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Set bounds for bounded forecast reconciliation

Source: R/fun_export.R
set_bounds.Rd

This function defines the bounds matrix considering cross-sectional, temporal, or cross-temporal frameworks. The output matrix can be used as input for the bounds parameter in functions such as csrec, terec, or ctrec, to perform bounded reconciliations.

Usage

set_bounds(n, k, h, lb = -Inf, ub = Inf, approach = "osqp", bounds = NULL)

Arguments

n

A (\(b \times 1\)) vector representing the \(i\)th cross-sectional series (\(i = 1, \dots, n\)), where \(b\) is the number of bounds to be set.

k

A (\(b \times 1\)) vector specifying the temporal aggregation orders (\(k = m, \dots, 1\)).

h

A (\(b \times 1\)) vector representing the forecast horizons (\(j = 1, \dots, m/k\)).

lb, ub

A (\(b \times 1\)) vector of lower and upper bounds.

approach

A string specifying the algorithm to compute bounded reconciled forecasts:

  • "osqp": quadratic programming optimization (osqp solver).

  • "sftb": heuristic "set-forecasts-to-bounds", which adjusts the reconciled forecasts to be within specified bounds without further optimization.

bounds

A matrix of previous bounds to be added. If not specified, new bounds will be computed.

Value

A numeric matrix representing the computed bounds, which can be:

  • Cross-sectional (\(b \times 3\)) matrix for cross-sectional reconciliation (csrec).

  • Temporal (\(b \times 4\)) matrix for temporal reconciliation (terec).

  • Cross-temporal (\(b \times 5\)) matrix for cross-temporal reconciliation (ctrec).

See also

Utilities: FoReco2matrix(), aggts(), balance_hierarchy(), commat(), csprojmat(), cstools(), ctprojmat(), cttools(), df2aggmat(), lcmat(), recoinfo(), res2matrix(), shrink_estim(), shrink_oasd(), teprojmat(), tetools(), unbalance_hierarchy()

Examples

# Example 1
# Two cross-sectional series (i = 2,3),
# with each series required to be between 0 and 1.
n <- c(2, 3)
lb <- c(0, 0)
ub <- c(1,1)
bounds_mat <- set_bounds(n = c(2, 3),
                         lb = rep(0, 2), # or lb = 0
                         ub = rep(1, 2)) # or ub = 1

# Example 2
# All the monthly values are between 0 and 1.
bounds_mat <- set_bounds(k = rep(1, 12),  # or k = 1
                         h = 1:12,
                         lb = rep(0, 12), # or lb = 0
                         ub = rep(1, 12)) # or ub = 1

# Example 3
# For two cross-sectional series (i = 2,3),
# all the monthly values are between 0 and 1.
bounds_mat <- set_bounds(n = rep(c(2, 3), each = 12),
                         k = 1,
                         h = rep(1:12, 2),
                         lb = 0, # or lb = 0
                         ub = 1) # or ub = 1