ml-finance-python

python scripts for finance machine learning
git clone https://9o.is/git/ml-finance-python.git
loss_functions.py

(1045B)
      1 from __future__ import division
      2 import numpy as np
      3 from mlfromscratch.utils import accuracy_score
      4 from mlfromscratch.deep_learning.activation_functions import Sigmoid
      5 
      6 class Loss(object):
      7     def loss(self, y_true, y_pred):
      8         return NotImplementedError()
      9 
     10     def gradient(self, y, y_pred):
     11         raise NotImplementedError()
     12 
     13     def acc(self, y, y_pred):
     14         return 0
     15 
     16 class SquareLoss(Loss):
     17     def __init__(self): pass
     18 
     19     def loss(self, y, y_pred):
     20         return 0.5 * np.power((y - y_pred), 2)
     21 
     22     def gradient(self, y, y_pred):
     23         return -(y - y_pred)
     24 
     25 class CrossEntropy(Loss):
     26     def __init__(self): pass
     27 
     28     def loss(self, y, p):
     29         # Avoid division by zero
     30         p = np.clip(p, 1e-15, 1 - 1e-15)
     31         return - y * np.log(p) - (1 - y) * np.log(1 - p)
     32 
     33     def acc(self, y, p):
     34         return accuracy_score(np.argmax(y, axis=1), np.argmax(p, axis=1))
     35 
     36     def gradient(self, y, p):
     37         # Avoid division by zero
     38         p = np.clip(p, 1e-15, 1 - 1e-15)
     39         return - (y / p) + (1 - y) / (1 - p)
     40 
     41