I am running:
Y_hat_df = Y_hat_df.reset_index().set_index('unique_id')
Y_fitted_merged_df = Y_fitted_merged_df.reset_index().set_index('unique_id')
reconcilers = [
BottomUp(),
MinTrace(method='mint_shrink'),
MinTrace(method='ols')
]
hrec = HierarchicalReconciliation(reconcilers=reconcilers)
Y_rec_df = hrec.reconcile(Y_hat_df, Y_fitted_merged_df, S, tags)
and getting this error:
LinAlgError: Array must not contain infs or NaNs
There are no infs or NaNs in the data. I am getting "False" for all of these checks:
np.isinf(Y_fitted_merged_df).any()
np.isinf(Y_hat_df).any()
np.isnan(Y_fitted_merged_df).any()
np.isnan(Y_hat_df).any()
Data size is ~40K rows. So it may be a matrix computation issue at that scale. Have others gotten this working at the same scale?