tests/testthat/test-nested-modeltime.R

In modeltime: The Tidymodels Extension for Time Series Modeling

context("MODELTIME NESTED (ITERATIVE) FORECASTING")

# MODELTIME NESTED (ITERATIVE) FORECASTING -----


# NESTED WORKFLOW ----

test_that("MODELTIME NESTED (ITERATIVE) FORECASTING", {

    skip_on_cran()

    # SETUP

    library(tidymodels)
    library(dplyr)
    library(timetk)


    # DATA PREP FUNCTIONS ----

    data_prep_tbl <- walmart_sales_weekly %>%
        dplyr::select(id, date = Date, value = Weekly_Sales)

    tib_1 <- data_prep_tbl %>%
        dplyr::filter(id %in% c("1_1", "1_3"))

    tib_2 <- data_prep_tbl %>%
        dplyr::filter(id %in% c("1_8")) %>%
        dplyr::slice_tail(n = 10)

    data_start_tbl <- dplyr::bind_rows(tib_1, tib_2)



    # NESTED DATA ----

    nested_data_tbl <- data_start_tbl %>%

        extend_timeseries(
            .id_var        = id,
            .date_var      = date,
            .length_future = 52
        ) %>%

        # >> Can add xregs in here <<

        nest_timeseries(
            .id_var        = id,
            .length_future = 52,
            .length_actual = 52*2
        ) %>%

        split_nested_timeseries(
            .length_test = 52
        )


    # MODELING ----

    # * XGBoost ----

    rec_xgb <- recipes::recipe(value ~ ., extract_nested_train_split(nested_data_tbl)) %>%
        step_timeseries_signature(date) %>%
        recipes::step_rm(date) %>%
        recipes::step_zv(recipes::all_predictors()) %>%
        recipes::step_dummy(recipes::all_nominal_predictors(), one_hot = TRUE)

    wflw_xgb <- workflows::workflow() %>%
        workflows::add_model(boost_tree("regression") %>% parsnip::set_engine("xgboost")) %>%
        workflows::add_recipe(rec_xgb)

    # * Bad Model ----
    #   - Xgboost can't handle dates

    recipe_bad <- recipes::recipe(value ~ ., extract_nested_train_split(nested_data_tbl))

    wflw_bad <- workflows::workflow() %>%
        workflows::add_model(boost_tree("regression") %>% parsnip::set_engine("xgboost")) %>%
        workflows::add_recipe(recipe_bad)

    # * Prophet ----
    # rec_prophet <- recipes::recipe(value ~ date, extract_nested_train_split(nested_data_tbl))
    #
    # wflw_prophet <- workflows::workflow() %>%
    #     workflows::add_model(
    #         prophet_reg("regression", seasonality_yearly = TRUE) %>%
    #             parsnip::set_engine("prophet")
    #     ) %>%
    #     workflows::add_recipe(rec_prophet)


    # "modeltime_nested_fit: Good + Bad Model"

    # ** Fit ----
    expect_warning({
        nested_modeltime_tbl <- nested_data_tbl %>%
            modeltime_nested_fit(
                wflw_xgb,
                wflw_bad,
                # wflw_prophet,

                control = control_nested_fit(verbose = TRUE)
            )
    })


    attrib <- attributes(nested_modeltime_tbl)

    expect_equal(attrib$fit_column, ".splits")
    expect_equal(attrib$id, "id")

    acc_tbl <- nested_modeltime_tbl %>% extract_nested_test_accuracy()

    expect_equal(nrow(acc_tbl), 6)
    expect_equal(ncol(acc_tbl), 10)

    err_tbl <- nested_modeltime_tbl %>% extract_nested_error_report()

    expect_equal(nrow(err_tbl), 4)

    fcast_tbl <- nested_modeltime_tbl %>%
        extract_nested_test_forecast()

    # fcast_tbl %>% group_by(id) %>% plot_modeltime_forecast()

    expect_equal(nrow(fcast_tbl), 312)
    expect_equal(ncol(fcast_tbl), 8)

    fcast_tbl <- nested_modeltime_tbl %>%
        extract_nested_test_forecast(.include_actual = F)

    expect_equal(nrow(fcast_tbl), 104)
    expect_equal(ncol(fcast_tbl), 8)

    fcast_tbl <- nested_modeltime_tbl %>%
        extract_nested_test_forecast(.include_actual = F, .id_subset = "1_1")

    expect_equal(nrow(fcast_tbl), 52)
    expect_equal(ncol(fcast_tbl), 8)

    # ** Select Best ----

    expect_warning(
        best_nested_modeltime_tbl <- nested_modeltime_tbl %>%
            modeltime_nested_select_best(metric = "rsq", minimize = FALSE)
    )


    best_model_report <- best_nested_modeltime_tbl %>%
        extract_nested_best_model_report()

    expect_equal(nrow(best_model_report), 3)
    expect_equal(ncol(best_model_report), 10)

    fcast_tbl <- best_nested_modeltime_tbl %>%
        extract_nested_test_forecast()

    # fcast_tbl %>% group_by(id) %>% plot_modeltime_forecast()

    expect_equal(nrow(fcast_tbl), 313)
    expect_equal(ncol(fcast_tbl), 8)

    # ** Refit ----

    expect_warning({
        nested_modeltime_refit_tbl <- best_nested_modeltime_tbl %>%
            modeltime_nested_refit(
                control = control_nested_refit(verbose = TRUE)
            )
    })

    nested_modeltime_refit_tbl %>% extract_nested_error_report()

    fcast_tbl <- nested_modeltime_refit_tbl %>%
        extract_nested_future_forecast()

    expect_equal(nrow(fcast_tbl), 312)
    expect_equal(ncol(fcast_tbl), 8)

    # fcast_tbl %>% group_by(id) %>% plot_modeltime_forecast()



    # modeltime_nested_fit: Bad Model Only

    # ** Fit ----
    expect_warning({
        nested_modeltime_tbl <- nested_data_tbl %>%
            modeltime_nested_fit(
                # wflw_xgb,
                wflw_bad,

                control = control_nested_fit(verbose = TRUE)
            )
    })


    attrib <- attributes(nested_modeltime_tbl)

    expect_equal(attrib$fit_column, ".splits")
    expect_equal(attrib$id, "id")

    acc_tbl <- nested_modeltime_tbl %>% extract_nested_test_accuracy()

    expect_equal(nrow(acc_tbl), 3)
    expect_equal(ncol(acc_tbl), 3)

    err_tbl <- nested_modeltime_tbl %>% extract_nested_error_report()

    expect_equal(nrow(err_tbl), 3)
    expect_equal(ncol(err_tbl), 4)

    fcast_tbl <- nested_modeltime_tbl %>%
        extract_nested_test_forecast()

    # fcast_tbl %>% group_by(id) %>% plot_modeltime_forecast()

    expect_equal(nrow(fcast_tbl), 0)
    expect_equal(ncol(fcast_tbl), 0)

    fcast_tbl <- nested_modeltime_tbl %>%
        extract_nested_test_forecast(.include_actual = F)

    expect_equal(nrow(fcast_tbl), 0)
    expect_equal(ncol(fcast_tbl), 0)

    fcast_tbl <- nested_modeltime_tbl %>%
        extract_nested_test_forecast(.include_actual = F, .id_subset = "1_1")

    expect_equal(nrow(fcast_tbl), 0)
    expect_equal(ncol(fcast_tbl), 0)

    # ** Select Best ----

    expect_error({
        nested_modeltime_tbl %>%
            modeltime_nested_select_best(metric = "rsq", minimize = FALSE)
    })


    # ** Refit ----

    expect_warning({
        nested_modeltime_refit_tbl <- nested_modeltime_tbl %>%
            modeltime_nested_refit(
                control = control_nested_refit(verbose = TRUE)
            )
    })

    nested_modeltime_refit_tbl %>% extract_nested_error_report()

    fcast_tbl <- nested_modeltime_refit_tbl %>%
        extract_nested_future_forecast(.include_actual = F)

    expect_equal(nrow(fcast_tbl), 0)
    expect_equal(ncol(fcast_tbl), 0)

    # fcast_tbl %>%
    #     dplyr::group_by(id) %>%
    #     plot_modeltime_forecast()


})