[BUG] normalize y when using EncoderNormalizer

pytorch_forecasting/adapters/scaler_adapters.py

@@ -199,3 +199,39 @@ def fit_transform_sequence(
             col = sub.fit_transform(col, X) if sub.fit_per_sequence else col
             columns.append(col.unsqueeze(-1))
         return torch.cat(columns, dim=-1)
+
+    def transform_sequence(
+        self, data: ArrayLike, X: pd.DataFrame = None
+    ) -> torch.Tensor:
+        """Transform with per-sequence sub-normalizers; leave the rest untouched.
+
+        Counterpart to :meth:`fit_transform_sequence` for the decoder window,
+        which must reuse the state fitted on the encoder window rather than
+        refit. Non-per-sequence normalizers already applied their global state
+        during preprocessing, so their columns pass through unchanged.
+
+        Parameters
+        ----------
+        data : tensor, ndarray, or Series
+            Shape ``(pred_length,)`` or ``(pred_length, n_targets)``.
+
+        Returns
+        -------
+        torch.Tensor
+            Same shape as input.
+        """
+        if not self.is_multi:
+            return (
+                self.transform(data, X) if self.fit_per_sequence else _to_tensor(data)
+            )
+
+        t = _to_tensor(data)
+        if t.ndim == 1:
+            t = t.unsqueeze(-1)
+
+        columns = []
+        for idx, sub in enumerate(self._sub_adapters):
+            col = t[:, idx]
+            col = sub.transform(col, X) if sub.fit_per_sequence else col
+            columns.append(col.unsqueeze(-1))
+        return torch.cat(columns, dim=-1)

pytorch_forecasting/data/data_module/_encoder_decoder_data_module.py

@@ -797,6 +797,10 @@ def __getitem__(self, idx):
 
             y = data["target"][decoder_indices]
 
+            # reuse the fit from the encoder window, do not refit on y
+            if normalizer is not None and normalizer.fit_per_sequence:
+                y = normalizer.transform_sequence(y)
+
             if y.shape[-1] > 1:
                 y = [y[:, i] for i in range(y.shape[-1])]
             else:

tests/test_data/test_data_module.py

@@ -726,3 +726,33 @@ def test_group_normalizer_uses_groups():
         mean1 = target1["target"].mean().abs()
         assert mean0 < 1.0, "Group 0 target should be normalized near 0"
         assert mean1 < 1.0, "Group 1 target should be normalized near 0"
+
+
+def test_encoder_normalizer_normalizes_y():
+    """`y` must be normalized by the encoder-fitted `EncoderNormalizer`."""
+    n = 200
+    df = pd.DataFrame(
+        {
+            "group": np.repeat([0, 1], n),
+            "time": np.tile(pd.date_range("2020-01-01", periods=n), 2),
+            "target": np.tile(np.arange(n, dtype=float) * 10.0 + 100.0, 2),
+        }
+    )
+    ts = TimeSeries(data=df, time="time", target="target", group=["group"])
+    dm = EncoderDecoderTimeSeriesDataModule(
+        time_series_dataset=ts,
+        max_encoder_length=12,
+        max_prediction_length=6,
+        batch_size=1,
+        target_normalizer=EncoderNormalizer(),
+    )
+    dm.setup("fit")
+
+    x, y = dm.train_dataset[0]
+    target_past = x["target_past"].squeeze(-1)
+
+    assert y.abs().max() < 10.0, "y is still on the raw target scale"
+
+    # series is linear, so y carries on from the encoder by one constant step
+    step = target_past[-1] - target_past[-2]
+    assert torch.allclose(y[0], target_past[-1] + step, atol=1e-4)