@sirolf I thought that this should be straightforward too, but wasn’t able to find any example implementation, so I wrote this article based on my experience working on this problem - Encoder-Decoder Model for Multistep Time Series Forecasting Using PyTorch 124, hope this helps.
Regarding adding categorical variables, there a multiple ways to do this, check this discussion - https://datascience.stackexchange.com/questions/17099/adding-features-to-time-series-model-lstm/17139#17139 23. I’ve tried all the methods mentioned there, implementation can be found here - https://github.com/gautham20/pytorch-ts/blob/master/ts_models/encoders.py 34. In my final model, I’ve OHE the categorical variables and fed it to the RNN directly.