Ev geo mean

src/gluonts/ev/__init__.py

@@ -45,7 +45,7 @@
     MeanWeightedSumQuantileLoss,
     OWA,
 )
-from .aggregations import Aggregation, Sum, Mean
+from .aggregations import Aggregation, Sum, Mean, GeometricMean
 from .evaluator import Evaluator, DirectEvaluator, DerivedEvaluator
 
 __all__ = [
@@ -81,6 +81,7 @@
     "Aggregation",
     "Sum",
     "Mean",
+    "GeometricMean",
     "Metric",
     "Evaluator",
     "DirectEvaluator",

src/gluonts/ev/aggregations.py

@@ -11,7 +11,7 @@
 # express or implied. See the License for the specific language governing
 # permissions and limitations under the License.
 
-from dataclasses import dataclass
+from dataclasses import dataclass, field
 from typing import List, Optional, Union
 
 import numpy as np
@@ -104,3 +104,20 @@ def get(self) -> np.ndarray:
             return self.partial_result / self.n
 
         return np.ma.concatenate(self.partial_result)
+
+
+@dataclass
+class GeometricMean(Aggregation):
+    """
+    Map-reduce way of calculating the geometric mean of a stream of values.
+    """
+
+    partial_result: Optional[Union[List[np.ndarray], np.ndarray]] = None
+    n: Optional[Union[int, np.ndarray]] = None
+    mean: Mean = field(default_factory=Mean, init=False)
+
+    def step(self, values: np.ndarray) -> None:
+        self.mean.step(np.log(values))
+
+    def get(self):
+        return np.exp(self.mean.get())