fix(models): improve the SES implementation #973
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Summary
README.md
to note support for in-sample fitted values forSimpleExponentialSmoothing
,SimpleExponentialSmoothingOptimized
,SeasonalExponentialSmoothing
, andSeasonalExponentialSmoothingOptimized
._ses_fcst_mse
to the first observation, rather thannp.nan
, to make it explicitly clear that the initial state is the first observation._ses_fcst_mse
by, for example, pre-calculating the smoothing complement,_optimized_ses_forecast
by changing fromscipy.optimize.minimize
toscipy.optimize.minimize_scalar
. This uses Brent's method which is derivative-free and optimised for local one-dimensional optimisation problems like this, with guaranteed convergence within a reasonable number of evaluations. The convergence will also be superlinear for our strictly convexSimpleExponentialSmoothingOptimized
andSeasonalExponentialSmoothingOptimized
, whereAdd a temporary benchmark totest_efficiency.py
for CodSpeed.Benchmarks
Memory Profile
Base
Head