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Almost success to run GRU

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Young
2024-07-10 05:59:49 +00:00
parent e2879d9b1e
commit a9fc3435ab
2 changed files with 52 additions and 45 deletions
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76
qlib/contrib/model/pytorch_general_nn.py
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@@ -17,6 +17,8 @@ import torch.nn as nn
import torch.optim as optim
from torch.utils.data import StackDataset
from qlib.data.dataset.weight import Reweighter
from .pytorch_utils import count_parameters
from ...model.base import Model
from ...data.dataset import DatasetH, TSDatasetH
@@ -373,10 +375,6 @@ class GeneralPTNN(Model):
def __init__(
self,
d_feat=6,
hidden_size=64,
num_layers=2,
dropout=0.0,
n_epochs=200,
lr=0.001,
metric="",
@@ -387,17 +385,19 @@ class GeneralPTNN(Model):
n_jobs=10,
GPU=0,
seed=None,
**kwargs
pt_model_uri="qlib.contrib.model.pytorch_gru_ts.GRUModel",
pt_model_kwargs={
"d_feat":6,
"hidden_size":64,
"num_layers":2,
"dropout":0.,
},
):
# Set logger.
self.logger = get_module_logger("GRU")
self.logger.info("GRU pytorch version...")
self.logger = get_module_logger("GeneralPTNN")
self.logger.info("GeneralPTNN pytorch version...")
# set hyper-parameters.
self.d_feat = d_feat
self.hidden_size = hidden_size
self.num_layers = num_layers
self.dropout = dropout
self.n_epochs = n_epochs
self.lr = lr
self.metric = metric
@@ -409,12 +409,11 @@ class GeneralPTNN(Model):
self.n_jobs = n_jobs
self.seed = seed
self.pt_model_uri, self.pt_model_kwargs = pt_model_uri, pt_model_kwargs
self.dnn_model = init_instance_by_config({"class": pt_model_uri, "kwargs": pt_model_kwargs})
self.logger.info(
"GRU parameters setting:"
"\nd_feat : {}"
"\nhidden_size : {}"
"\nnum_layers : {}"
"\ndropout : {}"
"GeneralPTNN parameters setting:"
"\nn_epochs : {}"
"\nlr : {}"
"\nmetric : {}"
@@ -425,11 +424,9 @@ class GeneralPTNN(Model):
"\ndevice : {}"
"\nn_jobs : {}"
"\nuse_GPU : {}"
"\nseed : {}".format(
d_feat,
hidden_size,
num_layers,
dropout,
"\nseed : {}"
"\npt_model_uri: {}"
"\npt_model_kwargs: {}".format(
n_epochs,
lr,
metric,
@@ -441,31 +438,28 @@ class GeneralPTNN(Model):
n_jobs,
self.use_gpu,
seed,
pt_model_uri,
pt_model_kwargs,
)
)
if self.seed is not None:
np.random.seed(self.seed)
torch.manual_seed(self.seed)
self.GRU_model = GRUModel(
d_feat=self.d_feat,
hidden_size=self.hidden_size,
num_layers=self.num_layers,
dropout=self.dropout,
)
self.logger.info("model:\n{:}".format(self.GRU_model))
self.logger.info("model size: {:.4f} MB".format(count_parameters(self.GRU_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.GRU_model.parameters(), lr=self.lr)
self.train_optimizer = optim.Adam(self.dnn_model.parameters(), lr=self.lr)
elif optimizer.lower() == "gd":
self.train_optimizer = optim.SGD(self.GRU_model.parameters(), lr=self.lr)
self.train_optimizer = optim.SGD(self.dnn_model.parameters(), lr=self.lr)
else:
raise NotImplementedError("optimizer {} is not supported!".format(optimizer))
self.fitted = False
self.GRU_model.to(self.device)
self.dnn_model.to(self.device)
@property
def use_gpu(self):
@@ -495,22 +489,22 @@ class GeneralPTNN(Model):
raise ValueError("unknown metric `%s`" % self.metric)
def train_epoch(self, data_loader):
self.GRU_model.train()
self.dnn_model.train()
for data, weight in data_loader:
feature = data[:, :, 0:-1].to(self.device)
label = data[:, -1, -1].to(self.device)
pred = self.GRU_model(feature.float())
pred = self.dnn_model(feature.float())
loss = self.loss_fn(pred, label, weight.to(self.device))
self.train_optimizer.zero_grad()
loss.backward()
torch.nn.utils.clip_grad_value_(self.GRU_model.parameters(), 3.0)
torch.nn.utils.clip_grad_value_(self.dnn_model.parameters(), 3.0)
self.train_optimizer.step()
def test_epoch(self, data_loader):
self.GRU_model.eval()
self.dnn_model.eval()
scores = []
losses = []
@@ -521,7 +515,7 @@ class GeneralPTNN(Model):
label = data[:, -1, -1].to(self.device)
with torch.no_grad():
pred = self.GRU_model(feature.float())
pred = self.dnn_model(feature.float())
loss = self.loss_fn(pred, label, weight.to(self.device))
losses.append(loss.item())
@@ -597,7 +591,7 @@ class GeneralPTNN(Model):
best_score = val_score
stop_steps = 0
best_epoch = step
best_param = copy.deepcopy(self.GRU_model.state_dict())
best_param = copy.deepcopy(self.dnn_model.state_dict())
else:
stop_steps += 1
if stop_steps >= self.early_stop:
@@ -605,7 +599,7 @@ class GeneralPTNN(Model):
break
self.logger.info("best score: %.6lf @ %d" % (best_score, best_epoch))
self.GRU_model.load_state_dict(best_param)
self.dnn_model.load_state_dict(best_param)
torch.save(best_param, save_path)
if self.use_gpu:
@@ -618,14 +612,14 @@ class GeneralPTNN(Model):
dl_test = dataset.prepare("test", col_set=["feature", "label"], data_key=DataHandlerLP.DK_I)
dl_test.config(fillna_type="ffill+bfill")
test_loader = DataLoader(dl_test, batch_size=self.batch_size, num_workers=self.n_jobs)
self.GRU_model.eval()
self.dnn_model.eval()
preds = []
for data in test_loader:
feature = data[:, :, 0:-1].to(self.device)
with torch.no_grad():
pred = self.GRU_model(feature.float()).detach().cpu().numpy()
pred = self.dnn_model(feature.float()).detach().cpu().numpy()
preds.append(pred)

21
tests/model/test_general_nn.py
View File

@@ -55,11 +55,24 @@ class TestNN(TestAutoData):
# tabular dataset
tbds = DatasetH(handler=data_handler, segments=segments)
model_l = [
GeneralPTNN(
n_epochs=2,
pt_model_uri="qlib.contrib.model.pytorch_gru_ts.GRUModel",
pt_model_kwargs={
"d_feat":3,
"hidden_size":8,
"num_layers":1,
"dropout":0.,
},
),
]
for ds in (tsds, tbds):
ptnn = GeneralPTNN()
ptnn.fit(ds) # It works
ptnn.predict(ds) # It works
for ds, model in zip((tsds, tbds), model_l):
model.fit(ds) # It works
model.predict(ds) # It works
break
if __name__ == "__main__":