Init model for both dataset

qlib/contrib/model/pytorch_general_nn.py

@@ -0,0 +1,370 @@
+# Copyright (c) Microsoft Corporation.
+# Licensed under the MIT License.
+from __future__ import division
+from __future__ import print_function
+
+from torch.utils.data import DataLoader, RandomSampler, StackDataset
+
+
+import os
+import numpy as np
+import pandas as pd
+from typing import Callable, Optional, Text, Union
+from sklearn.metrics import roc_auc_score, mean_squared_error
+
+import torch
+import torch.nn as nn
+import torch.optim as optim
+from torch.utils.data import StackDataset
+
+from .pytorch_utils import count_parameters
+from ...model.base import Model
+from ...data.dataset import DatasetH, TSDatasetH
+from ...data.dataset.handler import DataHandlerLP
+from ...utils import (
+    auto_filter_kwargs,
+    init_instance_by_config,
+    unpack_archive_with_buffer,
+    save_multiple_parts_file,
+    get_or_create_path,
+)
+from ...log import get_module_logger
+from ...workflow import R
+from qlib.contrib.meta.data_selection.utils import ICLoss
+from torch.nn import DataParallel
+
+
+class GeneralPTNN(Model):
+    """General Pytorch Neural Network Model
+    Parameters
+    ----------
+    input_dim : int
+        input dimension
+    output_dim : int
+        output dimension
+    layers : tuple
+        layer sizes
+    lr : float
+        learning rate
+    optimizer : str
+        optimizer name
+    GPU : int
+        the GPU ID used for training
+    """
+
+    def __init__(
+        self,
+        lr=0.001,
+        max_steps=300,
+        batch_size=2000,
+        early_stop_rounds=50,
+        eval_steps=20,
+        optimizer="gd",
+        loss="mse",
+        GPU=0,
+        seed=None,
+        weight_decay=0.0,
+        data_parall=False,
+        scheduler: Optional[Union[Callable]] = "default",  # when it is Callable, it accept one argument named optimizer
+        init_model=None,
+        eval_train_metric=False,
+        pt_model_uri="qlib.contrib.model.pytorch_nn.Net",
+        pt_model_kwargs={
+            "input_dim": 360,
+            "layers": (256,),
+        },
+        valid_key=DataHandlerLP.DK_L,
+        # TODO: Infer Key is a more reasonable key. But it requires more detailed processing on label processing
+    ):
+        # Set logger.
+        self.logger = get_module_logger("DNNModelPytorch")
+        self.logger.info("DNN pytorch version...")
+
+        # set hyper-parameters.
+        self.lr = lr
+        self.max_steps = max_steps
+        self.batch_size = batch_size
+        self.early_stop_rounds = early_stop_rounds
+        self.eval_steps = eval_steps
+        self.optimizer = optimizer.lower()
+        self.loss_type = loss
+        if isinstance(GPU, str):
+            self.device = torch.device(GPU)
+        else:
+            self.device = torch.device("cuda:%d" % (GPU) if torch.cuda.is_available() and GPU >= 0 else "cpu")
+        self.seed = seed
+        self.weight_decay = weight_decay
+        self.data_parall = data_parall
+        self.eval_train_metric = eval_train_metric
+        self.valid_key = valid_key
+
+        self.best_step = None
+
+        self.logger.info(
+            "DNN parameters setting:"
+            f"\nlr : {lr}"
+            f"\nmax_steps : {max_steps}"
+            f"\nbatch_size : {batch_size}"
+            f"\nearly_stop_rounds : {early_stop_rounds}"
+            f"\neval_steps : {eval_steps}"
+            f"\noptimizer : {optimizer}"
+            f"\nloss_type : {loss}"
+            f"\nseed : {seed}"
+            f"\ndevice : {self.device}"
+            f"\nuse_GPU : {self.use_gpu}"
+            f"\nweight_decay : {weight_decay}"
+            f"\nenable data parall : {self.data_parall}"
+            f"\npt_model_uri: {pt_model_uri}"
+            f"\npt_model_kwargs: {pt_model_kwargs}"
+        )
+
+        if self.seed is not None:
+            np.random.seed(self.seed)
+            torch.manual_seed(self.seed)
+
+        if loss not in {"mse", "binary"}:
+            raise NotImplementedError("loss {} is not supported!".format(loss))
+        self._scorer = mean_squared_error if loss == "mse" else roc_auc_score
+
+        if init_model is None:
+            self.dnn_model = init_instance_by_config({"class": pt_model_uri, "kwargs": pt_model_kwargs})
+
+            if self.data_parall:
+                self.dnn_model = DataParallel(self.dnn_model).to(self.device)
+        else:
+            self.dnn_model = init_model
+
+        self.logger.info("model:\n{:}".format(self.dnn_model))
+        self.logger.info("model size: {:.4f} MB".format(count_parameters(self.dnn_model)))
+
+        if optimizer.lower() == "adam":
+            self.train_optimizer = optim.Adam(self.dnn_model.parameters(), lr=self.lr, weight_decay=self.weight_decay)
+        elif optimizer.lower() == "gd":
+            self.train_optimizer = optim.SGD(self.dnn_model.parameters(), lr=self.lr, weight_decay=self.weight_decay)
+        else:
+            raise NotImplementedError("optimizer {} is not supported!".format(optimizer))
+
+        if scheduler == "default":
+            # Reduce learning rate when loss has stopped decrease
+            self.scheduler = torch.optim.lr_scheduler.ReduceLROnPlateau(
+                self.train_optimizer,
+                mode="min",
+                factor=0.5,
+                patience=10,
+                verbose=True,
+                threshold=0.0001,
+                threshold_mode="rel",
+                cooldown=0,
+                min_lr=0.00001,
+                eps=1e-08,
+            )
+        elif scheduler is None:
+            self.scheduler = None
+        else:
+            self.scheduler = scheduler(optimizer=self.train_optimizer)
+
+        self.fitted = False
+        self.dnn_model.to(self.device)
+
+    @property
+    def use_gpu(self):
+        return self.device != torch.device("cpu")
+
+    
+    def _eval_valid_dl(self, valid_loader, val_index):
+        with torch.no_grad():
+            self.dnn_model.eval()
+            val_loss = []
+            val_pred = []
+            val_label = []
+            for x_batch, y_batch in valid_loader:
+                x_batch = x_batch.to(self.device)
+                y_batch = y_batch.to(self.device)
+                cur_loss = self.get_loss(preds, y_batch, self.loss_type)
+                val_loss.append(cur_loss.detach().cpu().numpy().item())
+            val_loss = np.mean(val_loss)
+            val_pred = torch.cat(val_pred, axis=0).detach().cpu().numpy()
+            val_label = torch.cat(val_label, axis=0).detach().cpu().numpy()
+            val_metric = self.get_metric(val_pred, val_label, val_index).detach().cpu().numpy().item()
+        return val_loss, val_metric
+
+    def fit(
+        self,
+        dataset: Union[DatasetH, TSDatasetH],
+        verbose=True,
+        save_path=None,
+    ):
+
+        ists = isinstance(dataset, TSDatasetH)  # is this time series dataset
+
+        # prepare training
+        train_x = dataset.prepare("train", col_set="feature", data_key=DataHandlerLP.DK_L)
+        train_y = dataset.prepare("train", col_set="label", data_key=DataHandlerLP.DK_L)
+        train_ds = StackDataset(train_x, train_y)
+        train_sampler = RandomSampler(train_ds)
+        train_loader = DataLoader(train_ds, batch_size=self.batch_size, sampler=train_sampler)
+
+        # prepare validation
+        valid_x = dataset.prepare("train", col_set="feature", data_key=DataHandlerLP.DK_L)
+        valid_y = dataset.prepare("train", col_set="label", data_key=DataHandlerLP.DK_L)
+        valid_ds = StackDataset(valid_x, valid_y)
+        valid_loader = DataLoader(valid_ds, batch_size=self.batch_size, shuffle=False)
+        if ists:
+            val_index = valid_x.data_index
+        else:
+            val_index = valid_x.index
+
+
+        save_path = get_or_create_path(save_path)
+        stop_steps = 0
+        train_loss = 0
+        best_loss = np.inf
+        # train
+        self.logger.info("training...")
+
+
+        for step in range(1, self.max_steps + 1):
+            if stop_steps >= self.early_stop_rounds:
+                if verbose:
+                    self.logger.info("\tearly stop")
+                break
+            loss = AverageMeter()
+            self.dnn_model.train()
+            self.train_optimizer.zero_grad()
+
+            for x_batch, y_batch in train_loader:
+                x_batch = x_batch.to(self.device)
+                y_batch = y_batch.to(self.device)
+
+                # forward
+                preds = self.dnn_model(x_batch)
+                cur_loss = self.get_loss(preds, y_batch, self.loss_type)
+                cur_loss.backward()
+                self.train_optimizer.step()
+                loss.update(cur_loss.item())
+                R.log_metrics(train_loss=loss.avg, step=step)
+
+            # validation
+            train_loss += loss.val
+            # for every `eval_steps` steps or at the last steps, we will evaluate the model.
+            if step % self.eval_steps == 0 or step == self.max_steps:
+                stop_steps += 1
+                train_loss /= self.eval_steps
+
+                val_loss, val_metric = self._eval_valid_dl(valid_loader, val_index)
+                R.log_metrics(val_loss=val_loss, step=step)
+                R.log_metrics(val_metric=val_metric, step=step)
+
+                if val_loss < best_loss:
+                    if verbose:
+                        self.logger.info(
+                            "\tvalid loss update from {:.6f} to {:.6f}, save checkpoint.".format(
+                                best_loss, val_loss
+                            )
+                        )
+                    best_loss = val_loss
+                    self.best_step = step
+                    R.log_metrics(best_step=self.best_step, step=step)
+                    stop_steps = 0
+                    torch.save(self.dnn_model.state_dict(), save_path)
+                train_loss = 0
+                # update learning rate
+                if self.scheduler is not None:
+                    auto_filter_kwargs(self.scheduler.step, warning=False)(metrics=val_loss, epoch=step)
+                R.log_metrics(lr=self.get_lr(), step=step)
+
+            # restore the optimal parameters after training
+            self.dnn_model.load_state_dict(torch.load(save_path, map_location=self.device))
+        if self.use_gpu:
+            torch.cuda.empty_cache()
+
+    def get_lr(self):
+        assert len(self.train_optimizer.param_groups) == 1
+        return self.train_optimizer.param_groups[0]["lr"]
+
+    def get_loss(self, pred, target, loss_type, w=None):
+        pred, target = pred.reshape(-1), target.reshape(-1)
+        if w is None:
+            # make it ones and the same size with pred
+            w = torch.ones_like(pred).to(pred.device)
+
+        if loss_type == "mse":
+            sqr_loss = torch.mul(pred - target, pred - target)
+            loss = torch.mul(sqr_loss, w).mean()
+            return loss
+        elif loss_type == "binary":
+            loss = nn.BCEWithLogitsLoss(weight=w)
+            return loss(pred, target)
+        else:
+            raise NotImplementedError("loss {} is not supported!".format(loss_type))
+
+    def get_metric(self, pred, target, index):
+        # NOTE: the order of the index must follow <datetime, instrument> sorted order
+        return -ICLoss()(pred, target, index)  # pylint: disable=E1130
+
+    def _nn_predict(self, data, return_cpu=True):
+        """Reusing predicting NN.
+        Scenarios
+        1) test inference (data may come from CPU and expect the output data is on CPU)
+        2) evaluation on training (data may come from GPU)
+        """
+        if not isinstance(data, torch.Tensor):
+            if isinstance(data, pd.DataFrame):
+                data = data.values
+            data = torch.Tensor(data)
+        data = data.to(self.device)
+        preds = []
+        self.dnn_model.eval()
+        with torch.no_grad():
+            batch_size = 8096
+            for i in range(0, len(data), batch_size):
+                x = data[i : i + batch_size]
+                preds.append(self.dnn_model(x.to(self.device)).detach().reshape(-1))
+        if return_cpu:
+            preds = np.concatenate([pr.cpu().numpy() for pr in preds])
+        else:
+            preds = torch.cat(preds, axis=0)
+        return preds
+
+    def predict(self, dataset: DatasetH, segment: Union[Text, slice] = "test"):
+        if not self.fitted:
+            raise ValueError("model is not fitted yet!")
+        x_test_pd = dataset.prepare(segment, col_set="feature", data_key=DataHandlerLP.DK_I)
+        preds = self._nn_predict(x_test_pd)
+        return pd.Series(preds.reshape(-1), index=x_test_pd.index)
+
+    def save(self, filename, **kwargs):
+        with save_multiple_parts_file(filename) as model_dir:
+            model_path = os.path.join(model_dir, os.path.split(model_dir)[-1])
+            # Save model
+            torch.save(self.dnn_model.state_dict(), model_path)
+
+    def load(self, buffer, **kwargs):
+        with unpack_archive_with_buffer(buffer) as model_dir:
+            # Get model name
+            _model_name = os.path.splitext(list(filter(lambda x: x.startswith("model.bin"), os.listdir(model_dir)))[0])[
+                0
+            ]
+            _model_path = os.path.join(model_dir, _model_name)
+            # Load model
+            self.dnn_model.load_state_dict(torch.load(_model_path, map_location=self.device))
+        self.fitted = True
+
+
+class AverageMeter:
+    """Computes and stores the average and current value"""
+
+    def __init__(self):
+        self.reset()
+
+    def reset(self):
+        self.val = 0
+        self.avg = 0
+        self.sum = 0
+        self.count = 0
+
+    def update(self, val, n=1):
+        self.val = val
+        self.sum += val * n
+        self.count += n
+        self.avg = self.sum / self.count

tests/model/test_general_nn.py

@@ -0,0 +1,66 @@
+
+import unittest
+
+from qlib.contrib.model.pytorch_general_nn import GeneralPTNN
+from qlib.data.dataset import DatasetH, TSDatasetH
+from qlib.data.dataset.handler import DataHandlerLP
+from qlib.tests import TestAutoData
+
+
+class TestNN(TestAutoData):
+
+    def test_both_dataset(self):
+        data_handler_config = {
+            "start_time": "2008-01-01",
+            "end_time": "2020-08-01",
+            "instruments": "csi300",
+            "data_loader": {
+                "class": "QlibDataLoader",  # Assuming QlibDataLoader is a string reference to the class
+                "kwargs": {
+                    "config": {
+                        "feature": [
+                            ["$high", "$close", "$low"],
+                            ["H", "C", "L"]
+                        ],
+                        "label": [
+                            ["Ref($close, -2)/Ref($close, -1) - 1"],
+                            ["LABEL0"]
+                        ]
+                    },
+                    "freq": "day"
+                }
+            },
+            # TODO: processors
+            "learn_processors": [
+                {
+                "class": "DropnaLabel",
+                },
+                {
+                    "class": "CSZScoreNorm",
+                    "kwargs": {
+                        "fields_group": "label"
+                    }
+                }
+            ]
+        }
+        segments = {
+            "train": ["2008-01-01", "2014-12-31"],
+            "valid": ["2015-01-01", "2016-12-31"],
+            "test": ["2017-01-01", "2020-08-01"]
+        }
+        data_handler = DataHandlerLP(**data_handler_config)
+
+        # time-series dataset
+        tsds = TSDatasetH(handler=data_handler, segments=segments)
+
+        # tabular dataset
+        tbds = DatasetH(handler=data_handler, segments=segments)
+        
+        for ds in (tsds, tbds):
+            ptnn = GeneralPTNN()
+            ptnn.fit(ds)  # It works
+            ptnn.predict(ds)  # It works
+
+
+if __name__ == "__main__":
+    unittest.main()