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Update training setting.

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lwwang1995
2020-11-27 10:09:17 +08:00
parent 13c2c41d23
commit 6fb19eb58d
11 changed files with 91 additions and 50 deletions
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9
qlib/contrib/model/pytorch_alstm.py
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@@ -44,7 +44,7 @@ class ALSTM(Model):
dropout=0.0,
n_epochs=200,
lr=0.001,
metric="IC",
metric="",
batch_size=2000,
early_stop=20,
loss="mse",
@@ -142,21 +142,16 @@ class ALSTM(Model):
def metric_fn(self, pred, label):
mask = torch.isfinite(label)
if self.metric == "IC":
return self.cal_ic(pred[mask], label[mask])
if self.metric == "" or self.metric == "loss": # use loss
return -self.loss_fn(pred[mask], label[mask])
raise ValueError("unknown metric `%s`" % self.metric)
def cal_ic(self, pred, label):
return torch.mean(pred * label)
def train_epoch(self, x_train, y_train):
x_train_values = x_train.values
y_train_values = np.squeeze(y_train.values) * 100
y_train_values = np.squeeze(y_train.values)
self.alstm_model.train()