Time Series Forecasting with XGBoost - Use python and machine learning to predict energy consumption

[@casperj4784]

A comprehensive yet succinct tutorial. And, having only just finished my Data Science degree, I found it very reassuring to see that you do get faster and more proficient with time.

[@robmulla]

I absolutely love messages like this. Glad to hear you found this helpful and it gave you the reassurment that things get faster. I can tell you that they do! The goal of my channel is to "spark curiosity in data science" I hope this video did that for you.

[@RaviKumar-uf3eo]

Yes. It is very reassuring, but most probably he would have kept all the things ready.

[@amirghorbani7922]

It is better to use icdst Ai predict lstm model.

[@naderbazyari2]

Second time watching this and doing every step on my notebook as Rob goes through the task. I am still blown away by the intricacy of his approach and how he investigates the case. fascinating how he makes it look effortless. Many thanks

[@zhuoningli]

Hi Rob! Your tutorials help me get a job offer! When I was searching for a job, I received a take-home technical exercise about time series forecasting. I watched this video and finished my exercise. Finally, I got my dream job! Thank you so much!!! I really appreciate your tutorials! 🥰

[@robmulla]

Whoa, I really love hearing stories like this. That's amazing and I wish you the best in the rest of your career.

[@nirbhay_raghav]

Hands down, the bestest (if that is a word) video on the entire internet about implementation. No fancy stuff. Not too beginner and toy examples. Hust the right thing what a budding data scientist needs to see. And it is definitely reassuring to see that one can really get better and faster at doing these after a while. It takes me a lot of time reach what you have done in under 30min. Debugging things take a lot of time.

[@robmulla]

I really apprecaite your positive feedback! Glad to hear you find it encouraging that eventually things will get faster.

[@a.h.s.3006]

I worked with time series before, and this tutorial is very thorough and well made. Additional features you could think about are lag/window features, where you basically try to let the model cheat from the previous consumption, by giving it a statistical grouping of previous values, let's say the mean of consumption within a window of 8 hours, or by outright giving the previous value (lag), let's say the actual consumption 24 hours ago. This will greatly improve performance, because it helps the model to go follow the expected trend.

[@robmulla]

Thanks for the comment! Glad you enjoyed the video even though you already have experience with time series. You are 100% correct about the lag features. Check out part 2 where I go over this and a few other topics in detail.

[@flel2514]

Hi Rob, I am a fresh data science graduate, and I find this tutorial very well done and very helpful for those that approach TS for the first time as well as for those that want to refresh the topic

[@karishmakapoor4285]

Amazing flow, comprehensive yet smooth. Detailed yet generic. I love the way you think and your float across the entire process. I did this project myself and thoroughly enjoyed it. Cant wait to apply this to other datasets. A Big thumps up👍

[@adityaraikwar6069]

Being a sort of early intermediate data scientist myself, it's very cool watching him do all these things and the most amazing thing is how everybody's mind works differently and how proficient you become in not only coding but also in approach towards a problem. keep that up man

[@paultvshow]

Hey, have you landed a job in data science field?

[@digitalnomad2196]

also curious to know, recent data science graduate here@@paultvshow

[@AnalyticalAnuj]

Rob, what you have done in less than 25 minutes and the way you explained your approach, its just effortless yet very effective. Thanks for this gem of a content

[@miqueledosanchez7303]

That's probably the best tutorial i've ever seen in this area. Hope it helps me to do my final degree project. Thanks from spain!

[@MilChamp1]

This was a very nice introduction to this topic. You might consider turning this into a miniseries, since it's such a large topic; the next video might be on how to create the best cross-validation splits for timeseries

[@robmulla]

Thanks so much. There is so much to cover with time series. I may consider a miniseries that’s a great idea. I’d like to make one on prophet which is a great package for time series forecasting too.

[@JacksonWelch]

Love these videos. As a data engineer I love seeing other peoples workflows. Thanks so much for posting.

[@robmulla]

Glad you liked it. Thanks for watching Jackson.

[@PRATEEK30111989]

I have never seen a better data science video. You are a savant at this

[@sandyattcl]

what an amazing tutorial! I just had to give a thumbs up even before finishing the video.

[@robmulla]

Really appreciate that Sandeep. Please share the link with anyone else you think might also like it.

[@luismisanmartin98]

As someone just getting introduced to time series analysis, this video was gold, thank you for making it!

[@sevenaac4783]

Thank you for teaching me. It allows me to understand the time series XGBoost in the shortest time.

[@super-eth8478]

Dude your channel is a gold mine ..

[@robmulla]

Thanks so much for that feedback. Now share it with anyone you think might appreciate it too!

[@super-eth8478]

@@robmulla Actually I have shared it to my friends . Cheers !

[@selenkokten1708]

Don’t use features like year which will not have the same value in the future. It is a bad idea for prediction purposes. Instead use the difference from the minimum date to see if there is an increasing trend year by year.

[@paultvshow]

Please elaborate

[@irshadyasseen146]

Can you provide an example?

[@solisoma1012]

Can I have ur social media handle so I can ask you some questions

[@John5ive]

I get it. The year increments and provides no value to the model.

[@warmpianist]

The difference from minimum date also won't have the same value in the future. I don't know what you mean.

[@jelc]

Really well focused and clearly explained. Love your work!

[@robmulla]

I appreciate the feedback Julian

[@beckynevin1]

Wow! I'm trying to get up to speed on XGBoost, so I clicked on this video. There are a lot of meh data science tutorials out there, so it was such a treat to come across this one after slogging through youtube. I immediately subscribed and am headed to your channel to watch more videos on time series prediction!

[@hussamcheema]

I love your content. Liked the video before watching it because I know this is gonna be a great tutorial. Thanks for making these tutorials. 😊

[@robmulla]

Thanks! Glad you find it helpful.

[@NotesandPens-ro9wx]

Man I am seeing this after an year and your teaching style is just hell .. now sub done and will follow you on other things :) for sure

[@musicplace9205]

Thanks! one of the best video I've ever seen. Simple, clear and overall why each concept is used for.

[@rodolfoviegas8504]

Amazing. We've learnt time series prediction only by statistical methods and/or making ML models to act like ARIMA - making lags for feed them. This approuch very interesting and intuitive. Thanks, Rob

[@akshaymbhat9144]

Thanks for the wonderful video. It's very insightful ❤️ from India . Keep inspiring and aspiring always!!

[@robmulla]

My pleasure! So happy you liked it!

[@fudgenuggets405]

I like this dude's videos. They are informative and to the point.

[@ADaBaker95]

Best video on the subject I've found so far!

[@Arieleyo]

Love your videos Rob!! cheers from Argentina ♥

[@robmulla]

Sending my ❤ back to Argentina. Thanks for watching!

[@gabrielmoreno2554]

Wow, this is exactly what I needed to learn to improve my COVID death predictor. Great job!

[@robmulla]

So glad you found this helpful. Thanks for watching!

[@22niloc]

I'm getting to know Time Series and your vid has loads of great starter points.

[@TrueTalenta]

I am new to time series and this by far is very informative and quit succinct!

[@peralser]

Great Video ROB, Thanks for sharing with us!!

[@robmulla]

Thanks for watching!

[@michaelmebratu2921]

What a quality tutorial! Thank you so much

[@robmulla]

Glad you learned something new!

[@leo.y.comprendo]

This is incredible! Instantly subscribed!! thanks for your knowldege

[@robmulla]

Thanks for watching!

[@PatrickLane-f2n]

You have helped me so much with this video, you don't even know!!! Thanks so much :)

[@H99x2]

Incredible content and explanation. You definitely have a knack for this. I subscribed for more videos like this! Thanks :)

[@robmulla]

Thanks for watching and the feedback!

[@egermani]

Great content! Thanks a lot for the explanations, they are a great incentive to dive deeper into the subject.

[@robmulla]

Glad you think so! My hope is that by making short videos that explain a topic at a high level like this will spark curiosity in people so they will dive deeper into the topic, just like you said.

[@Mvobrito]

Great video! If the goal was prediction only, and not inference (meaning you don't care about what's driving the energy consumption), you can the energy consumption of the previous days as feature for the model. When predicting consumption at T, you can use T-1, T-2, .. T-x. And even a moving average as feature as well.

[@robmulla]

I totally agree! It all depends on how far in the future (forecasting horizon) you are attempting to predict.

[@69nukeee]

Such an amazing video, thank you Rob and keep 'em coming! ;)

[@Singularitarian]

Very illuminating! Learned a whole lot in just 23 minutes.

[@evandrogaio7003]

Such an excellent video. Thanks for sharing!

[@robmulla]

Glad you liked it!

[@lamborghiniveneno8423]

Simply awesome tutorial😀

[@robmulla]

Thanks so much!

[@liliyalopez8998]

I just started studying ML and this tutorial is super helpful. I would like to see how you would use the model for forecasting future energy consumption though

[@robmulla]

Welcome to the wonderful world of ML Liliya! Yes, I did forget to cover that in detail but I may in a future video. It's just a simple extra step to create the future dates dataframe and run the predict and feature creation on it.

[@kvafsu225]

Great lesson on machine learning. Thank you.

[@robmulla]

Thank you for watching. Share with a friend!

[@wazzadec16]

FYI for anybody who is doing this recently. The part where combing training set and test set graphic and using a dotted line has to be modified. Before: '01-01-2015' After ax.axvline(x=dt.datetime(2015,1,1) Since matplotlib now needs it in a datetime series. I guess because of changing the index to a t0_datetime format?

[@shrunkhalawankhede2611]

from datetime import datetime ax.axvline(x=datetime(2015,1,1), color='black', ls='--')

[@chrispumping]

Very informative and easy to understand tutorial....Thanks you

[@robmulla]

You are welcome! Thanks for watching.

[@MeghaKorade]

Hello Rob, Great tutorial! I have a question - In eval_set you're using [(x_train, y_train), (x_test, y_test)] whereas in most data split practices I've seen validation set separated from training data (which not part of either training or testing set)? Can you please check at timestamp 14:02 ? I'm trying to implement something similar on an interesting dataset and this is a great tutorial!!

[@lovettolaedo223]

I enjoyed watching this as it has given me more insight into prediction. Kindly do a video on GDP growth forecasting using machine learning. Thank you.

[@romanrodin5669]

Great video! Very clear and easy for understanding! Thanks a lot for clear explanation! I've got a few questions though regarding lagging data for better prediction) will jump into next video, it seems I get an answer there) thanks again!

[@robmulla]

Glad you liked it. Yes, the next video covers it in more detail!

[@yosafatrogika3129]

so clear explanation, thanks for sharing!

[@robmulla]

Glad it was helpful!

[@gustavojuantorena]

"And depending who you ask" 🤣Great video!

[@robmulla]

I’m glad you got the reference. I was hoping he would see and appreciate that part of the video.

[@tatulialphaidze90]

Thank you for this tutorial, definitely helped me out

[@robmulla]

Glad it helped!

[@yourscutely]

Perfectly explained, thanks a lot

[@robmulla]

You are welcome! Glad you found it helpful. Check out parts 2 and 3 and share with a friend!

[@troy_neilson]

Informative and well-structured. Thanks!

[@inovosystemssoftwarecompan6724]

short and potent, great fluid presentation !!

[@GodX36999]

Best one I ever seen ❤thank so much.

[@robmulla]

So glad you like it. Thanks for the comment.

[@raasheedpakwashi2961]

LEGEND...no other words needed

[@robmulla]

Thank you 🙏

[@mukhtarayusuf4787]

Thanks!

[@robmulla]

Whoa!! Super thanks! I appreciate that. Glad you liked the video.

[@lolmatt9]

Very well explained and useful. Thank you!

[@azizbekurmonov6278]

Thanks! Love your explanations.

[@a.a.elghawas]

Cool video Rob!

[@robmulla]

Thanks for watching!

[@jessenthebenezer]

well done, you are so fast, i guess its the experience.

[@Lirim_K]

Rob, are you aware that you have made a crucial forecasting mistake? You used the test set for validating the model when fitting, then you used the same test set when you made the final predictions and evaluated it on the same set. The problem is that during the fitting, the model gets to see the test set so you have data leaked into the past, from the future. What you should do is to split the data into train/val/test where the test has never been seen by the model.

[@alvaro1-x5k]

Totally agree. Its data snooping. Nevertheless there are some cases where you can use all data to validate if you then receive the test set where you can check how the model generalizes.

[@HillryesURA]

Another question, he uses the test set as a base to predict the model, is this correct? In a real environment this “test” is the future, how can we use this in the predict function?

[@EzzatHegazyEzzat]

Yes, this is data leakage

[@EzzatHegazyEzzat]

Yes, this is data leakage

[@Tonitonichoppa_o]

This is the best!! Thank you so much :D 감사합니다!!

[@ramizajicek]

Thank you for the great presentation

[@robmulla]

I appreciate you watching and commenting. Share with a friend!

[@ikhsansdq]

Great explanation bro! But I do have a question though, in minute 13:23 you declare the feature and the target from the dataset, what if the dataset is univariate? Should it be declared as features none other than the target or should it be decomposed first?

[@李尚諭-z5w]

謝謝！

[@anatoliyzavdoveev4252]

Fantastic video tutorial 👏👏🙏

[@datalyfe5386]

Just came across your channel, awesome content!

[@robmulla]

Welcome aboard! Glad you like it.

[@christianmannke2335]

First of all, thank you for this comprehensive video. It helped me a lot to understand this kind of prediction better. However, what I still don't understand is how can I make predictions on new data that the model hasn't seen before? Let's say I want to make predictions from 2018-08-03 for the next 30 days.

[@HillryesURA]

As far i can remember, you need to use a rolling window methodology. With this, your test set will be the last 7 days to predict the 7 days ahead, for example.

[@muhammadkashif7263]

Amazing season ❤

[@robmulla]

I appreciate the feedback.

[@robmulla]

Thanks!

[@blueradium4260]

Brilliant video, thank you :)

[@robmulla]

Thanks for taking the time to watch.

[@ademhilmibozkurt7085]

I love this video. Please make more. Thanks

[@robmulla]

Thanks! I apprecaite the comment. Have you seen the part 2 that I have on this topic?

[@santi6107_2]

Should you not split the training data into train and validation sets, such that you can use validation set instead of test set during training ? (when you use "eval_set" parameter ?)

[@Personal-f4d]

I also thought of that. I suppose it was out of the scope of the tutorial to keep it simple.

[@hasanalmatrouk2593]

Thank you so much. you are a LEGEND!!

[@hannukoistinen5329]

Much more is needed when you do a relevant time series analysis!!!! And I suggest to forget Python and instead of it to use R!!

[@SP-db6sh]

Next LSTM ,autoencoder, Deep Reinforcement Learning for finance ?

[@robmulla]

I could make a video about LSTMs however those types of complicated models tend to be outperformed by models like XGBoost on these types of datasets. There are a few papers on the topic and forecasting is both an art and science.

[@PerteTotale]

@@robmulla yes, but LSTM should pick up better the long lag influence, while XGB is random based and can be tuned in some directions, but not as much / fine for this aspect as the former. And it seems that SARIMAX is out of favor, shame. Also a try out with VAR was pretty ok for +- known time lags. Any thoughts? ps: add more max depth, to get more feat coverage...

[@sathvikmalgikar2842]

sir you are legend. thank you i was banging my head with lstm model in pytrch previosly but this is way better

[@robmulla]

Glad you got something working.

[@prasadjayanti]

Very good explanation.

[@demaischta1129]

This is so helpful. Thank You!!

[@AFlockOfToasters]

Question: aren't you involving the validation dataset in the training process when including it in the eval_set?

[@robmulla]

I don’t think so. What do you mean?

[@Burnitall220]

This is incredible!!

[@datasciencesolutions2361]

Great job sincerely!

[@robmulla]

Thanks for the feedback!

[@rohitraghunathan]

Very good introduction to time series forecasting in xgboost. One thing to note is xgboost has a function for plotting the feature importance. xbg.plot_importance() would have done the trick for you

[@aghedostudios3126]

I cant believe xgboost can do time series analysis as well

[@robmulla]

Yes! I works well for time series data that is stationary. It wouldn't work well for time series that will have values in the future way outside of what has occurred in the past.

[@OskarBienko]

​​@@robmullao be fair, there is no model that would work if the process is non-stationary - SARIMAX, Random Forest, Linear Regression etc. How about addressing autocorrelation in the underlying process when using xgboost? I think you should've plot pacf and acf, and add some lagged power consumption to the features accordingly.

[@tomshaw7179]

Thanks for this video Rob. I am quite new to data science and this was really clear. Have you done a video on optimization maybe using light GBM?

[@indranil9874273176]

How rational is it to use a tree-based model for time series forecasting? Not sure about XGBoost, but in general tree-based models can not extrapolate, meaning the predictions would be bounded by the minimum and maximum of the training target variable. If we have a time series with an increasing trend, is that a good option? Btw, just subscribed :D

[@robmulla]

Thanks for subscribing. You are correct that this type of model will no do well predicting unseen values. However for this type of dataset it can work well. I mention this earlier in the video when talking about the different types of time series. Hope that helps.

[@Personal-f4d]

Thanks so much for this video. It would be cool as well to see a video with xgboost mainly about feature engineering using aggregate data(for example the average of the last 30 days) while using cross validation appropriately to avoid data leakage. Would hyperparameter tuning with GridSearchCV would have to be sacrificed since you can't easily control creating these features using aggregate data within each dataset split made in the cross-validation? Thanks so much for your enlightening and amazing videos. I highly appreciate your work.

[@Ricocase]

How did you spot overfitting w/o a marker?

[@somesome559-i1z]

A question. I see the prediction was done on test data which are already available. This is good to see how accurate the model is but I am wondering how we can use this model (and xgboost in general) to forecast the upcoming years for which we do not have any data.

[@HillryesURA]

Maybe you need a rolling window methodology. The video’s methodology doesn’t make sense to me.

[@sunaxes]

Would be useful to look at feature importance at the inflexion point of the test set performance and at the end of training and compare. Features highly ranked in both are the ones useful to understand pattern in data and also also satisfy labelling requirements.

[@bryan-9742]

my understanding was that you actually need to go into the feature importance method within XGBoost as this 'feature importance' was not designed for time series. Clustered Mean Decrease algorithm or shapleys algorithm are much more suited for times series feature engineering.

[@Frdy12345]

Great video, thanks.

[@robmulla]

Glad you liked it! Thanks for the feedback.

[@exampyklx7953]

WOW! This is AMAZING content. May I know what book you studied. Thank you.

[@robmulla]

Glad you liked it. Most of what I shared in this video I learned through kaggle and working in industry, there was no one book I could point to.

[@zengzlli]

Nice tutorial 👍

[@robmulla]

Thank you 👍

[@jiyanshsonofdr.rajesh8516]

Nice explanation..

[@robmulla]

Thanks for liking

[@yahyazakariaalimohammed4391]

Very helpful, thanks a lot

[@audricsatya9577]

Very nice introduction and tutorial, can you do lstm too?

[@robmulla]

Thanks so much. Yes I plan to release one on LSTMs soon.

[@mirror1023]

Amazing video

[@robmulla]

Thanks!

[@neclis7777]

Excellent video ! For weather, I suggest you look into HDD and CDD (heating degree days and cooling degree days) which focus on the amount of heating and cooling rather than the mean temperature.

[@robmulla]

Thanks for the tips! I'm not familiar with those but I will look into it. The one main issue I see when people are training forecasting models like this is using the ground truth weather for future dates- which are not available at the time of prediction. That's why I think it's best to use forecast values from the historic dates.