01/2019,A,1
01/01/2019,A,1

Repeat the necessary steps to load this future data to a data frame and then run best_run.forecast_quantiles(test_dataset) to predict future values.

Note

In-sample predictions are not supported for forecasting with automated ML when target_lags and/or target_rolling_window_size are enabled.

Forecasting at scale

APPLIES TO: Python SDK azureml v1

Important

Many models and hierarchical time series are currently only supported in AzureML v1. Support for AzureML v2 is forthcoming.

There are scenarios where a single machine learning model is insufficient and multiple machine learning models are needed. For instance, predicting sales for each individual store for a brand, or tailoring an experience to individual users. Building a model for each instance can lead to improved results on many machine learning problems.

Grouping is a concept in time series forecasting that allows time series to be combined to train an individual model per group. This approach can be particularly helpful if you have time series that require smoothing, filling or entities in the group that can benefit from history or trends from other entities. Many models and hierarchical time series forecasting are solutions powered by automated machine learning for these large scale forecasting scenarios.

Many models

The Azure Machine Learning many models solution with automated machine learning allows users to train and manage millions of models in parallel. The Many Models Solution Accelerator uses Azure Machine Learning pipelines to train the model. Specifically, a Pipeline object and ParalleRunStep are used and require specific configuration parameters set through the ParallelRunConfig.

The following diagram shows the workflow for the many models solution.

Many models concept diagram

The following code demonstrates the key parameters users need to set up their many models run. See the Many Models- Automated ML notebook for a many models forecasting example

from azureml.train.automl.runtime._many_models.many_models_parameters import ManyModelsTrainParameters

partition_column_names = ['Store', 'Brand']
automl_settings = {"task" : 'forecasting',
                   "primary_metric" : 'normalized_root_mean_squared_error',
                   "iteration_timeout_minutes" : 10, #This needs to be changed based on the dataset. Explore how long training is taking before setting this value 
                   "iterations" : 15,
                   "experiment_timeout_hours" : 1,
                   "label_column_name" : 'Quantity',
                   "n_cross_validations" : "auto", # Could be customized as an integer
                   "cv_step_size" : "auto", # Could be customized as an integer
                   "time_column_name": 'WeekStarting',
                   "max_horizon" : 6,
                   "track_child_runs": False,
                   "pipeline_fetch_max_batch_size": 15,}

mm_paramters = ManyModelsTrainParameters(automl_settings=automl_settings, partition_column_names=partition_column_names)

Hierarchical time series forecasting

In most applications, customers have a need to understand their forecasts at a macro and micro level of the business; whether that is predicting sales of products at different geographic locations, or understanding the expected workforce demand for different organizations at a company. The ability to train a machine learning model to intelligently forecast on hierarchy data is essential.

A hierarchical time series is a structure in which the series have nested attributes. Geographic or product catalog attributes are natural examples. The following example shows data with unique attributes that form a hierarchy. Our hierarchy is defined by: the product type such as headphones or tablets, the product category which splits product types into accessories and devices, and the region the products are sold in.

Example raw data table for hierarchical data

To further visualize this, the leaf levels of the hierarchy contain all the time series with unique combinations of attribute values. Each higher level in the hierarchy considers one less dimension for defining the time series and aggregates each set of child nodes from the lower level into a parent node.

Hierarchy visual for data

The hierarchical time series solution is built on top of the Many Models Solution and share a similar configuration setup.

The following code demonstrates the key parameters to set up your hierarchical time series forecasting runs. See the Hierarchical time series- Automated ML notebook, for an end to end example.


from azureml.train.automl.runtime._hts.hts_parameters import HTSTrainParameters

model_explainability = True

engineered_explanations = False # Define your hierarchy. Adjust the settings below based on your dataset.
hierarchy = ["state", "store_id", "product_category", "SKU"]
training_level = "SKU"# Set your forecast parameters. Adjust the settings below based on your dataset.
time_column_name = "date"
label_column_name = "quantity"
forecast_horizon = 7


automl_settings = {"task" : "forecasting",
                   "primary_metric" : "normalized_root_mean_squared_error",
                   "label_column_name": label_column_name,
                   "time_column_name": time_column_name,
                   "forecast_horizon": forecast_horizon,
                   "hierarchy_column_names": hierarchy,
                   "hierarchy_training_level": training_level,
                   "track_child_runs": False,
                   "pipeline_fetch_max_batch_size": 15,
                   "model_explainability": model_explainability,# The following settings are specific to this sample and should be adjusted according to your own needs.
                   "iteration_timeout_minutes" : 10,
                   "iterations" : 10,
                   "n_cross_validations" : "auto", # Could be customized as an integer
                   "cv_step_size" : "auto", # Could be customized as an integer
                   }

hts_parameters = HTSTrainParameters(
    automl_settings=automl_settings,
    hierarchy_column_names=hierarchy,
    training_level=training_level,
    enable_engineered_explanations=engineered_explanations
)

Example notebooks

See the forecasting sample notebooks for detailed code examples of advanced forecasting configuration including:

Next steps