def train_single(self, input_vector, target_vector):
"""
input_vector and target_vector can be tuple,
list or ndarray
"""
input_vector = np.array(input_vector, ndmin=2).T
target_vector = np.array(target_vector, ndmin=2).T
output_vector1 = np.dot(self.weights_in_hidden, input_vector)
output_hidden = Activation.reLU(output_vector1)
output_vector2 = np.dot(self.weights_hidden_output, output_hidden)
#output_network = Activation.sigmoid(output_vector2)
output_network = Activation.reLU(output_vector2)
output_errors = target_vector - output_network
# update the weights:
#tmp = output_errors * Derivative.sigmoid(output_network)
tmp = output_errors * Derivative.reLU(output_network)
tmp = self.learning_rate * np.dot(tmp, output_hidden.T)
self.weights_hidden_output += tmp
# calculate hidden errors:
hidden_errors = np.dot(self.weights_hidden_output.T, output_errors)
# ----------------------------------------------------------------------
# update the weights:
tmp = hidden_errors * Derivative.reLU(output_hidden)
# -----------------------------------------------------------------------
self.weights_in_hidden += self.learning_rate * np.dot(
tmp, input_vector.T)
def test_p_plus_change_positive(self):
q1 = Quantity(None, Derivative(DValue.PLUS))
q2 = Quantity(None, Derivative(DValue.ZERO))
r.propotionalPositive(q1, q2)
self.assertEqual(q2.derivative.value, DValue.PLUS)
def test_isStateValid_multiRelation_valid(self):
state = {
"B": {
"Q": Quantity(Magnitude(MValue.PLUS), Derivative(DValue.MINUS))
},
"C": {
"Q": Quantity(Magnitude(MValue.PLUS), Derivative(DValue.MINUS))
},
}
relations = [
{
"type": "EX",
"args": None,
"Q1": ("B", "Q"),
"Q2": ("B", "Q"),
},
{
"type": "I-",
"args": None,
"Q1": ("C", "Q"),
"Q2": ("B", "Q"),
},
{
"type": "P+",
"args": None,
"Q1": ("B", "Q"),
"Q2": ("C", "Q"),
},
]
self.assertEqual(isStateValid(state, relations), True)
def test_isStateValid_relationOrder(self):
state = {
"A": {
"Q": Quantity(Magnitude(MValue.ZERO), Derivative(DValue.ZERO))
},
"B": {
"Q": Quantity(Magnitude(MValue.PLUS), Derivative(DValue.MINUS))
},
"C": {
"Q": Quantity(Magnitude(MValue.PLUS), Derivative(DValue.ZERO))
},
}
relations = [
{
"type": "I+",
"args": None,
"Q1": ("A", "Q"),
"Q2": ("B", "Q"),
},
{
"type": "I-",
"args": None,
"Q1": ("C", "Q"),
"Q2": ("B", "Q"),
},
{
"type": "P+",
"args": None,
"Q1": ("B", "Q"),
"Q2": ("C", "Q"),
},
]
self.assertEqual(isStateValid(state, relations), False)
def train_single(self, input_vector, target_vector):
""""
Forward Propagation
input: input_vector [784], target_vector [10]
H1: output_vector [100], weights_in_hidden[100, 784], output_hidden[100]
output: output_vector2 [10], weight_hidden_output[10, 100], output_network[10]
loss scalar 2.3
Backward Propagation
gradient [10], derived [10], tmp2 [10], hidden_errors [100,10], tmp5 [100,10]
"""
input_vector = np.array(input_vector, ndmin=2).T
target_vector = np.array(target_vector, ndmin=2).T
output_vector1 = np.dot(self.weights_in_hidden, input_vector)
output_hidden = Activation.leakyReLU(output_vector1)
output_vector2 = np.dot(self.weights_hidden_output, output_hidden)
output_network = Activation.leakyReLU(output_vector2)
loss = Cross_Entropy.calc(output_network, target_vector)
gradient = Cross_Entropy.derived_calc(output_network, target_vector)
# update the weights:
derived1 = Derivative.leakyReLU(gradient)
tmp2 = derived1 * (loss * gradient)
# calculate hidden errors:
hidden_errors = np.dot(self.weights_hidden_output.T, loss * derived1)
# update the weights:
tmp5 = hidden_errors * Derivative.leakyReLU(output_hidden)
self.weights_hidden_output += self.learning_rate * np.dot(
tmp2, output_hidden.T)
self.weights_in_hidden += self.learning_rate * np.dot(
tmp5, input_vector.T)
def test_p_plus_copy_value(self):
q1 = Quantity(None, Derivative(DValue.PLUS))
q2 = Quantity(None, Derivative(DValue.ZERO))
# apply proportion relation
r.propotionalPositive(q1, q2)
self.assertEqual(q2.derivative.value, DValue.PLUS)
# change q1 derivative without affecting q2 derivative
q1.derivative.value = DValue.MINUS
self.assertEqual(q2.derivative.value, DValue.PLUS)
def test_isStateValid_multiRelation_sameTail_ambiguous(self):
state1 = {
"A": {
"Q": Quantity(Magnitude(MValue.PLUS), Derivative(DValue.MINUS))
},
"B": {
"Q": Quantity(Magnitude(MValue.PLUS), Derivative(DValue.MINUS))
},
"C": {
"Q": Quantity(Magnitude(MValue.PLUS), Derivative(DValue.ZERO))
},
}
state2 = {
"A": {
"Q": Quantity(Magnitude(MValue.PLUS), Derivative(DValue.MINUS))
},
"B": {
"Q": Quantity(Magnitude(MValue.PLUS), Derivative(DValue.ZERO))
},
"C": {
"Q": Quantity(Magnitude(MValue.PLUS), Derivative(DValue.ZERO))
},
}
state3 = {
"A": {
"Q": Quantity(Magnitude(MValue.PLUS), Derivative(DValue.MINUS))
},
"B": {
"Q": Quantity(Magnitude(MValue.PLUS), Derivative(DValue.PLUS))
},
"C": {
"Q": Quantity(Magnitude(MValue.PLUS), Derivative(DValue.ZERO))
},
}
relations = [
{
"type": "EX",
"args": None,
"Q1": ("A", "Q"),
"Q2": ("A", "Q"),
},
{
"type": "P+",
"args": None,
"Q1": ("A", "Q"),
"Q2": ("B", "Q"),
},
{
"type": "I+",
"args": None,
"Q1": ("C", "Q"),
"Q2": ("B", "Q"),
},
]
self.assertEqual(isStateValid(state1, relations), True)
self.assertEqual(isStateValid(state2, relations), True)
self.assertEqual(isStateValid(state3, relations), True)
def main():
securities = [
Security(30, "$", RiskLevel.LOW, Trend.UP, 0, "Ukraine", "I"),
Equity(20, "$", RiskLevel.MEDIUM, Trend.DOWN, 0, "Russia", "I",
"Roshen", 0.5),
Debt(10, "$", RiskLevel.HIGH, Trend.UP, 0, "Belarus", "I"),
Derivative(0, "$", RiskLevel.DANGER, Trend.UP, 0, "Moldova", "I",
"house"),
Security(0, "$", RiskLevel.LOW, Trend.DOWN, 10, "Ukraine", "I")
]
manager = SecuritiesManager(*securities)
filteredList = manager.filterByPrice(0)
for s in filteredList:
print(s)
print()
sortedList = SecuritiesManager.sortByPriceAscending(securities)
for s in sortedList:
print(s)
print()
sortedFilteredList = SecuritiesManager.sortByDurationDescending(
filteredList)
for s in sortedFilteredList:
print(s)
def test_Derivative():
# The formula is exact for linear functions, regardless of h
f = lambda x: a * x + b
a = 3.5
b = 8
dfdx = Derivative(f, h=0.5)
diff = abs(dfdx(4.5) - a)
assert diff < 1E-14, 'bug in class Derivative, diff=%s' % diff
def over_generate(blue_print=None, mag_Enum=MValue, der_Enum=DValue):
"""generates all combinations of states.
Assumes that all quantities have the can take the same magnetude and
derivative values.
Input:
blue_print: dict(dict: (list, list))) defining the state and the values it
can take.
mag_Enum: IntEnum with the possible values for magntudes.
der_Enum: IntEnum with the possible values for derivatives.
Output:
list(states) all possible states.
"""
#defaut state blueprint in case none is given.
if blue_print == None:
mags = list(map(int, mag_Enum))
ders = list(map(int, der_Enum))
blue_print = {
"Hoose": {
"Inflow": ([0, 1], ders)
},
"Container": {
"Volume": (mags, ders)
},
"Drain": {
"Outflow": (mags, ders)
},
}
#Creates all states
states = []
t = []
for e in blue_print:
for q in blue_print[e]:
t.append(blue_print[e][q][0])
t.append(blue_print[e][q][1])
t = tuple(t)
combs = list(product(*t))
for c in combs:
idx = 0
state = {}
for e in blue_print:
state[e] = {}
for q in blue_print[e]:
mag_bound = blue_print[e][q][0][-1]
state[e][q] = Quantity(Magnitude(c[idx], upperBound=mag_bound),
Derivative(c[idx + 1]))
idx += 2
states.append(state)
return states
def test_isStateValid_noEX(self):
state = {
"A": {
"Q": Quantity(Magnitude(MValue.ZERO), Derivative(DValue.PLUS))
}
}
relations = []
self.assertEqual(isStateValid(state, relations), False)
def test_isStateValid_singleRelation_valid(self):
state = {
"B": {
"Q": Quantity(Magnitude(MValue.ZERO), Derivative(DValue.ZERO))
},
"C": {
"Q": Quantity(Magnitude(MValue.ZERO), Derivative(DValue.ZERO))
},
}
relations = [
{
"type": "P+",
"args": None,
"Q1": ("B", "Q"),
"Q2": ("C", "Q"),
},
]
self.assertEqual(isStateValid(state, relations), True)
def get_derivatives(self):
derivatives = []
for layer in self.data:
derivatives_layer = []
for _ in layer:
derivatives_layer.append(Derivative())
derivatives.append(derivatives_layer)
# stem is a function of Y
# derivatives are functions of Y the X_tilde s and the w s. X_tilde s
# and w s are stored in the neuron objects. This makes the derivatives
# functions of only Y.
def differentiate(stem=lambda Y: (Y - self.data[0][0].get_output()),
i=0,
j=0,
a=0,
b=0):
neuron = self.data[i][j]
derivatives[i][j] += neuron.get_new_derivative(stem, a, b)
l = 1
for input_location in self.data[i][j].input_locations:
if type(input_location) == tuple:
if type(neuron) == Convolutional:
for new_a in range(a, a + neuron.filter_shape[0]):
for new_b in range(b, b + neuron.filter_shape[1]):
differentiate(
neuron.get_new_stem(
self.data, input_location, stem, new_a,
new_b, l), input_location[0],
input_location[1], new_a, new_b)
l += 1
else:
differentiate(neuron.get_new_stem(
self.data, input_location, stem, l),
input_location[0],
input_location[1],
a=0,
b=0)
l += 1
differentiate()
# Now all of the components for every derivative have been computed we can form the complete derivative which
# is a function that returns the sum of all the derivative components. This method greatly reduces the required
# recursion depth compared to replacing the derivative function every time a new component was computed.
completed_derivatives = []
for layer in derivatives:
completed_derivatives_layer = []
for derivative in layer:
completed_derivatives_layer.append(
derivative.get_complete_derivative())
completed_derivatives.append(completed_derivatives_layer)
return completed_derivatives
def test_isStateValid_lower_boundary_derivatives(self):
state_invalid = {
"A": {
"Q": Quantity(Magnitude(MValue.ZERO), Derivative(DValue.MINUS))
},
}
state_valid = {
"A": {
"Q": Quantity(Magnitude(MValue.ZERO), Derivative(DValue.PLUS))
},
}
relations = [{
"type": "EX",
"args": None,
"Q1": ("A", "Q"),
"Q2": ("A", "Q"),
}]
self.assertEqual(isStateValid(state_invalid, relations), False)
self.assertEqual(isStateValid(state_valid, relations), True)
def test_getRelationQuantities(self):
state = {
"B": {
"Q": Quantity(Magnitude(MValue.ZERO), Derivative(DValue.PLUS))
},
"C": {
"Q": Quantity(Magnitude(MValue.ZERO), Derivative(DValue.ZERO))
},
}
relation = {
"type": "P+",
"args": None,
"Q1": ("B", "Q"),
"Q2": ("C", "Q"),
}
head, tail = getRelationQuantities(state, relation)
self.assertEqual(
head, Quantity(Magnitude(MValue.ZERO), Derivative(DValue.PLUS)))
self.assertEqual(
tail, Quantity(Magnitude(MValue.ZERO), Derivative(DValue.ZERO)))
def train_single(self, input_vector, target_vector):
"""
input_vector and target_vector can be tuple,
list or ndarray
"""
input_vector = np.array(input_vector, ndmin=2).T
target_vector = np.array(target_vector, ndmin=2).T
output_vector1 = np.dot(self.weights_in_hidden, input_vector)
output_hidden = Activation.reLU(output_vector1)
output_hidden *= Dropout.get_mask(output_vector1)
output_vector2 = np.dot(self.weights_hidden_output, output_hidden)
output_network = Activation.reLU(output_vector2)
output_network *= Dropout.get_mask(output_vector2)
output_errors = target_vector - output_network
# update the weights:
#tmp = output_errors * Derivative.sigmoid(output_network)
try:
tmp = output_errors * Derivative.reLU(output_network)
tmp = self.learning_rate * np.dot(tmp, output_hidden.T)
self.weights_hidden_output += tmp
except:
print("Something went wrong when writing to the file")
# calculate hidden errors:
try:
hidden_errors = np.dot(self.weights_hidden_output.T, output_errors)
except:
print("Something went wrong when writing to the file")
# ----------------------------------------------------------------------
# update the weights:
tmp1 = Derivative.reLU(output_hidden)
tmp = hidden_errors * tmp1
# -----------------------------------------------------------------------
self.weights_in_hidden += self.learning_rate * np.dot(
tmp, input_vector.T)
def test_ex_increase_minus(self):
q1 = Quantity(None, Derivative(DValue.MINUS))
q2 = Quantity(None, Derivative(DValue.MINUS))
r.getFunc("EX", 1)(q1, q2)
self.assertEqual(q2.derivative.value, DValue.ZERO)
def test_i_minus_active_boundary(self):
q1 = Quantity(Magnitude(MValue.PLUS), None)
q2 = Quantity(None, Derivative(DValue.MINUS))
r.influenceNegative(q1, q2)
self.assertEqual(q2.derivative.value, DValue.MINUS)
def test_i_minus_inactive(self):
q1 = Quantity(Magnitude(MValue.ZERO), None)
q2 = Quantity(None, Derivative(DValue.ZERO))
r.influenceNegative(q1, q2)
self.assertEqual(q2.derivative.value, DValue.ZERO)
def test_i_plus_active(self):
q1 = Quantity(Magnitude(MValue.PLUS), None)
q2 = Quantity(None, Derivative(DValue.ZERO))
r.influencePositive(q1, q2)
self.assertEqual(q2.derivative.value, DValue.PLUS)
def test_isStateValid_complexValid(self):
state = {
"A": {
"Q": Quantity(Magnitude(0), Derivative(0))
},
"B": {
"Q": Quantity(Magnitude(0), Derivative(0))
},
"C": {
"Q": Quantity(Magnitude(0), Derivative(0))
},
}
relations = [
{
"type": "EX",
"args": 1,
"Q1": ("A", "Q"),
"Q2": ("A", "Q"),
},
{
"type": "I+",
"args": None,
"Q1": ("A", "Q"),
"Q2": ("B", "Q"),
},
{
"type": "I-",
"args": None,
"Q1": ("C", "Q"),
"Q2": ("B", "Q"),
},
{
"type": "P+",
"args": None,
"Q1": ("B", "Q"),
"Q2": ("C", "Q"),
},
{
"type": "VC",
"args": MValue.MAX,
"Q1": ("B", "Q"),
"Q2": ("C", "Q"),
},
{
"type": "VC",
"args": MValue.ZERO,
"Q1": ("B", "Q"),
"Q2": ("C", "Q"),
},
{
"type": "VC",
"args": MValue.MAX,
"Q1": ("C", "Q"),
"Q2": ("B", "Q"),
},
{
"type": "VC",
"args": MValue.ZERO,
"Q1": ("C", "Q"),
"Q2": ("B", "Q"),
},
]
self.assertEqual(isStateValid(state, relations), True)
def copy(self):
return Quantity(Magnitude(self.magnitude.value, self.magnitude.upperBound), Derivative(self.derivative.value))
def __init__(self, S0, vol, mean, N, delta, r):
Derivative.__init__(self, S0, vol, mean, N, r, delta)
def __init__(self, S0, vol, mean, N, delta, r, strike):
Derivative.__init__(self, S0, vol, mean, N, delta, r)
self.strike = strike
from derivative import Derivative
def Newton2(f, dfdx, x0, max_it=20, tol=1e-6):
f0 = f(x0)
iter = 0
while abs(f0) > tol and iter < max_it:
x1 = x0 - f0 / dfdx(x0)
x0 = x1
f0 = f(x0)
iter += 1
converged = iter < max_it
return x0, converged, iter
def f(x):
return 100000 * (x - 0.9)**2 * (x - 1.1)**3
dfdx = Derivative(f)
xstart = 1.01
result = Newton2(f, dfdx, xstart)
sol, converged, its = result
if converged:
print(f'The method converged in {its} iterations')
print(f'Solution x0={sol}, f(x0) = {f(sol)}')
else:
print('The method did not converge')
