元控制器: 元任务和元数据集合元模型
介绍
元控制器
为 预测模型
提供指导,其旨在学习一系列预测任务中的规律模式,并使用学到的模式指导即将进行的预测任务。用户可以基于 元控制器
模块来实现自己的元模型实例。
元任务
元任务 实例是元学习框架中的基本元素。它保存了可以用于 元模型 的数据。多个 元任务 实例可以共享相同的 数据处理器,由 元数据集 控制。用户应该使用 prepare_task_data() 来获取可以直接输入 元模型 的数据。
- class qlib.model.meta.task.MetaTask(task: dict, meta_info: object, mode: str = 'full')
A single meta-task, a meta-dataset contains a list of them. It serves as a component as in MetaDatasetDS
The data processing is different
the processed input may be different between training and testing
When training, the X, y, X_test, y_test in training tasks are necessary (# PROC_MODE_FULL #) but not necessary in test tasks. (# PROC_MODE_TEST #)
When the meta model can be transferred into other dataset, only meta_info is necessary (# PROC_MODE_TRANSFER #)
- __init__(task: dict, meta_info: object, mode: str = 'full')
The __init__ func is responsible for
store the task
store the origin input data for
process the input data for meta data
- 参数:
task (dict) – the task to be enhanced by meta model
meta_info (object) – the input for meta model
- get_meta_input() object
Return the processed meta_info
元数据集
元数据集 控制元信息生成过程。它负责提供训练 元模型 所需的数据。用户应该使用 prepare_tasks 来获取 元任务 实例的列表。
- class qlib.model.meta.dataset.MetaTaskDataset(segments: Dict[str, Tuple] | float, *args, **kwargs)
A dataset fetching the data in a meta-level.
A Meta Dataset is responsible for
input tasks(e.g. Qlib tasks) and prepare meta tasks
meta task contains more information than normal tasks (e.g. input data for meta model)
The learnt pattern could transfer to other meta dataset. The following cases should be supported
A meta-model trained on meta-dataset A and then applied to meta-dataset B
Some pattern are shared between meta-dataset A and B, so meta-input on meta-dataset A are used when meta model are applied on meta-dataset-B
- __init__(segments: Dict[str, Tuple] | float, *args, **kwargs)
The meta-dataset maintains a list of meta-tasks when it is initialized.
The segments indicates the way to divide the data
The duty of the __init__ function of MetaTaskDataset - initialize the tasks
- prepare_tasks(segments: List[str] | str, *args, **kwargs) List[MetaTask]
Prepare the data in each meta-task and ready for training.
The following code example shows how to retrieve a list of meta-tasks from the meta_dataset:
# get the train segment and the test segment, both of them are lists train_meta_tasks, test_meta_tasks = meta_dataset.prepare_tasks(["train", "test"])
- 参数:
segments (Union[List[Text], Tuple[Text], Text]) – the info to select data
- 返回:
A list of the prepared data of each meta-task for training the meta-model. For multiple segments [seg1, seg2, … , segN], the returned list will be [[tasks in seg1], [tasks in seg2], … , [tasks in segN]]. Each task is a meta task
- 返回类型:
list
元模型
一般元模型
Meta Model(元模型) 实例是控制工作流程的部分。使用 Meta Model(元模型) 的方式包括: 1. 用户使用 fit 函数对 Meta Model(元模型) 进行训练。 2. Meta Model(元模型) 实例通过 inference 函数提供有用的信息来指导工作流程。
- class qlib.model.meta.model.MetaModel
The meta-model guiding the model learning.
The word Guiding can be categorized into two types based on the stage of model learning - The definition of learning tasks: Please refer to docs of MetaTaskModel - Controlling the learning process of models: Please refer to the docs of MetaGuideModel
- abstract fit(*args, **kwargs)
The training process of the meta-model.
- abstract inference(*args, **kwargs) object
The inference process of the meta-model.
- 返回:
Some information to guide the model learning
- 返回类型:
object
元任务模型
这种类型的元模型可以直接与任务定义进行交互。然后,Meta Task Model(元任务模型) 是它们继承的类。它们通过修改基本任务定义来指导基本任务。可以使用 prepare_tasks 函数来获取修改后的基本任务定义。
- class qlib.model.meta.model.MetaTaskModel
This type of meta-model deals with base task definitions. The meta-model creates tasks for training new base forecasting models after it is trained. prepare_tasks directly modifies the task definitions.
- fit(meta_dataset: MetaTaskDataset)
The MetaTaskModel is expected to get prepared MetaTask from meta_dataset. And then it will learn knowledge from the meta tasks
- inference(meta_dataset: MetaTaskDataset) List[dict]
MetaTaskModel will make inference on the meta_dataset The MetaTaskModel is expected to get prepared MetaTask from meta_dataset. Then it will create modified task with Qlib format which can be executed by Qlib trainer.
- 返回:
A list of modified task definitions.
- 返回类型:
List[dict]
元指导模型
这种类型的元模型参与基本预测模型的训练过程。元模型可以在训练期间指导基本预测模型以提高性能。
- class qlib.model.meta.model.MetaGuideModel
This type of meta-model aims to guide the training process of the base model. The meta-model interacts with the base forecasting models during their training process.
- abstract fit(*args, **kwargs)
The training process of the meta-model.
- abstract inference(*args, **kwargs)
The inference process of the meta-model.
- 返回:
Some information to guide the model learning
- 返回类型:
object
示例
Qlib
提供了 Meta Model(元模型)
模块的实现,DDG-DA
,它适应于市场动态。
DDG-DA
包括四个步骤:
计算元信息并将其封装到
Meta Task(元任务)
实例中。所有的元任务形成一个Meta Dataset(元数据集)
实例。基于元数据集的训练数据训练
DDG-DA
。进行
DDG-DA
的推理以获取指导信息。将指导信息应用于预测模型以提高性能。
可以在 examples/benchmarks_dynamic/DDG-DA/workflow.py
中找到 上述示例 。