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zalandoresearch / pytorch-ts

PyTorch based Probabilistic Time Series forecasting framework based on GluonTS backend
MIT License
1.21k stars 190 forks source link

Implement Temporal Fusion Transformer? #29

Open julioasotodv opened 3 years ago

julioasotodv commented 3 years ago

Hi!

First of all, thank you for this library. It is the only Pytorch lib for ts with a usable API!

I am pretty sure you already know this, but one of the latest and most famous deep learning architectures for ts forecasting is the Temporal Fusion Transformer (TFT): https://arxiv.org/abs/1912.09363

There are already two Pytorch implementations out there: this one and this other one (that is heavily inspired by the former), but both lack a nice API and there are some implementation issues.

IMO it would be a great addition to pytorch-ts.

Thank you!

kashif commented 3 years ago

@julioasotodv I have something for you to test if you like?