class PolicyGradient:
def __init__(self,
env,
env_test,
discount=0.99,
model_filename=None,
history_filename=None):
self.env = env
self.env_test = env_test
self.discount = discount
self.model_filename = model_filename
self.history_filename = history_filename
from keras.optimizers import SGD
self.model = MarketPolicyGradientModelBuilder(modelFilename).getModel()
sgd = SGD(lr=0.1, decay=1e-6, momentum=0.9, nesterov=True)
self.model.compile(loss='mse', optimizer='rmsprop')
self.test_avg_reward_sum = 0
self.avg_reward_sum = 0
def discount_rewards(self, r):
discounted_r = np.zeros_like(r)
running_add = 0
r = r.flatten()
for t in reversed(range(0, r.size)):
if r[t] != 0:
running_add = 0
running_add = running_add * self.discount + r[t]
discounted_r[t] = running_add
return discounted_r
def paper(self, code):
def take_position():
date2position = {}
game_over = False
observation = self.env_test._reset(code)
while not game_over:
aprob = self.model.predict(observation)[0]
if aprob.shape[0] > 1:
action = np.random.choice(env_test.action_space.n,
1,
p=aprob / np.sum(aprob))[0]
else:
action = 0 if np.random.uniform() < aprob else 1
observation, reward, game_over, info = env_test.step(action)
date2position[info['dt']] = action
return date2position
def cum_return(sym, row):
date = row['date']
close_rel = row['close_rel']
if date in date2position:
position = date2position[date]
if 1 == position:
result['cum'] *= close_rel
return result['cum']
elif 0 == position:
result['cum'] *= 2 - close_rel
return result['cum']
else:
print(date, 'not in date2postion')
return result['cum']
def cum_return_bh(sym, row): ## buy and hold
def bought_every_day(sym, current_day):
return 1
position = bought_every_day(sym, row['date'])
if 1 == position:
result['cum'] *= row['close_rel']
elif 0 == position:
pass
elif -1 == position:
pass # no short
return result['cum']
def cum_return_sh(sym, row): # short and hold
def bought_every_day(sym, current_day):
return -1
position = bought_every_day(sym, row['date'])
if 1 == position:
result['cum'] *= row['close_rel']
elif 0 == position:
pass
elif -1 == position:
result['cum'] *= 2 - row['close_rel']
return result['cum']
df = pd.read_csv(os.path.join(local_path, 'data', '%s.csv' % code))
start = self.env_test.startDate
end = self.env_test.endDate
df = df[(df.date >= start) & (df.date < end)]
dates = pd.to_datetime(df.date, format='%Y-%m-%d')
df['close_rel'] = (df.close / df.close.shift(1)).fillna(1.0)
date2position = take_position()
result = {'cum': 1}
df_cum = df.apply(lambda x: cum_return('^DJI', x), axis=1)
import matplotlib.pyplot as plt
plt.plot(dates, df_cum)
df_cum = df.apply(lambda x: cum_return_bh('^DJI', x), axis=1)
plt.plot(dates, df_cum)
df_cum = df.apply(lambda x: cum_return_sh('^DJI', x), axis=1)
plt.plot(dates, df_cum)
plt.show()
def test(self, e, code, verbose=False):
env_test = self.env_test
model = self.model
env_test._reset(code)
observation = env_test._reset(code)
game_over = False
reward_sum = 0
while not game_over:
aprob = model.predict(observation)[0]
if aprob.shape[0] > 1:
action = np.random.choice(env_test.action_space.n,
1,
p=aprob / np.sum(aprob))[0]
else:
action = 0 if np.random.uniform() < aprob else 1
observation, reward, game_over, info = env_test.step(action)
reward_sum += float(reward)
if verbose > 0:
if env_test.actions[action] == "LONG" or env_test.actions[
action] == "SHORT":
color = bcolors.FAIL if env_test.actions[
action] == "LONG" else bcolors.OKBLUE
print("%s:\t%s\t%.2f\t%.2f\t" %
(info["dt"], color + env_test.actions[action] +
bcolors.ENDC, reward_sum, info["cum"]) +
("\t".join([
"%s:%.2f" % (l, i)
for l, i in zip(env_test.actions, aprob.tolist())
])))
self.test_avg_reward_sum = self.test_avg_reward_sum * 0.99 + reward_sum * 0.01
toPrint = "%d\t%s\t%s\t%.2f\t%.2f" % (
e, info["code"],
(bcolors.FAIL if reward_sum >= 0 else bcolors.OKBLUE) +
("%.2f" % reward_sum) + bcolors.ENDC, info["cum"],
self.test_avg_reward_sum)
return toPrint
def train(self, max_episode=1000000, max_path_length=200, verbose=True):
env = self.env
model = self.model
for e in range(max_episode):
from random import random
code = self.env.targetCodes[int(random() *
len(self.env.targetCodes))]
env._reset(code)
observation = env._reset(code)
game_over = False
reward_sum = 0
inputs = []
outputs = []
predicteds = []
rewards = []
while not game_over:
aprob = model.predict(observation)[0]
inputs.append(observation)
predicteds.append(aprob)
if aprob.shape[0] > 1:
action = np.random.choice(self.env.action_space.n,
1,
p=aprob / np.sum(aprob))[0]
y = np.zeros([self.env.action_space.n])
y[action] = 1.
outputs.append(y)
else:
action = 0 if np.random.uniform() < aprob else 1
y = [float(action)]
outputs.append(y)
observation, reward, game_over, info = self.env.step(action)
reward_sum += float(reward)
rewards.append(float(reward))
if verbose > 0:
if env.actions[action] == "LONG" or env.actions[
action] == "SHORT":
color = bcolors.FAIL if env.actions[
action] == "LONG" else bcolors.OKBLUE
print("%s:\t%s\t%.2f\t%.2f\t" %
(info["dt"], color + env.actions[action] +
bcolors.ENDC, reward_sum, info["cum"]) +
("\t".join([
"%s:%.2f" % (l, i)
for l, i in zip(env.actions, aprob.tolist())
])))
self.avg_reward_sum = self.avg_reward_sum * 0.99 + reward_sum * 0.01
toPrint = "%d\t%s\t%s\t%.2f\t%.2f" % (
e, info["code"],
(bcolors.FAIL if reward_sum >= 0 else bcolors.OKBLUE) +
("%.2f" % reward_sum) + bcolors.ENDC, info["cum"],
self.avg_reward_sum)
print(toPrint, '\t', self.test(e, code))
if self.history_filename != None:
os.system("echo %s >> %s" % (toPrint, self.history_filename))
dim = len(inputs[0])
inputs_ = [[] for i in range(dim)]
for obs in inputs:
for i, block in enumerate(obs):
inputs_[i].append(block[0])
inputs_ = [np.array(inputs_[i]) for i in range(dim)]
outputs_ = np.vstack(outputs)
predicteds_ = np.vstack(predicteds)
rewards_ = np.vstack(rewards)
discounted_rewards_ = self.discount_rewards(rewards_)
#discounted_rewards_ -= np.mean(discounted_rewards_)
discounted_rewards_ /= np.std(discounted_rewards_)
#outputs_ *= discounted_rewards_
for i, r in enumerate(zip(rewards, discounted_rewards_)):
reward, discounted_reward = r
if verbose > 1:
print(outputs_[i], end=' ')
#outputs_[i] = 0.5 + (2 * outputs_[i] - 1) * discounted_reward
if discounted_reward < 0:
outputs_[i] = 1 - outputs_[i]
outputs_[i] = outputs_[i] / sum(outputs_[i])
outputs_[i] = np.minimum(
1,
np.maximum(
0, predicteds_[i] + (outputs_[i] - predicteds_[i]) *
abs(discounted_reward)))
if verbose > 1:
print(predicteds_[i], outputs_[i], reward,
discounted_reward)
model.fit(inputs_, outputs_, nb_epoch=1, verbose=0, shuffle=True)
model.save_weights(self.model_filename)
class PolicyGradient:
def __init__(self,
env,
discount=0.99,
model_filename=None,
history_filename=None):
self.env = env
self.discount = discount
self.model_filename = model_filename
self.history_filename = history_filename
self.model = MarketPolicyGradientModelBuilder(
model_filename).getModel()
sgd = SGD(lr=0.1, decay=1e-6, momentum=0.9, nesterov=True)
self.model.compile(loss='mse', optimizer='rmsprop')
def discount_rewards(self, r):
discounted_r = zeros_like(r)
running_add = 0
r = r.flatten()
for t in reversed(range(0, r.size)):
if r[t] != 0:
running_add = 0
running_add = running_add * self.discount + r[t]
discounted_r[t] = running_add
return discounted_r
def train(self, max_episode=10, max_path_length=200, verbose=0):
env = self.env
model = self.model
avg_reward_sum = 0.
for e in range(max_episode):
env._reset()
observation = env._reset()
game_over = False
reward_sum = 0
inputs = []
outputs = []
predicteds = []
rewards = []
while not game_over:
aprob = model.predict(observation)[0]
inputs.append(observation)
predicteds.append(aprob)
if aprob.shape[0] > 1:
action = random.choice(self.env.action_space.n,
1,
p=aprob / sum(aprob))[0]
y = zeros([self.env.action_space.n])
y[action] = 1.
outputs.append(y)
else:
action = 0 if random.uniform() < aprob else 1
y = [float(action)]
outputs.append(y)
observation, reward, game_over, info = self.env._step(action)
reward_sum += float(reward)
rewards.append(float(reward))
if verbose > 0:
if env.actions[action] == "LONG" or env.actions[
action] == "SHORT":
color = bcolors.FAIL if env.actions[
action] == "LONG" else bcolors.OKBLUE
print("%s:\t%s\t%.2f\t%.2f\t" %
(info["dt"], color + env.actions[action] +
bcolors.ENDC, reward_sum, info["cum"]) +
("\t".join([
"%s:%.2f" % (l, i)
for l, i in zip(env.actions, aprob.tolist())
])))
avg_reward_sum = avg_reward_sum * 0.99 + reward_sum * 0.01
toPrint = "%d\t%s\t%s\t%.2f\t%.2f" % (
e, info["code"],
(bcolors.FAIL if reward_sum >= 0 else bcolors.OKBLUE) +
("%.2f" % reward_sum) + bcolors.ENDC, info["cum"],
avg_reward_sum)
print(toPrint)
if self.history_filename != None:
system("echo %s >> %s" % (toPrint, self.history_filename))
dim = len(inputs[0])
inputs_ = [[] for i in range(dim)]
for obs in inputs:
for i, block in enumerate(obs):
inputs_[i].append(block[0])
inputs_ = [array(inputs_[i]) for i in range(dim)]
outputs_ = vstack(outputs)
predicteds_ = vstack(predicteds)
rewards_ = vstack(rewards)
discounted_rewards_ = self.discount_rewards(rewards_)
#discounted_rewards_ -= mean(discounted_rewards_)
discounted_rewards_ /= std(discounted_rewards_)
#outputs_ *= discounted_rewards_
for i, r in enumerate(zip(rewards, discounted_rewards_)):
reward, discounted_reward = r
if verbose > 1:
print(outputs_[i], end=' ')
#outputs_[i] = 0.5 + (2 * outputs_[i] - 1) * discounted_reward
if discounted_reward < 0:
outputs_[i] = 1 - outputs_[i]
outputs_[i] = outputs_[i] / sum(outputs_[i])
outputs_[i] = minimum(
1,
maximum(
0, predicteds_[i] + (outputs_[i] - predicteds_[i]) *
abs(discounted_reward)))
if verbose > 1:
print(predicteds_[i], outputs_[i], reward,
discounted_reward)
model.fit(inputs_, outputs_, nb_epoch=1, verbose=0, shuffle=True)
model_json = model.to_json()
with open(join(BASE_DIR, "models", self.model_filename + ".json"),
"w") as json_file:
json_file.write(model_json)
model.save_weights(
join(BASE_DIR, "models", self.model_filename + ".h5"))
class PolicyGradient:
def __init__(self, env, discount = 0.99, model_filename = None, history_filename = None, max_memory=100):
self.env = env
self.discount = discount
self.model_filename = model_filename
self.history_filename = history_filename
self.max_memory = max_memory
# 没有利用SGD
from keras.optimizers import SGD
self.model = MarketPolicyGradientModelBuilder(modelFilename).getModel()
sgd = SGD(lr = 0.1, decay = 1e-6, momentum = 0.9, nesterov = True)
# 利用rmsprop
#self.model.compile(loss='mse', optimizer='rmsprop')
self.model.compile(loss='binary_crossentropy', optimizer='rmsprop')
# 更详细解释: https://blog.csdn.net/heyc861221/article/details/80132054
def discount_rewards(self, r):
discounted_r = np.zeros_like(r)
running_add = 0
r = r.flatten()
# 从后向前推算
for t in reversed(range(0, r.size)):
# TODO: running_add 为 0 ?
# 应该是参照pong game,因为游戏里面，只有游戏结束了才有一个reward。
# 这里是一个reset,每轮游戏结束，即reward非空，重置running_add
# Reset the running sum at a game boundary.
# if r[t] != 0:
# running_add = 0
# 拆开来就是，run_add 初始为当前reward, 即r[t]
# run_add = (r[t] * discount + r[t+1]) * discount + r[t+2] + ...
# = r[t] * discount^2 + r[t+1] * discount^1 + r[t+2] + ...
# 即公式中的。E(Discount^n * Reward)
running_add = running_add * self.discount + r[t]
discounted_r[t] = running_add
return discounted_r
def train(self, max_episode = 10, max_path_length = 200, verbose = 0):
env = self.env
model = self.model
avg_reward_sum = 0.
#f_eps = open("episode.csv","w")
#write_eps = csv.write(f_eps)
for e in range(max_episode):
env._reset()
observation = env._reset()
game_over = False
reward_sum = 0
inputs = []
outputs = []
predicteds = []
rewards = []
#f_iter = open("episode_{0}.csv".format(e),"w")
#write_iter = csv.writer(f_iter)
f_episode = "episode_{0}.csv".format(e)
os.system("rm -rf {0}".format(f_episode))
while not game_over:
aprob = model.predict(observation)[0]
inputs.append(observation)
predicteds.append(aprob)
if aprob.shape[0] > 1:
action = np.random.choice(self.env.action_space.n, 1, p = aprob / np.sum(aprob))[0]
y = np.zeros([self.env.action_space.n])
y[action] = 1.
outputs.append(y)
else:
#action = 0 if np.random.uniform() < aprob else 1
# if aprob = 1.0 reduce it.
# 因为uniform返回[0, 1)
m_aprob = 0.9 if aprob == 1.0 else aprob
action = 0 if np.random.uniform() < m_aprob else 1
y = [float(action)]
outputs.append(y)
observation, reward, actual_reward, game_over, info = self.env._step(action)
reward_sum += float(actual_reward)
rewards.append(float(reward))
# check memory for RNN model
if len(inputs) > self.max_memory:
del inputs[0]
del outputs[0]
del predicteds[0]
del rewards[0]
if verbose > 0:
if env.actions[action] == "LONG" or env.actions[action] == "SHORT":
#if env.actions[action] == "LONG" or env.actions[action] == "SHORT" or env.actions[action] == "HOLD":
color = bcolors.FAIL if env.actions[action] == "LONG" else bcolors.OKBLUE
print ("%s:\t%s\t%.2f\t%.2f\t" % (info["dt"], color + env.actions[action] + bcolors.ENDC, reward_sum, info["cum"]) + ("\t".join(["%s:%.2f" % (l, i) for l, i in zip(env.actions, aprob.tolist())])))
#write_iter.writerow("%s:\t%s\t%.2f\t%.2f\t" % (info["dt"], env.actions[action], reward_sum, info["cum"]) + ("\t".join(["%s:%.2f" % (l, i) for l, i in zip(env.actions, aprob.tolist())])))
os.system("echo %s >> %s" % ("%s:\t%s\t%.2f\t%.2f\t" % (info["dt"], env.actions[action], reward_sum, info["cum"]) + ("\t".join(["%s:%.2f" % (l, i) for l, i in zip(env.actions, aprob.tolist())])),
f_episode))
#write_iter.close()
avg_reward_sum = avg_reward_sum * 0.99 + reward_sum * 0.01
toPrint = "%d\t%s\t%s\t%.2f\t%.2f" % (e, info["code"], (bcolors.FAIL if reward_sum >= 0 else bcolors.OKBLUE) + ("%.2f" % reward_sum) + bcolors.ENDC, info["cum"], avg_reward_sum)
print (toPrint)
if self.history_filename != None:
os.system("echo %s >> %s" % (toPrint, self.history_filename))
dim = len(inputs[0])
inputs_ = [[] for i in range(dim)]
for obs in inputs:
for i, block in enumerate(obs):
inputs_[i].append(block[0])
inputs_ = [np.array(inputs_[i]) for i in range(dim)]
outputs_ = np.vstack(outputs)
predicteds_ = np.vstack(predicteds)
rewards_ = np.vstack(rewards)
discounted_rewards_ = self.discount_rewards(rewards_)
# TODO: 不做均值平移应该也可以
# 平移后，有可能会导致最小的负值变为正值。改变了正负号。
#discounted_rewards_ -= np.mean(discounted_rewards_)
if np.std(discounted_rewards_) != 0.:
discounted_rewards_ /= np.std(discounted_rewards_)
#outputs_ *= discounted_rewards_
for i, r in enumerate(zip(rewards, discounted_rewards_)):
reward, discounted_reward = r
if verbose > 1:
# print (outputs_[i],)
print (outputs_[i],)
#outputs_[i] = 0.5 + (2 * outputs_[i] - 1) * discounted_reward
# 修正output, reward<0 亏钱，反转所有的output。
#
#if discounted_reward < 0:
# outputs_[i] = 1 - outputs_[i]
# outputs_[i] = outputs_[i] / sum(outputs_[i])
# softmax的log函数求导后的Gradient ?
# http://vsooda.github.io/2017/03/14/softmax-logistic/
# 最终对于softmax层，其反向梯度仅仅是概率值减去label值。
#outputs_[i] = np.minimum(1, np.maximum(0, predicteds_[i] + (outputs_[i] - predicteds_[i]) * abs(discounted_reward)))
outputs_[i] = np.minimum(1, np.maximum(0, predicteds_[i] + (outputs_[i] - predicteds_[i]) * discounted_reward))
if verbose > 0:
print (predicteds_[i], outputs_[i], reward, discounted_reward)
print("fit model input.shape %s, output.shape %s" %( [inputs_[i].shape for i in range(len(inputs_))], outputs_.shape))
np.set_printoptions(linewidth=200, suppress=True)
print("currentTargetIndex:", env.currentTargetIndex)
#print(inputs_)
model.fit(inputs_, outputs_, nb_epoch = 1, verbose = 0, shuffle = True)
model.save_weights(self.model_filename)
class PolicyGradient:
def __init__(self,
env,
discount=0.99,
model_filename=None,
history_filename=None):
self.env = env
self.discount = discount
self.model_filename = model_filename
self.history_filename = history_filename
from keras.optimizers import SGD
self.model = MarketPolicyGradientModelBuilder(modelFilename).getModel()
# self.model = MarketPolicyGradientModelBuilder().buildModel()
sgd = SGD(lr=0.1, decay=1e-6, momentum=0.9, nesterov=True)
self.model.compile(loss='mse', optimizer='rmsprop')
def discount_rewards(self, r):
discounted_r = np.zeros_like(r)
running_add = 0
r = r.flatten()
for t in reversed(np.arange(0, r.size)):
if r[t] != 0:
running_add = 0
running_add = running_add * self.discount + r[t]
discounted_r[t] = running_add
return discounted_r
def train(self,
max_episode=1e1,
max_path_length=200,
threshold=0.5,
verbose=0):
env = self.env
model = self.model
avg_reward_sum = 0.
for e in np.arange(max_episode):
env.reset()
observation = env.reset()
# print('observation[0].shape:', '\n', observation[0].shape)
# print('observation[1].shape:', '\n', observation[1].shape)
# print('observation[1]:', '\n', observation[1])
game_over = False
reward_sum = 0
last_y = np.array([0, 1])
inputs = []
outputs = []
predicteds = []
rewards = []
count = 0
date_list = []
value_list = []
benchmark_list = []
predict_summary = []
while not game_over:
# count += 1
# print('count:',count)
aprob = model.predict(observation)[0]
# print('aprob:', '\n', aprob)
# print('aprob_shape:', '\n', aprob.shape)
# print('aprob[0]:', '\n', aprob[0])
# print('aprob[1]:', '\n', aprob[1])
inputs.append(observation)
predicteds.append(aprob)
if aprob.shape[0] > 1:
if max(aprob) > threshold:
action = np.argsort(aprob)[-1]
# action = np.random.choice(self.env.action_space.n, 1, p = aprob / np.sum(aprob))[0]
self.env.last_action = action
y = np.zeros([self.env.action_space.n])
y[action] = 1.
# print('action:', action)
# print('y:', y)
last_y = y.copy()
outputs.append(y)
else:
action = 2
outputs.append(last_y)
else:
action = 0 if np.random.uniform() < aprob else 1
y = [float(action)]
outputs.append(y)
predict_summary.append(max(aprob))
observation, reward, game_over, info = self.env.step(action)
# print('boservation[0]:',observation[0])
reward_sum += float(reward)
#print('reward_sum:','\n',reward_sum)
rewards.append(float(reward))
#print('rewards:','\n',rewards)
date_list.append(info["dt"])
value_list.append(info["rat"])
benchmark_list.append(info["cum"])
if verbose > 0:
if action == 2:
color = bcolors.OKBLUE if aprob[0] == max(
aprob) else bcolors.FAIL
print("%s:\t%s\t%.2f\t%.2f\t%.2f\t" %
(info["dt"], color + "HOLD!!!" + bcolors.ENDC,
reward_sum, info["cum"], info["rat"]) +
("\t".join([
"%s:%.2f" % (l, i)
for l, i in zip(env.actions, aprob.tolist())
])))
elif env.actions[action] == "LONG" or env.actions[
action] == "SHORT":
color = bcolors.FAIL if env.actions[
action] == "LONG" else bcolors.OKBLUE
print("%s:\t%s\t%.2f\t%.2f\t%.2f\t" %
(info["dt"], color + env.actions[action] +
bcolors.ENDC, reward_sum, info["cum"],
info["rat"]) + ("\t".join([
"%s:%.2f" % (l, i)
for l, i in zip(env.actions, aprob.tolist())
])))
avg_reward_sum = avg_reward_sum * 0.99 + reward_sum * 0.01
fc = bcolors.FAIL if info["cum"] >= 1 else bcolors.OKBLUE
fr = bcolors.FAIL if info["rat"] >= 1 else bcolors.OKBLUE
bw = bcolors.ENDC
toPrint = "%d\t\t%s\t%.2f\t%s\t%s\t%.2f" % (
e, info["code"], reward_sum, fc +
("%.2f" % info["cum"]) + bw, fr +
("%.2f" % info["rat"]) + bw, avg_reward_sum)
# toPrint = "%d\t\t%s\t%s\t%.2f\t%.2f\t%.2f" % (e, info["code"], (bcolors.FAIL if reward_sum >= 0 else bcolors.OKBLUE) + ("%.2f" % reward_sum) + bcolors.ENDC, info["cum"], info["rat"], avg_reward_sum)
if self.history_filename != None:
os.system("echo %s >> %s" % (toPrint, self.history_filename))
print(toPrint)
# print('avg_reward_sum', '\n', avg_reward_sum)
# print('env.actions:',env.actions)
M.plot_trade_summary(indices=date_list,
value=value_list,
benchmark=benchmark_list)
plt.hist(predict_summary, bins=200)
plt.show()
dim = len(inputs[0])
inputs_ = [[] for i in np.arange(dim)]
for obs in inputs:
for i, block in enumerate(obs):
inputs_[i].append(block[0])
inputs_ = [np.array(inputs_[i]) for i in np.arange(dim)]
#print('inputs:', '\n', inputs[0][1])
outputs_ = np.vstack(outputs)
# print('outputs_:', '\n', outputs_)
predicteds_ = np.vstack(predicteds)
rewards_ = np.vstack(rewards)
discounted_rewards_ = self.discount_rewards(rewards_)
#discounted_rewards_ -= np.mean(discounted_rewards_)
discounted_rewards_ /= np.std(discounted_rewards_)
#outputs_ *= discounted_rewards_
for i, r in enumerate(zip(rewards, discounted_rewards_)):
reward, discounted_reward = r
if verbose > 1:
print(outputs_[i], )
#outputs_[i] = 0.5 + (2 * outputs_[i] - 1) * discounted_reward
if discounted_reward < 0:
outputs_[i] = 1 - outputs_[i]
outputs_[i] = outputs_[i] / sum(outputs_[i])
outputs_[i] = np.minimum(
1,
np.maximum(
0, predicteds_[i] + (outputs_[i] - predicteds_[i]) *
abs(discounted_reward)))
if verbose > 1:
print(predicteds_[i], outputs_[i], reward,
discounted_reward)
# print('inputs_:', '\n', inputs_[0].shape)
# print('inputs_:', '\n', inputs_[1].shape)
# print('inputs_:', '\n', inputs_[1])
# print('outputs_:', '\n', outputs_)
# print('layers:', '\n', model.layers)
model.fit(inputs_, outputs_, epochs=1, verbose=0, shuffle=True)
model.save_weights('model_1.h5')
class PolicyGradient:
def __init__(self, env, discount = 0.99, model_filename = None, history_filename = None):
self.env = env
self.discount = discount
self.model_filename = model_filename
self.history_filename = history_filename
from keras.optimizers import SGD
self.model = MarketPolicyGradientModelBuilder(self.model_filename).getModel()
sgd = SGD(lr = 0.1, decay = 1e-6, momentum = 0.9, nesterov = True)
self.model.compile(loss='mse', optimizer='rmsprop')
def discount_rewards(self, r):
discounted_r = np.zeros_like(r)
running_add = 0
r = r.flatten()
for t in reversed(xrange(0, r.size)):
if r[t] != 0:
running_add = 0
running_add = running_add * self.discount + r[t]
discounted_r[t] = running_add
return discounted_r
def train(self, max_episode = 1000, max_path_length = 200, verbose = 0):
env = self.env
model = self.model
avg_reward_sum = 0.
target_close = env.get_close()
for e in xrange(max_episode):
env.reset()
observation = env.reset()
game_over = False
reward_sum = 0
cum_profit = {}
pre_action = {}
inputs = []
outputs = []
predicteds = []
rewards = []
while not game_over:
aprob = model.predict(observation)[0]
inputs.append(observation)
predicteds.append(aprob)
if aprob.shape[0] > 1:
action = np.random.choice(self.env.action_space.n, 1, p = aprob / np.sum(aprob))[0]
y = np.zeros([self.env.action_space.n])
y[action] = 1.
outputs.append(y)
else:
action = 0 if np.random.uniform() < aprob else 1
y = [float(action)]
outputs.append(y)
observation, reward, game_over, info = self.env.step(action)
reward_sum += float(reward)
cum_profit[info['dt']] = reward_sum
rewards.append(float(reward))
if verbose > 0:
if env.actions[action] == "LONG" or env.actions[action] == "SHORT":
pre_action[info['dt']] = env.actions[action]
color = bcolors.FAIL if env.actions[action] == "LONG" else bcolors.OKBLUE
print "%s:\t%s\t%d\t%.2f\t%.2f\t" % (info["dt"], color + env.actions[action] \
+ bcolors.ENDC, info['correct_action'], reward_sum, info["cum"]) + \
("\t".join(["%s:%.2f" % (l, i) for l, i in zip(env.actions, aprob.tolist())]))
avg_reward_sum = avg_reward_sum * 0.99 + reward_sum * 0.01
toPrint = "%d\t%s\t%.2f\t%.2f" % (e, (bcolors.FAIL if reward_sum >= 0 else bcolors.OKBLUE) + \
("%.2f" % reward_sum) + bcolors.ENDC, info["cum"], avg_reward_sum)
print toPrint
if self.history_filename != None:
os.system("echo %s >> %s" % (toPrint, self.history_filename))
dim = len(inputs[0])
inputs_ = [[] for i in xrange(dim)]
for obs in inputs:
for i, block in enumerate(obs):
inputs_[i].append(block[0])
inputs_ = [np.array(inputs_[i]) for i in xrange(dim)]
outputs_ = np.vstack(outputs)#0 or 1
predicteds_ = np.vstack(predicteds)# probabilty
rewards_ = np.vstack(rewards)
discounted_rewards_ = self.discount_rewards(rewards_)
#discounted_rewards_ -= np.mean(discounted_rewards_)
discounted_rewards_ /= np.std(discounted_rewards_)
#outputs_ *= discounted_rewards_
for i, r in enumerate(zip(rewards, discounted_rewards_)):
reward, discounted_reward = r
if verbose > 1:
print outputs_[i],
#outputs_[i] = 0.5 + (2 * outputs_[i] - 1) * discounted_reward
if discounted_reward < 0:
outputs_[i] = 1 - outputs_[i]
outputs_[i] = outputs_[i] / sum(outputs_[i])
outputs_[i] = np.minimum(1, np.maximum(0, predicteds_[i] + \
(outputs_[i] - predicteds_[i]) * abs(discounted_reward)))
if verbose > 1:
print predicteds_[i], outputs_[i], reward, discounted_reward
model.fit(inputs_, outputs_, nb_epoch = 1, verbose = 0, shuffle = True)
if(e % 5 == 0 and e != 0):
test_util.plot_profit(cum_profit, target_close, pre_action, "pg_train_"+str(e))
test_util.get_test_performance(e,'model_pg.h5', model)
model.save_weights("model_pg.h5" if self.model_filename == None else self.model_filename, overwrite=True)