262 lines
9.3 KiB
Python
262 lines
9.3 KiB
Python
import logging
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import torch as th
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from typing import Any, Dict, List, Optional, Tuple, Type, Union
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from freqtrade.freqai.RL.BaseReinforcementLearningModel import BaseReinforcementLearningModel
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from stable_baselines3 import DQN
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from stable_baselines3.common.buffers import ReplayBuffer
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from freqtrade.freqai.data_kitchen import FreqaiDataKitchen
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from pathlib import Path
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from stable_baselines3.dqn.policies import (CnnPolicy, DQNPolicy, MlpPolicy,
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QNetwork)
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from torch import nn
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import gym
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from stable_baselines3.common.torch_layers import (BaseFeaturesExtractor,
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FlattenExtractor)
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from stable_baselines3.common.type_aliases import GymEnv, Schedule
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from stable_baselines3.common.policies import BasePolicy
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logger = logging.getLogger(__name__)
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class ReinforcementLearnerCustomAgent(BaseReinforcementLearningModel):
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"""
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User can customize agent by defining the class and using it directly.
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Here the example is "TDQN"
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Warning!
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This is an advanced example of how a user may create and use a highly
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customized model class (which can inherit from existing classes,
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similar to how the example below inherits from DQN).
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This file is for example purposes only, and should not be run.
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"""
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def fit_rl(self, data_dictionary: Dict[str, Any], dk: FreqaiDataKitchen):
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train_df = data_dictionary["train_features"]
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total_timesteps = self.freqai_info["rl_config"]["train_cycles"] * len(train_df)
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policy_kwargs = dict(activation_fn=th.nn.ReLU,
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net_arch=[256, 256, 128])
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# TDQN is a custom agent defined below
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model = TDQN(self.policy_type, self.train_env,
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tensorboard_log=str(Path(dk.data_path / "tensorboard")),
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policy_kwargs=policy_kwargs,
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**self.freqai_info['model_training_parameters']
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)
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model.learn(
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total_timesteps=int(total_timesteps),
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callback=self.eval_callback
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)
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if Path(dk.data_path / "best_model.zip").is_file():
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logger.info('Callback found a best model.')
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best_model = self.MODELCLASS.load(dk.data_path / "best_model")
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return best_model
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logger.info('Couldnt find best model, using final model instead.')
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return model
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# User creates their custom agent and networks as shown below
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def create_mlp_(
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input_dim: int,
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output_dim: int,
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net_arch: List[int],
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activation_fn: Type[nn.Module] = nn.ReLU,
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squash_output: bool = False,
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) -> List[nn.Module]:
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dropout = 0.2
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if len(net_arch) > 0:
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number_of_neural = net_arch[0]
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modules = [
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nn.Linear(input_dim, number_of_neural),
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nn.BatchNorm1d(number_of_neural),
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nn.LeakyReLU(),
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nn.Dropout(dropout),
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nn.Linear(number_of_neural, number_of_neural),
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nn.BatchNorm1d(number_of_neural),
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nn.LeakyReLU(),
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nn.Dropout(dropout),
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nn.Linear(number_of_neural, number_of_neural),
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nn.BatchNorm1d(number_of_neural),
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nn.LeakyReLU(),
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nn.Dropout(dropout),
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nn.Linear(number_of_neural, number_of_neural),
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nn.BatchNorm1d(number_of_neural),
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nn.LeakyReLU(),
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nn.Dropout(dropout),
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nn.Linear(number_of_neural, output_dim)
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]
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return modules
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class TDQNetwork(QNetwork):
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def __init__(self,
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observation_space: gym.spaces.Space,
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action_space: gym.spaces.Space,
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features_extractor: nn.Module,
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features_dim: int,
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net_arch: Optional[List[int]] = None,
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activation_fn: Type[nn.Module] = nn.ReLU,
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normalize_images: bool = True
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):
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super().__init__(
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observation_space=observation_space,
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action_space=action_space,
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features_extractor=features_extractor,
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features_dim=features_dim,
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net_arch=net_arch,
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activation_fn=activation_fn,
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normalize_images=normalize_images
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)
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action_dim = self.action_space.n
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q_net = create_mlp_(self.features_dim, action_dim, self.net_arch, self.activation_fn)
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self.q_net = nn.Sequential(*q_net).apply(self.init_weights)
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def init_weights(self, m):
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if type(m) == nn.Linear:
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th.nn.init.kaiming_uniform_(m.weight)
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class TDQNPolicy(DQNPolicy):
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def __init__(
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self,
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observation_space: gym.spaces.Space,
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action_space: gym.spaces.Space,
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lr_schedule: Schedule,
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net_arch: Optional[List[int]] = None,
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activation_fn: Type[nn.Module] = nn.ReLU,
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features_extractor_class: Type[BaseFeaturesExtractor] = FlattenExtractor,
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features_extractor_kwargs: Optional[Dict[str, Any]] = None,
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normalize_images: bool = True,
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optimizer_class: Type[th.optim.Optimizer] = th.optim.Adam,
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optimizer_kwargs: Optional[Dict[str, Any]] = None,
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):
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super().__init__(
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observation_space=observation_space,
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action_space=action_space,
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lr_schedule=lr_schedule,
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net_arch=net_arch,
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activation_fn=activation_fn,
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features_extractor_class=features_extractor_class,
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features_extractor_kwargs=features_extractor_kwargs,
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normalize_images=normalize_images,
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optimizer_class=optimizer_class,
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optimizer_kwargs=optimizer_kwargs
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)
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@staticmethod
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def init_weights(module: nn.Module, gain: float = 1) -> None:
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"""
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Orthogonal initialization (used in PPO and A2C)
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"""
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if isinstance(module, (nn.Linear, nn.Conv2d)):
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nn.init.kaiming_uniform_(module.weight)
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if module.bias is not None:
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module.bias.data.fill_(0.0)
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def make_q_net(self) -> TDQNetwork:
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# Make sure we always have separate networks for features extractors etc
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net_args = self._update_features_extractor(self.net_args, features_extractor=None)
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return TDQNetwork(**net_args).to(self.device)
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class TMultiInputPolicy(TDQNPolicy):
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def __init__(
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self,
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observation_space: gym.spaces.Space,
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action_space: gym.spaces.Space,
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lr_schedule: Schedule,
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net_arch: Optional[List[int]] = None,
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activation_fn: Type[nn.Module] = nn.ReLU,
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features_extractor_class: Type[BaseFeaturesExtractor] = FlattenExtractor,
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features_extractor_kwargs: Optional[Dict[str, Any]] = None,
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normalize_images: bool = True,
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optimizer_class: Type[th.optim.Optimizer] = th.optim.Adam,
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optimizer_kwargs: Optional[Dict[str, Any]] = None,
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):
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super().__init__(
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observation_space,
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action_space,
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lr_schedule,
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net_arch,
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activation_fn,
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features_extractor_class,
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features_extractor_kwargs,
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normalize_images,
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optimizer_class,
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optimizer_kwargs,
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)
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class TDQN(DQN):
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policy_aliases: Dict[str, Type[BasePolicy]] = {
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"MlpPolicy": MlpPolicy,
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"CnnPolicy": CnnPolicy,
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"TMultiInputPolicy": TMultiInputPolicy,
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}
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def __init__(
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self,
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policy: Union[str, Type[TDQNPolicy]],
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env: Union[GymEnv, str],
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learning_rate: Union[float, Schedule] = 1e-4,
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buffer_size: int = 1000000, # 1e6
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learning_starts: int = 50000,
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batch_size: int = 32,
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tau: float = 1.0,
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gamma: float = 0.99,
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train_freq: Union[int, Tuple[int, str]] = 4,
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gradient_steps: int = 1,
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replay_buffer_class: Optional[ReplayBuffer] = None,
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replay_buffer_kwargs: Optional[Dict[str, Any]] = None,
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optimize_memory_usage: bool = False,
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target_update_interval: int = 10000,
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exploration_fraction: float = 0.1,
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exploration_initial_eps: float = 1.0,
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exploration_final_eps: float = 0.05,
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max_grad_norm: float = 10,
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tensorboard_log: Optional[str] = None,
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create_eval_env: bool = False,
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policy_kwargs: Optional[Dict[str, Any]] = None,
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verbose: int = 1,
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seed: Optional[int] = None,
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device: Union[th.device, str] = "auto",
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_init_setup_model: bool = True,
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):
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super().__init__(
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policy=policy,
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env=env,
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learning_rate=learning_rate,
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buffer_size=buffer_size,
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learning_starts=learning_starts,
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batch_size=batch_size,
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tau=tau,
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gamma=gamma,
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train_freq=train_freq,
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gradient_steps=gradient_steps,
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replay_buffer_class=replay_buffer_class, # No action noise
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replay_buffer_kwargs=replay_buffer_kwargs,
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optimize_memory_usage=optimize_memory_usage,
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target_update_interval=target_update_interval,
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exploration_fraction=exploration_fraction,
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exploration_initial_eps=exploration_initial_eps,
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exploration_final_eps=exploration_final_eps,
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max_grad_norm=max_grad_norm,
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tensorboard_log=tensorboard_log,
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create_eval_env=create_eval_env,
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policy_kwargs=policy_kwargs,
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verbose=verbose,
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seed=seed,
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device=device,
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_init_setup_model=_init_setup_model
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)
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