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This PR fixes my own issues:

It allows to tune "any" model, generalizing the optimize_hypetparameters function from TemporalFusionTransformer model, and it also add a "better" LSTMModel than the one shown in the documentation, which I tried to use on a multi-target dataset without success. My version does work on multi-target datasets, thanks to an extension to AutoRegressiveBaseModel.

My version of AutoRegressiveBaseModel inherits from the original to override a couple of methods. I should've probably just edited the original, but I'd like to hear your feedback before doing that. I'm also sure there was a simpler way for AutoRegressiveBaseModel to work with multi-target data. When I tried to just run the Documentation's example of LSTMModel but on a multi-target dummy dataset, it just did not work out of the box.

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Make sure to have fun coding!

@svnv-svsv-jm svnv-svsv-jm changed the title init Support tuning any model and extend LSTMModel in docs to support multi-target datasets Nov 22, 2023
@svnv-svsv-jm svnv-svsv-jm force-pushed the feature/tune-anything branch from 190589a to 5fc682a Compare January 3, 2024 19:13
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What's blocking this?

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@svnv-svsv-jm
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I don't understand why the docs test fails (I haven't changed anything there) and why the Black test fails if I ran black and on my machine black --check . returns:

>> black --check . All done! ✨ 🍰 ✨ 54 files would be left unchanged.
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codecov-commenter commented Feb 13, 2024

Codecov Report

Attention: 35 lines in your changes are missing coverage. Please review.

Comparison is base (b3fcf86) 90.19% compared to head (652a4c1) 89.96%.
Report is 8 commits behind head on master.

Files Patch % Lines
pytorch_forecasting/models/_base_autoregressive.py 77.46% 16 Missing ⚠️
pytorch_forecasting/models/tuning.py 85.43% 15 Missing ⚠️
pytorch_forecasting/data/timeseries.py 0.00% 3 Missing ⚠️
pytorch_forecasting/models/lstm.py 98.83% 1 Missing ⚠️

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Additional details and impacted files
@@ Coverage Diff @@ ## master #1449 +/- ## ========================================== - Coverage 90.19% 89.96% -0.23%  ========================================== Files 30 33 +3 Lines 4724 4985 +261 ========================================== + Hits 4261 4485 +224  - Misses 463 500 +37 
Flag Coverage Δ
cpu 89.96% <86.79%> (-0.23%) ⬇️
pytest 89.96% <86.79%> (-0.23%) ⬇️

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@fkiraly fkiraly changed the title Support tuning any model and extend LSTMModel in docs to support multi-target datasets [ENH] Support tuning any model and extend LSTMModel in docs to support multi-target datasets Sep 30, 2024
@fkiraly fkiraly added the enhancement New feature or request label Sep 30, 2024
@svnv-svsv-jm svnv-svsv-jm force-pushed the feature/tune-anything branch from 7245c00 to 622d979 Compare October 9, 2024 19:22
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enhancement New feature or request

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