LSTM集成用户自定义损失函数

Question

我想在 python 中为我的 LSTM 集成自定义损失函数。代码显示了我到目前为止的方法。我如何最好地实现图像中显示的损失函数？我将如何处理约束 <0?

感谢您的帮助！

代码

# Importing the libraries

ep=25 #Epochs
bs=32 #Batch-Size
vs=0.2 #Validation-Split
r=ep+1 #Range 

# Importing the training set
dataset_train = pd.read_csv(r'C:\Users\Name\Desktop\Recurrent Neural Networks\JPM_train.csv',delimiter =';')
training_set = dataset_train.iloc[:, 1:2].values

# Feature Scaling
from sklearn.preprocessing import MinMaxScaler
sc = MinMaxScaler(feature_range = (0, 1))
training_set_scaled = sc.fit_transform(training_set)

# Creating a data structure with 60 timesteps and 1 output
X_train = []
y_train = []
X_val=[]
y_val=[]
for i in range(60, 1516):
    X_train.append(training_set_scaled[i-60:i, 0])
    y_train.append(training_set_scaled[i, 0])
X_train, y_train, X_val, y_val = np.array(X_train), np.array(y_train), np.array(X_val), np.array(y_val)

# Reshaping
X_train = np.reshape(X_train, (X_train.shape[0], X_train.shape[1], 1))

# Importing the Keras libraries and packages
from keras.models import Sequential
from keras.layers import Dense
from keras.layers import LSTM
from keras.layers import Dropout

def custom_loss(y_true, y_pred):
            
    if(#HERE):
        loss=(predicted_stock_price-real_stock_price)^2
    else:
        loss=0
    return loss
  

# Initialising the RNN
model = Sequential()

# Adding the first LSTM layer and some Dropout regularisation
model.add(LSTM(units = 50, return_sequences = True, input_shape = (X_train.shape[1], 1)))
model.add(Dropout(0.2))

# Adding a second LSTM layer and some Dropout regularisation
model.add(LSTM(units = 50, return_sequences = True))
model.add(Dropout(0.2))

# Adding a third LSTM layer and some Dropout regularisation
model.add(LSTM(units = 50, return_sequences = True))
model.add(Dropout(0.2))

# Adding a fourth LSTM layer and some Dropout regularisation
model.add(LSTM(units = 50))
model.add(Dropout(0.2))

# Adding the output layer
model.add(Dense(units = 1))

# Compiling the RNN
model.compile(optimizer = 'adam', loss = custom_loss ,metrics=['accuracy'])

# Fitting the RNN to the Training set
history=model.fit(X_train, y_train, epochs = ep, batch_size = bs, validation_split=vs)
    
# Getting the real stock price of 2017
dataset_test = pd.read_csv(r'C:\Users\Name\Desktop\Recurrent Neural Networks\JPM_test.csv',delimiter =';')
real_stock_price = dataset_test.iloc[:, 1:2].values

dataset_total = pd.concat((dataset_train['Preis'], dataset_test['Preis']), axis = 0)
inputs = dataset_total[len(dataset_total) - len(dataset_test) - 60:].values
inputs = inputs.reshape(-1,1)
inputs = sc.transform(inputs)
X_test = []
for i in range(60, 80):
    X_test.append(inputs[i-60:i, 0])
X_test = np.array(X_test)
X_test = np.reshape(X_test, (X_test.shape[0], X_test.shape[1], 1))
predicted_stock_price = model.predict(X_test)
predicted_stock_price = sc.inverse_transform(predicted_stock_price)

history_dict = history.history
print(history_dict.keys())

accuracy = history_dict['accuracy']
validation_accuracy = history_dict['val_accuracy']
loss = history_dict['loss']
validation_loss = history_dict['val_loss']

gs = gridspec.GridSpec(2, 2)
#plt.tight_layout()
#plt.subplots_adjust(hspace=1.0)
fig = plt.figure(figsize=(16,16))

# Visualising the results
ax = plt.subplot(gs[1, :]) # row 1, span all columns
plt.plot(real_stock_price, color = 'red', label = 'Real Google Stock Price')
plt.plot(predicted_stock_price, color = 'blue', label = 'Predicted Google Stock Price')
plt.title('Google Stock Price Prediction')
plt.xlabel('Time')
plt.ylabel('Google Stock Price')
plt.legend()
plt.show()

只有自定义损失函数

def custom_loss(y_true, y_pred):
            
    if(#HERE):
        loss=(predicted_stock_price-real_stock_price)^2
    else:
        loss=0
    return loss

目标损失函数图片

原文如下link： https://www.researchgate.net/publication/342094242_Deep_Stock_Predictions

Answer 1

您可以使用这个损失函数来计算当前预测 (t1) 减去之前的 real_stock_price (t-1) :

def custom_loss(y_true, y_pred):
            
    if((y_true[0]-y_true[1])*(y_pred-y_true[1])):
        loss=(y_pred -y_true[0] )^2
    else:
        loss=0
    return loss

我认为反向传播中的导数不会受到这种时间偏移的影响。

LSTM集成用户自定义损失函数

LSTM integration of user-defined loss function

python

lstm

keras

tensorflow

loss-function