Deep ar forecast comparison notebooks (aws#3533)

* Initial Draft of Forecasting Service Comparison Notebook

* added DeepAR example

* Cleaned up Example

* DeepAR and Forecast Examples

* Added util in response to comments

* Added Notebook Series and Markdown

* Edited Example Files

* Changed README due to comments, modified util files by removing unnecessary functions and commented util files

Co-authored-by: Jiang <[email protected]>

introduction_to_amazon_algorithms/forecasting_services_comparison/README.md

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+# Time Series Modeling with Amazon Forecast and DeepAR on SageMaker
+## Overview
+Amazon offers customers a multitude of time series prediction services, including [DeepAR on SageMaker](https://docs.aws.amazon.com/sagemaker/latest/dg/deepar.html) and the fully managed service [Amazon Forecast](https://aws.amazon.com/forecast/). The purpose of this notebook series is to compare the two services and highlight their features through two notebooks that demonstrate how to use each service:
+ 1. [DeepAR on SageMaker Example](./deepar_example.ipynb)
+ 2. [Amazon Forecast Example](./forecast_example.ipynb)
+
+ This README will offer a top-level comparison between the two services, while each notebook will serve as a guide in using their respective services as well as understanding their features. Both notebooks will use the UCI [Beijing Multi-Site Air-Quality Data Data Set](https://archive.ics.uci.edu/ml/datasets/Beijing+Multi-Site+Air-Quality+Data), allowing for simpler observation on how each service differs. 
+
+## Introduction
+ ![DeepAR vs Amazon Forecast Comparison Graphic](./images/readme_1.png)
+
+**DeepAR** is a proprietary supervised learning algorithm developed by Amazon Research for forecasting scalar (one-dimensional) time series using recurrent neural networks (RNN). While classical forecasting methods such as autoregressive integrated moving average (ARIMA) and exponential smoothing (ETS) fit a single model to each individual time series, DeepAR trains a single model jointly over all of the time series. This is beneficial when there is a set of related time series, and DeepAR begins to outperform classical methods when datasets contain hundreds of related time series. **DeepAR** can be accessed through **Amazon SageMaker**, allowing users to prepare data, train and deploy models, and create forecasts.
+
+**Amazon Forecast** is a fully managed deep learning service dedicated to time series forecasting. It offers a no-code solution, allowing users to prepare data, train and deploy models, and create forecasts with just a few clicks. This means that **Amazon Forecast** can be used without any prior ML knowledge. It currently uses multiple algorithms under the hood to provide increased accuracy, and can be used in a variety of business related domains such as inventory planning, web traffic forecasting, EC2 capacity forecasting, and work force planning.
+
+## Comparison
+### Prior Knowledge Requirements
+The most obvious difference between the two services would be that **Amazon Forecast** requires no coding, which means little to no machine learning or even programming knowledge is required to use the service. However, **Amazon Forecast** can also be accessed through the AWS Command Line Interface (AWS CLI), or [Boto3](https://aws.amazon.com/sdk-for-python/) (the AWS SDK for Python), as demonstrated in this notebook series. 
+
+In contrast, **DeepAR on SageMaker** is accessed through the [Amazon SageMaker Python SDK](https://sagemaker.readthedocs.io/en/stable/), requiring some programming and ML knowledge to use the service.
+### Models
+
+**DeepAR on SageMaker** offers one algorithm: DeepAR. **Amazon Forecast** offers six algorithms:
+ - CNN-QR
+ - Autoregressive Integrated Moving Average (ARIMA)
+ - DeepAR+
+ - Exponential Smoothing (ETS)
+ - Non-Parametric Time Series (NPTS)
+ - Prophet
+
+Use cases for each algorithm differ, but a general comparison between each algorithm offered by **Amazon Forecast** can be found in the table below:
+![Amazon Forecast Algorithms Comparison Table](./images/readme_2.png)
+More information can be found here: [Comparing Forecast Algorithms](https://docs.aws.amazon.com/forecast/latest/dg/aws-forecast-choosing-recipes.html#comparing-algos)
+
+When deploying a predictor in **Amazon Forecast**, three options are offered:
+- **Manual Selection** - Manually select a single algorithm to apply to entire dataset
+- **AutoML** - Service finds and applies best-performing algorithm to entire dataset
+- **AutoPredictor** - Service runs all models and blends predictions with the goal of improving accuracy
+
+It is recommended to use AutoPredictor as Manual Selection and AutoML are considered legacy models, and new features will only be supported by the AutoPredictor model. More information on **Amazon Forecast**'s AutoPredictor can be found here: [Amazon Forecast AutoPredictor](https://github.com/aws-samples/amazon-forecast-samples/blob/main/library/content/AutoPredictor.md).
+
+### Training Time
+With **DeepAR on SageMaker**, your model is trained on a dedicated **EC2** instance. In contrast, **Amazon Forecast** uses fully managed computing resources. This has an impact on training time, as **DeepAR**  on **SageMaker** instances immediately begin training. **Amazon Forecast** resources have a pending phase, and speed of training is not modifiable. In addition, training an AutoPredictor is recommended in **Amazon Forecast**. Since this type of predictor trains every available algorithm, the training time of **Amazon Forecast** is much greater than **DeepAR on SageMaker**. 
+
+In this specific notebook series, the [DeepAR](./deepar_example.ipynb) model took approximately `25 minutes` to train, while Forecast's [AutoPredictor](./forecast_example.ipynb) took appoximately `6 hours and 30 minutes`.
+### Accuracy
+**Amazon Forecast** is generally more accurate than **DeepAR** on its own, since Forecast offers the **AutoPredictor** option. However, users can still choose to use one algorithm over their entire dataset if desired. 
+### Pricing
+#### DeepAR on SageMaker
+There are two main costs to consider when using DeepAR on SageMaker: Training and Inference. Both of these costs are charged hourly, and pricing depending on **EC2** instance type can be found below:
+ - [Available SageMaker Pricing](https://aws.amazon.com/sagemaker/pricing/)
+
+In this particular notebook series, an `ml.c4.2xlarge` instance is used for training, while an `ml.c5.large` instance is used for inference.
+#### Amazon Forecast
+Amazon Forecast has 4 cost types:
+ - Imported Data
+ - Training a predictor
+ - Generated forecast data points
+ - Forecast Explanations
+
+For more detailed pricing information, please consult the link below:
+ - [Amazon Forecast Pricing](https://aws.amazon.com/forecast/pricing/)
+
+
+*References:*
+- Dua, D. and Graff, C. (2019). UCI Machine Learning Repository [http://archive.ics.uci.edu/ml]. Irvine, CA: University of California, School of Information and Computer Science.
+- https://archive.ics.uci.edu/ml/datasets/Beijing+Multi-Site+Air-Quality+Data
+- [DeepAR: Probabilistic Forecasting with  
+Autoregressive Recurrent Networks](https://arxiv.org/pdf/1704.04110.pdf)
+- https://github.com/aws-samples/amazon-forecast-samples/blob/main/library/content/AutoPredictor.md
+- `util` library borrowed from [amazon-forecast-samples](https://github.com/aws-samples/amazon-forecast-samples) library