def __call__(self, shape, dtype=None):
map_sparse = csr_matrix(self.map)
# init = np.random.rand(*map_sparse.data.shape)
init = np.random.normal(10.0, 1., *map_sparse.data.shape)
print 'connection map data shape {}'.format(map_sparse.data.shape)
# init = np.random.randn(*map_sparse.data.shape).astype(np.float32) * np.sqrt(2.0 / (map_sparse.data.shape[0]))
initializers.glorot_uniform().__call__()
map_sparse.data = init
return K.variable(map_sparse.toarray())
def __init__(self, input_shape, lr=0.01, n_layers=2, n_hidden=8,
rate_dropout=0.2, loss='risk_estimation_buy',
act_last='relu_buy'):
print("initializing..., learing rate %s, n_layers %s, n_hidden %s, dropout rate %s." %(
lr, n_layers, n_hidden, rate_dropout))
self.model = Sequential()
self.model.add(Dropout(rate=rate_dropout, input_shape=(input_shape[0], input_shape[1])))
for i in range(0, n_layers - 1):
self.model.add(LSTM(n_hidden * 4, return_sequences=True, activation='tanh',
recurrent_activation='hard_sigmoid',
kernel_initializer='glorot_uniform',
recurrent_initializer='orthogonal',
bias_initializer='zeros',
dropout=rate_dropout,
recurrent_dropout=rate_dropout))
self.model.add(LSTM(n_hidden, return_sequences=False, activation='tanh',
recurrent_activation='hard_sigmoid',
kernel_initializer='glorot_uniform',
recurrent_initializer='orthogonal',
bias_initializer='zeros',
dropout=rate_dropout,
recurrent_dropout=rate_dropout))
self.model.add(Dense(1, kernel_initializer=initializers.glorot_uniform()))
# self.model.add(BatchNormalization(axis=-1, moving_mean_initializer=Constant(value=0.5),
# moving_variance_initializer=Constant(value=0.25)))
self.model.add(BatchRenormalization(axis=-1, beta_init=Constant(value=0.5)))
self.model.add(Activation(act_last))
opt = RMSprop(lr=lr)
self.model.compile(loss=loss,
optimizer=opt,
metrics=['accuracy'])
def __init__(self, input_shape, lr=0.01, n_layers=2, n_hidden=8, rate_dropout=0.2, loss=risk_estimation): # risk_estimation, risk_estimation_bhs
print("initializing..., learing rate %s, n_layers %s, n_hidden %s, dropout rate %s." %(lr, n_layers, n_hidden, rate_dropout))
# build a model with Sequential()
self.model = Sequential()
# todo: ask why dropout on input layer?
self.model.add(Dropout(rate=rate_dropout, input_shape=(input_shape[0], input_shape[1])))
# build a number of LSTM layers
for i in range(0, n_layers - 1):
self.model.add(LSTM(n_hidden * 4, return_sequences=True, activation='tanh',
recurrent_activation='hard_sigmoid', kernel_initializer='glorot_uniform',
recurrent_initializer='orthogonal', bias_initializer='zeros',
dropout=rate_dropout, recurrent_dropout=rate_dropout))
# add another LSTM layer
self.model.add(LSTM(n_hidden, return_sequences=False, activation='tanh',
recurrent_activation='hard_sigmoid', kernel_initializer='glorot_uniform',
recurrent_initializer='orthogonal', bias_initializer='zeros',
dropout=rate_dropout, recurrent_dropout=rate_dropout))
self.model.add(Dense(1, kernel_initializer=initializers.glorot_uniform()))
self.model.add(Activation('sigmoid'))
# compile model
opt = RMSprop(lr=lr)
self.model.compile(loss=loss,
optimizer=opt,
metrics=['accuracy'])
def __init__(self,
input_shape,
lr=0.01,
n_layers=2,
n_hidden=8,
rate_dropout=0.2,
loss='mse'): # risk_estimation, risk_estimation_bhs
print(
"initializing..., learing rate %s, n_layers %s, n_hidden %s, dropout rate %s."
% (lr, n_layers, n_hidden, rate_dropout))
# 使用 Sequential() 构建模型
self.model = Sequential()
# 构建dropout层，每次训练要扔掉20%的神经元，输入值的纬度（30，61）
self.model.add(
Dropout(rate=rate_dropout,
input_shape=(input_shape[0], input_shape[1])))
# 构建几个LSTM层
for i in range(0, n_layers - 1): # 需要建几个
# 每一层LSTM
self.model.add(
LSTM(
n_hidden * 4, # 要 8*4=32个神经元
return_sequences=
True, # 每个time_step（共30个time_step周期）都要产生一个输出值,所有我们有 （none,30,32）输出值, none 是样本个数，这里不考虑，所以用none
activation='tanh',
recurrent_activation='hard_sigmoid',
kernel_initializer='glorot_uniform',
recurrent_initializer='orthogonal',
bias_initializer='zeros',
dropout=rate_dropout, # 扔掉输入层神经元个数
recurrent_dropout=rate_dropout #扔掉循环层神经元个数
))
# 构建一个LSTM层
self.model.add(
LSTM(
n_hidden, # 8 个神经元
return_sequences=
False, # 每一层只有一个输出值，30 个time_span, 但只要求每个神经元推出一个输出值，所以输出值纬度 （none,8)
activation='tanh',
recurrent_activation='hard_sigmoid',
kernel_initializer='glorot_uniform',
recurrent_initializer='orthogonal',
bias_initializer='zeros',
dropout=rate_dropout,
recurrent_dropout=rate_dropout))
# 构建一个简单的输出层，只输出一个值
self.model.add(
Dense(
1, # 只有一个神经元，只输出一个值
kernel_initializer=initializers.glorot_uniform()))
def __init__(self, input_shape, lr=0.01, n_layers=2, n_hidden=8, rate_dropout=0.2, loss='mse'):
print("initializing..., learing rate %s, n_layers %s, n_hidden %s, dropout rate %s." %(lr, n_layers, n_hidden, rate_dropout))
# 使用 Sequential() 构建模型
self.model = Sequential()
# 构建dropout层，每次训练要扔掉20%的神经元，输入值的纬度（30，61）
self.model.add(Dropout(rate=rate_dropout, input_shape=(input_shape[0], input_shape[1])))
# 构建几个LSTM层
for i in range(0, n_layers - 1): # 需要建几个
# 每一层LSTM
self.model.add(LSTM(n_hidden * 4, # 要 8*4=32个神经元
return_sequences=True, # 每个time_step（共30个time_step周期）都要产生一个输出值,所有我们有 （none,30,32）输出值, none 是样本个数，这里不考虑，所以用none
activation='tanh',
recurrent_activation='hard_sigmoid', kernel_initializer='glorot_uniform',
recurrent_initializer='orthogonal', bias_initializer='zeros',
dropout=rate_dropout, # 扔掉输入层神经元个数
recurrent_dropout=rate_dropout #扔掉循环层神经元个数
))
# 构建一个LSTM层
self.model.add(LSTM(n_hidden, # 8 个神经元
return_sequences=False, # 每一层只有一个输出值，30 个time_span, 但只要求每个神经元推出一个输出值，所以输出值纬度 （none,8)
activation='tanh',
recurrent_activation='hard_sigmoid', kernel_initializer='glorot_uniform',
recurrent_initializer='orthogonal', bias_initializer='zeros',
dropout=rate_dropout, recurrent_dropout=rate_dropout
))
# 构建一个简单的输出层，只输出一个值
self.model.add(Dense(1, # 只有一个神经元，只输出一个值
kernel_initializer=initializers.glorot_uniform()))
# self.model.add(Activation('sigmoid')) # no more sigmoid as last layer needed
# 选择一个学习算法
opt = RMSprop(lr=lr)
# 给模型设置： 损失函数，学习算法，度量效果的函数（准确度，即accuracy）
self.model.compile(loss=loss,
optimizer=opt,
metrics=['accuracy'])
def __init__(self,
input_shape,
modelType=0,
lr=0.01,
n_layers=2,
n_hidden=8,
rate_dropout=0.2,
loss='risk_estimation'):
print(
"initializing..., learing rate %s, n_layers %s, n_hidden %s, dropout rate %s."
% (lr, n_layers, n_hidden, rate_dropout))
'''
Orig Model from deep trader keras
'''
if (modelType == 0):
self.model = Sequential()
# issue : maybe don't drop out input data
self.model.add(
Dropout(rate=0.2,
input_shape=(input_shape[0], input_shape[1])))
#self.model.add(Input(shape=(input_shape[0], input_shape[1]),name='lstm_imput' ) )
for i in range(0, n_layers - 1):
self.model.add(
LSTM(n_hidden * 4,
return_sequences=True,
activation='tanh',
recurrent_activation='hard_sigmoid',
kernel_initializer='glorot_uniform',
recurrent_initializer='orthogonal',
bias_initializer='zeros',
dropout=rate_dropout,
recurrent_dropout=rate_dropout))
self.model.add(
LSTM(n_hidden,
return_sequences=False,
activation='tanh',
recurrent_activation='hard_sigmoid',
kernel_initializer='glorot_uniform',
recurrent_initializer='orthogonal',
bias_initializer='zeros',
dropout=rate_dropout,
recurrent_dropout=rate_dropout))
self.model.add(
Dense(1,
kernel_initializer=initializers.glorot_uniform(),
activity_regularizer=regularizers.l2(0.01)))
# self.model.add(BatchNormalization(axis=-1, moving_mean_initializer=Constant(value=0.5),
# moving_variance_initializer=Constant(value=0.25)))
self.model.add(
BatchRenormalization(axis=-1, beta_init=Constant(value=0.5)))
self.model.add(Activation('relu_limited')) #relu_limited
#opt = RMSprop(lr=lr)
opt = Nadam(lr=lr)
self.model.compile(loss=loss, optimizer=opt, metrics=['accuracy'])
# Model Copied From Type 0 But Output negative Signal Only
elif (modelType == 1): #
self.model = Sequential()
# issue : maybe don't drop out input data
self.model.add(
Dropout(rate=0.2,
input_shape=(input_shape[0], input_shape[1])))
for i in range(0, n_layers - 1):
self.model.add(
LSTM(n_hidden * 4,
return_sequences=True,
activation='tanh',
recurrent_activation='tanh',
kernel_initializer='glorot_uniform',
recurrent_initializer='orthogonal',
bias_initializer='zeros',
dropout=rate_dropout,
recurrent_dropout=rate_dropout))
self.model.add(
LSTM(n_hidden,
return_sequences=False,
activation='tanh',
recurrent_activation='tanh',
kernel_initializer='glorot_uniform',
recurrent_initializer='orthogonal',
bias_initializer='zeros',
dropout=rate_dropout,
recurrent_dropout=rate_dropout))
self.model.add(
Dense(1,
kernel_initializer=initializers.glorot_uniform(),
activity_regularizer=regularizers.l2(0.01)))
# self.model.add(BatchNormalization(axis=-1, moving_mean_initializer=Constant(value=0.5),
# moving_variance_initializer=Constant(value=0.25)))
self.model.add(
BatchRenormalization(axis=-1, beta_init=Constant(value=0.5)))
self.model.add(Activation('relu_inverse'))
#opt = RMSprop(lr=lr)
opt = Nadam(lr=lr)
self.model.compile(loss=loss, optimizer=opt, metrics=['accuracy'])
elif (modelType == 2
): # model for only output signal to predict positive/negative
import tensorflow as tf
def atan(x):
return tf.atan(x)
self.model = Sequential()
self.model.add(
LSTM(input_dim=input_shape[0],
output_dim=input_shape[1],
return_sequences=True,
activation=atan)) # ,output_dim=input_shape[1]
self.model.add(Dropout(0.2))
self.model.add(BatchNormalization())
self.model.add(
Dense(output_dim=int(input_shape[1] / 2),
activity_regularizer=regularizers.l2(0.01)))
self.model.add(Activation(atan))
self.model.add(
Dense(output_dim=1,
activity_regularizer=regularizers.l2(0.01)))
self.model.add(Activation(atan))
self.model.compile(optimizer='adam', loss='mse', metrics=['mse'])
elif (modelType == 3): # model used by raj and add some experiments
self.model = Sequential()
self.model.add(
LSTM(input_dim=input_shape[0],
output_dim=input_shape[1],
return_sequences=True))
self.model.add(Dropout(0.2))
self.model.add(BatchNormalization())
self.model.add(LSTM(input_shape[2], return_sequences=False))
self.model.add(Dropout(0.2))
self.model.add(
Dense(output_dim=input_shape[3],
activity_regularizer=regularizers.l2(0.01)))
self.model.add(Activation("linear"))
opt = Nadam(lr=lr)
#self.model.compile(optimizer=opt , loss='risk_estimation', metrics=['accuracy'])
self.model.compile(loss="mse", optimizer="rmsprop")
train_gen = train.flow_from_directory(flower_path, target_size=(img_size, img_size), batch_size=batch_size,
class_mode='categorical', subset='training')
valid_gen = train.flow_from_directory(flower_path, target_size=(img_size, img_size), batch_size=batch_size,
class_mode='categorical', subset='validation')
# Model
model = models.Sequential()
# use model.add() to add any layers you like
# read Keras documentation to find which layers you can use:
# https://keras.io/layers/core/
# https://keras.io/layers/convolutional/
# https://keras.io/layers/pooling/
#
init = initializers.glorot_uniform(seed=1)
model.add(layers.Conv2D(32, (3, 3), activation='relu', input_shape=(128, 128, 3)))
model.add(layers.MaxPooling2D((2, 2)))
model.add(layers.Conv2D(64, (3, 3), activation='relu'))
model.add(layers.MaxPooling2D((2, 2)))
model.add(layers.Conv2D(128, (3, 3), activation='relu'))
model.add(layers.MaxPooling2D((2, 2)))
model.add(layers.Conv2D(128, (3, 3), activation='relu'))
model.add(layers.MaxPooling2D((2, 2)))
model.add(layers.Dropout(0.5))
model.add(layers.Flatten())
model.add(layers.Dense(512, activation='relu'))
# last layer should be with softmax activation function - do not change!!!
model.add(layers.Dense(classes, activation='softmax'))
# fill optimizer argument using one of keras.optimizers.
LSTM(
n_hidden, # 8 个神经元
return_sequences=False, # 每一层只有一个输出值，所以输出值纬度 （none,8)
activation='tanh',
recurrent_activation='hard_sigmoid',
kernel_initializer='glorot_uniform',
recurrent_initializer='orthogonal',
bias_initializer='zeros',
dropout=rate_dropout,
recurrent_dropout=rate_dropout))
# 构建一个简单的输出层，只输出一个值
model.add(
Dense(
1, # 只有一个神经元，只输出一个值
kernel_initializer=initializers.glorot_uniform()))
# model.add(Activation('sigmoid')) # no more sigmoid as last layer needed
# compile model
opt = RMSprop(lr=lr)
model.compile(loss=loss, optimizer=opt, metrics=['accuracy'])
# 模型训练
model.fit(
train_features, # x: 训练特征值
train_targets, # y: 训练目标值
batch_size=32, # 一次性使用多少个样本一起计算
epochs=1, # 训练次数
verbose=1, # 是否打印每次训练的损失值和准确度
# callbacks=None, # 是否使用其他预处理函数
# validation_split=0.0, # 从训练数据集中取多少作为验证数据 0.2，就是取剩下的20%作为验证
def __init__(self,
input_shape,
lr=0.01,
n_layers=2,
n_hidden=8,
rate_dropout=0.2,
loss=risk_estimation): # risk_estimation, risk_estimation_bhs
print(
"initializing..., learing rate %s, n_layers %s, n_hidden %s, dropout rate %s."
% (lr, n_layers, n_hidden, rate_dropout))
# build a model with Sequential()
self.model = Sequential()
# todo: ask why dropout on input layer?
self.model.add(
Dropout(rate=rate_dropout,
input_shape=(input_shape[0], input_shape[1])))
# build a number of LSTM layers
for i in range(0, n_layers - 1):
self.model.add(
LSTM(n_hidden * 4,
return_sequences=True,
activation='tanh',
recurrent_activation='hard_sigmoid',
kernel_initializer='glorot_uniform',
recurrent_initializer='orthogonal',
bias_initializer='zeros',
dropout=rate_dropout,
recurrent_dropout=rate_dropout))
# add another LSTM layer
self.model.add(
LSTM(n_hidden,
return_sequences=False,
activation='tanh',
recurrent_activation='hard_sigmoid',
kernel_initializer='glorot_uniform',
recurrent_initializer='orthogonal',
bias_initializer='zeros',
dropout=rate_dropout,
recurrent_dropout=rate_dropout))
#######################
# original deep trader
#######################
# # add a dense layer, with BatchRenormalization, relu_limited
# self.model.add(Dense(1, kernel_initializer=initializers.glorot_uniform()))
# self.model.add(BatchRenormalization(axis=-1, beta_init=Constant(value=0.5)))
# self.model.add(Activation(relu_limited))
#######################
# revised version 1
#######################
self.model.add(
Dense(1, kernel_initializer=initializers.glorot_uniform()))
self.model.add(Activation('sigmoid'))
#######################
# revised 2 for classification style solution
#######################
# self.model.add(Dense(5, kernel_initializer=initializers.glorot_uniform()))
# self.model.add(Activation('softmax'))
#######################
# revised 1.5 for buy_hold_sell activation function
#######################
# self.model.add(Activation(buy_hold_sell))
# compile model
opt = RMSprop(lr=lr)
self.model.compile(loss=loss, optimizer=opt, metrics=['accuracy'])