stable/freqtrade/freqai/base_models/PyTorchModelTrainer.py

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import logging
from pathlib import Path
from typing import Dict
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import pandas as pd
import torch
import torch.nn as nn
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from torch.optim import Optimizer
from torch.utils.data import DataLoader, TensorDataset
logger = logging.getLogger(__name__)
class PyTorchModelTrainer:
def __init__(
self,
model: nn.Module,
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optimizer: Optimizer,
criterion: nn.Module,
device: str,
batch_size: int,
max_iters: int,
eval_iters: int,
init_model: Dict
):
self.model = model
self.optimizer = optimizer
self.criterion = criterion
self.device = device
self.max_iters = max_iters
self.batch_size = batch_size
self.eval_iters = eval_iters
if init_model:
self.load_from_checkpoint(init_model)
def fit(self, data_dictionary: Dict[str, pd.DataFrame]):
data_loaders_dictionary = self.create_data_loaders_dictionary(data_dictionary)
epochs = self.calc_n_epochs(
n_obs=len(data_dictionary['train_features']),
batch_size=self.batch_size,
n_iters=self.max_iters
)
for epoch in range(epochs):
# evaluation
losses = self.estimate_loss(data_loaders_dictionary, data_dictionary)
logger.info(
f"epoch ({epoch}/{epochs}):"
f" train loss {losses['train']:.4f} ; test loss {losses['test']:.4f}"
)
# training
for batch_data in data_loaders_dictionary['train']:
xb, yb = batch_data
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xb = xb.to(self.device)
yb = yb.to(self.device)
yb_pred = self.model(xb)
loss = self.criterion(yb_pred, yb)
self.optimizer.zero_grad(set_to_none=True)
loss.backward()
self.optimizer.step()
@torch.no_grad()
def estimate_loss(
self,
data_loader_dictionary: Dict[str, DataLoader],
data_dictionary: Dict[str, pd.DataFrame]
) -> Dict[str, float]:
self.model.eval()
epochs = self.calc_n_epochs(
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n_obs=len(data_dictionary['test_features']),
batch_size=self.batch_size,
n_iters=self.eval_iters
)
loss_dictionary = {}
for split in ['train', 'test']:
losses = torch.zeros(epochs)
for i, batch in enumerate(data_loader_dictionary[split]):
xb, yb = batch
xb = xb.to(self.device)
yb = yb.to(self.device)
yb_pred = self.model(xb)
loss = self.criterion(yb_pred, yb)
losses[i] = loss.item()
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loss_dictionary[split] = losses.mean().item()
self.model.train()
return loss_dictionary
def create_data_loaders_dictionary(
self,
data_dictionary: Dict[str, pd.DataFrame]
) -> Dict[str, DataLoader]:
data_loader_dictionary = {}
for split in ['train', 'test']:
labels_shape = data_dictionary[f'{split}_labels'].shape
labels_view = labels_shape[0] if labels_shape[1] == 1 else labels_shape
dataset = TensorDataset(
torch.from_numpy(data_dictionary[f'{split}_features'].values).float(),
torch.from_numpy(data_dictionary[f'{split}_labels'].astype(float).values)
.long()
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.view(labels_view)
)
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data_loader = DataLoader(
dataset,
batch_size=self.batch_size,
shuffle=True,
drop_last=True,
num_workers=0,
)
data_loader_dictionary[split] = data_loader
return data_loader_dictionary
@staticmethod
def calc_n_epochs(n_obs: int, batch_size: int, n_iters: int) -> int:
n_batches = n_obs // batch_size
epochs = n_iters // n_batches
return epochs
def save(self, path: Path):
torch.save({
'model_state_dict': self.model.state_dict(),
'optimizer_state_dict': self.optimizer.state_dict(),
}, path)
def load_from_file(self, path: Path):
checkpoint = torch.load(path)
return self.load_from_checkpoint(checkpoint)
def load_from_checkpoint(self, checkpoint: Dict):
self.model.load_state_dict(checkpoint['model_state_dict'])
self.optimizer.load_state_dict(checkpoint['optimizer_state_dict'])
return self