[FEATURE REQUEST] Add GPU/CPU Multi-Core Processing for each forecasting method.

[muazhari]

Is your feature request related to a problem? Please describe.
I'm always frustrated when trying to train forecasting models because it is slow and not using all my CPU cores.

Describe the solution you'd like
Add GPU/CPU Multi-Core Processing for each forecasting method.

Describe alternatives you've considered
A clear and concise description of any alternative solutions or features you've considered.

Additional context
Add any other context or screenshots about the feature request here.

[aadyotb]

Thanks for the comment. As far as multi-CPU support goes, the underlying API supports it for some models (Prophet, tree models, random cut forest, isolation forest; refer to API documentation for each model), but not others (ARIMA, ETS, spectral residual). GPU is already supported for all deep learning models, and the model will automatically use the GPU if one is available.

We are also investigating GPU support for other models like ARIMA and tree models using Rapids, but this is further out on the roadmap. Let me know if this addresses your questions.