hi_name[j] = "resNet{layer}_{pre}_{e}".format(layer=layer,
pre=p_i,
e=epoch_i)
highest_accur[j][0] = epoch_i
highest_accur[j][1] = accuracy
if (accuracy >= 0.8):
t.save(
net.state_dict(),
"resNet{layer}_{pre}_{e}.pkl".format(layer=layer,
pre=p_i,
e=epoch_i))
test_accuracy.append(accuracy * 100)
print('Test accuracy:', accuracy)
# decay lr
models.lr_decay(optimizer)
print('END:',
time.strftime("%Y-%m-%d %H:%M:%S", time.localtime()),
'\n')
print("{name}: {acc}".format(name=hi_name[j],
acc=highest_accur[j][1]))
plot.plot_line(TOTAL_EPOCH, train_accuracy, 'train', p_i)
plot.plot_line(TOTAL_EPOCH, test_accuracy, 'test', p_i)
j += 1
plot.show_result_end(layer)
pair_mid = pair_mid.groupby(
pd.Grouper(freq='D')).resample(mid_freq).mean().droplevel(0)
pair_mid = pair_mid.resample('D').apply(aux.fill_nan).droplevel(0)
if ln:
pair_mid = np.log(pair_mid)
pair_ask = pair_ask.resample('D').apply(aux.fill_nan).droplevel(0)
pair_bid = pair_bid.resample('D').apply(aux.fill_nan).droplevel(0)
pair_mid.dropna(inplace=True)
pair_ask.dropna(inplace=True)
pair_bid.dropna(inplace=True)
plot.plot_line(pair_mid, 'Mid Price.html')
all_windows = rolling.windows(pair_mid, window_size)
residuals = list(
map(lambda w: residual.get_resid(w, intercept=intercept, wavelet=wavelet),
all_windows))
std = [resid.std() for resid in residuals]
residuals = pd.concat(map(lambda r: r.tail(1), residuals)) # get last values
std = pd.Series(std, index=residuals.index)
residuals = residuals.dropna().reindex(pair_mid.index)
std = std.dropna().reindex(pair_mid.index) * threshold
plot.plot_signals(residuals, std, signal_func, name)
all_signals = signal_func(residuals, std)
def main():
print("#######")
print("WARNING: All rewards are clipped or normalized so you need to use a monitor (see envs.py) or visdom plot to get true rewards")
print("#######")
os.environ['OMP_NUM_THREADS'] = '1'
#os.environ["CUDA_DEVICE_ORDER"] = "PCI_BUS_ID"
#os.environ['CUDA_VISIBLE_DEVICES'] = "9"
if args.vis:
from visdom import Visdom
viz = Visdom(port=args.port)
win = None
envs = [make_env(args.env_name, args.seed, i, args.log_dir, args.add_timestep)
for i in range(args.num_processes)]
if args.num_processes > 1:
envs = SubprocVecEnv(envs)
else:
envs = DummyVecEnv(envs)
if len(envs.observation_space.shape) == 1:
envs = VecNormalize(envs)
obs_shape = envs.observation_space.shape
obs_shape = (obs_shape[0] * args.num_stack, *obs_shape[1:])
if len(envs.observation_space.shape) == 3:
actor_critic = CNNPolicy(obs_shape[0], envs.action_space,args.hid_size, args.feat_size,args.recurrent_policy)
else:
assert not args.recurrent_policy, \
"Recurrent policy is not implemented for the MLP controller"
actor_critic = MLPPolicy(obs_shape[0], envs.action_space)
if envs.action_space.__class__.__name__ == "Discrete":
action_shape = 1
else:
action_shape = envs.action_space.shape[0]
if args.use_cell:
hs = HistoryCell(obs_shape[0], actor_critic.feat_size, 2*actor_critic.hidden_size, 1)
ft = FutureCell(obs_shape[0], actor_critic.feat_size, 2 * actor_critic.hidden_size, 1)
else:
hs = History(obs_shape[0], actor_critic.feat_size, actor_critic.hidden_size, 2, 1)
ft = Future(obs_shape[0], actor_critic.feat_size, actor_critic.hidden_size, 2, 1)
if args.cuda:
actor_critic=actor_critic.cuda()
hs = hs.cuda()
ft = ft.cuda()
if args.algo == 'a2c':
agent = algo.A2C_ACKTR(actor_critic, args.value_loss_coef,
args.entropy_coef, lr=args.lr,
eps=args.eps, alpha=args.alpha,
max_grad_norm=args.max_grad_norm)
elif args.algo == 'ppo':
agent = algo.PPO(actor_critic, hs,ft,args.clip_param, args.ppo_epoch, args.num_mini_batch,
args.value_loss_coef, args.entropy_coef, args.hf_loss_coef,ac_lr=args.lr,hs_lr=args.lr,ft_lr=args.lr,
eps=args.eps,
max_grad_norm=args.max_grad_norm,
num_processes=args.num_processes,
num_steps=args.num_steps,
use_cell=args.use_cell,
lenhs=args.lenhs,lenft=args.lenft,
plan=args.plan,
ac_intv=args.ac_interval,
hs_intv=args.hs_interval,
ft_intv=args.ft_interval
)
elif args.algo == 'acktr':
agent = algo.A2C_ACKTR(actor_critic, args.value_loss_coef,
args.entropy_coef, acktr=True)
rollouts = RolloutStorage(args.num_steps, args.num_processes, obs_shape, envs.action_space, actor_critic.state_size,
feat_size=512)
current_obs = torch.zeros(args.num_processes, *obs_shape)
def update_current_obs(obs):
shape_dim0 = envs.observation_space.shape[0]
obs = torch.from_numpy(obs).float()
if args.num_stack > 1:
current_obs[:, :-shape_dim0] = current_obs[:, shape_dim0:]
current_obs[:, -shape_dim0:] = obs
obs = envs.reset()
update_current_obs(obs)
rollouts.observations[0].copy_(current_obs)
if args.cuda:
current_obs = current_obs.cuda()
rollouts.cuda()
rec_x = []
rec_y = []
file = open('./rec/' + args.env_name + '_' + args.method_name + '.txt', 'w')
hs_info = torch.zeros(args.num_processes, 2 * actor_critic.hidden_size).cuda()
hs_ind = torch.IntTensor(args.num_processes, 1).zero_()
epinfobuf = deque(maxlen=100)
start_time = time.time()
for j in range(num_updates):
print('begin sample, time {}'.format(time.strftime("%Hh %Mm %Ss",
time.gmtime(time.time() - start_time))))
for step in range(args.num_steps):
# Sample actions
with torch.no_grad():
rollouts.feat[step]=actor_critic.get_feat(rollouts.observations[step])
if args.use_cell:
for i in range(args.num_processes):
h = torch.zeros(1, 2 * actor_critic.hid_size).cuda()
c = torch.zeros(1, 2 * actor_critic.hid_size).cuda()
start_ind = max(hs_ind[i],step+1-args.lenhs)
for ind in range(start_ind,step+1):
h,c=hs(rollouts.feat[ind,i].unsqueeze(0),h,c)
hs_info[i,:]=h.view(1,2*actor_critic.hid_size)
del h,c
gc.collect()
else:
for i in range(args.num_processes):
start_ind = max(hs_ind[i], step + 1 - args.lenhs)
hs_info[i,:]=hs(rollouts.feat[start_ind:step+1,i])
hidden_feat=actor_critic.cat(rollouts.feat[step],hs_info)
value, action, action_log_prob, states = actor_critic.act(
hidden_feat,
rollouts.states[step])
cpu_actions = action.data.squeeze(1).cpu().numpy()
# Obser reward and next obs
obs, reward, done, infos = envs.step(cpu_actions)
for info in infos:
maybeepinfo = info.get('episode')
if maybeepinfo:
epinfobuf.extend([maybeepinfo['r']])
reward = torch.from_numpy(np.expand_dims(np.stack(reward), 1)).float()
masks = torch.FloatTensor([[0.0] if done_ else [1.0] for done_ in done])
hs_ind = ((1-masks)*(step+1)+masks*hs_ind.float()).int()
if args.cuda:
masks = masks.cuda()
if current_obs.dim() == 4:
current_obs *= masks.unsqueeze(2).unsqueeze(2)
else:
current_obs *= masks
update_current_obs(obs)
rollouts.insert(current_obs, hs_ind,states.data, action.data, action_log_prob.data, value.data, reward, masks)
with torch.no_grad():
rollouts.feat[-1] = actor_critic.get_feat(rollouts.observations[-1])
if args.use_cell:
for i in range(args.num_processes):
h = torch.zeros(1, 2 * actor_critic.hid_size).cuda()
c = torch.zeros(1, 2 * actor_critic.hid_size).cuda()
start = max(hs_ind[i], step + 1 - args.lenhs)
for ind in range(start, step + 1):
h, c = hs(rollouts.feat[ind, i].unsqueeze(0), h, c)
hs_info[i, :] = h.view(1, 2 * actor_critic.hid_size)
del h,c
else:
for i in range(args.num_processes):
start_ind = max(hs_ind[i], step + 1 - args.lenhs)
hs_info[i, :] = hs(rollouts.feat[start_ind:step + 1, i])
hidden_feat = actor_critic.cat(rollouts.feat[-1],hs_info)
next_value = actor_critic.get_value(hidden_feat).detach()
rollouts.compute_returns(next_value, args.use_gae, args.gamma, args.tau)
rollouts.compute_ft_ind()
print('begin update, time {}'.format(time.strftime("%Hh %Mm %Ss",
time.gmtime(time.time() - start_time))))
value_loss, action_loss, dist_entropy = agent.update(rollouts)
print('end update, time {}'.format(time.strftime("%Hh %Mm %Ss",
time.gmtime(time.time() - start_time))))
rollouts.after_update()
if j % args.save_interval == 0 and args.save_dir != "":
save_path = os.path.join(args.save_dir, args.algo)
try:
os.makedirs(save_path)
except OSError:
pass
# A really ugly way to save a model to CPU
save_model = actor_critic
if args.cuda:
save_model = copy.deepcopy(actor_critic).cpu()
save_model = [save_model,
hasattr(envs, 'ob_rms') and envs.ob_rms or None]
torch.save(save_model, os.path.join(save_path, args.env_name + ".pt"))
if j % args.log_interval == 0:
end = time.time()
total_num_steps = (j + 1) * args.num_processes * args.num_steps
v_mean,v_median,v_min,v_max = safe(epinfobuf)
print("Updates {}, num timesteps {},time {}, FPS {}, mean/median reward {:.1f}/{:.1f}, min/max reward {:.1f}/{:.1f}, entropy {:.5f}, value loss {:.5f}, policy loss {:.5f}".
format(j, total_num_steps,
time.strftime("%Hh %Mm %Ss",
time.gmtime(time.time() - start_time)),
int(total_num_steps / (end - start_time)),
v_mean, v_median, v_min, v_max,
dist_entropy,
value_loss, action_loss))
if not (v_mean==np.nan):
rec_x.append(total_num_steps)
rec_y.append(v_mean)
file.write(str(total_num_steps))
file.write(' ')
file.writelines(str(v_mean))
file.write('\n')
if args.vis and j % args.vis_interval == 0:
try:
# Sometimes monitor doesn't properly flush the outputs
win = visdom_plot(viz, win, args.log_dir, args.env_name,
args.algo, args.num_frames)
except IOError:
pass
plot_line(rec_x, rec_y, './imgs/' + args.env_name + '_' + args.method_name + '.png', args.method_name,
args.env_name, args.num_frames)
file.close()
def plot_records(self, title, which):
to_plot = map(lambda x: np.array(self.records[x]), which)
plot.plot_line(to_plot, title, map(lambda w: self.find_label(w), which))
def plot_records(self, title, which):
to_plot = map(lambda x: numpy.array(self.records[x]), which)
plot.plot_line(to_plot)
pair_mid = pair_mid.groupby(
pd.Grouper(freq='D')).resample(mid_freq).mean().droplevel(0)
pair_mid = pair_mid.resample('D').apply(aux.fill_nan).droplevel(0)
if ln:
pair_mid = np.log(pair_mid)
pair_ask = pair_ask.resample('D').apply(aux.fill_nan).droplevel(0)
pair_bid = pair_bid.resample('D').apply(aux.fill_nan).droplevel(0)
pair_mid.dropna(inplace=True)
pair_ask.dropna(inplace=True)
pair_bid.dropna(inplace=True)
plot.plot_line(pair_mid, 'Mid Price')
all_windows = rolling.windows(pair_mid, window_size)
residuals = list(
map(lambda w: residual.get_resid(w, intercept=intercept, wavelet=wavelet),
all_windows))
std = [resid.std() for resid in residuals]
residuals = pd.concat(map(lambda r: r.tail(1), residuals)) # get last values
std = pd.Series(std, index=residuals.index)
residuals = residuals.dropna().reindex(pair_mid.index)
std = std.dropna().reindex(pair_mid.index) * threshold
plot.plot_signals(residuals, std, signals.get_signal, 'Signal V1')
plot.plot_signals(residuals, std, signals.get_signal2, 'Signal V2')
all_signals = signals.get_signal(residuals, std)
