private void Init()
{
this.fType = EOptimizerType.Optimizer;
this.fNParamSubset = 0;
this.fNObjectiveCalls = 0;
this.fVerboseMode = EVerboseMode.Quiet;
this.fLastObjective = 0.0;
}
public void InitNetwork(ECostType costType, CostSettings costSettings, EOptimizerType optimizerType, OptimizerSettings optimizerSettings)
{
Utility.Dims InShape;
Utility.Dims OutShape;
Utility.Dims WShape;
for (int i = 1; i < Layers.Count; i++)
{
Data.Data["a" + i.ToString()] = new Matrix(Layers[i].NCount, 1);
InShape = new Utility.Dims(Layers[i].NCount, 1);
Data.Data["b" + i.ToString()] = Matrix.RandomMatrix(Layers[i].NCount, 1, 1, EDistrubution.Gaussian);
OutShape = new Utility.Dims(Layers[i].NCount, 1);
Data.Data["W" + i.ToString()] = Matrix.RandomMatrix(Layers[i - 1].NCount, Layers[i].NCount, 1, EDistrubution.Gaussian);
WShape = new Utility.Dims(Layers[i - 1].NCount, Layers[i].NCount);
Layers[i].SetSettings(new LayerSettings(InShape, OutShape, WShape));
}
Data.Data["a0"] = new Matrix(Layers[0].NCount, 1);
InShape = new Utility.Dims(Layers[0].NCount, 1);
Data.Data["b0"] = new Matrix(Layers[0].NCount, 1);
OutShape = new Utility.Dims(Layers[0].NCount, 1);
Data.Data["W0"] = new Matrix(Layers[0].NCount * Layers[1].NCount, Layers[1].NCount);
WShape = new Utility.Dims(Layers[0].NCount * Layers[1].NCount, Layers[1].NCount);
Layers[0].SetSettings(new LayerSettings(InShape, OutShape, WShape));
switch (costType)
{
case ECostType.Invalid:
throw new ArgumentException("Invalid Cost Function Selected!");
case ECostType.CrossEntropyCost:
CostFunction = new CrossEntropyCost((CrossEntropyCostSettings)costSettings);
break;
case ECostType.ExponentionalCost:
CostFunction = new ExponentionalCost((ExponentionalCostSettings)costSettings);
break;
case ECostType.GeneralizedKullbackLeiblerDivergence:
CostFunction = new GeneralizedKullbackLeiblerDivergence((GeneralizedKullbackLeiblerDivergenceSettings)costSettings);
break;
case ECostType.HellingerDistance:
CostFunction = new HellingerDistance((HellingerDistanceSettings)costSettings);
break;
case ECostType.ItakuraSaitoDistance:
CostFunction = new ItakuraSaitoDistance((ItakuraSaitoDistanceSettings)costSettings);
break;
case ECostType.KullbackLeiblerDivergence:
CostFunction = new KullbackLeiblerDivergence((KullbackLeiblerDivergenceSettings)costSettings);
break;
case ECostType.QuadraticCost:
CostFunction = new QuadraticCost((QuadraticCostSettings)costSettings);
break;
default:
throw new ArgumentException("Invalid Cost Function Selected!");
}
switch (optimizerType)
{
case EOptimizerType.Invalid:
throw new ArgumentException("Invalid Optimizer Function Selected!");
case EOptimizerType.AdaDelta:
OptimizerFunction = new AdaDelta((AdaDeltaSettings)optimizerSettings);
break;
case EOptimizerType.AdaGrad:
OptimizerFunction = new AdaGrad((AdaGradSettings)optimizerSettings);
break;
case EOptimizerType.Adam:
OptimizerFunction = new Adam((AdamSettings)optimizerSettings);
break;
case EOptimizerType.Adamax:
OptimizerFunction = new Adamax((AdamaxSettings)optimizerSettings);
break;
case EOptimizerType.GradientDescent:
OptimizerFunction = new GradientDescent((GradientDescentSettings)optimizerSettings);
break;
case EOptimizerType.Momentum:
OptimizerFunction = new Momentum((MomentumSettings)optimizerSettings);
break;
case EOptimizerType.Nadam:
OptimizerFunction = new Nadam((NadamSettings)optimizerSettings);
break;
case EOptimizerType.NesterovMomentum:
OptimizerFunction = new NesterovMomentum((NesterovMomentumSettings)optimizerSettings);
break;
case EOptimizerType.RMSProp:
OptimizerFunction = new RMSProp((RMSPropSettings)optimizerSettings);
break;
default:
throw new ArgumentException("Invalid Optimizer Function Selected!");
}
}
protected MetaStrategyBase(string name)
{
this.name = name;
this.strategies = new StrategyList();
this.SimulationManager = StrategyComponentManager.GetComponent("GetComponent", (object)this) as SimulationManager;
this.OptimizationManager = StrategyComponentManager.GetComponent("GetComponent", (object)this) as OptimizationManager;
this.ReportManager = StrategyComponentManager.GetComponent("GetComponent", (object)this) as ReportManager;
this.MetaMoneyManager = StrategyComponentManager.GetComponent("GetComponent", (object)this) as MetaMoneyManager;
this.portfolio = PortfolioManager.Portfolios[name];
if (this.portfolio == null)
this.portfolio = new Portfolio(name);
this.resetPortfolio = true;
this.tester = new LiveTester(this.portfolio);
this.tester.FollowChanges = true;
this.optimizer = (Optimizer)new BruteForce((IOptimizable)this);
this.optimizer.BestObjectiveReceived += new EventHandler(this.OnBestObjectiveReceived);
this.optimizerType = EOptimizerType.BruteForce;
// this.wufWtLkISI = new J8EmIiFmOtaja37OfO(this);
// this.ftRWdJyyOv = new cLHjLO4PpuI7TxofSw(this);
// this.XY4Ww3QE51 = new TGZcynM7UfxwdxKdmx(this);
// this.J37WmrcrSi = new FZ0WAbPUwn6OHn5Upr(this);
// this.zVLWf0C4Mc = new ALxag60bMZlMBTZjqL(this);
this.wH2We9sYJA = new Dictionary<IProvider, List<StrategyBase>>();
this.vXRWgwkIPm = new Dictionary<IMarketDataProvider, Dictionary<Instrument, List<StrategyBase>>>();
this.DKMWNa8OX5 = new Dictionary<SingleOrder, StrategyBase>();
this.sbiWzb0PxN = new Dictionary<IService, List<StrategyBase>>();
this.EdxRkK8EdT = new Dictionary<IExecutionService, List<StrategyBase>>();
this.maxConnectionTime = 10;
this.simulator = (ProviderManager.MarketDataSimulator as SimulationDataProvider).Simulator;
this.simulator.StateChanged += new EventHandler(this.md8Wiw2OiW);
this.isRunning = false;
this.isOptimizing = false;
this.optimizationParemeters = new ArrayList();
this.drawingPrimitives = new Hashtable();
this.portfolioStopList = new StopList();
this.portfolios = new Dictionary<Instrument, Portfolio>();
this.testers = new Dictionary<Instrument, LiveTester>();
this.executionServicesEnabled = false;
this.componentTypeList = new List<ComponentType>();
this.componentTypeList.Add(ComponentType.SimulationManager);
this.componentTypeList.Add(ComponentType.MetaMoneyManager);
this.componentTypeList.Add(ComponentType.OptimizationManager);
this.componentTypeList.Add(ComponentType.ReportManager);
}
private void Init()
{
this.fType = EOptimizerType.Optimizer;
this.fNParamSubset = 0;
this.fNObjectiveCalls = 0;
this.fVerboseMode = EVerboseMode.Quiet;
this.fLastObjective = 0.0;
}