Files
2022-03-13 14:59:42 +01:00

125 lines
4.1 KiB
Python

from models.sklearn import SKLearnModel
from sklearn.ensemble import RandomForestClassifier
from .base import Model
default_feature_selector_classification = SKLearnModel(
RandomForestClassifier(n_jobs=-1, max_depth=20, random_state=1)
)
def get_model(model_name: str) -> Model:
def set_name(model: Model) -> Model:
model.name = model_name
return model
if model_name == "LogisticRegression_two_class":
from sklearn.linear_model import LogisticRegression
return set_name(
SKLearnModel(
LogisticRegression(
C=10, random_state=1, solver="liblinear", max_iter=1000
)
)
)
elif model_name == "LogisticRegression_three_class":
from sklearn.linear_model import LogisticRegression as LogisticRegression_EX
return set_name(
SKLearnModel(
LogisticRegression_EX(C=10, random_state=1, max_iter=1000, n_jobs=-1)
)
)
elif model_name == "LDA":
from sklearn.discriminant_analysis import LinearDiscriminantAnalysis
return set_name(SKLearnModel(LinearDiscriminantAnalysis()))
elif model_name == "KNN":
from sklearn.neighbors import KNeighborsClassifier
return set_name(SKLearnModel(KNeighborsClassifier()))
elif model_name == "CART":
from sklearn.tree import DecisionTreeClassifier
return set_name(
SKLearnModel(DecisionTreeClassifier(max_depth=15, random_state=1))
)
elif model_name == "NB":
from sklearn.naive_bayes import GaussianNB
return set_name(SKLearnModel(GaussianNB()))
elif model_name == "AB":
from sklearn.ensemble import AdaBoostClassifier
return set_name(SKLearnModel(AdaBoostClassifier(n_estimators=15)))
elif model_name == "RFC":
return set_name(
SKLearnModel(
RandomForestClassifier(n_jobs=-1, max_depth=20, random_state=1)
)
)
elif model_name == "SVC":
from sklearn.svm import SVC
return set_name(
SKLearnModel(SVC(kernel="rbf", C=1e3, probability=True, random_state=1))
)
# elif model_name == 'XGB_two_class':
# from xgboost import XGBClassifier
# from models.xgboost import XGBoostModel
# return set_name(XGBoostModel(XGBClassifier(n_jobs=-1, max_depth = 20, random_state=1, objective='binary:logistic', use_label_encoder= False, eval_metric='mlogloss')))
elif model_name == "LGBM":
from lightgbm import LGBMClassifier
return set_name(
SKLearnModel(LGBMClassifier(n_jobs=-1, max_depth=20, random_state=1))
)
elif model_name == "HyperOpt":
from hpsklearn import HyperoptEstimator
from hyperopt import tpe
return set_name(
SKLearnModel(
HyperoptEstimator(
algo=tpe.suggest,
trial_timeout=300,
)
)
)
elif model_name == "AutoML":
from supervised.automl import AutoML
return set_name(
SKLearnModel(
AutoML(
total_time_limit=60,
mode="Compete",
algorithms=[
"Baseline",
"Linear",
"Random Forest",
"Extra Trees",
"LightGBM",
"CatBoost",
"Neural Network",
"Nearest Neighbors",
],
validation_strategy={
"validation_type": "split",
"train_ratio": 0.75,
"shuffle": False,
"stratify": True,
},
eval_metric="f1",
)
)
)
elif model_name == "StaticMom":
from models.momentum import StaticMomentumModel
return set_name(StaticMomentumModel(allow_short=True))
else:
raise Exception(f"Model {model_name} not found")