Original_NNB/MQL5/Scripts/NeuroNetworksBook/rnn/check_gradient_lstm.mq5

<EFBFBD><EFBFBD>//+------------------------------------------------------------------+
//|                                          Check_Gradient_lstm.mq5 |
//|                                  Copyright 2021, MetaQuotes Ltd. |
//|                                             https://www.mql5.com |
//+------------------------------------------------------------------+
#property copyright "Copyright 2021, MetaQuotes Ltd."
#property link      "https://www.mql5.com"
#property version   "1.00"
#property script_show_inputs
//+------------------------------------------------------------------+
//| =5H=85 ?0@0<5B@K 4;O @01>BK A:@8?B0                             |
//+------------------------------------------------------------------+
input string   StudyFileName = "study_data.csv";// <O D09;0 A >1CG0NI59 2K1>@:>9
input int      BarsToLine = 40;                 // >;8G5AB2> 8AB>@8G5A:8E 10@>2 2 >4=>< ?0BB5@=5
input bool     UseOpenCL   =  true;             // A?>;L7>20BL OpenCL
//+------------------------------------------------------------------+
//| >4:;NG05< 181;8>B5:C =59@>==>9 A5B8                             |
//+------------------------------------------------------------------+
#include <NeuroNetworksBook\realization\neuronnet.mqh>
CNet *net;
//+------------------------------------------------------------------+
//| 0G0;> ?@>3@0<<K A:@8?B0                                         |
//+------------------------------------------------------------------+
void OnStart()
  {
//---
   CArrayObj *layers = new CArrayObj();
   if(CheckPointer(layers) == POINTER_INVALID)
     {
      PrintFormat("Error of create CArrayObj: %d", GetLastError());
      return;
     }
//--- !;>9 8AE>4=KE 40==KE
   CLayerDescription *descr = new CLayerDescription();
   if(CheckPointer(descr) == POINTER_INVALID)
     {
      PrintFormat("Error of create CLayerDescription: %d", GetLastError());
      delete layers;
      return;
     }
   descr.type = defNeuronBase;
   descr.count = 4 * BarsToLine;
   descr.window = 0;
   descr.activation = ACT_None;
   descr.optimization = None;
   if(!layers.Add(descr))
     {
      PrintFormat("Error of add layer: %d", GetLastError());
      delete layers;
      delete descr;
      return;
     }
//---  5::C@5=B=K9 A;>9
   descr = new CLayerDescription();
   if(CheckPointer(descr) == POINTER_INVALID)
     {
      PrintFormat("Error of create CLayerDescription: %d", GetLastError());
      delete layers;
      return;
     }
   descr.type = defNeuronLSTM;
   descr.count = BarsToLine;
   descr.window_out = 2;
   descr.activation = ACT_None;
   descr.optimization = Adam;
   descr.activation_params[0] = 1;
   if(!layers.Add(descr))
     {
      PrintFormat("Error of add layer: %d", GetLastError());
      delete layers;
      delete descr;
      return;
     }
//---  !;>9 @57C;LB0B>2
   descr = new CLayerDescription();
   if(CheckPointer(descr) == POINTER_INVALID)
     {
      PrintFormat("Error of create CLayerDescription: %d", GetLastError());
      delete layers;
      return;
     }
   descr.type = defNeuronBase;
   descr.count = 1;
   descr.activation = ACT_LINE;
   descr.optimization = Adam;
   descr.activation_params[0] = 1;
   descr.activation_params[1] = 0;
   if(!layers.Add(descr))
     {
      PrintFormat("Error of add layer: %d", GetLastError());
      delete layers;
      delete descr;
      return;
     }
//--- =8F80;878@C5< =59@>==CN A5BL
   net = new CNet();
   if(CheckPointer(net) == POINTER_INVALID)
     {
      PrintFormat("Error of create Net: %d", GetLastError());
      delete layers;
      return;
     }
//---
   if(!net.Create(layers, 3.0e-4, 0.9, 0.999, ENUM_LOSS_MSE, 0, 0))
     {
      PrintFormat("Error of init Net: %d", GetLastError());
      delete layers;
      delete net;
      return;
     }
   delete layers;
   net.UseOpenCL(UseOpenCL);
   PrintFormat("Use OpenCL %s", (string)net.UseOpenCL());
//--- B:@K205< D09; 8 AG8BK205< >48= ?0BB5@= 8AE>4=KE 40==KE
   int handle = FileOpen(StudyFileName, FILE_READ | FILE_CSV | FILE_ANSI, ",", CP_UTF8);
   if(handle == INVALID_HANDLE)
     {
      PrintFormat("Error of open study data file: %d", GetLastError());
      delete net;
      return;
     }
//--- !>7405< 1CD5@ 4;O AG8BK20=8O 8AE>4=KE 40==KE
   CArrayDouble *pattern = new CArrayDouble();
   if(CheckPointer(pattern) == POINTER_INVALID)
     {
      PrintFormat("Error of create Pattern data array: %d", GetLastError());
      delete net;
      return;
     }
   if(!FileIsEnding(handle) && !IsStopped())
     {
      for(int i = 0; i < 4 * BarsToLine; i++)
        {
         if(!pattern.Add(FileReadNumber(handle)))
           {
            PrintFormat("Error of read study data from file: %d", GetLastError());
            delete net;
            delete pattern;
            return;
           }
        }
     }
   FileClose(handle);
//--- 5;05< ?@O<>9 8 >1@0B=K9 ?@>E>4 4;O ?>;CG5=8O 0=0;8B8G5A:8E 3@0485=B>2
   const double delta = 1.0e-5;
   double dd = 0;
   CArrayDouble *init_pattern = new CArrayDouble();
   init_pattern.AssignArray(pattern);
   if(!net.FeedForward(pattern))
     {
      PrintFormat("Error in FeedForward: %d", GetLastError());
      delete net;
      delete pattern;
      delete init_pattern;
      return;
     }
   CBufferDouble *etalon_result = new CBufferDouble();
   if(!net.GetResults(etalon_result))
     {
      PrintFormat("Error in GetResult: %d", GetLastError());
      delete net;
      delete pattern;
      delete init_pattern;
      delete etalon_result;
      return;
     }
//--- !>7425< 1CD5@ @57C;LB0B>2
   CBufferDouble *target = new CBufferDouble();
   if(CheckPointer(target) == POINTER_INVALID)
     {
      PrintFormat("Error of create Pattern Target array: %d", GetLastError());
      delete net;
      delete pattern;
      delete init_pattern;
      delete etalon_result;
      return;
     }
//--- !>E@0=O5< 2 >B45;L=K5 1CD5@K ?>;CG5==K5 40==K5
   target.AssignArray(etalon_result);
   target.Update(0, etalon_result.At(0) + delta);
   if(!net.Backpropagation(target))
     {
      PrintFormat("Error in Backpropagation: %d", GetLastError());
      delete net;
      delete pattern;
      delete init_pattern;
      delete etalon_result;
      delete target;
      return;
     }
   CBufferDouble *input_gradient = net.GetGradient(0);
   CBufferDouble *weights = net.GetWeights(1);
   CBufferDouble *weights_gradient = net.GetDeltaWeights(1);
//---  F8:;5 ?>>G5@54=> 87<5=O5< M;5<5=BK 8AE>4=KE 40==KE 8 A@02=8205< M<?8@8G5A:89 @57C;LB0B A 7=0G5=85< 0=0;8B8G5A:>3> <5B>40
   for(int k = 0; k < 4 * BarsToLine; k++)
     {
      pattern.AssignArray(init_pattern);
      pattern.Update(k, init_pattern.At(k) + delta);
      if(!net.FeedForward(pattern))
        {
         PrintFormat("Error in FeedForward: %d", GetLastError());
         delete net;
         delete pattern;
         delete init_pattern;
         delete etalon_result;
         delete target;
         return;
        }
      if(!net.GetResults(target))
        {
         PrintFormat("Error in GetResult: %d", GetLastError());
         delete net;
         delete pattern;
         delete init_pattern;
         delete etalon_result;
         delete target;
         return;
        }
      double d = target.At(0) - etalon_result.At(0);
      pattern.Update(k, init_pattern.At(k) - delta);
      if(!net.FeedForward(pattern))
        {
         PrintFormat("Error in FeedForward: %d", GetLastError());
         delete net;
         delete pattern;
         delete init_pattern;
         delete etalon_result;
         delete target;
         return;
        }
      if(!net.GetResults(target))
        {
         PrintFormat("Error in GetResult: %d", GetLastError());
         delete net;
         delete pattern;
         delete init_pattern;
         delete etalon_result;
         delete target;
         return;
        }
      d -= target.At(0) - etalon_result.At(0);
      d /= (2 * delta);
      dd += input_gradient.At(k) / delta - d;
     }
   delete pattern;
//--- K2>48< 2 6C@=0; AC<<0@=>5 7=0G5=85 >B:;>=5=89 =0 C@>2=5 8AE>4=KE 40==KE
   PrintFormat("Delta at input gradient between methods %.5e", dd);
//--- 5@54 2KE>4>< 87 A:@8?B0 >G8I05< ?0<OBL
   delete init_pattern;
   delete etalon_result;
   delete target;
//---
   delete net;
  }
//+------------------------------------------------------------------+