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Convert fp32 datasets to fp64 in ARIMA and AutoARIMA + update notebook to avoid deprecation warnings with positional parameters #4195

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merged 5 commits into from
Sep 8, 2022
Merged

Convert fp32 datasets to fp64 in ARIMA and AutoARIMA + update notebook to avoid deprecation warnings with positional parameters #4195

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0a7cf03
Convert fp32 datasets to fp64 in ARIMA and AutoARIMA with a warning +…
Nyrio Sep 7, 2021
a31247a
Add convert_dtype argument to ARIMA and AutoARIMA and remove conversi…
Nyrio Sep 8, 2021
3f78f03
Remove dtype warning in AutoARIMA
Nyrio Sep 8, 2021
f013d6f
Merge branch 'branch-21.10' into enh-arima-dtype
Nyrio Sep 10, 2021
e850e62
Merge branch 'branch-22.10' into enh-arima-dtype
dantegd Aug 31, 2022
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12 changes: 10 additions & 2 deletions python/cuml/tsa/arima.pyx
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Original file line number Diff line number Diff line change
Expand Up @@ -34,9 +34,11 @@ from raft.common.handle cimport handle_t
from cuml.tsa.batched_lbfgs import batched_fmin_lbfgs_b
import cuml.common.logger as logger
from cuml.common import has_scipy
from cuml.common.input_utils import determine_array_dtype
from cuml.common.input_utils import input_to_cuml_array
from cuml.common.input_utils import input_to_host_array
from cuml.internals import _deprecate_pos_args
import warnings


cdef extern from "cuml/tsa/arima_common.h" namespace "ML":
Expand Down Expand Up @@ -209,6 +211,9 @@ class ARIMA(Base):
the estimator. If None, it'll inherit the output type set at the
module level, `cuml.global_settings.output_type`.
See :ref:`output-data-type-configuration` for more info.
convert_dtype : boolean
When set to True, the model will automatically convert the inputs to
np.float64.

Attributes
----------
Expand Down Expand Up @@ -311,7 +316,8 @@ class ARIMA(Base):
simple_differencing=True,
handle=None,
verbose=False,
output_type=None):
output_type=None,
convert_dtype=True):

if not has_scipy():
raise RuntimeError("Scipy is needed to run cuML's ARIMA estimator."
Expand Down Expand Up @@ -346,7 +352,9 @@ class ARIMA(Base):

# Endogenous variable. Float64 only for now.
self.d_y, self.n_obs, self.batch_size, self.dtype \
= input_to_cuml_array(endog, check_dtype=np.float64)
= input_to_cuml_array(
endog, check_dtype=np.float64,
convert_to_dtype=(np.float64 if convert_dtype else None))

if self.n_obs < d + s * D + 1:
raise ValueError("ERROR: Number of observations too small for the"
Expand Down
12 changes: 10 additions & 2 deletions python/cuml/tsa/auto_arima.pyx
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Original file line number Diff line number Diff line change
Expand Up @@ -37,9 +37,11 @@ from raft.common.handle cimport handle_t
from raft.common.handle import Handle
from cuml.common import input_to_cuml_array
from cuml.common import using_output_type
from cuml.common.input_utils import determine_array_dtype
from cuml.tsa.arima import ARIMA
from cuml.tsa.seasonality import seas_test
from cuml.tsa.stationarity import kpss_test
import warnings


# TODO:
Expand Down Expand Up @@ -145,6 +147,9 @@ class AutoARIMA(Base):
the estimator. If None, it'll inherit the output type set at the
module level, `cuml.global_settings.output_type`.
See :ref:`output-data-type-configuration` for more info.
convert_dtype : boolean
When set to True, the model will automatically convert the inputs to
np.float64.

Notes
-----
Expand Down Expand Up @@ -186,7 +191,8 @@ class AutoARIMA(Base):
handle=None,
simple_differencing=True,
verbose=False,
output_type=None):
output_type=None,
convert_dtype=True):
# Initialize base class
super().__init__(handle=handle,
verbose=verbose,
Expand All @@ -195,7 +201,9 @@ class AutoARIMA(Base):

# Get device array. Float64 only for now.
self.d_y, self.n_obs, self.batch_size, self.dtype \
= input_to_cuml_array(endog, check_dtype=np.float64)
= input_to_cuml_array(
endog, check_dtype=np.float64,
convert_to_dtype=(np.float64 if convert_dtype else None))

self.simple_differencing = simple_differencing

Expand Down