Disallow negative predictions?

[mgiangreco]

Is there a way to tell the engine that predictions cannot be negative? Obviously it is possible to change negative predictions to zero after the fact...

[antoinecarme]

No, we cannot force the signal to be positive in the engine (for the moment). A forecast post-processing is an option, as you mentioned.

Do you have a sample code that reproduces this ? I suppose/hope that the error is still acceptable.

Some signal transformations (log) force the signal to be positive at the end, by design. You can activate these (not the default).

[mgiangreco]

I'll see if I can get permission to share some anonymized data. I think the issue comes into play when the model chosen by PyAF has a negative sloping trend and a long prediction horizon. In that case the forecast can dip into negative.

[antoinecarme]

This is usually needed when the signal values are expected to positive (counts etc).

Think also of a way to force something like this to be always positive :

Here, there are a few points where the forecast is negative.

[antoinecarme]

by applying a "relu" rectifier (commonly used in ANNs, https://en.wikipedia.org/wiki/Rectifier_(neural_networks)), one can get the desired forecast, something like :

lEngine2.mOptions.mForecastRectifier = "relu"

[antoinecarme]

The negative forecasts can now be removed (set to zero) using the training option :

 cForecastEngine.mOptions.mForecastRectifier = "relu"