Merlion

What's Changed

• Fix deep learning bug on Windows. by @aadyotb in https://github.com/salesforce/Merlion/pull/148

Full Changelog: https://github.com/salesforce/Merlion/compare/v2.0.1...v2.0.2

What's Changed

• Address FutureWarning from Scipy 1.10+ by @aadyotb in https://github.com/salesforce/Merlion/pull/143

Full Changelog: https://github.com/salesforce/Merlion/compare/v2.0.0...v2.0.1

What's Changed

• Implemented a GUI dashboard for Merlion. by @yangwenzhuo08 in https://github.com/salesforce/Merlion/pull/129 and @mattfernandez-salesforce in https://github.com/salesforce/Merlion/pull/139
• Support for deep learning forecasters. by @yihaocs in https://github.com/salesforce/Merlion/pull/134
• Add exogenous regressor support to sklearn models. by @aadyotb in https://github.com/salesforce/Merlion/pull/128
• New abstractions for rolling-window forecasters. by @Emerald01 in https://github.com/salesforce/Merlion/pull/127

Major Changes Since v1.3.0

• Implemented a GUI dashboard for Merlion.
• Implemented multiple state-of-the-art deep learning forecasting models.
• Added support for exogenous regressors to all forecasting models.

Major Changes since v1.0.0

• Implemented a GUI dashboard for Merlion.
• Added support for exogenous regressors to a wide range of forecasting models.
• Implemented multiple deep forecasting models, in addition to the existing deep anomaly detection models.
• Added a change point detection module.
• Added a pyspark API for Merlion, to perform forecasting or anomaly detection for many time series in parallel.
• Expanded AutoML to new models, including Prophet and ETS.
• Added utilities for hierarchical time series.
• Re-architectured all Merlion models to streamline new development work.

New Contributors

• @Emerald01 made their first contribution in https://github.com/salesforce/Merlion/pull/127
• @yangwenzhuo08 made their first contribution in https://github.com/salesforce/Merlion/pull/129
• @yihaocs made their first contribution in https://github.com/salesforce/Merlion/pull/134
• @uchiiii made their first contribution in https://github.com/salesforce/Merlion/pull/138
• @mattfernandez-salesforce made their first contribution in https://github.com/salesforce/Merlion/pull/139

Full Changelog: https://github.com/salesforce/Merlion/compare/v1.3.1...v2.0.0

What's Changed

• Add support for exogenous regressors by @aadyotb in https://github.com/salesforce/Merlion/pull/125
• Simplify implementations of SARIMA, ETS, VectorAR. by @aadyotb in https://github.com/salesforce/Merlion/pull/122
• Fix edge case bug in layered models. by @aadyotb in https://github.com/salesforce/Merlion/pull/123
• Fix incorrect reference to BOCPD model in factory by @jonwiggins in https://github.com/salesforce/Merlion/pull/124

New Contributors

• @jonwiggins made their first contribution in https://github.com/salesforce/Merlion/pull/124

Full Changelog: https://github.com/salesforce/Merlion/compare/v1.3.0...v1.3.1

What's Changed

• Improve robustness of Spark API @aadyotb in https://github.com/salesforce/Merlion/pull/118
• Add easy-to-use data loaders for custom datasets. by @aadyotb in https://github.com/salesforce/Merlion/pull/120
• More AutoML features included in AutoETS and AutoProphet. More streamlined implementation of AutoML models. by @chenghaoliu89 in https://github.com/salesforce/Merlion/pull/119 and @aadyotb in https://github.com/salesforce/Merlion/pull/121

Major Changes Since v1.2.0

• Added a pyspark API for Merlion, to perform forecasting or anomaly detection for many time series in parallel. The API is compatible with the spark-on-k8s-operator.
• Expanded functionality of AutoETS and AutoProphet models, to automatically select more hyperparameters besides just seasonality.
• Expanded evaluation framework to accommodate multivariate forecasting. This enables automatic model selection for multivariate time series.
• Updated Prophet dependency to simplify installation for Python 3.7+.
• Various bugfixes.

Full Changelog: https://github.com/salesforce/Merlion/compare/v1.2.5...v1.3.0

What's Changed

• Fix a bug where in layered models which prevents certain sub-model params (e.g. target_seq_index) from being set correctly.
• Fix an argument parsing bug in the pyspark anomaly detection app.
• Makes max_forecast_steps an optional parameter for tree models.
• Makes exceptions from ModelFactory more descriptive.
• Allow the use of ForecastMetric for evaluating multivariate time series by specifying a target_seq_index.

Full Changelog: https://github.com/salesforce/Merlion/compare/v1.2.4...v1.2.5

What's Changed

• Enhance spark API & add compatibility with spark-on-k8s-operator. by @aadyotb in https://github.com/salesforce/Merlion/pull/114
• Enhance tree forecasters to work with max_forecast_steps=None and return_prev=True. by @aadyotb in https://github.com/salesforce/Merlion/pull/114
• Fix Prophet.resample_time_stamps bug by @rafaelleinio in https://github.com/salesforce/Merlion/pull/112
• Add policy to replace missing time series values with 0. by @aadyotb in https://github.com/salesforce/Merlion/pull/113

New Contributors

• @rafaelleinio made their first contribution in https://github.com/salesforce/Merlion/pull/112

Full Changelog: https://github.com/salesforce/Merlion/compare/v1.2.3...v1.2.4

What's Changed

• Update prophet required version to 1.1 by @aadyotb in https://github.com/salesforce/Merlion/pull/110
• Don't resample timestamps if not needed in forecast(). by @aadyotb in https://github.com/salesforce/Merlion/pull/109

Full Changelog: https://github.com/salesforce/Merlion/compare/v1.2.2...v1.2.3

What's Changed

• Fix AutoSARIMA bugs. by @aadyotb in https://github.com/salesforce/Merlion/pull/106
• Add beta pyspark API. by @aadyotb in https://github.com/salesforce/Merlion/pull/107
• Make test coverage reports more accurate. by @aadyotb in https://github.com/salesforce/Merlion/pull/108

Full Changelog: https://github.com/salesforce/Merlion/compare/v1.2.1...v1.2.2

What's Changed

• Fix issues with LayeredModelConfig accessing underlying model attributes. This fixes various bugs with both AutoML models and default models. by @aadyotb in https://github.com/salesforce/Merlion/pull/99 and https://github.com/salesforce/Merlion/pull/104

Full Changelog: https://github.com/salesforce/Merlion/compare/v1.2.0...v1.2.1

What's Changed

• Add intermediate API's to all models. by @aadyotb in https://github.com/salesforce/Merlion/pull/90
  • Internal changes; should not cause any breaking changes for end users.
  • Implements train(), forecast(), and get_anomaly_score() at the level of the base class for all models. Each of these methods respectively calls an implementation-specific _train(), _forecast(), or _get_anomaly_score().
  • The base classes now include much of what was previously boilerplate code that had to be duplicated for each model (applying pre-processing transforms, converting standard errors to inter-quartile ranges, training post-rules, etc.).
• Fix forecasting bugs when return_prev=True. by @aadyotb in https://github.com/salesforce/Merlion/pull/97

Major Changes Since v1.1.0

• Added intermediate API's to all models.
• Made installation more lightweight.
• Changed Python-Java bridge from jpype to py4j, for improved robustness in multiprocessing settings.
• Various bugfixes.

Full Changelog: https://github.com/salesforce/Merlion/compare/v1.1.3...v1.2.0

What's Changed

• Fix ETS refit params (Issue #78). by @aadyotb in https://github.com/salesforce/Merlion/pull/79
• Allow TimeSeries to include NaN values. by @aadyotb in https://github.com/salesforce/Merlion/pull/85
• Fix n_retrain option in benchmark_forecast.py (Issue #82). by @aadyotb in https://github.com/salesforce/Merlion/pull/86

Full Changelog: https://github.com/salesforce/Merlion/compare/v1.1.2...v1.1.3

What's Changed

• Replace absolute path with a relative one in the model saving/loading procedure by @isenilov in https://github.com/salesforce/Merlion/pull/63
• Combine boosting/bagging trees into one file. by @aadyotb in https://github.com/salesforce/Merlion/pull/68
• Add incremental training option to DAGMM model by @isenilov in https://github.com/salesforce/Merlion/pull/65
• Change default min_likelihood to 1e-16 for BOCPD by @cnll0075 in https://github.com/salesforce/Merlion/pull/71
• Let eval metrics work w/ UnivariateTimeSeries. by @aadyotb in https://github.com/salesforce/Merlion/pull/74
• Implement reconciliation for hierarchical time series. by @aadyotb in https://github.com/salesforce/Merlion/pull/72

Full Changelog: https://github.com/salesforce/Merlion/compare/v1.1.1...v1.1.2

What's Changed

• Explicitly specify int64 for timestamps (not int) to fix a Windows bug (#58)
• Fix bugs with MoE_ForecasterEnsemble (#51), default models (#57), and Prophet holidays (#59)
• Make base installation more lightweight (#61)
• Use py4j instead of jpype for Python-Java bridge (#62)

Full Changelog: https://github.com/salesforce/Merlion/compare/v1.1.0...v1.1.1

What's Changed

• Re-architecture of layered models & ensembles, making AutoML easier to use (#47)
• Added AutoML variants of ETS and Prophet (AutoETS and AutoProphet, similar to the existing AutoSarima)
• Bug fixes related to resampling (#45)
• Improved quality of API docs for model configs

Major Changes Since v1.0.0

• Added change point detection module.
• Re-architecture of layered models & ensembles.
• Expanded AutoML module, with improved ease of use.
• Various bugfixes.

Full Changelog: https://github.com/salesforce/Merlion/compare/v1.0.2...v1.1.0

What's Changed

• Add change point detection module (#41)
• Add more config options to Prophet (#43)

Full Changelog: https://github.com/salesforce/Merlion/compare/v1.0.1...v1.0.2

What's Changed

• Update prophet version (#18)
• Allow sampling granularities that aren't a constant number of seconds, e.g. monthly (#30)
• Fix bugs with AutoSARIMA implementation (#32)
• Make data loading code more robust (#35)
• Fix minor bug in benchmark_anomaly.py (#38)

Full Changelog: https://github.com/salesforce/Merlion/compare/v1.0.0...v1.0.1

Initial release.