| //+------------------------------------------------------------------+
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| //| Research.mq5 |
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| //| Copyright DNG® |
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| //| https://www.mql5.com/ru/users/dng |
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| //+------------------------------------------------------------------+
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| #property copyright "Copyright DNG®"
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| #property link "https://www.mql5.com/ru/users/dng"
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| #property version "1.00"
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| //+------------------------------------------------------------------+
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| //| |
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| //+------------------------------------------------------------------+
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| #include "Trajectory.mqh"
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| #include "..\RL\FQF.mqh"
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| //+------------------------------------------------------------------+
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| //| Input parameters |
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| //+------------------------------------------------------------------+
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| input int Iterations = 100000;
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| bool TrainMode = true;
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| //+------------------------------------------------------------------+
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| //| |
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| //+------------------------------------------------------------------+
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| STrajectory Buffer[];
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| CNet Actor;
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| CNet Critic;
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| CFQF Scheduler;
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| int Models = 1;
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| //---
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| float dError;
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| datetime dtStudied;
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| //---
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| CBufferFloat State1;
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| CBufferFloat Result;
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| vector<float> ActorResult;
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| vector<float> CriticResult;
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| vector<float> SchedulerResult;
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| bool Sample = true;
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| //+------------------------------------------------------------------+
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| //| Expert initialization function |
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| //+------------------------------------------------------------------+
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| int OnInit()
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| {
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| //---
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| ResetLastError();
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| if(!LoadTotalBase())
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| {
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| PrintFormat("Error of load study data: %d", GetLastError());
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| return INIT_FAILED;
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| }
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| //--- load models
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| float temp;
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| if(!Actor.Load(FileName + "Act.nnw", temp, temp, temp, dtStudied, true) ||
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| !Critic.Load(FileName + "Crt.nnw", temp, temp, temp, dtStudied, true) ||
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| !Scheduler.Load(FileName + "Sch.nnw", dtStudied, true))
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| {
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| CArrayObj *actor = new CArrayObj();
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| CArrayObj *critic = new CArrayObj();
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| CArrayObj *schedule = new CArrayObj();
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| if(!CreateDescriptions(actor, critic, schedule))
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| {
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| delete actor;
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| delete critic;
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| delete schedule;
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| return INIT_FAILED;
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| }
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| if(!Actor.Create(actor) || !Critic.Create(critic) || !Scheduler.Create(schedule))
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| {
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| delete actor;
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| delete critic;
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| delete schedule;
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| return INIT_FAILED;
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| }
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| delete actor;
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| delete critic;
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| delete schedule;
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| }
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| else
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| Sample = false;
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| Scheduler.getResults(SchedulerResult);
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| Models = (int)SchedulerResult.Size();
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| Actor.getResults(ActorResult);
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| Scheduler.SetUpdateTarget(Iterations);
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| if(ActorResult.Size() % Models != 0)
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| {
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| PrintFormat("The scope of the scheduler does not match the scope of the Agent (%d <> %d)", Models, ActorResult.Size());
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| return INIT_FAILED;
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| }
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| //---
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| if(!EventChartCustom(ChartID(), 1, 0, 0, "Init"))
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| {
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| PrintFormat("Error of create study event: %d", GetLastError());
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| return INIT_FAILED;
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| }
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| //---
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| return(INIT_SUCCEEDED);
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| }
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| //+------------------------------------------------------------------+
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| //| Expert deinitialization function |
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| //+------------------------------------------------------------------+
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| void OnDeinit(const int reason)
|
| {
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| //---
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| Actor.Save(FileName + "Act.nnw", 0, 0, 0, TimeCurrent(), true);
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| Critic.Save(FileName + "Crt.nnw", 0, 0, 0, TimeCurrent(), true);
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| Scheduler.Save(FileName + "Sch.nnw", TimeCurrent(), true);
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| }
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| //+------------------------------------------------------------------+
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| //| ChartEvent function |
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| //+------------------------------------------------------------------+
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| void OnChartEvent(const int id,
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| const long &lparam,
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| const double &dparam,
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| const string &sparam)
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| {
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| //---
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| if(id == 1001)
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| Train();
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| }
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| //+------------------------------------------------------------------+
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| //| |
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| //+------------------------------------------------------------------+
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| //| | Gets Action. |
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| //+------------------------------------------------------------------+
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| int GetAction(CBufferFloat *results, int model, int total_models)
|
| {
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| if(!results)
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| return -1;
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| int actions = results.Total() / total_models;
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| vectorf temp;
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| temp.Init(actions);
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| int start = model * actions;
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| for(int i = 0; i < actions; i++)
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| temp[i] = results.At(start + i);
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| temp = temp.CumSum() / temp.Sum();
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| int err_code;
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| float random = (float)MathRandomNormal(0.5, 0.4, err_code);
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| if(random >= 0 && random <= 1)
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| for(int i = 0; i < actions; i++)
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| if(random <= temp[i])
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| return i;
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| //---
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| return (actions - 1);
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| }
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| //+------------------------------------------------------------------+
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| //| |
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| //+------------------------------------------------------------------+
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| //| | Saves TotalBase. |
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| //+------------------------------------------------------------------+
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| bool SaveTotalBase(void)
|
| {
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| int total = ArraySize(Buffer);
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| if(total < 0)
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| return true;
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| int handle = FileOpen(FileName + ".bd", FILE_WRITE | FILE_BIN | FILE_COMMON);
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| if(handle < 0)
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| return false;
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| if(FileWriteInteger(handle, total) < INT_VALUE)
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| {
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| FileClose(handle);
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| return false;
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| }
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| for(int i = 0; i < total; i++)
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| if(!Buffer[i].Save(handle))
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| {
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| FileClose(handle);
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| return false;
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| }
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| FileFlush(handle);
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| FileClose(handle);
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| //---
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| return true;
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| }
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| //+------------------------------------------------------------------+
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| //| |
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| //+------------------------------------------------------------------+
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| //| | Loads TotalBase. |
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| //+------------------------------------------------------------------+
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| bool LoadTotalBase(void)
|
| {
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| int handle = FileOpen(FileName + ".bd", FILE_READ | FILE_BIN | FILE_COMMON | FILE_SHARE_READ);
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| if(handle < 0)
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| return false;
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| int total = FileReadInteger(handle);
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| if(total <= 0)
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| {
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| FileClose(handle);
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| return false;
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| }
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| if(ArrayResize(Buffer, total) < total)
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| {
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| FileClose(handle);
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| return false;
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| }
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| for(int i = 0; i < total; i++)
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| if(!Buffer[i].Load(handle))
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| {
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| FileClose(handle);
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| return false;
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| }
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| FileClose(handle);
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| //---
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| return true;
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| }
|
| //+------------------------------------------------------------------+
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| //| Train function |
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| //+------------------------------------------------------------------+
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| void Train(void)
|
| {
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| int total_tr = ArraySize(Buffer);
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| uint ticks = GetTickCount();
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| for(int iter = 0; (iter < Iterations && !IsStopped()); iter ++)
|
| {
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| int tr = (int)(((double)MathRand() / 32767.0) * (total_tr - 1));
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| int i = 0;
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| i = (int)((MathRand() * MathRand() / MathPow(32767, 2)) * (Buffer[tr].Total - 2));
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| State1.AssignArray(Buffer[tr].States[i].state);
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| if(IsStopped())
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| {
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| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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| ExpertRemove();
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| return;
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| }
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| if(!Actor.feedForward(GetPointer(State1), 12, true, (CBufferFloat*)NULL) ||
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| !Critic.feedForward(GetPointer(State1), 12, true, (CBufferFloat*)NULL))
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| return;
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| Actor.getResults(ActorResult);
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| Critic.getResults(CriticResult);
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| State1.AddArray(ActorResult);
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| if(!Scheduler.feedForward(GetPointer(State1), 12, true))
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| return;
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| Scheduler.getResults(SchedulerResult);
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| int agent = (Sample ? Scheduler.getSample() : Scheduler.getAction());
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| if(agent < 0)
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| {
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| iter--;
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| continue;
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| }
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| int actions = (int)(ActorResult.Size() / SchedulerResult.Size());
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| float max_value = CriticResult[agent * actions];
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| for(int j = 1; j < actions; j++)
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| max_value = MathMax(max_value, CriticResult[agent * actions + j]);
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| SchedulerResult[agent] = Buffer[tr].Revards[i];
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| Result.AssignArray(SchedulerResult);
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| //---
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| if(!Scheduler.backProp(GetPointer(Result), 0.0f, NULL))
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| return;
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| int agent_action = agent * actions + Buffer[tr].Actions[i];
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| CriticResult[agent_action] = Buffer[tr].Revards[i];
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| Result.AssignArray(CriticResult);
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| //---
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| if(!Critic.backProp(GetPointer(Result), (CBufferFloat*)NULL))
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| return;
|
| ActorResult.Fill(0);
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| ActorResult[agent_action] = Buffer[tr].Revards[i] - max_value;
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| Result.AssignArray(ActorResult);
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| //---
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| if(!Actor.backProp(GetPointer(Result), (CBufferFloat*)NULL))
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| return;
|
| if(GetTickCount() - ticks > 500)
|
| {
|
| string str = StringFormat("Actor %.2f%% -> Error %.8f\n", iter * 100.0 / (double)(Iterations), Actor.getRecentAverageError());
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| str += StringFormat("Critic %.2f%% -> Error %.8f\n", iter * 100.0 / (double)(Iterations), Critic.getRecentAverageError());
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| str += StringFormat("Scheduler %.2f%% -> Error %.8f\n", iter * 100.0 / (double)(Iterations), Scheduler.getRecentAverageError());
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| Comment(str);
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| ticks = GetTickCount();
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| }
|
| }
|
| Comment("");
|
| //---
|
| PrintFormat("%s -> %d -> %10.7f", __FUNCTION__, __LINE__, Actor.getRecentAverageError());
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| PrintFormat("%s -> %d -> %10.7f", __FUNCTION__, __LINE__, Critic.getRecentAverageError());
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| PrintFormat("%s -> %d -> %10.7f", __FUNCTION__, __LINE__, Scheduler.getRecentAverageError());
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| ExpertRemove();
|
| //---
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| }
|
| //+------------------------------------------------------------------+
|
|
|
