microsoft / microsoft/FLAML

pytorch TimeSeriesDataSet handling missing time stamps - for TemporalFusionTransformer model

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Description

PyTorch's TimeSeriesDataSet is capable of handling missing time stamps. We would like to leverage this capability for our TemporalFusionTransformer model. PyTorch has two methods forward fill strategy and constant fill strategy.
- Set `allow_missing_timesteps=True`
- Add fill strategies to search space when there exist missing data.
- For constant fill strategies, will need to search for constant values to use for each column name. - As with other hyperparameters, users can override these.

See [PyTorch TimeSeriesDataSet Documentation](https://pytorch-forecasting.readthedocs.io/en/stable/api/pytorch_forecasting.data.timeseries.TimeSeriesDataSet.html) for more information.

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