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Add the HIST and IGMTF model on Alpha360 #1040

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merged 12 commits into from
Apr 13, 2022
Merged

Add the HIST and IGMTF model on Alpha360 #1040

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708f352
Commit the code of HIST and IGMTF on Alpha360
Wentao-Xu Apr 10, 2022
c321a68
add stock index
Wentao-Xu Apr 10, 2022
d08089d
Update README.md
Wentao-Xu Apr 10, 2022
985204a
delete useless code
Wentao-Xu Apr 10, 2022
e444304
Merge https://github.com/Wentao-Xu/qlib
Wentao-Xu Apr 10, 2022
70f937d
fix the bug of code format with black
Wentao-Xu Apr 11, 2022
6fc4539
Merge branch 'main' into main
Wentao-Xu Apr 11, 2022
15c584a
fix pylint bugs
Wentao-Xu Apr 12, 2022
04d68dc
Merge https://github.com/Wentao-Xu/qlib
Wentao-Xu Apr 12, 2022
8827e11
fix the bugs of pylint
Wentao-Xu Apr 13, 2022
6b2370d
fix pylint bugs
Wentao-Xu Apr 13, 2022
b1eb894
fix flake8
Wentao-Xu Apr 13, 2022
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fix the bugs of pylint
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@Wentao-Xu
Wentao-Xu committed Apr 13, 2022
commit 8827e11d4b6250af650aced2e34a9eea90c86529
7 changes: 1 addition & 6 deletions qlib/contrib/model/pytorch_hist.py
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Original file line number Diff line number Diff line change
Expand Up @@ -88,7 +88,6 @@ def __init__(
"\nd_feat : {}"
"\nhidden_size : {}"
"\nnum_layers : {}"
"\ndropout : {}"
"\nn_epochs : {}"
"\nlr : {}"
"\nmetric : {}"
Expand All @@ -97,13 +96,11 @@ def __init__(
"\nloss_type : {}"
"\nbase_model : {}"
"\nstock2concept : {}"
"\nstock_index : {}"
"\nuse_GPU : {}"
"\nseed : {}".format(
d_feat,
hidden_size,
num_layers,
dropout,
n_epochs,
lr,
metric,
Expand All @@ -113,7 +110,6 @@ def __init__(
base_model,
model_path,
stock2concept,
stock_index,
GPU,
seed,
)
Expand Down Expand Up @@ -425,8 +421,7 @@ def cal_cos_similarity(self, x, y): # the 2nd dimension of x and y are the same
xy = x.mm(torch.t(y))
x_norm = torch.sqrt(torch.sum(x * x, dim=1)).reshape(-1, 1)
y_norm = torch.sqrt(torch.sum(y * y, dim=1)).reshape(-1, 1)
cos_similarity = xy / x_norm.mm(torch.t(y_norm))
cos_similarity[cos_similarity != cos_similarity] = 0
cos_similarity = xy / (x_norm.mm(torch.t(y_norm)) + 1e-6)
return cos_similarity

def forward(self, x, concept_matrix):
Expand Down
3 changes: 1 addition & 2 deletions qlib/contrib/model/pytorch_igmtf.py
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Original file line number Diff line number Diff line change
Expand Up @@ -397,8 +397,7 @@ def cal_cos_similarity(self, x, y): # the 2nd dimension of x and y are the same
xy = x.mm(torch.t(y))
x_norm = torch.sqrt(torch.sum(x * x, dim=1)).reshape(-1, 1)
y_norm = torch.sqrt(torch.sum(y * y, dim=1)).reshape(-1, 1)
cos_similarity = xy / x_norm.mm(torch.t(y_norm))
cos_similarity[cos_similarity != cos_similarity] = 0
cos_similarity = xy / (x_norm.mm(torch.t(y_norm)) + 1e-6)
return cos_similarity

def sparse_dense_mul(self, s, d):
Expand Down