def reinforce_train_cem(self,
steps=60000,
visualize=False,
verbose=1,
nb_steps_warmup=10000,
save_path=r"D:\Data\markets\weights",
save_weights_name="cem_CADJPY_weights.h5f",
log_interval=1000):
memory = EpisodeParameterMemory(limit=200, window_length=1)
nb_actions = self.env.action_space.n
agent = CEMAgent(
model=self.model,
nb_actions=nb_actions,
memory=memory,
nb_steps_warmup=nb_steps_warmup,
processor=MultiInputProcessor(nb_inputs=len(self.model.inputs)))
agent.compile()
agent.fit(self.env,
nb_steps=steps,
visualize=visualize,
verbose=verbose,
log_interval=log_interval)
pathlib.Path(save_path).mkdir(parents=True, exist_ok=True)
file_path = os.path.join(save_path, save_weights_name)
agent.save_weights(filepath=file_path, overwrite=True)
def main(env_name, nb_steps):
# Get the environment and extract the number of actions.
env = gym.make(env_name)
np.random.seed(123)
env.seed(123)
nb_actions = env.action_space.n
input_shape = (1, ) + env.observation_space.shape
model = create_nn_model(input_shape, nb_actions)
# Finally, we configure and compile our agent.
memory = EpisodeParameterMemory(limit=450, window_length=1)
agent = CEMAgent(model=model,
nb_actions=nb_actions,
memory=memory,
batch_size=50,
nb_steps_warmup=2000,
train_interval=50,
elite_frac=0.05)
agent.compile()
agent.fit(env, nb_steps=nb_steps, visualize=False, verbose=1)
# After training is done, we save the best weights.
agent.save_weights('cem_{}_params.h5f'.format(env_name), overwrite=True)
# Finally, evaluate the agent
history = agent.test(env, nb_episodes=100, visualize=False)
rewards = np.array(history.history['episode_reward'])
print(("Test rewards (#episodes={}): mean={:>5.2f}, std={:>5.2f}, "
"min={:>5.2f}, max={:>5.2f}").format(len(rewards), rewards.mean(),
rewards.std(), rewards.min(),
rewards.max()))
def main(env_name, nb_steps):
# Get the environment and extract the number of actions.
env = gym.make(env_name)
np.random.seed(123)
env.seed(123)
nb_actions = env.action_space.n
input_shape = (1,) + env.observation_space.shape
model = create_nn_model(input_shape, nb_actions)
# Finally, we configure and compile our agent.
memory = EpisodeParameterMemory(limit=450, window_length=1)
agent = CEMAgent(model=model, nb_actions=nb_actions, memory=memory,
batch_size=50, nb_steps_warmup=2000, train_interval=50,
elite_frac=0.05)
agent.compile()
agent.fit(env, nb_steps=nb_steps, visualize=False, verbose=1)
# After training is done, we save the best weights.
agent.save_weights('cem_{}_params.h5f'.format(env_name), overwrite=True)
# Finally, evaluate the agent
history = agent.test(env, nb_episodes=100, visualize=False)
rewards = np.array(history.history['episode_reward'])
print(("Test rewards (#episodes={}): mean={:>5.2f}, std={:>5.2f}, "
"min={:>5.2f}, max={:>5.2f}")
.format(len(rewards),
rewards.mean(),
rewards.std(),
rewards.min(),
rewards.max()))
class KerasCEMAgent(object):
'''
The cross-entropy method Learning Agent as described in http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.81.6579&rep=rep1&type=pdf
'''
def __init__(self, opts):
self.metadata = {
'discrete_actions': True,
}
self.opts = opts
def configure(self, observation_space_shape, nb_actions):
if self.opts.model_type == 1:
# Option 1 : Simple model
model = Sequential()
model.add(Flatten(input_shape=(1,) + observation_space_shape))
model.add(Dense(nb_actions))
model.add(Activation('softmax'))
print(model.summary())
elif self.opts.model_type == 2:
# Option 2: deep network
model = Sequential()
model.add(Flatten(input_shape=(1,) + observation_space_shape))
model.add(Dense(16))
model.add(Activation('relu'))
model.add(Dense(16))
model.add(Activation('relu'))
model.add(Dense(16))
model.add(Activation('relu'))
model.add(Dense(nb_actions))
model.add(Activation('softmax'))
print(model.summary())
# Finally, we configure and compile our agent. You can use every built-in Keras optimizer and
# even the metrics!
memory = EpisodeParameterMemory(limit=1000, window_length=1)
self.agent = CEMAgent(model=model, nb_actions=nb_actions, memory=memory,
batch_size=50, nb_steps_warmup=2000, train_interval=50, elite_frac=0.05)
self.agent.compile()
def train(self, env, nb_steps, visualize, verbosity):
# Okay, now it's time to learn something! We visualize the training here for show, but this
# slows down training quite a lot. You can always safely abort the training prematurely using
# Ctrl + C.
self.agent.fit(env, nb_steps=nb_steps, visualize=visualize, verbose=verbosity)
def test(self, env, nb_episodes, visualize):
# Finally, evaluate our algorithm for 5 episodes.
self.agent.test(env, nb_episodes=nb_episodes, visualize=visualize)
def load_weights(self, load_file):
self.agent.load_weights(load_file)
def save_weights(self, save_file, overwrite):
# After training is done, we save the best weights.
self.agent.save_weights(save_file, overwrite=overwrite)
def main():
"""Build model and train on environment."""
env = MarketEnv(("ES", "FUT", "GLOBEX", "USD"), obs_xform=xform.BinaryDelta(3), episode_steps=STEPS_PER_EPISODE, client_id=3)
#env = MarketEnv(("AAPL", "STK", "SMART", "USD"), obs_xform=xform.BinaryDelta(3), episode_steps=STEPS_PER_EPISODE, client_id=4)
nb_actions = 3 # Keras-RL CEM is a discrete agent
# Option 1 : Simple model
model = Sequential([
Flatten(input_shape=(1,) + env.observation_space.shape),
Dense(nb_actions),
Activation('softmax')
])
# Option 2: deep network
# hidden_nodes = reduce(operator.imul, env.observation_space.shape, 1)
# model = Sequential([
# Flatten(input_shape=(1,) + env.observation_space.shape),
# Dense(hidden_nodes),
# Activation('relu'),
# Dense(hidden_nodes),
# Activation('relu'),
# Dense(hidden_nodes),
# Activation('relu'),
# Dense(nb_actions),
# Activation('softmax')
# ])
print(model.summary())
param_logger = CEMParamLogger('cem_{}_params.json'.format(env.instrument.symbol))
callbacks = [
param_logger,
FileLogger('cem_{}_log.json'.format(env.instrument.symbol), interval=STEPS_PER_EPISODE)
]
theta_init = param_logger.read_params() # Start with last saved params if present
if theta_init is not None:
print('Starting with parameters from {}:\n{}'.format(param_logger.params_filename, theta_init))
memory = EpisodeParameterMemory(limit=EPISODES, window_length=1) # Remember the parameters and rewards for the last `limit` episodes.
cem = CEMAgent(model=model, nb_actions=nb_actions, memory=memory, batch_size=EPISODES, nb_steps_warmup=WARMUMP_EPISODES * STEPS_PER_EPISODE, train_interval=TRAIN_INTERVAL_EPISODES, elite_frac=0.2, theta_init=theta_init, processor=DiscreteProcessor(), noise_decay_const=0, noise_ampl=0)
"""
:param memory: Remembers the parameters and rewards for the last `limit` episodes.
:param int batch_size: Randomly sample this many episode parameters from memory before taking the top `elite_frac` to construct the next gen parameters from.
:param int nb_steps_warmup: Run for this many steps (total) to fill memory before training
:param int train_interval: Train (update parameters) every this many episodes
:param float elite_frac: Take this top fraction of the `batch_size` randomly sampled parameters from the episode memory to construct new parameters.
"""
cem.compile()
cem.fit(env, nb_steps=STEPS_PER_EPISODE * EPISODES, visualize=True, verbose=2, callbacks=callbacks)
cem.save_weights('cem_{}_weights.h5f'.format(env.instrument.symbol), overwrite=True)
import numpy as np
import gym
from keras.models import Sequential
from keras.layers import Dense, Activation, Flatten
from keras.optimizers import Adam
from rl.agents.cem import CEMAgent
from rl.memory import EpisodeParameterMemory
ENV_NAME = 'CartPole-v0'
env = gym.make(ENV_NAME)
np.random.seed(123)
env.seed(123)
nb_actions = env.action_space.n
obs_dim = env.observation_space.shape[0]
model = Sequential()
model.add(Flatten(input_shape=(1, ) + env.observation_space.shape))
model.add(Dense(nb_actions))
model.add(Activation('softmax'))
print(model.summary())
memory = EpisodeParameterMemory(limit=1000, window_length=1)
cem = CEMAgent(model=model,
nb_actions=nb_actions,
memory=memory,
batch_size=50,
nb_steps_warmup=2000,
train_interval=50,
elite_frac=0.05)
cem.compile()
cem.fit(env, nb_steps=100000, visualize=False, verbose=2)
cem.save_weights('cem_{}_params.h5f'.format(ENV_NAME), overwrite=True)
cem.test(env, nb_episodes=5, visualize=True)
model.add(Reshape(env.observation_space.shape))
model.add(
Conv2D(32, (3, 3),
activation='relu',
input_shape=env.observation_space.shape))
model.add(MaxPooling2D((2, 2)))
model.add(Conv2D(64, (3, 3), activation='relu'))
model.add(Flatten())
model.add(Dense(16))
model.add(Activation('relu'))
model.add(Dense(nb_actions))
model.add(Activation('softmax'))
print(model.summary())
memory = EpisodeParameterMemory(limit=10000, window_length=1)
cem = CEMAgent(model=model,
nb_actions=nb_actions,
memory=memory,
nb_steps_warmup=1000,
batch_size=50,
train_interval=50,
elite_frac=0.1)
cem.compile()
cem.fit(env, nb_steps=100000000, visualize=False)
#dqn.load_weights('dqn_test_run_weights.h5f')
cem.save_weights('cem_{}_weights.h5f'.format('test_run'), overwrite=True)
#dqn.test(env, nb_episodes=5, visualize=True)
model = Sequential()
model.add(Dense(128, input_shape=(8, )))
model.add(Activation('relu'))
model.add(BatchNormalization())
model.add(Dense(64))
model.add(Activation('relu'))
model.add(Dense(32))
model.add(Activation('relu'))
model.add(Dense(16))
model.add(Activation('relu'))
model.add(Dense(nb_actions))
model.add(Activation('softmax'))
print(model.summary())
memory = EpisodeParameterMemory(limit=1000, window_length=1)
cem = CEMAgent(model=model,
nb_actions=nb_actions,
memory=memory,
batch_size=50,
nb_steps_warmup=2000,
train_interval=50,
elite_frac=0.05)
cem.compile()
cem.fit(env, nb_steps=100000, visualize=False, verbose=2)
cem.save_weights('cem_{}_params.h5f'.format("citizen-0"), overwrite=True)
def main(options):
# store args
model_type = options.model_type
train_interval_cem = options.train_interval_cem
batch_size_cem = options.batch_size_cem
steps_cem = options.steps_cem
batch_size_props = options.batch_size_props
steps_props = options.steps_props
trunc_thres = options.trunc_thres
Lmax = options.Lmax
delta = options.delta
# CEM
# init environment
env = gym.make(ENV_NAME)
np.random.seed(123)
env.seed(123)
nb_actions = env.action_space.n
obs_dim = env.observation_space.shape[0]
model = initModel(model_type, nb_actions, env.observation_space.shape)
memory = initMemory()
cem = CEMAgent(model=model,
nb_actions=nb_actions,
memory=memory,
batch_size=batch_size_cem,
nb_steps_warmup=1000,
train_interval=train_interval_cem,
elite_frac=0.05)
cem.compile()
callback_cem = cem.fit(env, nb_steps=steps_cem, visualize=False, verbose=0)
cem.save_weights('cem_dumps/cem_{}_{}_ti_{}_bs_{}_steps_{}.h5f'.format(
ENV_NAME, model_type, train_interval_cem, batch_size_cem, steps_cem),
overwrite=True)
#cem.test(env, nb_episodes=1, visualize=False)
# PROPS
# init environment
env = gym.make(ENV_NAME)
np.random.seed(123)
env.seed(123)
nb_actions = env.action_space.n
obs_dim = env.observation_space.shape[0]
model = initModel(model_type, nb_actions, env.observation_space.shape)
memory = initMemory()
bound_opts = {
'analytic_jac': True,
'normalize_weights': True,
'truncate_weights': True,
'truncate_thresh': trunc_thres
}
props = PROPSAgent(model=model,
nb_actions=nb_actions,
memory=memory,
Lmax=Lmax,
delta=delta,
bound_opts=bound_opts,
batch_size=batch_size_props)
props.compile()
callback_props = props.fit(env,
nb_steps=steps_props,
visualize=False,
verbose=0)
props.save_weights(
'props_dumps/props_{}_{}_bs_{}_steps_{}_thres_{}_Lmax_{}_delta_{}.h5f'.
format(ENV_NAME, model_type, batch_size_props, steps_props,
trunc_thres, Lmax, delta),
overwrite=True)
#props.test(env, nb_episodes=1, visualize=False)
df_cem = pd.DataFrame({'data': callback_cem.history['episode_reward']})
#plt.plot(callback_cem.history['episode_reward'])
plt.plot(df_cem.rolling(window=train_interval_cem).mean())
df_props = pd.DataFrame({'data': callback_props.history['episode_reward']})
#plt.plot(callback_props.history['episode_reward'])
plt.plot(df_props.rolling(window=batch_size_props).mean())
plt.legend(['cem', 'props'], loc='upper left')
#plt.show()
plt.savefig('plots/{}_{}_bs_{}_thres_{}_Lmax_{}_delta_{}.jpeg'.format(
ENV_NAME, model_type, batch_size_props, trunc_thres, Lmax, delta))
# model.add(Dense(16))
# model.add(Activation('relu'))
# model.add(Dense(nb_actions))
# model.add(Activation('softmax'))
print(model.summary())
# Finally, we configure and compile our agent. You can use every built-in tensorflow.keras optimizer and
# even the metrics!
memory = EpisodeParameterMemory(limit=1000, window_length=1)
cem = CEMAgent(model=model,
nb_actions=nb_actions,
memory=memory,
batch_size=50,
nb_steps_warmup=2000,
train_interval=50,
elite_frac=0.05)
cem.compile()
# Okay, now it's time to learn something! We visualize the training here for show, but this
# slows down training quite a lot. You can always safely abort the training prematurely using
# Ctrl + C.
cem.fit(env, nb_steps=100000, visualize=False, verbose=2)
# After training is done, we save the best weights.
cem.save_weights(f'cem_{ENV_NAME}_params.h5f', overwrite=True)
# Finally, evaluate our algorithm for 5 episodes.
cem.test(env, nb_episodes=5, visualize=True)
# print(model.summary())
memory = EpisodeParameterMemory(limit=1000, window_length=1)
cem = CEMAgent(model=model,
nb_actions=se.action_space,
memory=memory,
batch_size=50,
nb_steps_warmup=2000,
train_interval=50,
elite_frac=0.05)
cem.compile()
# Okay, now it's time to learn something! We visualize the training here for show, but this
# slows down training quite a lot. You can always safely abort the training prematurely using
# Ctrl + C.
history = cem.fit(se, nb_steps=50000, visualize=False, verbose=2)
rewards = [x for x in history.history['episode_reward'] if x > 0]
import matplotlib.pyplot as plt
plt.plot(np.convolve(np.ones(100), rewards, 'valid'))
plt.show()
# After training is done, we save the best weights.
cem.save_weights('cem_{}_params.h5f'.format('Student2'), overwrite=True)
# Finally, evaluate our algorithm for 5 episodes.
cem.test(se, nb_episodes=5, visualize=False)
def train():
# Get the environment and extract the number of actions.
env = gym.make(ENV_NAME)
np.random.seed(123)
env.seed(123)
nb_actions = env.action_space.n
obs_dim = env.observation_space.shape[0]
config = tf.ConfigProto()
config.gpu_options.allow_growth = True
sess = tf.Session(config=config)
from keras import backend as K
K.set_session(sess)
# Option 1 : Simple model
# model = Sequential()
# model.add(Flatten(input_shape=(1,) + env.observation_space.shape))
# model.add(Dense(nb_actions))
# model.add(Activation('softmax'))
# Option 2: deep network
model = Sequential()
model.add(Flatten(input_shape=(1,) + env.observation_space.shape))
model.add(Dense(16))
model.add(Activation('relu'))
model.add(Dense(16))
model.add(Activation('relu'))
model.add(Dense(16))
model.add(Activation('relu'))
model.add(Dense(nb_actions))
model.add(Activation('softmax'))
model.summary()
# Finally, we configure and compile our agent. You can use every built-in Keras optimizer and
# even the metrics!
memory = EpisodeParameterMemory(limit=1000, window_length=1)
if REWARD == "normal":
cem = CEMAgent(model=model, nb_actions=nb_actions, memory=memory,
batch_size=50, nb_steps_warmup=2000, train_interval=50, elite_frac=0.05)
cem.compile()
history_normal = cem.fit(env, nb_steps=100000, visualize=False, verbose=2)
cem.save_weights(os.path.join(LOG_DIR, 'cem_normal_{}_params.h5f'.format(ENV_NAME)), overwrite=True)
cem.test(env, nb_episodes=5, visualize=False)
pandas.DataFrame(history_normal.history).to_csv(os.path.join(LOG_DIR, "normal.csv"))
elif REWARD == "noisy":
if not SMOOTH:
processor_noisy = CartpoleProcessor(e_=ERR_N, e=ERR_P, smooth=False, surrogate=False)
else:
processor_noisy = CartpoleProcessor(e_=ERR_N, e=ERR_P, smooth=True, surrogate=False)
# processor_surrogate = CartpoleSurrogateProcessor(e_=ERR_N, e=ERR_P, surrogate=False)
cem = CEMAgent(model=model, nb_actions=nb_actions, memory=memory,
batch_size=50, nb_steps_warmup=2000, train_interval=50, elite_frac=0.05,
processor=processor_noisy)
cem.compile()
history_noisy = cem.fit(env, nb_steps=100000, visualize=False, verbose=2)
if not SMOOTH:
cem.save_weights(os.path.join(LOG_DIR, 'cem_noisy_{}_params.h5f'.format(ENV_NAME)), overwrite=True)
pandas.DataFrame(history_noisy.history).to_csv(os.path.join(LOG_DIR, "noisy.csv"))
else:
cem.save_weights(os.path.join(LOG_DIR, 'cem_noisy_smooth_{}_params.h5f'.format(ENV_NAME)), overwrite=True)
pandas.DataFrame(history_noisy.history).to_csv(os.path.join(LOG_DIR, "noisy_smooth.csv"))
cem.test(env, nb_episodes=5, visualize=False)
elif REWARD == "surrogate":
if not SMOOTH:
processor_surrogate = CartpoleProcessor(e_=ERR_N, e=ERR_P, smooth=False, surrogate=True)
else:
processor_surrogate = CartpoleProcessor(e_=ERR_N, e=ERR_P, smooth=True, surrogate=True)
# processor_surrogate = CartpoleSurrogateProcessor(e_=ERR_N, e=ERR_P, surrogate=True)
cem = CEMAgent(model=model, nb_actions=nb_actions, memory=memory,
batch_size=50, nb_steps_warmup=2000, train_interval=50, elite_frac=0.05,
processor=processor_surrogate)
cem.compile()
history_surrogate = cem.fit(env, nb_steps=100000, visualize=False, verbose=2)
if not SMOOTH:
cem.save_weights(os.path.join(LOG_DIR, 'cem_surrogate_{}_params.h5f'.format(ENV_NAME)), overwrite=True)
pandas.DataFrame(history_surrogate.history).to_csv(os.path.join(LOG_DIR, "surrogate.csv"))
else:
cem.save_weights(os.path.join(LOG_DIR, 'cem_surrogate_smooth_{}_params.h5f'.format(ENV_NAME)), overwrite=True)
pandas.DataFrame(history_surrogate.history).to_csv(os.path.join(LOG_DIR, "surrogate_smooth.csv"))
cem.test(env, nb_episodes=5, visualize=False)
else:
raise NotImplementedError
model.add(Dense(nb_actions))
model.add(Activation('softmax'))
print(model.summary())
# Finally, we configure and compile our agent. You can use every built-in Keras optimizer and
# even the metrics!
memory = EpisodeParameterMemory(limit=10000, window_length=1)
cem = CEMAgent(model=model,
nb_actions=nb_actions,
memory=memory,
batch_size=1000,
nb_steps_warmup=2000,
train_interval=50,
elite_frac=0.05,
noise_decay_const=0.0,
noise_ampl=1.0,
processor=MujocoProcessor())
cem.compile()
# Okay, now it's time to learn something! We visualize the training here for show, but this
# slows down training quite a lot. You can always safely abort the training prematurely using
# Ctrl + C.
cem.fit(env, nb_steps=100000, visualize=False, verbose=2)
# After training is done, we save the best weights.
cem.save_weights('cem_CAV_params.h5f', overwrite=True)
# Finally, evaluate our algorithm for 5 episodes.
cem.test(env, nb_episodes=5, visualize=True)