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September 1, 2018 20:53
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My neural network for actor critic financial trading
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class Policy(nn.Module): | |
def __init__(self): | |
super(Policy, self).__init__() | |
self.input_layer = nn.Linear(8, 128) | |
self.hidden_1 = nn.Linear(128, 128) | |
self.hidden_2 = nn.Linear(32,31) | |
self.hidden_state = torch.tensor(torch.zeros(2,1,32), requires_grad=False).cuda() | |
self.rnn = nn.GRU(128, 32, 2) | |
self.action_head = nn.Linear(31, 5) | |
self.value_head = nn.Linear(31, 1) | |
self.saved_actions = [] | |
self.rewards = [] | |
def reset_hidden(self): | |
self.hidden_state = torch.tensor(torch.zeros(2,1,32), requires_grad=False).cuda() | |
def forward(self, x): | |
x = torch.tensor(x).cuda() | |
x = torch.sigmoid(self.input_layer(x)) | |
x = torch.tanh(self.hidden_1(x)) | |
x, self.hidden_state = self.rnn(x.view(1,-1,128), self.hidden_state.data) | |
x = F.relu(self.hidden_2(x.squeeze())) | |
action_scores = self.action_head(x) | |
state_values = self.value_head(x) | |
return F.softmax(action_scores, dim=-1), state_values |
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