Nixtla / neuralforecast

Scalable and user friendly neural :brain: forecasting algorithms.
https://nixtlaverse.nixtla.io/neuralforecast
Apache License 2.0
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[FEAT] Added TSMixerx model #920

Closed elephaint closed 7 months ago

elephaint commented 7 months ago

This PR adds the TSMixerx model into neuralforecast (in the paper referred to as TSMixerExt), which provides support for exogenous inputs, and demonstrates its applicaiton in a Multivariate_with_TSMixer example notebook.

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candalfigomoro commented 7 months ago

If TSMixerx does support exog variables while TSMixer does not, should something like this be added to TSMixer?

        # TSMixer does not support historic exogenous variables
        if hist_exog_list is not None:
            raise Exception("TSMixer does not support historic exogenous variables.")

        # ... same for futr and static

As in models that do not support exog variables (NBEATS, PatchTST etc.)

elephaint commented 6 months ago

If TSMixerx does support exog variables while TSMixer does not, should something like this be added to TSMixer?

        # TSMixer does not support historic exogenous variables
        if hist_exog_list is not None:
            raise Exception("TSMixer does not support historic exogenous variables.")

        # ... same for futr and static

As in models that do not support exog variables (NBEATS, PatchTST etc.)

You're right - thanks for the suggestion. I'll make it part of the tsmixerx PR.