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Keras, Tensorflow eager execution layers for exponential smoothing

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Exponential Smoothing Layers

  1. Tensorflow/Keras layer for simple exponential smoothing (SES)
  • ses.py contains the layer defined for simple exponential smoothing
  • main.py is an example for training the layer
  • plots below show fit (blue) to actual series (orange)

Example of time series fit with simple exponential smoothing layer

SES Example with constrained alpha