update tree models

alphamind/model/loader.py

@@ -9,6 +9,8 @@ from alphamind.model.modelbase import ModelBase
 from alphamind.model.linearmodel import ConstLinearModel
 from alphamind.model.linearmodel import LinearRegression
 from alphamind.model.linearmodel import LassoRegression
+from alphamind.model.treemodel import RandomForestRegressor
+from alphamind.model.treemodel import XGBRegressor
 
 
 def load_model(model_desc: dict) -> ModelBase:
@@ -22,5 +24,9 @@ def load_model(model_desc: dict) -> ModelBase:
         return LinearRegression.load(model_desc)
     elif 'LassoRegression' in model_name_parts:
         return LassoRegression.load(model_desc)
+    elif 'RandomForestRegressor' in model_name_parts:
+        return RandomForestRegressor.load(model_desc)
+    elif 'XGBRegressor' in model_name_parts:
+        return XGBRegressor.load(model_desc)
     else:
         raise ValueError('{0} is not currently supported in model loader.'.format(model_name))

alphamind/model/treemodel.py

@@ -9,8 +9,8 @@ from typing import List
 import numpy as np
 from distutils.version import LooseVersion
 from sklearn import __version__ as sklearn_version
-from xgboost import __version__ as xgbboot_version
 from sklearn.ensemble import RandomForestRegressor as RandomForestRegressorImpl
+from xgboost import __version__ as xgbboot_version
 from xgboost import XGBRegressor as XGBRegressorImpl
 from alphamind.model.modelbase import ModelBase
 from alphamind.utilities import alpha_logger

alphamind/tests/model/test_linearmodel.py

@@ -8,6 +8,7 @@ Created on 2017-9-4
 import unittest
 import numpy as np
 from sklearn.linear_model import LinearRegression as LinearRegression2
+from alphamind.model.loader import load_model
 from alphamind.model.linearmodel import ConstLinearModel
 from alphamind.model.linearmodel import LinearRegression
 
@@ -36,7 +37,7 @@ class TestLinearModel(unittest.TestCase):
                                  weights=weights)
 
         desc = model.save()
-        new_model = ConstLinearModel.load(desc)
+        new_model = load_model(desc)
 
         self.assertEqual(model.features, new_model.features)
         np.testing.assert_array_almost_equal(model.weights, new_model.weights)
@@ -58,7 +59,7 @@ class TestLinearModel(unittest.TestCase):
         model.fit(self.train_x, self.train_y)
 
         desc = model.save()
-        new_model = LinearRegression.load(desc)
+        new_model = load_model(desc)
 
         calculated_y = new_model.predict(self.predict_x)
         expected_y = model.predict(self.predict_x)

alphamind/tests/model/test_treemodel.py

+# -*- coding: utf-8 -*-
+"""
+Created on 2018-1-5
+
+@author: cheng.li
+"""
+
+import unittest
+import numpy as np
+from alphamind.model.loader import load_model
+from alphamind.model.treemodel import RandomForestRegressor
+from alphamind.model.treemodel import XGBRegressor
+
+
+class TestTreeModel(unittest.TestCase):
+
+    def test_random_forest_regress(self):
+        model = RandomForestRegressor(features=list(range(10)))
+        x = np.random.randn(1000, 10)
+        y = np.random.randn(1000)
+
+        model.fit(x, y)
+
+        desc = model.save()
+        new_model = load_model(desc)
+        self.assertEqual(model.features, new_model.features)
+
+        sample_x = np.random.randn(100, 10)
+        np.testing.assert_array_almost_equal(model.predict(sample_x), new_model.predict(sample_x))
+
+    def tes_xgb_regress(self):
+        model = XGBRegressor(features=list(range(10)))
+        x = np.random.randn(1000, 10)
+        y = np.random.randn(1000)
+
+        model.fit(x, y)
+
+        desc = model.save()
+        new_model = load_model(desc)
+        self.assertEqual(model.features, new_model.features)
+
+        sample_x = np.random.randn(100, 10)
+        np.testing.assert_array_almost_equal(model.predict(sample_x), new_model.predict(sample_x))
\ No newline at end of file

alphamind/tests/test_suite.py

@@ -28,6 +28,7 @@ from alphamind.tests.analysis.test_perfanalysis import TestPerformanceAnalysis
 from alphamind.tests.analysis.test_factoranalysis import TestFactorAnalysis
 from alphamind.tests.analysis.test_quantilieanalysis import TestQuantileAnalysis
 from alphamind.tests.model.test_linearmodel import TestLinearModel
+from alphamind.tests.model.test_treemodel import TestTreeModel
 from alphamind.tests.model.test_loader import TestLoader
 from alphamind.tests.execution.test_naiveexecutor import TestNaiveExecutor
 from alphamind.tests.execution.test_thresholdexecutor import TestThresholdExecutor
@@ -54,6 +55,7 @@ if __name__ == '__main__':
                          TestFactorAnalysis,
                          TestQuantileAnalysis,
                          TestLinearModel,
+                         TestTreeModel,
                          TestLoader,
                          TestNaiveExecutor,
                          TestThresholdExecutor,