202 lines
7.5 KiB
Python
202 lines
7.5 KiB
Python
import logging
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import math
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from pathlib import Path
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from typing import Any, Dict, List, Optional
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import pandas as pd
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import torch
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import torch.nn as nn
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from torch.optim import Optimizer
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from torch.utils.data import DataLoader, TensorDataset
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from freqtrade.freqai.torch.PyTorchDataConvertor import PyTorchDataConvertor
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from freqtrade.freqai.torch.PyTorchTrainerInterface import PyTorchTrainerInterface
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logger = logging.getLogger(__name__)
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class PyTorchModelTrainer(PyTorchTrainerInterface):
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def __init__(
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self,
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model: nn.Module,
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optimizer: Optimizer,
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criterion: nn.Module,
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device: str,
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init_model: Dict,
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data_convertor: PyTorchDataConvertor,
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model_meta_data: Dict[str, Any] = {},
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**kwargs
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):
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"""
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:param model: The PyTorch model to be trained.
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:param optimizer: The optimizer to use for training.
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:param criterion: The loss function to use for training.
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:param device: The device to use for training (e.g. 'cpu', 'cuda').
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:param init_model: A dictionary containing the initial model/optimizer
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state_dict and model_meta_data saved by self.save() method.
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:param model_meta_data: Additional metadata about the model (optional).
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:param max_iters: The number of training iterations to run.
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iteration here refers to the number of times we call
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self.optimizer.step(). used to calculate n_epochs.
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:param batch_size: The size of the batches to use during training.
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:param max_n_eval_batches: The maximum number batches to use for evaluation.
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"""
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self.model = model
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self.optimizer = optimizer
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self.criterion = criterion
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self.model_meta_data = model_meta_data
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self.device = device
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self.max_iters: int = kwargs.get("max_iters", 100)
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self.batch_size: int = kwargs.get("batch_size", 64)
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self.max_n_eval_batches: Optional[int] = kwargs.get("max_n_eval_batches", None)
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self.data_convertor = data_convertor
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if init_model:
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self.load_from_checkpoint(init_model)
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def fit(self, data_dictionary: Dict[str, pd.DataFrame], splits: List[str]):
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"""
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:param data_dictionary: the dictionary constructed by DataHandler to hold
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all the training and test data/labels.
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:param splits: splits to use in training, splits must contain "train",
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optional "test" could be added by setting freqai.data_split_parameters.test_size > 0
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in the config file.
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- Calculates the predicted output for the batch using the PyTorch model.
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- Calculates the loss between the predicted and actual output using a loss function.
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- Computes the gradients of the loss with respect to the model's parameters using
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backpropagation.
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- Updates the model's parameters using an optimizer.
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"""
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data_loaders_dictionary = self.create_data_loaders_dictionary(data_dictionary, splits)
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epochs = self.calc_n_epochs(
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n_obs=len(data_dictionary["train_features"]),
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batch_size=self.batch_size,
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n_iters=self.max_iters
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)
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for epoch in range(1, epochs + 1):
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# training
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losses = []
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for i, batch_data in enumerate(data_loaders_dictionary["train"]):
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for tensor in batch_data:
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tensor.to(self.device)
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xb = batch_data[:-1]
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yb = batch_data[-1]
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yb_pred = self.model(xb)
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loss = self.criterion(yb_pred, yb)
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self.optimizer.zero_grad(set_to_none=True)
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loss.backward()
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self.optimizer.step()
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losses.append(loss.item())
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train_loss = sum(losses) / len(losses)
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log_message = f"epoch {epoch}/{epochs}: train loss {train_loss:.4f}"
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# evaluation
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if "test" in splits:
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test_loss = self.estimate_loss(
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data_loaders_dictionary,
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self.max_n_eval_batches,
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"test"
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)
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log_message += f" ; test loss {test_loss:.4f}"
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logger.info(log_message)
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@torch.no_grad()
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def estimate_loss(
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self,
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data_loader_dictionary: Dict[str, DataLoader],
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max_n_eval_batches: Optional[int],
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split: str,
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) -> float:
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self.model.eval()
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n_batches = 0
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losses = []
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for i, batch_data in enumerate(data_loader_dictionary[split]):
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if max_n_eval_batches and i > max_n_eval_batches:
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n_batches += 1
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break
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for tensor in batch_data:
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tensor.to(self.device)
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xb = batch_data[:-1]
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yb = batch_data[-1]
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yb_pred = self.model(xb)
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loss = self.criterion(yb_pred, yb)
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losses.append(loss.item())
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self.model.train()
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return sum(losses) / len(losses)
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def create_data_loaders_dictionary(
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self,
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data_dictionary: Dict[str, pd.DataFrame],
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splits: List[str]
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) -> Dict[str, DataLoader]:
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"""
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Converts the input data to PyTorch tensors using a data loader.
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"""
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data_loader_dictionary = {}
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for split in splits:
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x = self.data_convertor.convert_x(data_dictionary[f"{split}_features"])
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y = self.data_convertor.convert_y(data_dictionary[f"{split}_labels"])
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dataset = TensorDataset(*x, *y)
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data_loader = DataLoader(
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dataset,
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batch_size=self.batch_size,
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shuffle=True,
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drop_last=True,
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num_workers=0,
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)
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data_loader_dictionary[split] = data_loader
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return data_loader_dictionary
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@staticmethod
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def calc_n_epochs(n_obs: int, batch_size: int, n_iters: int) -> int:
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"""
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Calculates the number of epochs required to reach the maximum number
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of iterations specified in the model training parameters.
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the motivation here is that `max_iters` is easier to optimize and keep stable,
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across different n_obs - the number of data points.
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"""
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n_batches = math.ceil(n_obs // batch_size)
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epochs = math.ceil(n_iters // n_batches)
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return epochs
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def save(self, path: Path):
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"""
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- Saving any nn.Module state_dict
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- Saving model_meta_data, this dict should contain any additional data that the
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user needs to store. e.g class_names for classification models.
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"""
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torch.save({
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"model_state_dict": self.model.state_dict(),
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"optimizer_state_dict": self.optimizer.state_dict(),
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"model_meta_data": self.model_meta_data,
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}, path)
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def load(self, path: Path):
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checkpoint = torch.load(path)
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return self.load_from_checkpoint(checkpoint)
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def load_from_checkpoint(self, checkpoint: Dict):
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"""
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when using continual_learning, DataDrawer will load the dictionary
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(containing state dicts and model_meta_data) by calling torch.load(path).
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you can access this dict from any class that inherits IFreqaiModel by calling
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get_init_model method.
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"""
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self.model.load_state_dict(checkpoint["model_state_dict"])
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self.optimizer.load_state_dict(checkpoint["optimizer_state_dict"])
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self.model_meta_data = checkpoint["model_meta_data"]
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return self
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