Soothsayer

Soothsayer is an Elixir library for time series forecasting, inspired by Facebook's Prophet and NeuralProphet. It provides a flexible and easy-to-use interface for creating and training forecasting models.

Warning: Soothsayer is currently in alpha stage. The API is unstable and may change at any moment without prior notice. Use with caution in production environments.

Installation

Add soothsayer to your list of dependencies in mix.exs:

def deps do
  [
    {:soothsayer, "~> 0.1.0"},
  ]
end

Then run mix deps.get to install the dependencies.

Usage

Here's a basic example of how to use Soothsayer:

alias Explorer.DataFrame
alias Explorer.Series

# Create sample data, (or use your own data)
dates = Date.range(~D[2020-01-01], ~D[2022-12-31])
y = Enum.map(dates, fn date ->
  day_of_year = Date.day_of_year(date)
  trend = 100 + 0.1 * Date.diff(date, ~D[2020-01-01])
  seasonality = 10 * :math.sin(2 * :math.pi * day_of_year / 365.25)
  trend + seasonality + :rand.normal(0, 5)
end)

df = DataFrame.new(%{
  "ds" => dates,
  "y" => y
})

# Create and fit the model
model = Soothsayer.new()
fitted_model = Soothsayer.fit(model, df)

# Make predictions
future_dates = Date.range(~D[2023-01-01], ~D[2023-12-31])
predictions = Soothsayer.predict(fitted_model, Series.from_list(Enum.to_list(future_dates)))

# Print the predictions
IO.inspect(predictions)

You can also get the components of the forecast:

components = Soothsayer.predict_components(fitted_model, Series.from_list(Enum.to_list(future_dates)))

#> %{comboned: ..., trend: ..., yearly_seasonality: ..., weekly_seasonality: ...}

Livebook Example

You can check the livebook dir with some examples on how to use Soothsayer.

Customizing the Model

You can customize various aspects of the model:

model = Soothsayer.new(%{
  trend: %{enabled: true},
  seasonality: %{
    yearly: %{enabled: true, fourier_terms: 10},
    weekly: %{enabled: false}
  },
  epochs: 200,
  learning_rate: 0.005
})

Using EXLA for Faster Training

Soothsayer can use EXLA (Elixir XLA) for faster training, but it's not the default backend. To use EXLA:

1. Make sure you've added EXLA to your dependencies as shown in the Installation section.

2. Set EXLA as the default backend for Nx. Add the following to your config/config.exs file:

   config :nx, default_backend: EXLA.Backend

   Alternatively, you can set it at runtime before using Soothsayer:

   Nx.global_default_backend(EXLA.Backend)

Differences from NeuralProphet

Soothsayer is inspired by NeuralProphet but implemented in Elixir with some key differences:

1. Elixir Ecosystem: Soothsayer is built using Elixir and leverages libraries like Explorer for data manipulation and Axon for neural networks.

2. Simplified Model: Soothsayer currently offers a more streamlined model with fewer components, focusing on trend and seasonality.

3. Data Handling: Soothsayer uses Explorer's DataFrame for data manipulation, which may have different performance characteristics compared to pandas.

4. Training Process: The training process in Soothsayer is implemented using Axon and may differ in some aspects from NeuralProphet's PyTorch implementation.

Features Not Yet Implemented

Soothsayer is a work in progress. The following NeuralProphet features are not yet implemented:

• Auto Regression
• Lagged Regressors
• Future Regressors
• Events and Holidays
• Uncertainty Estimation
• Global and Local Models (models based on geography)
• Multiplicative Seasonality (currently only additive is supported)
• Piecewise Linear Trends (currently only simple linear trend is supported)
• Advanced Regularization Options
• Automatic Changepoint Detection
• Cross-Validation and Hyperparameter Tuning

We plan to implement some of these features in future versions of Soothsayer.

Contributing

Contributions are welcome! Please feel free to submit a Pull Request.

License

Soothsayer is released under the Apache License 2.0. See the LICENSE file for details.