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Collect all contrib models in __init__ and add unit tests for init

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D-X-Y
2021-03-28 10:39:28 +00:00
parent 8a2e7b62af
commit 0386df7b16
17 changed files with 115 additions and 46 deletions
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10
qlib/contrib/model/double_ensemble.py
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@@ -4,7 +4,7 @@
import lightgbm as lgb
import numpy as np
import pandas as pd
from typing import Text, Union
from ...model.base import Model
from ...data.dataset import DatasetH
from ...data.dataset.handler import DataHandlerLP
@@ -40,6 +40,10 @@ class DEnsembleModel(Model):
self.bins_sr = bins_sr
self.bins_fs = bins_fs
self.decay = decay
if sample_ratios is None: # the default values for sample_ratios
sample_ratios = [0.8, 0.7, 0.6, 0.5, 0.4]
if sub_weights is None: # the default values for sub_weights
sub_weights = [1.0, 0.2, 0.2, 0.2, 0.2, 0.2]
if not len(sample_ratios) == bins_fs:
raise ValueError("The length of sample_ratios should be equal to bins_fs.")
self.sample_ratios = sample_ratios
@@ -228,10 +232,10 @@ class DEnsembleModel(Model):
raise ValueError("not implemented yet")
return loss_curve
def predict(self, dataset):
def predict(self, dataset: DatasetH, segment: Union[Text, slice] = "test"):
if self.ensemble is None:
raise ValueError("model is not fitted yet!")
x_test = dataset.prepare("test", col_set="feature", data_key=DataHandlerLP.DK_I)
x_test = dataset.prepare(segment, col_set="feature", data_key=DataHandlerLP.DK_I)
pred = pd.Series(np.zeros(x_test.shape[0]), index=x_test.index)
for i_sub, submodel in enumerate(self.ensemble):
feat_sub = self.sub_features[i_sub]