def train_cross_val(p):
data_ = load_data(root_dir='./data/', mode='train')
data_, target_, features, date = preprocess_data(data_, nn=True)
gts = PurgedGroupTimeSeriesSplit(n_splits=5, group_gap=5)
input_size = data_.shape[-1]
output_size = 1
tb_logger = pl_loggers.TensorBoardLogger('logs/')
models = []
for i, (train_idx, val_idx) in enumerate(gts.split(data_, groups=date)):
idx = np.concatenate([train_idx, val_idx])
data = copy.deepcopy(data_[idx])
target = copy.deepcopy(target_[idx])
checkpoint_callback = pl.callbacks.ModelCheckpoint(os.path.join(
'models/', "fold_{}".format(i)),
monitor="val_auc",
mode='max',
save_top_k=1,
period=10)
model = Classifier(input_size=input_size,
output_size=output_size,
params=p)
if p['activation'] == nn.ReLU:
model.apply(lambda m: init_weights(m, 'relu'))
elif p['activation'] == nn.LeakyReLU:
model.apply(lambda m: init_weights(m, 'leaky_relu'))
train_idx = [i for i in range(0, max(train_idx) + 1)]
val_idx = [i for i in range(len(train_idx), len(idx))]
data[train_idx] = calc_data_mean(data[train_idx],
'./cache',
train=True,
mode='mean')
data[val_idx] = calc_data_mean(data[val_idx],
'./cache',
train=False,
mode='mean')
dataset = FinData(data=data, target=target, date=date)
dataloaders = create_dataloaders(dataset,
indexes={
'train': train_idx,
'val': val_idx
},
batch_size=p['batch_size'])
es = EarlyStopping(monitor='val_auc',
patience=10,
min_delta=0.0005,
mode='max')
trainer = pl.Trainer(logger=tb_logger,
max_epochs=500,
gpus=1,
callbacks=[checkpoint_callback, es],
precision=16)
trainer.fit(model,
train_dataloader=dataloaders['train'],
val_dataloaders=dataloaders['val'])
torch.save(model.state_dict(), f'models/fold_{i}_state_dict.pth')
models.append(model)
return models, features
def loptimize(trial, data_dict: dict):
p = {
'learning_rate': trial.suggest_uniform('learning_rate', 1e-4, 1e-1),
'max_leaves': trial.suggest_int('max_leaves', 5, 100),
'bagging_fraction': trial.suggest_uniform('bagging_fraction', 0.3,
0.99),
'bagging_freq': trial.suggest_int('bagging_freq', 1, 10),
'feature_fraction': trial.suggest_uniform('feature_fraction', 0.3,
0.99),
'min_data_in_leaf': trial.suggest_int('min_data_in_leaf', 50, 1000),
'lambda_l1': trial.suggest_uniform('lambda_l1', 0.005, 0.05),
'lambda_l2': trial.suggest_uniform('lambda_l2', 0.005, 0.05),
'boosting': trial.suggest_categorical('boosting',
['gbdt', 'goss', 'rf']),
'objective': 'binary',
'verbose': 1,
'n_jobs': 10,
'metric': 'auc'
}
if p['boosting'] == 'goss':
p['bagging_freq'] = 0
p['bagging_fraction'] = 1.0
scores = []
sizes = []
data = data_dict['data']
target = data_dict['target']
date = data_dict['date']
# gts = GroupTimeSeriesSplit()
gts = PurgedGroupTimeSeriesSplit(n_splits=5, group_gap=10)
for i, (tr_idx, val_idx) in enumerate(gts.split(data, groups=date)):
sizes.append(len(tr_idx))
x_tr, x_val = data.iloc[tr_idx], data.iloc[val_idx]
y_tr, y_val = target[tr_idx], target[val_idx]
x_tr, x_val = calc_data_mean(x_tr, cache_dir='cache/', fold=i, train=True), \
calc_data_mean(x_val, cache_dir='cache/', fold=i, train=False)
train = lgb.Dataset(x_tr, label=y_tr)
val = lgb.Dataset(x_val, label=y_val)
clf = lgb.train(p,
train,
500,
valid_sets=[val],
early_stopping_rounds=50,
verbose_eval=True)
preds = clf.predict(x_val)
score = roc_auc_score(y_val, preds)
print(f'Fold {i} ROC AUC:\t', score)
scores.append(score)
del clf, preds, train, val, x_tr, x_val, y_tr, y_val, score
rubbish = gc.collect()
print(scores)
avg_score = weighted_mean(scores, sizes)
print('Avg Score:', avg_score)
return avg_score
def optimize(trial: optuna.trial.Trial, data_dict: dict):
p = {
'learning_rate': trial.suggest_uniform('learning_rate', 1e-4, 1e-1),
'max_depth': trial.suggest_int('max_depth', 5, 30),
'max_leaves': trial.suggest_int('max_leaves', 5, 50),
'subsample': trial.suggest_uniform('subsample', 0.3, 1.0),
'colsample_bytree': trial.suggest_uniform('colsample_bytree', 0.3,
1.0),
'min_child_weight': trial.suggest_int('min_child_weight', 5, 100),
'lambda': trial.suggest_uniform('lambda', 0.05, 0.2),
'alpha': trial.suggest_uniform('alpha', 0.05, 0.2),
'objective': 'binary:logistic',
'booster': 'gbtree',
'tree_method': 'gpu_hist',
'verbosity': 1,
'n_jobs': 10,
'eval_metric': 'auc'
}
print('Choosing parameters:', p)
scores = []
sizes = []
# gts = GroupTimeSeriesSplit()
data = data_dict['data']
target = data_dict['target']
date = data_dict['date']
gts = PurgedGroupTimeSeriesSplit(n_splits=5, group_gap=10)
for i, (tr_idx, val_idx) in enumerate(gts.split(data, groups=date)):
sizes.append(len(tr_idx))
x_tr, x_val = copy.deepcopy(data.iloc[tr_idx]), copy.deepcopy(
data.iloc[val_idx])
y_tr, y_val = copy.deepcopy(target[tr_idx]), copy.deepcopy(
target[val_idx])
x_tr, x_val = calc_data_mean(x_tr, cache_dir='cache/', fold=i, train=True), \
calc_data_mean(x_val, cache_dir='cache/', fold=i, train=False)
d_tr = xgb.DMatrix(x_tr, label=y_tr)
d_val = xgb.DMatrix(x_val, label=y_val)
clf = xgb.train(p,
d_tr,
500, [(d_val, 'eval')],
early_stopping_rounds=50,
verbose_eval=True)
val_pred = clf.predict(d_val)
score = roc_auc_score(y_val, val_pred)
print(f'Fold {i} ROC AUC:\t', score)
scores.append(score)
del clf, val_pred, d_tr, d_val, x_tr, x_val, y_tr, y_val, score
rubbish = gc.collect()
print(scores)
avg_score = weighted_mean(scores, sizes)
print('Avg Score:', avg_score)
return avg_score
def optimize(trial: optuna.Trial, data_dict):
gts = PurgedGroupTimeSeriesSplit(n_splits=5, group_gap=10)
input_size = data_dict['data'].shape[-1]
output_size = 5
checkpoint_callback = pl.callbacks.ModelCheckpoint(os.path.join(
'models/', "trial_resnet_{}".format(trial.number)),
monitor="val_auc",
mode='max')
logger = MetricsCallback()
metrics = []
sizes = []
# trial_file = 'HPO/nn_hpo_2021-01-05.pkl'
trial_file = None
p = create_param_dict(trial, trial_file)
p['batch_size'] = trial.suggest_int('batch_size', 8000, 15000)
for i, (train_idx, val_idx) in enumerate(
gts.split(data_dict['data'], groups=data_dict['date'])):
idx = np.concatenate([train_idx, val_idx])
data = copy.deepcopy(data_dict['data'][idx])
target = copy.deepcopy(data_dict['target'][idx])
date = copy.deepcopy(data_dict['date'][idx])
train_idx = [i for i in range(0, max(train_idx) + 1)]
val_idx = [i for i in range(len(train_idx), len(idx))]
data[train_idx] = calc_data_mean(data[train_idx],
'./cache',
train=True,
mode='mean')
data[val_idx] = calc_data_mean(data[val_idx],
'./cache',
train=False,
mode='mean')
model = Classifier(input_size, output_size, params=p)
# model.apply(init_weights)
dataset = FinData(data=data, target=target, date=date, multi=True)
dataloaders = create_dataloaders(dataset,
indexes={
'train': train_idx,
'val': val_idx
},
batch_size=p['batch_size'])
es = EarlyStopping(monitor='val_loss',
patience=10,
min_delta=0.0005,
mode='min')
trainer = pl.Trainer(logger=False,
max_epochs=500,
gpus=1,
callbacks=[
checkpoint_callback, logger,
PyTorchLightningPruningCallback(
trial, monitor='val_loss'), es
],
precision=16)
trainer.fit(model,
train_dataloader=dataloaders['train'],
val_dataloaders=dataloaders['val'])
val_loss = logger.metrics[-1]['val_loss'].item()
metrics.append(val_loss)
sizes.append(len(train_idx))
metrics_mean = weighted_mean(metrics, sizes)
return metrics_mean