warn when num_threads is not used in MinTrace (#273)

Nixtla · Jul 4, 2024 · 3817c69 · 3817c69
1 parent b52b044
commit 3817c69
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Showing 3 changed files with 9 additions and 5 deletions.
diff --git a/.circleci/config.yml b/.circleci/config.yml
@@ -9,15 +9,15 @@ jobs:
       - run:
           name: Install dependencies
           command: |
-            micromamba install -n base -c conda-forge -y python=3.7
+            micromamba install -n base -c conda-forge -y python=3.10
             micromamba update -n base -f environment.yml
       - run:
           name: Run nbdev tests
           command: |
             eval "$(micromamba shell hook --shell bash)"
             micromamba activate base
             pip install ".[dev]"
-            nbdev_test --do_print --timing --n_workers 1
+            nbdev_test --do_print --timing --n_workers 0
   test-model-performance:
     resource_class: large
     docker:
@@ -27,7 +27,7 @@ jobs:
       - run:
           name: Install dependencies
           command: |
-            micromamba install -n base -c conda-forge -y python=3.7
+            micromamba install -n base -c conda-forge -y python=3.10
             micromamba update -n base -f environment.yml
       - run:
           name: Run model performance tests

diff --git a/hierarchicalforecast/methods.py b/hierarchicalforecast/methods.py
@@ -575,7 +575,7 @@ class MinTrace(HReconciler):
     `method`: str, one of `ols`, `wls_struct`, `wls_var`, `mint_shrink`, `mint_cov`.<br>
     `nonnegative`: bool, reconciled forecasts should be nonnegative?<br>
     `mint_shr_ridge`: float=2e-8, ridge numeric protection to MinTrace-shr covariance estimator.<br>
-    `num_threads`: int=1, number of threads to use for solving the optimization problems.
+    `num_threads`: int=1, number of threads to use for solving the optimization problems (when nonnegative=True).
 
     **References:**<br>
     - [Wickramasuriya, S. L., Athanasopoulos, G., & Hyndman, R. J. (2019). \"Optimal forecast reconciliation for
@@ -596,6 +596,8 @@ def __init__(self,
         if method == 'mint_shrink':
             self.mint_shr_ridge = mint_shr_ridge
         self.num_threads = num_threads
+        if not self.nonnegative and self.num_threads > 1:
+            warnings.warn('`num_threads` is only used when `nonnegative=True`')
 
     def _get_PW_matrices(self, 
                   S: np.ndarray,

diff --git a/nbs/methods.ipynb b/nbs/methods.ipynb
@@ -1029,7 +1029,7 @@
     "    `method`: str, one of `ols`, `wls_struct`, `wls_var`, `mint_shrink`, `mint_cov`.<br>\n",
     "    `nonnegative`: bool, reconciled forecasts should be nonnegative?<br>\n",
     "    `mint_shr_ridge`: float=2e-8, ridge numeric protection to MinTrace-shr covariance estimator.<br>\n",
-    "    `num_threads`: int=1, number of threads to use for solving the optimization problems.\n",
+    "    `num_threads`: int=1, number of threads to use for solving the optimization problems (when nonnegative=True).\n",
     "\n",
     "    **References:**<br>\n",
     "    - [Wickramasuriya, S. L., Athanasopoulos, G., & Hyndman, R. J. (2019). \\\"Optimal forecast reconciliation for\n",
@@ -1050,6 +1050,8 @@
     "        if method == 'mint_shrink':\n",
     "            self.mint_shr_ridge = mint_shr_ridge\n",
     "        self.num_threads = num_threads\n",
+    "        if not self.nonnegative and self.num_threads > 1:\n",
+    "            warnings.warn('`num_threads` is only used when `nonnegative=True`')\n",
     "\n",
     "    def _get_PW_matrices(self, \n",
     "                  S: np.ndarray,\n",