Merge pull request #143 from microsoft/mitokic/08252023/hts-recon-error

Mitokic/08252023/hts recon error
microsoft · Sep 12, 2023 · 029ae74 · 029ae74
2 parents 378eb63 + c389760
commit 029ae74
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diff --git a/DESCRIPTION b/DESCRIPTION
@@ -1,6 +1,6 @@
 Package: finnts
 Title: Microsoft Finance Time Series Forecasting Framework
-Version: 0.3.0.9001
+Version: 0.3.0.9002
 Authors@R: 
     c(person(given = "Mike",
            family = "Tokic",

diff --git a/NEWS.md b/NEWS.md
@@ -1,10 +1,15 @@
-# finnts 0.3.0.9001 (DEVELOPMENT VERSION)
+# finnts 0.3.0.9002 (DEVELOPMENT VERSION)
 
 ## Improvements
 
 -   Tidymodels speed up
 -   Added external regressor support for ARIMA by introducing a new model option of `arimax`, which uses engineered features in addition to any external regressors supplied.
 -   Automated feature selection, refer to feature selection vignette for more details
+-   Error handling in hierarchical forecast reconciliation
+
+## Bug Fixes
+
+-   Best model selection
 
 # finnts 0.3.0
 

diff --git a/R/final_models.R b/R/final_models.R
@@ -196,58 +196,105 @@ final_models <- function(run_info,
 
       single_model_tbl <- NULL
       if (run_local_models) {
-        suppressWarnings(try(single_model_tbl <- read_file(run_info,
-          path = paste0(
-            "/forecasts/", hash_data(run_info$experiment_name), "-", hash_data(run_info$run_name),
-            "-", combo, "-single_models.", run_info$data_output
-          ),
-          return_type = "df"
-        ),
-        silent = TRUE
-        ))
+        single_model_tbl <- tryCatch(
+          {
+            read_file(run_info,
+              path = paste0(
+                "/forecasts/", hash_data(run_info$experiment_name), "-", hash_data(run_info$run_name),
+                "-", combo, "-single_models.", run_info$data_output
+              ),
+              return_type = "df"
+            )
+          },
+          warning = function(w) {
+            # do nothing
+          },
+          error = function(e) {
+            NULL
+          }
+        )
       }
 
       ensemble_model_tbl <- NULL
       if (run_ensemble_models) {
-        suppressWarnings(try(ensemble_model_tbl <- read_file(run_info,
-          path = paste0(
-            "/forecasts/", hash_data(run_info$experiment_name), "-", hash_data(run_info$run_name),
-            "-", combo, "-ensemble_models.", run_info$data_output
-          ),
-          return_type = "df"
-        ),
-        silent = TRUE
-        ))
+        ensemble_model_tbl <- tryCatch(
+          {
+            read_file(run_info,
+              path = paste0(
+                "/forecasts/", hash_data(run_info$experiment_name), "-", hash_data(run_info$run_name),
+                "-", combo, "-ensemble_models.", run_info$data_output
+              ),
+              return_type = "df"
+            )
+          },
+          warning = function(w) {
+            # do nothing
+          },
+          error = function(e) {
+            NULL
+          }
+        )
       }
 
       global_model_tbl <- NULL
       if (run_global_models) {
-        suppressWarnings(try(global_model_tbl <- read_file(run_info,
-          path = paste0(
-            "/forecasts/", hash_data(run_info$experiment_name), "-", hash_data(run_info$run_name),
-            "-", combo, "-global_models.", run_info$data_output
-          ),
-          return_type = "df"
-        ),
-        silent = TRUE
-        ))
+        global_model_tbl <- tryCatch(
+          {
+            read_file(run_info,
+              path = paste0(
+                "/forecasts/", hash_data(run_info$experiment_name), "-", hash_data(run_info$run_name),
+                "-", combo, "-global_models.", run_info$data_output
+              ),
+              return_type = "df"
+            )
+          },
+          warning = function(w) {
+            # do nothing
+          },
+          error = function(e) {
+            NULL
+          }
+        )
       }
 
       local_model_tbl <- single_model_tbl %>%
         rbind(ensemble_model_tbl)
 
-      predictions_tbl <- local_model_tbl %>%
-        rbind(global_model_tbl) %>%
-        dplyr::select(Combo, Model_ID, Model_Name, Model_Type, Recipe_ID, Train_Test_ID, Date, Forecast, Target) %>%
-        dplyr::filter(Train_Test_ID %in% train_test_id_list)
-
       # check if model averaging already happened
       if ("Best_Model" %in% colnames(local_model_tbl %>% rbind(global_model_tbl))) {
+        # see if average models file exists and add to model tbl
+        average_model_tbl <- tryCatch(
+          {
+            read_file(run_info,
+              path = paste0(
+                "/forecasts/", hash_data(run_info$experiment_name), "-", hash_data(run_info$run_name),
+                "-", combo, "-average_models.", run_info$data_output
+              ),
+              return_type = "df"
+            )
+          },
+          warning = function(w) {
+            # do nothing
+          },
+          error = function(e) {
+            NULL
+          }
+        )
+
+        local_model_tbl <- local_model_tbl %>%
+          rbind(average_model_tbl)
+
         best_model_check <- TRUE
       } else {
         best_model_check <- FALSE
       }
 
+      # combine all forecasts
+      predictions_tbl <- local_model_tbl %>%
+        rbind(global_model_tbl) %>%
+        dplyr::select(Combo, Model_ID, Model_Name, Model_Type, Recipe_ID, Train_Test_ID, Date, Forecast, Target) %>%
+        dplyr::filter(Train_Test_ID %in% train_test_id_list)
+
       # get model list
       if (!is.null(local_model_tbl)) {
         local_model_list <- local_model_tbl %>%