HPO, backtests updated for models with negative log-likelihood

Myst Platform Release (2022-11-17)

Hello Myst Platform users,

We have one user-facing change for you this week – in addition to some backend changes that will help ensure ongoing platform performance.

Please update your myst-alpha package at your earliest convenience to ensure you have access to this week’s updates (instructions here).

⚡️ Enhancement:

  • For model connectors that use negative log-likelihood for backtests and HPOs (e.g. NGBoost, ARIMAX), we added guardrails to ensure very low probability events no longer lead to numerical underflow issues, causing us to take the log of 0. This should ensure that more HPOs complete successfully.

As always, please do not hesitate to reach out via the chat embedded in the Myst Platform or email us at [email protected] with questions or feedback.

Thank you!
Ellery and the Myst team