PRML VS feature-engineering-tutorials

It's a regression as far as code readability goes for fairly straightforward reasons: almost everything in Matlab is a matrix. Matrices are not first class citizens in Python, and it matters. I use Python a hell of a lot more than Matlab, but for examining how an algorithm works, Matlab wins. Go look at these PRML collections in Python and Matlab and see if you disagree:

https://github.com/ctgk/PRML

https://github.com/PRML/PRMLT

I’ve actually solved a similar problem several times in a variety of settings. I’ve had success with boosted trees and feature engineering on the sensor readings over time. I treat each reading as an observation and set the target to be the value I want to forecast (e.g. one hour ahead, the sum over the next day, the value at the same time the next day). There was a recent paper that compared boosted trees to deep learning techniques and found the boosted trees performed really well. Next, I perform feature engineering to aggregate the data up to the current time. These features will include the current value, lagged values over multiple observations for that sensor, more complicated features from moving statistics over different time scales, etc. I actually wrote a blog about creating these features using the open-source package RasgoQL and have similar types of features shared in the open-source repository here. I have also had success creating these sorts of historical features using the tsfresh package. Finally, when evaluating the forecast, use a time based split so earlier data is used to train the model and later data to evaluate the model.