hyperparameter-optimization

name	hyperparameter-optimization
description	Optimizes forecaster hyperparameters using grid search, random search, or Bayesian search (Optuna). Covers single-series and multi-series search, cross-validation configuration, and search space definition. Use when the user wants to find the best model configuration.

Hyperparameter Optimization

References

See references/search-parameters.md for the complete parameter comparison across all 9 search functions, function routing by forecaster type, and lags_grid / search_space / param_grid usage details.

When to Use

Use hyperparameter search after establishing a baseline forecaster to improve prediction accuracy. Skforecast supports three strategies:

Strategy	When to Use	Speed
Bayesian Search	Recommended default. Smart exploration via Optuna	Fastest to converge
Random Search	Large parameter space, limited compute budget	Medium
Grid Search	Small parameter space, exhaustive exploration	Slowest

Bayesian Search (Recommended)

Always prefer Bayesian search as the default strategy. It uses Optuna to intelligently explore the search space.

from skforecast.recursive import ForecasterRecursive
from skforecast.model_selection import bayesian_search_forecaster, TimeSeriesFold
from lightgbm import LGBMRegressor

forecaster = ForecasterRecursive(
    estimator=LGBMRegressor(random_state=123),
    lags=24,
)

cv = TimeSeriesFold(
    steps=12,
    initial_train_size=len(data) - 100,
    refit=False,
)

# Define search space as a function — lags CAN be included here
def search_space(trial):
    return {
        'lags': trial.suggest_categorical('lags', [12, 24, [1, 2, 3, 23, 24]]),
        'n_estimators': trial.suggest_int('n_estimators', 50, 500),
        'max_depth': trial.suggest_int('max_depth', 3, 15),
        'learning_rate': trial.suggest_float('learning_rate', 0.01, 0.3, log=True),
        'reg_alpha': trial.suggest_float('reg_alpha', 1e-8, 10.0, log=True),
    }

# n_trials=20 is the default. Increase for better results (50-200 recommended).
results, study = bayesian_search_forecaster(
    forecaster=forecaster,
    y=data['target'],
    exog=exog,
    cv=cv,
    search_space=search_space,
    metric='mean_absolute_error',
    n_trials=20,
    random_state=123,
    return_best=True,        # Automatically updates forecaster with best params
    n_jobs='auto',
    show_progress=True,
    output_file='search_results.csv',  # Save results incrementally
)
# results is a DataFrame sorted by metric (best first)
# study is the full Optuna Study; access the best trial with study.best_trial

Grid Search

from skforecast.model_selection import grid_search_forecaster

# Different lag configurations to try
lags_grid = [3, 10, 24, [1, 2, 3, 23, 24]]

param_grid = {
    'n_estimators': [50, 100, 200],
    'max_depth': [5, 10, 15],
    'learning_rate': [0.01, 0.1],
}

results = grid_search_forecaster(
    forecaster=forecaster,
    y=data['target'],
    exog=exog,
    cv=cv,
    lags_grid=lags_grid,
    param_grid=param_grid,
    metric='mean_absolute_error',
    return_best=True,
    n_jobs='auto',
    show_progress=True,
)

Random Search

from skforecast.model_selection import random_search_forecaster

# Note: uses param_distributions (not param_grid) and n_iter
param_distributions = {
    'n_estimators': [50, 100, 200, 500],
    'max_depth': [3, 5, 10, 15],
    'learning_rate': [0.01, 0.05, 0.1, 0.3],
}

results = random_search_forecaster(
    forecaster=forecaster,
    y=data['target'],
    exog=exog,
    cv=cv,
    lags_grid=lags_grid,
    param_distributions=param_distributions,
    n_iter=10,               # Number of random parameter combinations to try
    random_state=123,
    metric='mean_absolute_error',
    return_best=True,
    n_jobs='auto',
    show_progress=True,
)

Multi-Series Search

from skforecast.recursive import ForecasterRecursiveMultiSeries
from skforecast.model_selection import bayesian_search_forecaster_multiseries

forecaster = ForecasterRecursiveMultiSeries(
    estimator=LGBMRegressor(random_state=123),
    lags=24,
    encoding='ordinal',
)

cv = TimeSeriesFold(
    steps=12,
    initial_train_size=len(series) - 100,
    refit=False,
)

results, study = bayesian_search_forecaster_multiseries(
    forecaster=forecaster,
    series=series,
    exog=exog,
    cv=cv,
    search_space=search_space,
    metric='mean_absolute_error',
    aggregate_metric=['weighted_average', 'average', 'pooling'],  # Default
    levels=None,             # None = evaluate all series; or list of series names
    n_trials=20,
    return_best=True,
    n_jobs='auto',
    show_progress=True,
)
# Access the best trial with study.best_trial

Statistical Models Search

from skforecast.recursive import ForecasterStats
from skforecast.stats import Arima
from skforecast.model_selection import grid_search_stats

forecaster = ForecasterStats(estimator=Arima(order=(1, 1, 1)))

param_grid = {
    'order': [(1, 0, 0), (1, 1, 0), (1, 1, 1), (2, 1, 1)],
    'seasonal_order': [(0, 0, 0), (1, 1, 1)],
    'm': [12],
}

results = grid_search_stats(
    forecaster=forecaster,
    y=data['target'],
    cv=cv,
    param_grid=param_grid,
    metric='mean_absolute_error',
    return_best=True,
)

Fast Tuning with OneStepAheadFold

from skforecast.model_selection import OneStepAheadFold

# Much faster than TimeSeriesFold — no recursive predictions needed
cv_fast = OneStepAheadFold(
    initial_train_size=len(data) - 100,
)

results, study = bayesian_search_forecaster(
    forecaster=forecaster,
    y=data['target'],
    cv=cv_fast,
    search_space=search_space,
    metric='mean_absolute_error',
    n_trials=100,
    return_best=True,
)
# Access the best trial with study.best_trial

Common Mistakes

1. Not setting return_best=True: The forecaster is not updated with the best parameters unless this is True.
2. Too few trials in Bayesian search: Start with at least 20-50 trials for meaningful exploration.
3. Using TimeSeriesFold for initial tuning: Use OneStepAheadFold first for fast screening, then validate the top candidates with TimeSeriesFold.
4. Forgetting to include lags in search space: For Bayesian search, lags can be included in search_space() — this is often the most impactful parameter.