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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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12
qlib/contrib/model/pytorch_sfm.py
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@@ -102,7 +102,7 @@ class SFM_Model(nn.Module):
i = self.inner_activation(
x_i + torch.matmul(h_tm1 * B_U[0], self.U_i)
)
) # not sure whether I am doing in the right unsquuze
ste = self.inner_activation(x_ste + torch.matmul(h_tm1 * B_U[0], self.U_ste))
fre = self.inner_activation(x_fre + torch.matmul(h_tm1 * B_U[0], self.U_fre))
@@ -283,10 +283,6 @@ class SFM(Model):
)
)
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
self.sfm_model = SFM_Model(
d_feat=self.d_feat,
output_dim=self.output_dim,
@@ -318,7 +314,6 @@ class SFM(Model):
losses = []
indices = np.arange(len(x_values))
np.random.shuffle(indices)
for i in range(len(indices))[:: self.batch_size]:
@@ -428,17 +423,12 @@ class SFM(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 predict(self, dataset):
if not self._fitted:
raise ValueError("model is not fitted yet!")