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NN_in_Trading/Experts/RL/FQF.mqh

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Split NeuroNet.mqh
2026-06-05 22:00:59 +03:00
//+------------------------------------------------------------------+
//| FQF.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"
//+------------------------------------------------------------------+
//| Includes |
//+------------------------------------------------------------------+
#include "..\NeuroNet_DNG\NeuroNet.mqh"
//---
#define defFQF 0x7792 ///<Neuron Net \details Identified class #CFQF
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
class CFQF : protected CNet
{
private:
uint iCountBackProp;
protected:
uint iUpdateTarget;
//---
CNet cTargetNet;
public:
/** Constructor */
CFQF(void);
CFQF(CArrayObj *Description) { Create(Description); }
bool Create(CArrayObj *Description);
/** Destructor */~CFQF(void);
bool feedForward(CArrayFloat *inputVals, int window = 1, bool tem = false, CBufferFloat *SecondInput=NULL) ///< Feed Forward method.@param[in] prevLayer Pointer to previos layer. @param[in] window Window of input data. @param[in] tem Use Time Embedding.
{ return CNet::feedForward(inputVals, window, tem,SecondInput); }
bool backProp(CBufferFloat *targetVals, float discount = 0.9f, CArrayFloat *nextState = NULL, int window = 1, bool tem = true, CBufferFloat *SecondInput=NULL, CBufferFloat *SecondGradient=NULL); ///< Back propagation method. @param[in] targetVals Target values
bool backPropGradient(CBufferFloat *SecondInput = NULL, CBufferFloat *SecondGradient = NULL, int LastLayer = -1)
{ return CNet::backPropGradient(SecondInput,SecondGradient,LastLayer); } ///< Back propagation method for GPU calculation. @param[in] targetVals Target values
void getResults(CBufferFloat *&resultVals); ///< Method to get results of feed forward process.@param[out] resultVals Array of result values
void getResults(vector<float> &resultVals); ///< Method to get results of feed forward process.@param[out] resultVals Array of result values
int getAction(void); ///< Method to get results of feed forward process.@param[out] resultVals Array of result values
int getSample(void);
float getRecentAverageError() { return recentAverageError; } ///< Method to check quality of study. @return Average error
bool Save(string file_name, datetime time, bool common = true)
{ return CNet::Save(file_name, getRecentAverageError(), (float)iUpdateTarget, 0, time, common); }
///< Save method. @param[in] file_name File name to save @param[in] error Average error @param[in] undefine Undefined percent @param[in] Foecast percent @param[in] time Last study time @param[in] common Common flag
virtual bool Save(const int file_handle);
virtual bool Load(string file_name, datetime &time, bool common = true);
///< Load method. @param[in] file_name File name to save @param[out] error Average error @param[out] undefine Undefined percent @param[out] Foecast percent @param[out] time Last study time @param[in] common Common flag
virtual bool Load(const int file_handle);
//---
virtual int Type(void) const { return defFQF; }///< Identificator of class.@return Type of class
virtual bool TrainMode(bool flag) { return CNet::TrainMode(flag); } ///< Set Training Mode Flag
virtual bool GetLayerOutput(uint layer, CBufferFloat *&result) ///< Retutn Output data of layer. @param[in] layer Number of layer @param[out] return Buffer with data
{ return CNet::GetLayerOutput(layer, result); }
//---
virtual void SetUpdateTarget(uint batch) { iUpdateTarget = batch; }
virtual bool UpdateTarget(string file_name);
virtual bool WeightsUpdate(CFQF *net, float tau) { return CNet::WeightsUpdate((CNet*) net, tau); }
//---
virtual void SetOpenCL(COpenCLMy *obj);
virtual COpenCLMy* GetOpenCL(void) { return opencl; }
//--- Soft Actor-Critic
virtual bool GetLogProbs(vector<float> &log_probs) { return CNet::GetLogProbs(log_probs); }
virtual bool AlphasGradient(CNet *PolicyNet) { return CNet::AlphasGradient(PolicyNet);}
virtual bool CalcLogProbs(CBufferFloat *buffer) { return CNet::CalcLogProbs(buffer); }
//---
virtual bool Clear(void) { return CNet::Clear(); }
};
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
CFQF::CFQF(void) : iUpdateTarget(1000)
{
cTargetNet.Create(NULL);
Create(NULL);
cTargetNet.SetOpenCL(opencl);
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
CFQF::~CFQF()
{
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
bool CFQF::Create(CArrayObj *Description)
{
if(!CNet::Create(Description))
return false;
cTargetNet.Create(NULL);
cTargetNet.SetOpenCL(opencl);
//---
return true;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
bool CFQF::backProp(CBufferFloat *targetVals, float discount = 0.9f, CArrayFloat *nextState = NULL, int window = 1, bool tem = true, CBufferFloat *SecondInput=NULL, CBufferFloat *SecondGradient=NULL)
{
//---
if(!targetVals)
return false;
//---
if(cTargetNet.GetOpenCL()!=opencl)
cTargetNet.SetOpenCL(opencl);
if(!!nextState && discount!=0.0f)
{
vectorf target;
if(!targetVals.GetData(target) || target.Size() <= 0)
return false;
if(!cTargetNet.feedForward((CArrayFloat*)nextState, window, tem,(CArrayFloat*)NULL))
return false;
cTargetNet.getResults(targetVals);
if(!targetVals)
return false;
target = target + discount * targetVals.Maximum();
if(!targetVals.AssignArray(target))
return false;
}
//---
if(iCountBackProp >= iUpdateTarget)
{
#ifdef FileName
if(UpdateTarget(FileName + ".nnw"))
#else
if(UpdateTarget("FQF.upd"))
#endif
iCountBackProp = 0;
}
else
iCountBackProp++;
//---
return CNet::backProp(targetVals,SecondInput,SecondGradient);
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
void CFQF::getResults(CBufferFloat *&resultVals)
{
CNet::getResults(resultVals);
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
void CFQF::getResults(vector<float> &resultVals)
{
CNet::getResults(resultVals);
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
int CFQF::getAction(void)
{
vector<float> temp;
CNet::getResults(temp);
//---
return (int)temp.ArgMax();
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
int CFQF::getSample(void)
{
CBufferFloat* resultVals;
CNet::getResults(resultVals);
if(!resultVals)
return -1;
vectorf temp;
if(!resultVals.GetData(temp))
{
delete resultVals;
return -1;
}
delete resultVals;
//---
temp = temp / temp.Max();
if(!temp.Activation(temp, AF_SOFTMAX))
return -1;
temp = temp.CumSum();
int err_code;
float random = (float)MathRandomNormal(0.5, 0.5, err_code);
if(random >= 1)
random = temp.Max();
for(int i = 0; i < (int)temp.Size(); i++)
if(random <= temp[i] && temp[i] > 0)
return i;
//---
return -1;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
bool CFQF::UpdateTarget(string file_name)
{
if(!Save(file_name, 0, false))
return false;
float error, undefine, forecast;
datetime time;
if(!cTargetNet.Load(file_name, error, undefine, forecast, time, false))
return false;
iCountBackProp = 0;
if(cTargetNet.GetOpenCL()!=opencl)
cTargetNet.SetOpenCL(opencl);
//---
return true;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
bool CFQF::Save(const int file_handle)
{
if(!CNet::Save(file_handle))
return false;
if(FileWriteInteger(file_handle, (int)iUpdateTarget) < INT_VALUE)
return false;
//---
return true;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
bool CFQF::Load(const int file_handle)
{
if(!CNet::Load(file_handle))
return false;
if(FileIsEnding(file_handle))
return true;
iUpdateTarget = (uint)FileReadInteger(file_handle);
if(!UpdateTarget("FQF.upd"))
return false;
iCountBackProp = 0;
if(cTargetNet.GetOpenCL()!=opencl)
cTargetNet.SetOpenCL(opencl);
//---
return true;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
bool CFQF::Load(string file_name, datetime &time, bool common = true)
{
float undefine, forecast;
if(!CNet::Load(file_name, recentAverageError, undefine, forecast, time, common) ||
!cTargetNet.Load(file_name, recentAverageError, undefine, forecast, time, common))
return false;
iUpdateTarget = (uint)undefine;
if(cTargetNet.GetOpenCL()!=opencl)
cTargetNet.SetOpenCL(opencl);
//---
return true;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
void CFQF::SetOpenCL(COpenCLMy *obj)
{
CNet::SetOpenCL(obj);
cTargetNet.SetOpenCL(obj);
}
//+------------------------------------------------------------------+
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