| //+------------------------------------------------------------------+
|
| //| Trajectory.mqh |
|
| //| Copyright DNG® |
|
| //| https://www.mql5.com/ru/users/dng |
|
| //+------------------------------------------------------------------+
|
| #property copyright "Copyright DNG®"
|
| #property link "https://www.mql5.com/ru/users/dng"
|
| #property version "1.00"
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| #include "..\RL\FQF.mqh"
|
| //---
|
| #define HistoryBars 20 //Depth of history
|
| #define BarDescr 12 //Elements for 1 bar description
|
| #define AccountDescr 9 //Account description
|
| #define NActions 4 //Number of possible Actions
|
| #define NSkills 10 //Number of skills
|
| #define Buffer_Size 2112
|
| #define FileName "DIAYN"
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| struct SState
|
| {
|
| float state[HistoryBars * BarDescr];
|
| float account[AccountDescr];
|
| //---
|
| SState(void);
|
| //---
|
| bool Save(int file_handle);
|
| bool Load(int file_handle);
|
| //--- overloading
|
| void operator=(const SState &obj) { ArrayCopy(state, obj.state); ArrayCopy(account, obj.account); }
|
| };
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| //| | Implements SState. |
|
| //+------------------------------------------------------------------+
|
| SState::SState(void)
|
| {
|
| ArrayInitialize(state, 0);
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| ArrayInitialize(account, 0);
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| //| | Saves . |
|
| //+------------------------------------------------------------------+
|
| bool SState::Save(int file_handle)
|
| {
|
| if(file_handle == INVALID_HANDLE)
|
| return false;
|
| //---
|
| int total = ArraySize(state);
|
| if(FileWriteInteger(file_handle, total) < sizeof(int))
|
| return false;
|
| for(int i = 0; i < total; i++)
|
| if(FileWriteFloat(file_handle, state[i]) < sizeof(float))
|
| return false;
|
| //---
|
| total = ArraySize(account);
|
| if(FileWriteInteger(file_handle, total) < sizeof(int))
|
| return false;
|
| for(int i = 0; i < total; i++)
|
| if(FileWriteFloat(file_handle, account[i]) < sizeof(float))
|
| return false;
|
| //---
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| //| | Loads . |
|
| //+------------------------------------------------------------------+
|
| bool SState::Load(int file_handle)
|
| {
|
| if(file_handle == INVALID_HANDLE)
|
| return false;
|
| if(FileIsEnding(file_handle))
|
| return false;
|
| //---
|
| int total = FileReadInteger(file_handle);
|
| if(total != ArraySize(state))
|
| return false;
|
| //---
|
| for(int i = 0; i < total; i++)
|
| {
|
| if(FileIsEnding(file_handle))
|
| return false;
|
| state[i] = FileReadFloat(file_handle);
|
| }
|
| //---
|
| total = FileReadInteger(file_handle);
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| if(total != ArraySize(account))
|
| return false;
|
| //---
|
| for(int i = 0; i < total; i++)
|
| {
|
| if(FileIsEnding(file_handle))
|
| return false;
|
| account[i] = FileReadFloat(file_handle);
|
| }
|
| //---
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| struct STrajectory
|
| {
|
| SState States[Buffer_Size];
|
| int Actions[Buffer_Size];
|
| float Revards[Buffer_Size];
|
| int Total;
|
| float DiscountFactor;
|
| bool CumCounted;
|
| //---
|
| STrajectory(void);
|
| //---
|
| bool Add(SState &state, int action, float reward);
|
| void CumRevards(void);
|
| //---
|
| bool Save(int file_handle);
|
| bool Load(int file_handle);
|
| };
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| //| | Implements STrajectory. |
|
| //+------------------------------------------------------------------+
|
| STrajectory::STrajectory(void) : Total(0),
|
| // Implements DiscountFactor.
|
| DiscountFactor(0.9f),
|
| // Creates and manages object lifecycle for CumCounted.
|
| CumCounted(false)
|
| {
|
| ArrayInitialize(Actions, -1);
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| ArrayInitialize(Revards, 0);
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| //| | Saves . |
|
| //+------------------------------------------------------------------+
|
| bool STrajectory::Save(int file_handle)
|
| {
|
| if(file_handle == INVALID_HANDLE)
|
| return false;
|
| //---
|
| if(!CumCounted)
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| CumRevards();
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| if(FileWriteInteger(file_handle, Total) < sizeof(int))
|
| return false;
|
| for(int i = 0; i < Total; i++)
|
| {
|
| if(!States[i].Save(file_handle))
|
| return false;
|
| if(FileWriteInteger(file_handle, Actions[i]) < sizeof(int))
|
| return false;
|
| if(FileWriteFloat(file_handle, Revards[i]) < sizeof(float))
|
| return false;
|
| }
|
| //---
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| //| | Loads . |
|
| //+------------------------------------------------------------------+
|
| bool STrajectory::Load(int file_handle)
|
| {
|
| if(file_handle == INVALID_HANDLE)
|
| return false;
|
| //---
|
| Total = FileReadInteger(file_handle);
|
| if(Total >= ArraySize(Actions))
|
| return false;
|
| //---
|
| for(int i = 0; i < Total; i++)
|
| {
|
| if(!States[i].Load(file_handle))
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| return false;
|
| Actions[i] = FileReadInteger(file_handle);
|
| Revards[i] = FileReadFloat(file_handle);
|
| }
|
| CumCounted = true;
|
| //---
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| //| | Creates and manages object lifecycle for CumRevards. |
|
| //+------------------------------------------------------------------+
|
| void STrajectory::CumRevards(void)
|
| {
|
| if(CumCounted)
|
| return;
|
| //---
|
| for(int i = Buffer_Size - 2; i >= 0; i--)
|
| Revards[i] += Revards[i + 1] * DiscountFactor;
|
| CumCounted = true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| //| | Implements Add. |
|
| //+------------------------------------------------------------------+
|
| bool STrajectory::Add(SState &state, int action, float reward)
|
| {
|
| if(Total + 1 >= ArraySize(Actions))
|
| return false;
|
| States[Total] = state;
|
| Actions[Total] = action;
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| if(Total > 0)
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| Revards[Total - 1] = reward;
|
| Total++;
|
| //---
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| //| | Creates or initializes Descriptions. |
|
| //+------------------------------------------------------------------+
|
| bool CreateDescriptions(CArrayObj *actor, CArrayObj *scheduler, CArrayObj *discriminator)
|
| {
|
| //---
|
| if(!actor)
|
| {
|
| actor = new CArrayObj();
|
| if(!actor)
|
| return false;
|
| }
|
| //---
|
| if(!scheduler)
|
| {
|
| scheduler = new CArrayObj();
|
| if(!scheduler)
|
| return false;
|
| }
|
| //---
|
| if(!discriminator)
|
| {
|
| scheduler = new CArrayObj();
|
| if(!scheduler)
|
| return false;
|
| }
|
| //--- Actor
|
| actor.Clear();
|
| CLayerDescription *descr;
|
| //--- Input layer
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| uint prev_count = descr.count = (uint)(HistoryBars * BarDescr + AccountDescr + NSkills);
|
| descr.window = 0;
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!actor.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 1
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBatchNormOCL;
|
| descr.count = prev_count;
|
| descr.batch = 1000;
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!actor.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 2
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronConvOCL;
|
| prev_count = descr.count = prev_count - 1;
|
| descr.window = 2;
|
| descr.step = 1;
|
| descr.window_out = 4;
|
| descr.activation = LReLU;
|
| descr.optimization = ADAM;
|
| if(!actor.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 3
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronProofOCL;
|
| prev_count = descr.count = prev_count;
|
| descr.window = 4;
|
| descr.step = 4;
|
| if(!actor.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 4
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronConvOCL;
|
| prev_count = descr.count = prev_count - 1;
|
| descr.window = 2;
|
| descr.step = 1;
|
| descr.window_out = 4;
|
| descr.activation = LReLU;
|
| descr.optimization = ADAM;
|
| if(!actor.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 5
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = 256;
|
| descr.optimization = ADAM;
|
| descr.activation = TANH;
|
| if(!actor.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 6
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = 256;
|
| descr.activation = LReLU;
|
| descr.optimization = ADAM;
|
| if(!actor.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 7
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = 128;
|
| descr.activation = LReLU;
|
| descr.optimization = ADAM;
|
| if(!actor.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 8
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronFQF;
|
| descr.count = NActions;
|
| descr.window_out = 32;
|
| descr.optimization = ADAM;
|
| if(!actor.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- Scheduler
|
| scheduler.Clear();
|
| //--- Input layer
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| prev_count = descr.count = (HistoryBars * BarDescr + AccountDescr);
|
| descr.window = 0;
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!scheduler.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 1
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBatchNormOCL;
|
| descr.count = prev_count;
|
| descr.batch = 1000;
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!scheduler.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 2
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = 256;
|
| descr.optimization = ADAM;
|
| descr.activation = TANH;
|
| if(!scheduler.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 3
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = 256;
|
| descr.optimization = ADAM;
|
| descr.activation = LReLU;
|
| if(!scheduler.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 4
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronFQF;
|
| descr.count = NSkills;
|
| descr.window_out = 32;
|
| descr.optimization = ADAM;
|
| if(!scheduler.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 5
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronSoftMaxOCL;
|
| descr.count = NSkills;
|
| descr.step = 1;
|
| descr.optimization = ADAM;
|
| if(!scheduler.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- Discriminator
|
| discriminator.Clear();
|
| //--- Input layer
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| prev_count = descr.count = (HistoryBars * BarDescr + AccountDescr);
|
| descr.window = 0;
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!discriminator.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 1
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBatchNormOCL;
|
| descr.count = prev_count;
|
| descr.batch = 1000;
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!discriminator.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 2
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = 256;
|
| descr.optimization = ADAM;
|
| descr.activation = TANH;
|
| if(!discriminator.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 3
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = 256;
|
| descr.optimization = ADAM;
|
| descr.activation = LReLU;
|
| if(!discriminator.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 4
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = NSkills;
|
| descr.optimization = ADAM;
|
| descr.activation = None;
|
| if(!discriminator.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 5
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronSoftMaxOCL;
|
| descr.count = NSkills;
|
| descr.step = 1;
|
| descr.optimization = ADAM;
|
| if(!discriminator.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //---
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
|
|
