improve pretrain

microsoft · Jul 30, 2021 · a7c41b6 · a7c41b6
1 parent 5b7b48e
commit a7c41b6
Show file tree

Hide file tree

Showing 4 changed files with 9 additions and 5 deletions.
diff --git a/examples/benchmarks/TRA/workflow_config_tra_Alpha158.yaml b/examples/benchmarks/TRA/workflow_config_tra_Alpha158.yaml
@@ -73,6 +73,7 @@ task:
     kwargs:
       tra_config: *tra_config
       model_config: *model_config
+      model_type: RNN
       lr: 1e-3
       n_epochs: 100
       max_steps_per_epoch: 100
@@ -86,7 +87,7 @@ task:
       memory_mode: *memory_mode
       eval_train: False
       eval_test: True
-      pretrain: False
+      pretrain: True
       init_state:
       freeze_model: False
       freeze_predictors: False

diff --git a/examples/benchmarks/TRA/workflow_config_tra_Alpha158_full.yaml b/examples/benchmarks/TRA/workflow_config_tra_Alpha158_full.yaml
@@ -33,12 +33,13 @@ tra_config: &tra_config
   num_states: *num_states
   hidden_size: 16
   tau: 1.0
-  src_info: TPE
+  src_info: LR_TPE
 
 model_config: &model_config
   input_size: 158
   hidden_size: 256
   num_layers: 2
+  rnn_arch: LSTM
   use_attn: True
   dropout: 0.2
 
@@ -66,6 +67,7 @@ task:
     kwargs:
       tra_config: *tra_config
       model_config: *model_config
+      model_type: RNN
       lr: 1e-3
       n_epochs: 100
       max_steps_per_epoch: 100
@@ -79,7 +81,7 @@ task:
       memory_mode: *memory_mode
       eval_train: False
       eval_test: True
-      pretrain: False
+      pretrain: True
       init_state:
       freeze_model: False
       freeze_predictors: False

diff --git a/examples/benchmarks/TRA/workflow_config_tra_Alpha360.yaml b/examples/benchmarks/TRA/workflow_config_tra_Alpha360.yaml
@@ -67,6 +67,7 @@ task:
     kwargs:
       tra_config: *tra_config
       model_config: *model_config
+      model_type: RNN
       lr: 1e-3
       n_epochs: 100
       max_steps_per_epoch: 100
@@ -80,7 +81,7 @@ task:
       memory_mode: *memory_mode
       eval_train: False
       eval_test: True
-      pretrain: False
+      pretrain: True
       init_state:
       freeze_model: False
       freeze_predictors: False

diff --git a/qlib/contrib/model/pytorch_tra.py b/qlib/contrib/model/pytorch_tra.py
@@ -392,7 +392,7 @@ def fit(self, dataset, evals_result=dict()):
             self.logger.info("reset TRA")
             self.tra.reset_parameters()  # reset both router and predictors
 
-            self.optimizer = optim.Adam(self.tra.parameters(), lr=self.lr)  # optimize TRA only
+            self.optimizer = optim.Adam(list(self.model.parameters()) + list(self.tra.parameters()), lr=self.lr)
 
         self.logger.info("training...")
         best_score, _ = self._fit(train_set, valid_set, test_set, evals_result, start_epoch=epoch, is_pretrain=False)