set_bounds: Set bounds for bounded forecast reconciliation

In FoReco: Forecast Reconciliation

Set bounds for bounded forecast reconciliation

Description

This function defines the bounds matrix considering cross-sectional, temporal, or cross-temporal frameworks. The output matrix can be used as input for the bounds parameter in functions such as csrec, terec, or ctrec, to perform bounded reconciliations.

Usage

set_bounds(n, k, h, lb = -Inf, ub = Inf, approach = "osqp", bounds = NULL)

Arguments

n	A (b \times 1) vector representing the ith cross-sectional series (i = 1, \dots, n), where b is the number of bounds to be set.
k	A (b \times 1) vector specifying the temporal aggregation orders (k = m, \dots, 1).
h	A (b \times 1) vector representing the forecast horizons (j = 1, \dots, m/k).
lb, ub	A (b \times 1) vector of lower and upper bounds.
approach	A string specifying the algorithm to compute bounded reconciled forecasts: "osqp": quadratic programming optimization (osqp solver). "sftb": heuristic "set-forecasts-to-bounds", which adjusts the reconciled forecasts to be within specified bounds without further optimization.
bounds	A matrix of previous bounds to be added. If not specified, new bounds will be computed.

Value

A numeric matrix representing the computed bounds, which can be:

• Cross-sectional (b \times 3) matrix for cross-sectional reconciliation (csrec).

• Temporal (b \times 4) matrix for temporal reconciliation (terec).

• Cross-temporal (b \times 5) matrix for cross-temporal reconciliation (ctrec).

See Also

Utilities: FoReco2matrix(), aggts(), as_ctmatrix(), as_tevector(), balance_hierarchy(), commat(), csprojmat(), cstools(), ctprojmat(), cttools(), df2aggmat(), lcmat(), recoinfo(), res2matrix(), shrink_estim(), shrink_oasd(), teprojmat(), tetools(), unbalance_hierarchy()

Examples

# Example 1
# Two cross-sectional series (i = 2,3),
# with each series required to be between 0 and 1.
n <- c(2, 3)
lb <- c(0, 0)
ub <- c(1,1)
bounds_mat <- set_bounds(n = c(2, 3),
                         lb = rep(0, 2), # or lb = 0
                         ub = rep(1, 2)) # or ub = 1

# Example 2
# All the monthly values are between 0 and 1.
bounds_mat <- set_bounds(k = rep(1, 12),  # or k = 1
                         h = 1:12,
                         lb = rep(0, 12), # or lb = 0
                         ub = rep(1, 12)) # or ub = 1

# Example 3
# For two cross-sectional series (i = 2,3),
# all the monthly values are between 0 and 1.
bounds_mat <- set_bounds(n = rep(c(2, 3), each = 12),
                         k = 1,
                         h = rep(1:12, 2),
                         lb = 0, # or lb = 0
                         ub = 1) # or ub = 1

FoReco documentation built on March 12, 2026, 5:07 p.m.