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0
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1 package main
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2
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3 import (
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4 "fmt"
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5 "io/ioutil"
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6 "math"
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7 "math/rand"
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8 "log"
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9 "os"
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10 "sort"
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11 "strconv"
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12 "strings"
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13 "time"
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14 )
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15
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16 // パラメタ変数
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17 var plabel []string
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18 var w1_11, w1_12, w1_21, w1_22 []float64
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19 var b1_1, b1_2 []float64
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20 var h1_11, h1_12, h1_21, h1_22 []float64
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21 var w2_11, w2_21 []float64
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22 var b2_1 []float64
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23 var s1, s2 float64
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24
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25 // パラメタ以外の変数
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26 const st int = 10 // とりあえず 10セット試す
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27 const dd int = 7 // とりあえず 7日を予想
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28 const pp int = 2009 // とりあえず pp種類のパラメタ
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29 var x1, x2 float64
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30 var y [st][dd][pp]float64
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31 var e [st][pp]float64
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32 var lstart [st]string // 学習データの開始日
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33 var lx1, lx2 [st]float64
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34 var lans [st][dd]float64
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35 var ps, sw time.Time
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36
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37 // 評価ソート用
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38 type Es struct {
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39 idx int
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40 val float64
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41 }
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42 var ea [pp]Es
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43
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44 func init() {
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45 ps = time.Now()
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46 lstart[0] = "2007-04-02"
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47 lstart[1] = "2007-10-01"
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48 lstart[2] = "2008-04-01"
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49 lstart[3] = "2008-10-01"
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50 lstart[4] = "2009-04-01"
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51 lstart[5] = "2009-10-01"
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52 lstart[6] = "2010-04-01"
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53 lstart[7] = "2010-10-01"
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54 lstart[8] = "2011-04-01"
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55 lstart[9] = "2011-10-03"
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56 }
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57
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58 // メイン
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59 func main() {
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60
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61 dfile := "ai_input.dat"
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62 pfile := "param.dat"
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63
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64 // データ入力
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65 if err := read_data( dfile ); err != nil {
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66 fmt.Fprintf( os.Stderr, "%v\n", err )
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67 os.Exit( 1 )
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68 }
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69 swatch( "data input done." )
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70
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71 // パラメタ入力
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72 if err := read_param( pfile ); err != nil {
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73 fmt.Fprintf( os.Stderr, "%v\n", err )
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74 os.Exit( 1 )
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75 }
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76 swatch( "param read done." )
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77
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78 // 計算 & 評価
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79 calc_eval()
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80 swatch( "calc & eval done." )
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81
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82 // 初期値出力
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83 mfile := "data/s00.dat"
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84 if err := save_tmp( mfile, true, false ); err != nil {
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85 fmt.Fprintf( os.Stderr, "%v\n", err )
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86 log.Fatal( err )
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87 }
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88 swatch( "mid-save done." )
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89
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90 // パラメタ書換えつつ探索
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91 for n := 0; n < 200; n++ {
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92 update()
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93 swatch( "update done." )
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94
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95 calc_eval()
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96 swatch( "calc & eval done." )
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97 mfile = fmt.Sprintf( "data/m%02d.dat", n )
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98 if err := save_tmp( mfile, true, false ); err != nil {
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99 fmt.Fprintf( os.Stderr, "%v\n", err )
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100 log.Fatal( err )
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101 }
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102 swatch( "mid-save done." )
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103 }
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104
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105 // 最終出力
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106 /*
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107 ofile := "data/out.dat"
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108 if err := save_result( ofile, 0, 0.0 ); err != nil {
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109 fmt.Fprintf( os.Stderr, "%v\n", err )
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110 os.Exit( 1 )
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111 }
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112 */
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113 swatch( "finish.." )
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114 }
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115
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116
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117 // データの読込み
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118 //#通番 年月日 始値 高値 安値 終値 3日平均 7日平均 30日平均
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119 //0001 2007-04-02 117.84 118.08 117.46 117.84 117.84 117.84 117.84
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120 func read_data( file string ) error {
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121 data, err := ioutil.ReadFile( file )
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122 if err != nil {
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123 return err
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124 }
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125
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126 // 学習データ
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127 j, skip := 0, 0
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128 var lsidx [st]int // learning-set start index
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129 var value []string
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130 for i, line := range strings.Split( string( data ), "\n" ) {
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131 if strings.HasPrefix( line, "#" ) {
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132 skip++
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133 } else {
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134 buf := strings.Fields( line )
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135 if len( buf ) == 0 {
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136 skip++
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137 continue
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138 }
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139 value = append( value, buf[5] )
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140 if j < st && buf[1] == lstart[j] {
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141 lsidx[j] = i - skip
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142 j++
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143 }
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144 }
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145 }
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146
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147 for i, _ := range lstart {
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148 var f float64
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149 f, _ = strconv.ParseFloat( value[ lsidx[i] + 1], 64 ); lx1[i] = f
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150 f, _ = strconv.ParseFloat( value[ lsidx[i] ], 64 ); lx2[i] = f
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151 for j := 0; j < dd; j++ {
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152 f, _ = strconv.ParseFloat( value[ lsidx[i] + j + 2 ], 64 ); lans[i][j] = f
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153 }
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154 }
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155
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156 // 検証データ
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157
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158 return nil
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159 }
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160
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161 // パラメタの読込み
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162 func read_param( file string ) error {
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163 data, err := ioutil.ReadFile( file )
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164 if err != nil {
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165 return err
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166 }
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167 for _, line := range strings.Split( string( data ), "\n" ) {
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168 if !strings.HasPrefix( line, "#" ) {
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169 buf := strings.Fields( line )
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170 if len( buf ) == 0 {
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171 continue
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172 }
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173 plabel = append( plabel, buf[0] )
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174
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175 var f float64
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176 f, _ = strconv.ParseFloat( buf[1], 64 ); w1_11 = append( w1_11, f * 0.1 )
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177 f, _ = strconv.ParseFloat( buf[2], 64 ); w1_12 = append( w1_12, f * 0.1 )
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178 f, _ = strconv.ParseFloat( buf[3], 64 ); w1_21 = append( w1_21, f * 0.1 )
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179 f, _ = strconv.ParseFloat( buf[4], 64 ); w1_22 = append( w1_22, f * 0.1 )
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180
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181 f, _ = strconv.ParseFloat( buf[5], 64 ); b1_1 = append( b1_1, f * 0.1 )
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182 f, _ = strconv.ParseFloat( buf[6], 64 ); b1_2 = append( b1_2, f * 0.1 )
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183
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184 f, _ = strconv.ParseFloat( buf[7], 64 ); h1_11 = append( h1_11, f * 0.1 )
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185 f, _ = strconv.ParseFloat( buf[8], 64 ); h1_12 = append( h1_12, f * 0.1 )
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186 f, _ = strconv.ParseFloat( buf[9], 64 ); h1_21 = append( h1_21, f * 0.1 )
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187 f, _ = strconv.ParseFloat( buf[10], 64 ); h1_22 = append( h1_22, f * 0.1 )
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188
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189 f, _ = strconv.ParseFloat( buf[11], 64 ); w2_11 = append( w2_11, f * 0.1 )
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190 f, _ = strconv.ParseFloat( buf[12], 64 ); w2_21 = append( w2_21, f * 0.1 )
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191
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192 f, _ = strconv.ParseFloat( buf[13], 64 ); b2_1 = append( b2_1, f * 0.1 )
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193 }
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194 }
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195 return nil
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196 }
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197
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198 // 結果を保存
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199 func save_tmp( file string, save, detail bool ) error {
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200 if !save {
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201 return nil
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202 }
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203
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204 os.Remove( file )
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205 f, err := os.OpenFile( file, os.O_CREATE|os.O_WRONLY, 0644 )
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206 if err != nil {
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207 return err
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208 }
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209 if detail {
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210 for i := 0; i < st; i++ {
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211 for p := 0; p < pp; p++ {
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212 s := fmt.Sprintf( "e = %10.2f / %2d:%s\n", e[i][p], i, plabel[p] )
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213 f.WriteString( s )
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214 for d := 0; d < dd; d++ {
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215 s = fmt.Sprintf( "%10.2f ( %.2f )\n", y[i][d][p], lans[i][d] )
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216 f.WriteString( s )
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217 }
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218 }
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219 f.WriteString( "----\n" );
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220 }
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221 }
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222 for p := 0; p < pp; p++ {
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223 s := fmt.Sprintf( "ea = %7.2f / EA:%s [ ", ea[p].val, plabel[p] )
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224 s += fmt.Sprintf( "%3.1f %3.1f %3.1f %3.1f ", w1_11[p], w1_12[p], w1_21[p], w1_22[p] )
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225 s += fmt.Sprintf( "%3.1f %3.1f ", b1_1[p], b1_2[p] )
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226 s += fmt.Sprintf( "%3.1f %3.1f %3.1f %3.1f ", h1_11[p], h1_12[p], h1_21[p], h1_22[p] )
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227 s += fmt.Sprintf( "%3.1f %3.1f ", w2_11[p], w2_21[p] )
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228 s += fmt.Sprintf( "%3.1f ]\n", b2_1[p] )
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229 f.WriteString( s )
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230 }
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231 if err := f.Close(); err != nil {
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232 return err
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233 }
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234 return nil
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235 }
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236
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237 func save_result( file string, line int, result float64 ) error {
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238 return nil
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239 }
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240
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241 // 計算と評価
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242 func calc_eval() {
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243 for p := 0; p < pp; p++ {
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244 ea[p].idx = p
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245 ea[p].val = 0.0
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246 }
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247 for i := 0; i < st; i++ {
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248 for p := 0; p < pp; p++ {
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249 initialize( i )
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250 for d := 0; d < dd; d++ {
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251 y[i][d][p] = do_calc( p )
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252 }
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253 e[i][p] = evaluate( i, p )
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254 ea[p].val += e[i][p]
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255 }
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256 }
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257 for p := 0; p < pp; p++ {
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258 if ea[p].val > 10000 {
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259 ea[p].val = 9999.99
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260 }
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261 }
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262 }
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263
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264 // アルゴリズム
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265 func initialize( i int ) {
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266 x1, x2 = lx1[i], lx2[i]
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267 s1, s2 = 0.0, 0.0
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268 }
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269
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270 func do_calc( p int ) float64 {
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271
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272 a1 := x1 * w1_11[p] + x2 * w1_21[p] + s1 * h1_11[p] + s2 * h1_21[p] + b1_1[p]
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273 a2 := x1 * w1_12[p] + x2 * w1_22[p] + s1 * h1_12[p] + s2 * h1_22[p] + b1_2[p]
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274
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275 // ReLU
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276 if a1 < 0 {
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277 s1 = 0
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278 } else {
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279 s1 = a1
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280 }
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281 if a2 < 0 {
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282 s2 = 0
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283 } else {
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284 s2 = a2
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285 }
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286
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287 y1 := a1 * w2_11[p] + a2 * w2_21[p] + b2_1[p]
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288
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289 x2 = x1
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290 x1 = y1
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291
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292 return y1
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293 }
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294
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295 // 評価関数
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296 func evaluate( i, p int ) float64 {
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297 var e float64
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298 for d := 0; d < dd; d++ {
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299 e += ( lans[i][d] - y[i][d][p] ) * ( lans[i][d] - y[i][d][p] )
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300 }
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301 e /= float64(dd)
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302 return e
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303 }
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304
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305 // パラメタ更新
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306 func update() {
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307 // backup
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308 var bplabel []string
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309 var bw1_11, bw1_12, bw1_21, bw1_22 []float64
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310 var bb1_1, bb1_2 []float64
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311 var bh1_11, bh1_12, bh1_21, bh1_22 []float64
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312 var bw2_11, bw2_21 []float64
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313 var bb2_1 []float64
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314
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315 es := ea[:]
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316 sort.SliceStable( es, func( i, j int ) bool { return es[i].val < es[j].val } )
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317 for i := 0; i < 7; i++ {
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318 j := es[i].idx
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319 bplabel = append( bplabel, plabel[j] )
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320
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321 bw1_11 = append( bw1_11, w1_11[j] )
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322 bw1_12 = append( bw1_12, w1_12[j] )
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323 bw1_21 = append( bw1_21, w1_21[j] )
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324 bw1_22 = append( bw1_22, w1_22[j] )
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325
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326 bb1_1 = append( bb1_1, b1_1[j] )
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327 bb1_2 = append( bb1_2, b1_2[j] )
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328
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329 bh1_11 = append( bh1_11, h1_11[j] )
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330 bh1_12 = append( bh1_12, h1_12[j] )
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331 bh1_21 = append( bh1_21, h1_21[j] )
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332 bh1_22 = append( bh1_22, h1_22[j] )
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333
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334 bw2_11 = append( bw2_11, w2_11[j] )
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335 bw2_21 = append( bw2_21, w2_21[j] )
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336
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337 bb2_1 = append( bb2_1, b2_1[j] )
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338 }
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339
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340 rand.Seed( time.Now().UnixNano() )
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341 for p := 0; p < pp; p++ {
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342 plabel[p] = fmt.Sprintf( "%04d", p )
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343 i := int( math.Mod( float64( p ), 7 ) )
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344
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345 w1_11[p] = bw1_11[i] + float64( rand.Intn( 3 ) - 1 )
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346 w1_12[p] = bw1_12[i] + float64( rand.Intn( 3 ) - 1 )
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347 w1_21[p] = bw1_21[i] + float64( rand.Intn( 3 ) - 1 )
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348 w1_22[p] = bw1_22[i] + float64( rand.Intn( 3 ) - 1 )
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349
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350 b1_1[p] = bb1_1[i] + float64( rand.Intn( 3 ) - 1 )
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351 b1_2[p] = bb1_2[i] + float64( rand.Intn( 3 ) - 1 )
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352
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353 h1_11[p] = bh1_11[i] + float64( rand.Intn( 3 ) - 1 )
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354 h1_12[p] = bh1_12[i] + float64( rand.Intn( 3 ) - 1 )
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355 h1_21[p] = bh1_21[i] + float64( rand.Intn( 3 ) - 1 )
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356 h1_22[p] = bh1_22[i] + float64( rand.Intn( 3 ) - 1 )
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357
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358 w2_11[p] = bw2_11[i] + float64( rand.Intn( 3 ) - 1 )
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359 w2_21[p] = bw2_21[i] + float64( rand.Intn( 3 ) - 1 )
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360
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361 b2_1[p] = bb2_1[i] + float64( rand.Intn( 3 ) - 1 )
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362 }
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363 }
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364
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365 // 時間計測
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366 func swatch( s string ) {
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367 sw = time.Now()
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368 fmt.Fprintf( os.Stderr, "[ %v ( %v ) ]\t%s.\n", time.Since( ps ), time.Since( sw ), s )
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369 }
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370
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