开始导入 MinMaxScaler 时会报错 “from . import _arpack ImportError: DLL load failed: 找不到指定的程序。” (把sklearn更新下)和“AttributeError: module 'numpy' has no attribute 'testing'”,然后把numpy卸载重装(pip uninstall numpy; pip install numpy),问题解决。
#import datetime
import pandas as pd
import numpy as np
#from numpy import row_stack,column_stack
import tushare as ts
#import matplotlib
import matplotlib.pyplot as plt
#from matplotlib.pylab import date2num
#from matplotlib.dates import DateFormatter, WeekdayLocator, DayLocator, MONDAY,YEARLY
#from matplotlib.finance import quotes_historical_yahoo_ohlc, candlestick_ohlc
from sklearn.preprocessing import MinMaxScaler
#https://scikit-learn.org/stable/auto_examples/preprocessing/plot_all_scaling.html#sphx-glr-auto-examples-preprocessing-plot-all-scaling-py
from keras.models import Sequential
from keras.layers import LSTM, Dense, Activation
df=ts.get_hist_data('601857',start='2016-06-15',end='2018-01-12')
dd=df[['open','high','low','close']]
#print(dd.values.shape[0])
dd1=dd .sort_index()
dd2=dd1.values.flatten()
dd3=pd.DataFrame(dd1['close'])
def load_data(df, sequence_length=10, split=0.8):
#df = pd.read_csv(file_name, sep=',', usecols=[1])
#data_all = np.array(df).astype(float)
data_all = np.array(df).astype(float)
scaler = MinMaxScaler()
data_all = scaler.fit_transform(data_all)
data = []
for i in range(len(data_all) - sequence_length - 1):
data.append(data_all[i: i + sequence_length + 1])
reshaped_data = np.array(data).astype('float64')
#np.random.shuffle(reshaped_data)
# 对x进行统一归一化,而y则不归一化
x = reshaped_data[:, :-1]
y = reshaped_data[:, -1]
split_boundary = int(reshaped_data.shape[0] * split)
train_x = x[: split_boundary]
test_x = x[split_boundary:]
train_y = y[: split_boundary]
test_y = y[split_boundary:]
return train_x, train_y, test_x, test_y, scaler
def build_model():
# input_dim是输入的train_x的最后一个维度,train_x的维度为(n_samples, time_steps, input_dim)
model = Sequential()
model.add(LSTM(input_dim=1, output_dim=6, return_sequences=True))
#model.add(LSTM(6, input_dim=1, return_sequences=True))
#model.add(LSTM(6, input_shape=(None, 1),return_sequences=True))
"""
#model.add(LSTM(input_dim=1, output_dim=6,input_length=10, return_sequences=True))
#model.add(LSTM(6, input_dim=1, input_length=10, return_sequences=True))
model.add(LSTM(6, input_shape=(10, 1),return_sequences=True))
"""
print(model.layers)
#model.add(LSTM(100, return_sequences=True))
#model.add(LSTM(100, return_sequences=True))
model.add(LSTM(100, return_sequences=False))
model.add(Dense(output_dim=1))
model.add(Activation('linear'))
model.compile(loss='mse', optimizer='rmsprop')
return model
def train_model(train_x, train_y, test_x, test_y):
model = build_model()
try:
model.fit(train_x, train_y, batch_size=512, nb_epoch=300, validation_split=0.1)
predict = model.predict(test_x)
predict = np.reshape(predict, (predict.size, ))
except KeyboardInterrupt:
print(predict)
print(test_y)
print(predict)
print(test_y)
try:
fig = plt.figure(1)
plt.plot(predict, 'r:')
plt.plot(test_y, 'g-')
plt.legend(['predict', 'true'])
except Exception as e:
print(e)
return predict, test_y
if __name__ == '__main__':
#train_x, train_y, test_x, test_y, scaler = load_data('international-airline-passengers.csv')
train_x, train_y, test_x, test_y, scaler =load_data(dd3, sequence_length=10, split=0.8)
train_x = np.reshape(train_x, (train_x.shape[0], train_x.shape[1], 1))
test_x = np.reshape(test_x, (test_x.shape[0], test_x.shape[1], 1))
predict_y, test_y = train_model(train_x, train_y, test_x, test_y)
predict_y = scaler.inverse_transform([[i] for i in predict_y])
test_y = scaler.inverse_transform(test_y)
fig2 = plt.figure(2)
plt.plot(predict_y, 'g:')
plt.plot(test_y, 'r-')
plt.show()
参考资料: