Target encoding not working with recursive forecasting

[vidarsumo]

Using target encoding in the recipe (step_lencode_mixed or step_lencode_glm) will return an error when calling modeltime_forecast(),

# 1.0.0 Setup ---------------------------------------------------------------------------------

library(modeltime)
library(tidymodels)
library(tidyverse)
library(embed)
library(timetk)


data_tbl <- walmart_sales_weekly %>%
    select(id, Dept, Date, Weekly_Sales) %>%
    set_names("id", "dept", "date", "outcome") %>%
    mutate(dept = paste0("dept_", dept))

lag_function <- function(data) {
    data %>%
        group_by(id) %>%
        tk_augment_lags(.value = outcome, .lags = 1:12) %>%
        ungroup()
}

data_lag_tbl <- data_tbl %>%
    lag_function

splits <- data_lag_tbl %>% time_series_split(date_var = date, assess = 12, cumulative = TRUE)

train_data_tbl <- training(splits)
test_data_tbl  <- testing(splits)


# 2.0.0 Modelling -----------------------------------------------------------------------------

# 2.1.0 Recipes ----
parsnip_recipe <- recipes::recipe(outcome ~ ., data = train_data_tbl) %>%
    embed::step_lencode_mixed(recipes::all_nominal_predictors(), outcome = dplyr::vars(outcome)) %>%
    step_timeseries_signature(date) %>%
    update_role(id, new_role = "indicator") %>%
    update_role(date, new_role = "date-field") %>%
    step_zv(all_predictors()) %>%
    step_rm(matches("(.xts$)|(.iso$)|(.lbl$)|(_wday)|(_day)|(hour)|(minute)|(second)|(am.pm)"))


# 2.2.0 Fit model ----
xgb_spec <- boost_tree(mode = "regression") %>%
    set_engine("xgboost")

# 2.2.1 Non-recusrive ----
xgb_mtbl <- workflow() %>%
    add_recipe(parsnip_recipe) %>%
    add_model(xgb_spec) %>%
    fit(train_data_tbl) %>%
    modeltime_table()


# 2.2.2 Recusrive ----
xgb_recusrive_mtbl <- workflow() %>%
    add_recipe(parsnip_recipe) %>%
    add_model(xgb_spec) %>%
    fit(train_data_tbl) %>%
    recursive(
        id = "id",
        transform = lag_function,
        train_tail = panel_tail(train_data_tbl, "id", 12)
    ) %>%
    modeltime_table()


# 2.3.0 Forecast ----

# 2.3.1 Works ----

xgb_fc_tbl <- xgb_mtbl %>%
    modeltime_forecast(
        new_data = test_data_tbl,
        actual_data = data_lag_tbl,
        keep_data = TRUE
    )


# 2.3.2 Fails ----

xgb_recursive_fc_tbl <- xgb_recusrive_mtbl %>%
    modeltime_forecast(
        new_data = test_data_tbl,
        actual_data = data_lag_tbl,
        keep_data = TRUE
    )

Error: Can't combine `..1$dept` <character> and `..2$dept` <double>.
Error in `dplyr::filter()`:
ℹ In argument: `.model_desc == "ACTUAL" | .key == "prediction"`.
Caused by error:
! object '.key' not found
Run `rlang::last_trace()` to see where the error occurred.
Warning message:
Unknown or uninitialised column: `.key`.