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[ENH] Support tuning any model and extend LSTMModel in docs to support multi-target datasets #1449
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    | What's blocking this? | 
| Check out this pull request on   See visual diffs & provide feedback on Jupyter Notebooks. Powered by ReviewNB | 
| I don't understand why the docs test fails (I haven't changed anything there) and why the Black test fails if I ran  >> black --check .
All done! ✨ 🍰 ✨
54 files would be left unchanged. | 
| Codecov ReportAttention:  
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##           master    #1449      +/-   ##
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- Coverage   90.19%   89.96%   -0.23%     
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  Files          30       33       +3     
  Lines        4724     4985     +261     
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+ Hits         4261     4485     +224     
- Misses        463      500      +37     
 Flags with carried forward coverage won't be shown. Click here to find out more. ☔ View full report in Codecov by Sentry. | 
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Description
This PR fixes my own issues:
It allows to tune "any" model, generalizing the
optimize_hypetparametersfunction fromTemporalFusionTransformermodel, and it also add a "better"LSTMModelthan the one shown in the documentation, which I tried to use on a multi-target dataset without success. My version does work on multi-target datasets, thanks to an extension toAutoRegressiveBaseModel.My version of
AutoRegressiveBaseModelinherits from the original to override a couple of methods. I should've probably just edited the original, but I'd like to hear your feedback before doing that. I'm also sure there was a simpler way forAutoRegressiveBaseModelto work with multi-target data. When I tried to just run the Documentation's example ofLSTMModelbut on a multi-target dummy dataset, it just did not work out of the box.Checklist
pre-commit install.To run hooks independent of commit, execute
pre-commit run --all-filesMake sure to have fun coding!