Hi I am learning deep learning and I am trying to use the RNN with train, test and validation sets on time series finance data. Below is my code :
def get_lr(optimizer):
for param_group in optimizer.param_groups:
return param_group['lr']
# In[63]:
def train_model(epoch, model, optimizer, train_loader):
model.train()
t0 = time.time()
correct = 0
total = 0
final_loss = 0
for batch_idx, (X,labels) in enumerate(train_loader):
data,labels = map(lambda x: Variable(x), [X,labels])
optimizer.zero_grad()
output = model(data)
device = torch.device("cuda" if torch.cuda.is_available() else "cpu")
##print('device : ', device)
final_output=output.to(device)
loss = F.cross_entropy(final_output, labels)
final_loss += loss.item()
loss.backward()
optimizer.step()
print('predicted labels',final_output.squeeze())
#print('Actual labels',labels.squeeze())
print('Train Epoch: {} Batch: {} [{}/{} ({:.2f}%, time:{:.2f}s)]\tBatch Loss: {:.6f}'.format(
epoch, batch_idx, batch_idx * len(data), len(train_loader.dataset),
100. * batch_idx / len(train_loader), time.time() - t0,
final_loss))
##avg_loss))
_, predicted = torch.max(output.data, 1)
total += labels.size(0)
correct += (predicted == labels).sum().item()
t0 = time.time()
final_loss /= (batch_idx+1)
accuracy = 100*correct/total
lr = get_lr(optimizer)
learning_rates.append(lr)
print('Training Accuracy : ',accuracy)
print('Training Loss : ',final_loss)
print('Learning Rate : ',lr)
if epoch%epoch_interval == 0 or epoch ==1 or epoch == epochs:
path = base_path + 'models/RNN/rnn_'
torch.save(model,path+str(epoch)+'.pth')
##torch.save(model,path)
print('model saved')
if epoch%plot_epoch_interval == 0 or epoch ==1 or epoch == epochs:
epochs_list.append(epoch)
train_loss.append(final_loss)
train_accuracies.append(accuracy)
return lr,final_loss,accuracy
# In[166]:
def validate(epoch,model, val_loader,optimizer):
model.eval()
val_loss = 0
correct = 0
total = 0
loss = 0
ypred,ytrue,scores = [],[],[]
for batch_idx,(X,labels) in enumerate(val_loader):
data,labels = map(lambda x: Variable(x), [X,labels])
output = model(data)
device = torch.device("cuda" if torch.cuda.is_available() else "cpu")
final_val_output=output.to(device)
val_loss += F.cross_entropy(final_val_output, labels) # sum up batch loss
_, predicted = torch.max(output.data, 1)
total += labels.size(0)
correct += (predicted == labels).sum().item()
ypred.extend(predicted.tolist())
ytrue.extend(labels.tolist())
scores.extend(output.tolist())
val_loss /= (batch_idx+1)
accuracy = 100*correct/total
if epoch%plot_epoch_interval == 0 or epoch ==1 or epoch == epochs:
validation_loss.append(val_loss.item())
val_accuracies.append(accuracy)
print('Accuracy : ',accuracy)
print('\nVal set: Average loss: {:.4f}, Accuracy: {}/{} ({:.4f}%)\n'.format(
val_loss, correct,total,accuracy))
print("==============================================")
return "{:.4f}%".format(100.* correct / total), accuracy,loss,ypred,ytrue,scores
# In[276]:
def test(data_loader,model):
torch.manual_seed(1)
np.random.seed(1)
#data_loader = DataLoader(FinancialData(xtest,ytest), batch_size = batch_size, shuffle = False)
model = torch.load(path)
model.eval()
for params in model.parameters():
print(params)
val_loss = 0
correct = 0
total = 0
loss = 0
ypred,ytrue,scores = [],[],[]
with torch.no_grad():
for batch_idx,(X,labels) in enumerate(data_loader):
data,labels = map(lambda x: Variable(x), [X,labels])
output = model(data)
# device = torch.device("cuda" if torch.cuda.is_available() else "cpu")
# final_val_output=output.to(device)
# val_loss += F.cross_entropy(final_val_output, labels) # sum up batch loss
_, predicted = torch.max(output.data, 1)
total += labels.size(0)
correct += (predicted == labels).sum().item()
ypred.extend(predicted.tolist())
ytrue.extend(labels.tolist())
scores.extend(output.tolist())
accuracy = 100*correct/total
# if epoch%plot_epoch_interval == 0 or epoch ==1 or epoch == epochs:
# validation_loss.append(val_loss.item())
# val_accuracies.append(accuracy)
print('Accuracy : ',accuracy)
# print('\nVal set: Average loss: {:.4f}, Accuracy: {}/{} ({:.4f}%)\n'.format(
# val_loss, correct,total,accuracy))
print("==============================================")
#return "{:.4f}%".format(100.* correct / total), accuracy,loss,ypred,ytrue,scores
# In[288]:
def train_on_batch(lr,epochs,momentum,X_train,Y_train,X_val,Y_val,batch_size):
cuda=False
seed=1
torch.manual_seed(seed)
train_loader = DataLoader(FinancialData(X_train,Y_train),batch_size=batch_size,shuffle=True)
val_loader = DataLoader(FinancialData(X_val,Y_val),batch_size=batch_size,shuffle=False)
test_loader = DataLoader(FinancialData(X_test_new,Y_test), batch_size = batch_size, shuffle = False)
input_size = 1
hid_size = 10
num_layers = 2
num_classes = len(np.unique(Y_train))
dropRate = 0.0
bidirection = True
model = Network(input_size=input_size,hid_size =hid_size,window_size = window_size,num_layers=num_layers,
num_classes=num_classes,dropRate = dropRate,bidirection=bidirection)
ypred,ytrue, scores = [],[],[]
for params in model.parameters():
print(params)
optimizer = torch.optim.Adam(model.parameters(), lr=lr, betas=(0.9, 0.999), eps=1e-08, weight_decay=1e-4, amsgrad=False)
scheduler = torch.optim.lr_scheduler.ReduceLROnPlateau(optimizer,'max', factor=0.25, patience=6, verbose=True,
threshold_mode='abs', threshold=0.01, min_lr=1e-6)
#scheduler = torch.optim.lr_scheduler.ReduceLROnPlateau(optimizer, 'max', factor=0.5, patience=5,
# verbose=True,threshold_mode='abs', threshold=0.01,
# min_lr=1e-6)
path = base_path + 'models/RNN/rnn_best_model.pth'
best_val_loss = 0
best_val_acc = 0
best_epoch = 0
best_lr = lr
best_tr_acc = 0
for epoch in range(1, epochs + 1):
tuned_lr,tr_loss,tr_acc = train_model(epoch, model, optimizer, train_loader)
acc_str, val_acc, val_loss, ypred, ytrue, scores = validate(epoch,model,val_loader,optimizer)
if val_acc >= best_val_acc:
torch.save(model,path)
#best_val_loss = val_loss
best_val_acc = val_acc
best_epoch = epoch
best_lr = tuned_lr
best_tr_acc = tr_acc
scheduler.step(val_acc)
#scheduler.step(tr_acc)
print('='*100)
# for params in model.parameters():
# print(params)
# print('='*100)
test(val_loader,model)
test(test_loader,model)
#validate(epoch,model,val_loader,optimizer)
#validate(epoch,model,test_loader,optimizer)
print('best epoch : {}, best_lr : {}, best_tr_acc : {}, best val_acc : {:.4f}\n'.format(best_epoch,best_lr,best_tr_acc,best_val_acc))
scores = np.asarray(scores)
return tr_acc,val_acc, ypred, ytrue, scores
# In[289]:
cuda=torch.cuda.is_available()
X_train,Y_train,X_val,Y_val,X_test,Y_test = splitDataWithVal(feat_wise_data,labels_new,test_size=0.2,val_size=0.25)
X_train_new, X_val_new, X_test_new = standardizeDataVal(X_train, X_test, X_val, mode = 'Normalizer')
# # Check for Class Imbalance
# In[292]:
Ytrain_df= pd.DataFrame(Y_train,columns=[0])
print(Ytrain_df.shape)
print(Ytrain_df.columns)
print(Ytrain_df.groupby(0).size())
train_loss = []
validation_loss = []
epochs_list = []
train_accuracies = []
val_accuracies = []
learning_rates = []
epoch_interval = 1#10
plot_epoch_interval = 5
lr = 0.01
momentum = 0.9
epochs = 3
batch_size = 4
print('batch_size : ',batch_size)
tr_acc,val_acc, ypred, ytrue, scores = train_on_batch(lr,epochs,momentum,X_train_new,Y_train,X_val_new,Y_val,batch_size)
I tested it for 3 epochs and saved models after every epoch. However, after 3rd epoch i.e. complete 3 epochs of training, when I test my model by calling test() function of my code, it gives 49.7% validation accuracy and 59.3% test accuracy. Whereas if I use validate() function of my code, it gives 51.146% validation accuracy when called after 3rd epoch of training within training loop. Using validate() function after complete training of 3 epochs ie. outside for loop, I get 49.12% validation accuracy and 54.0697% test accuracy.
Why does validation accuracy change calling the same validate function twice i.e. once inside training epochs loop and other time after training epochs loop ? Also, Which function is correct way of testing and validating, validate() or test()?
I even loaded all the models which I am saving after every epoch and checked their weights which are same as what they were seen during training. Please help as I am new to this domain.
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