Prevent overflow for Poisson based models (large counts)

RJT1990 / pyflux

Open source time series library for Python

BSD 3-Clause "New" or "Revised" License

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Prevent overflow for Poisson based models (large counts) #21

Closed RJT1990 closed 7 years ago

RJT1990 commented 8 years ago

NaNs/infs out for large count data. Needs to be written to avoid overflow in the exponentiated terms.

RJT1990 commented 7 years ago

Issue is resolved and will be in next release. The solution for GAS models was to clip the gradients. This still does not mean it's fool-proof, but now if it does fail, it will be because a insensibly large count dataset would have been chosen (where a Normal distribution would be a better choice...)