mirror of
https://github.com/microsoft/qlib.git
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53 lines
1.9 KiB
Python
53 lines
1.9 KiB
Python
import torch
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import numpy as np
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from torch import nn
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import torch.nn.functional as F
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from copy import deepcopy
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import sys
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from tianshou.data import to_torch
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class RNNQModel(nn.Module):
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def __init__(self, device="cpu", out_shape=10, **kargs):
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super().__init__()
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self.device = device
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hidden_size = kargs["hidden_size"]
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fc_size = kargs["fc_size"]
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self.cnn_shape = kargs["cnn_shape"]
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self.rnn = nn.GRU(64, hidden_size, batch_first=True)
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self.rnn2 = nn.GRU(64, hidden_size, batch_first=True)
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self.dnn = nn.Sequential(nn.Linear(2, 64), nn.ReLU(),)
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self.cnn = nn.Sequential(nn.Conv1d(self.cnn_shape[1], 3, 3), nn.ReLU(),)
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self.raw_fc = nn.Sequential(nn.Linear((self.cnn_shape[0] - 2) * 3, 64), nn.ReLU(),)
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self.fc = nn.Sequential(
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nn.Linear(hidden_size * 2, hidden_size),
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nn.ReLU(),
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nn.Linear(hidden_size, 32),
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nn.ReLU(),
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nn.Linear(32, out_shape),
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)
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def forward(self, obs, state=None, info={}):
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inp = to_torch(obs, dtype=torch.float32, device=self.device)
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inp = inp[:, 182:]
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seq_len = inp[:, -1].to(torch.long)
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batch_size = inp.shape[0]
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raw_in = inp[:, : 6 * 240]
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raw_in = torch.cat((torch.zeros_like(inp[:, : 6 * 30]), raw_in), dim=-1)
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raw_in = raw_in.reshape(-1, 30, 6).transpose(1, 2)
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dnn_in = inp[:, 6 * 240 : -1].reshape(batch_size, -1, 2)
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cnn_out = self.cnn(raw_in).view(batch_size, 9, -1)
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rnn_in = self.raw_fc(cnn_out)
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rnn2_in = self.dnn(dnn_in)
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rnn2_out = self.rnn2(rnn2_in)[0]
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rnn_out = self.rnn(rnn_in)[0]
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rnn_out = rnn_out[torch.arange(rnn_out.size(0)), seq_len]
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rnn2_out = rnn2_out[torch.arange(rnn2_out.size(0)), seq_len]
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# dnn_out = self.dnn(dnn_in)
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fc_in = torch.cat((rnn_out, rnn2_out), dim=-1)
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out = self.fc(fc_in)
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return out, state
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