def create_model():
checkpoint = ModelCheckpoint('sdr_model.h5',
monitor='accuracy',
verbose=1,
save_best_only=True,
mode='max')
callbacks_list = [checkpoint]
gray_data = np.load("npy_data/gray_dataset.npy")
color_data = np.load("npy_data/color_dataset.npy")
# img_pixel_dataset = np.load("npy_data/img_pixel_dataset.npy")
label = np.load("npy_data/label.npy")
# dataset = pre_processing.npy_dataset_concatenate(gray_data, color_data)
dataset = pre_processing.npy_dataset_concatenate(gray_data, color_data)
# corr_matrix = np.corrcoef(dataset)
# print(corr_matrix)
le = preprocessing.LabelEncoder()
label = le.fit_transform(label)
x_train, x_test, y_train, y_test = train_test_split(dataset,
label,
test_size=0.20,
shuffle=True)
model = Sequential()
model.add(Dense(14, input_dim=14, activation=None))
model.add(Dense(128, activation='tanh'))
model.add(Dense(256, activation='sigmoid'))
model.add(Dense(3, activation='softmax'))
model.compile(optimizer='adam',
loss='sparse_categorical_crossentropy',
metrics=['accuracy'])
model.fit(x_train,
y_train,
epochs=150,
verbose=0,
batch_size=20,
shuffle=True,
callbacks=callbacks_list)
pred_y_test = model.predict_classes(x_test)
acc_model = accuracy_score(y_test, pred_y_test)
print("Prediction Acc model:", acc_model)
print("Org. Labels:", y_test[:30])
print("Pred Labels:", (pred_y_test[:30]))
# c_report = classification_report(y_test, pred_y_test, zero_division=0)
# print(c_report)
print("\n\n")
def sequential_nn_model(X_train, y_train):
model = Sequential([
Dense(100, activation='relu', input_shape=(X_train.shape[1], )),
Dense(40, activation='relu'),
Dense(20, activation='relu'),
Dense(1, activation='relu')
])
model.compile(optimizer='nadam',
loss=rmsle,
metrics=['mean_squared_logarithmic_error'])
hist = model.fit(X_train, y_train, epochs=50)
return model
class KerasNeuralNetwork(PredictionModel):
def __init__(self,
layers: Iterable[int],
funcs: Union[str, Iterable[str]],
batch_size=None,
max_cores=8):
session_conf = tf.compat.v1.ConfigProto(
device_count={"CPU": max_cores})
sess = tf.compat.v1.Session(config=session_conf)
tf.compat.v1.keras.backend.set_session(sess)
layers = list(layers)
self.input_shape = layers.pop(0),
if isinstance(funcs, str):
funcs = [funcs] * len(layers)
self.__keras_network = Sequential([
Dense(size, activation=funcs[i]) for i, size in enumerate(layers)
])
self.__keras_network.compile(
optimizer='adam',
loss='categorical_crossentropy',
metrics=['accuracy'],
)
self.batch_size = batch_size
def predict(self, data: Data) -> Label:
flatten = False
if len(data.shape) == 1:
data = data.reshape(1, -1)
flatten = True
res = self.__keras_network.predict(data)
if flatten:
res = res.flatten()
return res
def train(self, data: Data, label: Label):
return self.__keras_network.fit(data,
label,
batch_size=self.batch_size,
verbose=False)
X_train, X_test, y_train, y_test = X[:split], X[split:], y[:split], y[
split:]
sc = StandardScaler()
X_train = sc.fit_transform(X_train)
X_test = sc.transform(X_test)
y_train = y_train.to_numpy()
classifier = Sequential()
classifier.add(Dense(units=64, activation='relu', input_dim=X.shape[1]))
classifier.add(Dense(units=64, activation='relu'))
classifier.add(Dense(units=1, activation='sigmoid'))
classifier.compile(optimizer='adam',
loss='mean_squared_error',
metrics=['accuracy'])
classifier.fit(X_train, y_train, batch_size=10, epochs=50)
y_pred = classifier.predict(X_test)
#y_pred = (y_pred > 0.5)
#y_pred = (np.round(y_pred * 2) - 1 )
y_pred = (2 * np.round(y_pred) - 1)
dataset['y_pred'] = np.NaN
dataset.iloc[(len(dataset) - len(y_pred)):, -1:] = y_pred
trade_dataset = dataset.dropna()
trade_dataset['Tomorrows Returns'] = 0.
trade_dataset['Tomorrows Returns'] = np.log(
trade_dataset['Close'] / trade_dataset['Close'].shift(1))
trade_dataset['Tomorrows Returns'] = trade_dataset[
'Tomorrows Returns'].shift(-1)
class LSTMModel:
def __init__(self,
num_hidden,
window,
end_time,
future_target_size,
validation_ratio,
validation_freq,
effective_factor,
mean_absolute_percentage_error=None,
describe=None,
epoc=10,
metric_sender=None):
self.__num_hidden = num_hidden
self.__future_target = future_target_size
self.__window = window
self.__epochs = epoc
self.__mean_absolute_percentage_error = mean_absolute_percentage_error
self.__end_time = end_time
self.__effective_factor = effective_factor
self.__model = Sequential([
LSTM(num_hidden,
input_shape=np.zeros((window, len(effective_factor))).shape),
Dense(self.__future_target)
])
self.__model.compile(optimizer='adam', loss='mean_squared_error')
self.__validation_ratio = validation_ratio
self.__validation_freq = validation_freq
self.__fit_model = ModelType.LSTM
self.__describe = describe
self.__metric_collector = MetricCollector(epochs=self.__epochs,
metric_sender=metric_sender)
def train(self, input_data: MultivariateData, batch_size, steps_per_epoc):
input_factors = input_data.generate_outer_join_factors()
input_factors = MultivariateData.generate_filled_missing_frame(
input_factors,
input_data.get_gran(),
input_data.get_custom_in_seconds(),
fill_type=input_data.fill_type,
fill_value=input_data.fill_value)
merged_input = MultivariateData.generate_inner_join_frame(
[input_data.get_target(), input_factors])
input_target = merged_input[[TIMESTAMP, VALUE]]
input_factors = merged_input.drop([TIMESTAMP, VALUE], axis=1)
input_factors = input_factors.reindex(columns=self.__effective_factor)
self.__describe = merged_input.describe().T
train, label = input_data.get_normalized_batch(self.__window,
self.__future_target,
label=input_target,
factors=input_factors)
batch_size = int(min(batch_size, max(1, len(train) / steps_per_epoc)))
train_multi = data.Dataset.from_tensor_slices(
(train[:-int(len(train) * self.__validation_ratio)],
label[:-int(len(label) * self.__validation_ratio)]))
train_multi = train_multi.cache().shuffle(
len(train) * 100).batch(batch_size).repeat()
val_multi = data.Dataset.from_tensor_slices(
(train[-int(len(train) * self.__validation_ratio):],
label[-int(len(label) * self.__validation_ratio):]))
val_multi = val_multi.cache().batch(batch_size).repeat()
self.__model.fit(train_multi,
epochs=self.__epochs,
shuffle=False,
validation_data=val_multi,
validation_freq=self.__validation_freq,
steps_per_epoch=len(train) *
(1 - self.__validation_ratio) / batch_size,
validation_steps=len(train) *
self.__validation_ratio / batch_size,
callbacks=[self.__metric_collector])
validation_result = self.__model.predict(
train[-int(len(train) * self.__validation_ratio):])
validation_labels = label[-int(len(label) * self.__validation_ratio):]
mean_average_percentage_error = np.abs(
validation_result - validation_labels) / np.abs(validation_labels)
mean_average_percentage_error[np.isinf(
mean_average_percentage_error)] = np.nan
mean_average_percentage_error = np.nanmean(
mean_average_percentage_error, axis=0)
self.__mean_absolute_percentage_error = mean_average_percentage_error
def get_mean_absolute_percentage_error(self):
return list(self.__mean_absolute_percentage_error)
def get_effective_factor(self):
return self.__effective_factor
def save_model(self, model_dir):
with open(os.path.join(model_dir, 'LSTM-Meta.pkl'), "wb") as f:
meta = {
'mean_absolute_percentage_error':
self.__mean_absolute_percentage_error,
'end_time': self.__end_time,
'future_target': self.__future_target,
'window': self.__window,
'effective_factor': self.__effective_factor,
'num_hidden': self.__num_hidden,
'describe': self.__describe
}
pickle.dump(meta, f)
self.__model.save_weights(
os.path.join(model_dir, self.__fit_model.name))
def get_model_type(self):
return self.__fit_model
@staticmethod
def load_model_meta(model_dir):
with open(os.path.join(model_dir, 'LSTM-Meta.pkl'), "rb") as f:
meta = pickle.load(f)
return {
'mean_absolute_percentage_error':
meta['mean_absolute_percentage_error'],
'end_time':
meta['end_time'],
'window':
meta['window'],
'effective_factor':
meta['effective_factor'],
'future_target':
meta['future_target'],
'num_hidden':
meta['num_hidden'],
'describe':
meta['describe']
}
def inference(self, input_data: MultivariateData, window, timestamp,
**kwargs):
input_factors = input_data.generate_outer_join_factors()
if timestamp is None:
ts = input_factors[TIMESTAMP].max()
else:
ts = pd.to_datetime(timestamp)
ts = ts.tz_localize(None)
input_factors = MultivariateData.gen_filled_missing_by_period(
input_factors,
input_data.get_gran(),
input_data.get_custom_in_seconds(),
end_time=ts,
periods=window,
fill_type=input_data.fill_type,
fill_value=input_data.fill_value)
input_factors = input_factors[self.__effective_factor]
input_factors = input_factors.reindex(columns=self.__effective_factor)
input_factors = input_factors.tail(window)
# print(input_factors)
for column in self.__effective_factor:
min_value = self.__describe.loc[column]['min']
max_value = self.__describe.loc[column]['max']
if max_value == min_value:
input_factors[column] = 0
else:
input_factors[column] = (input_factors[column] -
min_value) / (max_value - min_value)
input_factors = input_factors.values
input_factors[(input_factors < 0) | (input_factors > 1)] = 0
predicted = self.__model.predict(np.array([input_factors]))
predicted = predicted.reshape(self.__future_target)
predicted = predicted * (self.__describe.loc[VALUE]['max'] -
self.__describe.loc[VALUE]['min']
) + self.__describe.loc[VALUE]['min']
target_timestamps = pd.date_range(
start=timestamp,
periods=self.__future_target,
freq=convert_freq(input_data.get_gran(),
input_data.get_custom_in_seconds()))
lower_boundary = [
predicted[i] -
np.abs(predicted[i]) * self.__mean_absolute_percentage_error[i]
for i in range(0, len(predicted))
]
upper_boundary = [
predicted[i] +
np.abs(predicted[i]) * self.__mean_absolute_percentage_error[i]
for i in range(0, len(predicted))
]
return [
UnivariateForecastItem(
predicted[i],
lower_boundary[i],
upper_boundary[i],
(1 - self.__mean_absolute_percentage_error[i]),
timestamp=target_timestamps[i]).to_dict()
for i in range(0, len(predicted))
]
def load_model(self, model_dir):
self.__model.load_weights(
os.path.join(model_dir, self.__fit_model.name))
def get_end_time(self):
return self.__end_time
model = keras.Sequential([
layers.Embedding(encoder.vocab_size, embedding_dim),
layers.GlobalAveragePooling1D(),
layers.Dense(16, activation='relu'),
layers.Dense(1, activation='sigmoid')
])
model.summary()
model.compile(optimizer='adam',
loss='binary_crossentropy',
metrics=['accuracy'])
history = model.fit(
train_batches,
epochs=10,
validation_data=test_batches, validation_steps=20)
import matplotlib.pyplot as plt
history_dict = history.history
acc = history_dict['accuracy']
val_acc = history_dict['val_accuracy']
loss = history_dict['loss']
val_loss = history_dict['val_loss']
epochs = range(1, len(acc) + 1)
plt.figure(figsize=(12,9))