269 行
20 KiB
MQL5
269 行
20 KiB
MQL5
//+------------------------------------------------------------------+
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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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//---
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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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int GetAction(CBufferFloat *results, int model, int total_models)
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{
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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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bool SaveTotalBase(void)
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{
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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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bool LoadTotalBase(void)
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{
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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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//+------------------------------------------------------------------+
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//| Train function |
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//+------------------------------------------------------------------+
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void Train(void)
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{
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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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{
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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;
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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;
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if(GetTickCount() - ticks > 500)
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{
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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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}
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}
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Comment("");
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//---
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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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//---
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}
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//+------------------------------------------------------------------+
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