[ENH] Add OnlineSlidingWindow and OnlineExponentialForgetting meta-strategies

skpro/regression/online/__init__.py

@@ -3,12 +3,16 @@
 
 from skpro.regression.online._batch_mixture import OnlineBatchMixture
 from skpro.regression.online._dont_refit import OnlineDontRefit
+from skpro.regression.online._exponential_forgetting import OnlineExponentialForgetting
 from skpro.regression.online._refit import OnlineRefit
 from skpro.regression.online._refit_every import OnlineRefitEveryN
+from skpro.regression.online._sliding_window import OnlineSlidingWindow
 
 __all__ = [
     "OnlineBatchMixture",
     "OnlineDontRefit",
+    "OnlineExponentialForgetting",
     "OnlineRefit",
     "OnlineRefitEveryN",
+    "OnlineSlidingWindow",
 ]

skpro/regression/online/_exponential_forgetting.py

@@ -0,0 +1,230 @@
+"""Meta-strategy for online learning: exponential forgetting."""
+
+__author__ = ["patelchaitany"]
+__all__ = ["OnlineExponentialForgetting"]
+
+import numpy as np
+import pandas as pd
+
+from skpro.regression.base import _DelegatedProbaRegressor
+
+
+class OnlineExponentialForgetting(_DelegatedProbaRegressor):
+    """Online regression strategy by exponential forgetting of old data.
+
+    In ``fit``, fits the regressor on all provided data and assigns each
+    observation a weight of 1.
+
+    In ``update``, decays the weight of all previously seen observations
+    by ``alpha``. New observations enter with weight 1. Observations whose
+    weight drops below ``min_weight`` are pruned. The regressor is then
+    refitted on the surviving (weighted) data.
+
+    Acts as a soft sliding window where the effective window length is
+    approximately ``log(min_weight) / log(alpha)`` updates.
+
+    Caveat: data indices are reset to RangeIndex internally, even if some indices
+    passed in ``fit`` and ``update`` overlap.
+
+    Parameters
+    ----------
+    estimator : skpro regressor, descendant of BaseProbaRegressor
+        regressor to be update-refitted on weighted data, blueprint
+    alpha : float, default=0.95
+        decay factor applied to all existing observation weights at each update.
+        Must be in (0, 1). Smaller values forget old data faster.
+    min_weight : float, default=1e-3
+        minimum weight threshold. Observations with weight below this
+        value are pruned before refitting. Must be in (0, 1].
+
+    Attributes
+    ----------
+    estimator_ : skpro regressor, descendant of BaseProbaRegressor
+        clone of the regressor passed in the constructor, fitted on surviving data
+    """
+
+    _tags = {"capability:update": True}
+
+    def __init__(self, estimator, alpha=0.95, min_weight=1e-3):
+        self.estimator = estimator
+        self.alpha = alpha
+        self.min_weight = min_weight
+
+        super().__init__()
+
+        tags_to_clone = [
+            "capability:missing",
+            "capability:survival",
+        ]
+        self.clone_tags(estimator, tags_to_clone)
+
+    def _fit(self, X, y, C=None):
+        """Fit regressor to training data.
+
+        Writes to self:
+            Sets fitted model attributes ending in "_".
+
+        Parameters
+        ----------
+        X : pandas DataFrame
+            feature instances to fit regressor to
+        y : pandas DataFrame, must be same length as X
+            labels to fit regressor to
+        C : pd.DataFrame, optional (default=None)
+            censoring information for survival analysis,
+            should have same column name as y, same length as X and y
+            should have entries 0 and 1 (float or int)
+            0 = uncensored, 1 = (right) censored
+            if None, all observations are assumed to be uncensored
+            Can be passed to any probabilistic regressor,
+            but is ignored if capability:survival tag is False.
+
+        Returns
+        -------
+        self : reference to self
+        """
+        estimator = self.estimator.clone()
+        estimator.fit(X=X, y=y, C=C)
+        self.estimator_ = estimator
+
+        # remember data and initialise weights
+        self._X = X
+        self._y = y
+        self._C = C
+        self._weights = pd.Series(np.ones(len(X)), index=X.index)
+
+        return self
+
+    def _update(self, X, y, C=None):
+        """Update regressor with new batch of training data.
+
+        State required:
+            Requires state to be "fitted".
+
+        Writes to self:
+            Updates fitted model attributes ending in "_".
+
+        Parameters
+        ----------
+        X : pandas DataFrame
+            feature instances to fit regressor to
+        y : pandas DataFrame, must be same length as X
+            labels to fit regressor to
+        C : pd.DataFrame, optional (default=None)
+            censoring information for survival analysis,
+            should have same column name as y, same length as X and y
+            should have entries 0 and 1 (float or int)
+            0 = uncensored, 1 = (right) censored
+            if None, all observations are assumed to be uncensored
+            Can be passed to any probabilistic regressor,
+            but is ignored if capability:survival tag is False.
+
+        Returns
+        -------
+        self : reference to self
+        """
+        alpha = self.alpha
+        min_weight = self.min_weight
+
+        # decay existing weights
+        self._weights = self._weights * alpha
+
+        # concatenate new data
+        n_new = len(X)
+
+        X_pool = self._update_data(self._X, X)
+        y_pool = self._update_data(self._y, y)
+        C_pool = self._update_data(self._C, C)
+
+        # append weights of 1 for new observations
+        new_weights = pd.Series(np.ones(n_new))
+        self._weights = pd.concat([self._weights, new_weights], ignore_index=True)
+
+        # prune observations below min_weight
+        mask = self._weights >= min_weight
+
+        X_pool = X_pool.loc[mask.values].reset_index(drop=True)
+        y_pool = y_pool.loc[mask.values].reset_index(drop=True)
+        if C_pool is not None:
+            C_pool = C_pool.loc[mask.values].reset_index(drop=True)
+        self._weights = self._weights.loc[mask.values].reset_index(drop=True)
+
+        # user-provided sample_weight via metadata? not supported yet
+
+        # refit on surviving data
+        estimator = self.estimator.clone()
+        estimator.fit(X=X_pool, y=y_pool, C=C_pool)
+        self.estimator_ = estimator
+
+        # remember data
+        self._X = X_pool
+        self._y = y_pool
+        self._C = C_pool
+
+        return self
+
+    def _update_data(self, X, X_new):
+        """Update data with new batch of training data.
+
+        Treats X_new as data with new indices, even if some indices overlap with X.
+
+        Parameters
+        ----------
+        X : pandas DataFrame
+        X_new : pandas DataFrame
+
+        Returns
+        -------
+        X_updated : pandas DataFrame
+            concatenated data, with reset index
+        """
+        if X is None and X_new is None:
+            return None
+        if X is None and X_new is not None:
+            return X_new.reset_index(drop=True)
+        if X is not None and X_new is None:
+            return X.reset_index(drop=True)
+        # else, both X and X_new are not None
+        X_updated = pd.concat([X, X_new], ignore_index=True)
+        return X_updated
+
+    @classmethod
+    def get_test_params(cls, parameter_set="default"):
+        """Return testing parameter settings for the estimator.
+
+        Parameters
+        ----------
+        parameter_set : str, default="default"
+            Name of the set of test parameters to return, for use in tests. If no
+            special parameters are defined for a value, will return ``"default"`` set.
+
+        Returns
+        -------
+        params : dict or list of dict, default = {}
+            Parameters to create testing instances of the class
+            Each dict are parameters to construct an "interesting" test instance, i.e.,
+            ``MyClass(**params)`` or ``MyClass(**params[i])`` creates a valid test
+            instance.
+            ``create_test_instance`` uses the first (or only) dictionary in ``params``
+        """
+        from skbase.utils.dependencies import _check_estimator_deps
+        from sklearn.linear_model import LinearRegression, Ridge
+
+        from skpro.regression.residual import ResidualDouble
+        from skpro.survival.coxph import CoxPH
+
+        regressor = ResidualDouble(LinearRegression())
+
+        params = [
+            {"estimator": regressor},
+            {"estimator": regressor, "alpha": 0.9, "min_weight": 1e-2},
+        ]
+
+        if _check_estimator_deps(CoxPH, severity="none"):
+            coxph = CoxPH()
+            params.append({"estimator": coxph})
+        else:
+            ridge = Ridge()
+            params.append({"estimator": ResidualDouble(ridge)})
+
+        return params