AInterface

Want to combine multiple models together to make a super model? Getting stuck on the fact that they have different in- and output methods?

No more, with AInterface the interface to combine the latest and greatest of machine learning algorithm to make an even latester and greatester algorithm.

Using 3 algorithms just in 10 lines of code.

# Data loading
data_loader = NumeraiDataLoader(local_data_location="data.csv")

# Initial models
sagemaker = Sagemaker()
xgboost = LinearAwsXGBooost(data=data_loader, aws_executor=sagemaker)
linear_learner = LinearAwsLinearLearner(data=data_loader, aws_executor=sagemaker)
tl_nn = AwsTwoLayerLinearNeuralNetwork(data=data_loader, aws_executor=sagemaker)

# How to combine the models
combiner = NaiveCombiner(data_loader.execute_scoring, 10)
meta_model = MetaModel(
    data=data_loader, models=[xgboost, linear_learner, tl_nn], combiner=combiner
)

# Train and predict
meta_model.train()
predictions = meta_model.predict()

You can test the test sample by running python examples/example_training.py.

Setup

Install the requirements with pip install or with pipenv install.

If you want to use the Numerai executor, add NUMERAI_PUBLIC_ID and NUMERAI_SECRET_KEY to your environment variables, or initialize the class with those variables.

If you want to use Sagemaker, add AWS_ACCESS_KEY_ID, AWS_SECRET_ACCESS_KEY and AWS_DEFAULT_ROLE to your environment variables, or initialize the class with those variables.

Usage

Using AInterface for your own project needs 3 steps:

1. Define your own DataLoader
2. Define your own (Meta)Models
3. If using a MetaModel, define a Combiner

And then you're set up to training and predicting with model.train() and model.predict().

DataLoaders

A DataLoader handles the loading of the data and providing a uniform interface to the models. It automatically splits the data in train, validation and test data sets. It can split the data into different data sets to train different models with a subset of the data. And lastly, it provides some caching to improve performance.

To define your own DataLoader for your own data set, subclass the data_processing.data_loader.DataLoader class, and set the NotImplemented class variables:

1. feature_columns
2. output_column

These will be used to select the feature to train on in your data, and the output column.

You can also override the following parameters if necessary, to provide better loading of the data:

1. index_column
2. data_type_column (Not yet used)
3. time_column (Not yet used)

Models

Initializing

A general Model requires one input argument for initialization, a DataLoader instance. Other models can extend this, for example with a sagemaker instance.

Methods

The model is the uniform interface for any machine learning model. It contains three main functions:

1. train
2. tune (defaulted to train if not implemented)
3. predict
4. load_model

The train and tune functions will work without any input, but can contain arguments such as hyperparameters.

The predict function takes two optional arguments: a DataLoader and a boolean whether to just predict the test data or all data. If nothing is provided, the predict function will predict the test data of the current data loaded in the model.

load_model loads an already existing model so it can be used directly for predictions.

Creating your own model

To create your own model, you need to subclass models.base.BaseMode and implement the initialization (if you need any extra parameters), and at least the train and the execute_prediction function. For completeness sake, you can also implement tune and load_model.

The train function must be able to take no input, and must not return any data. It should train the model with the train and validation data.

The execute_prediction function take a pandas DataFrame input with the necessary features and returns a DataFrame with the predictions.

tune has the same requirements as train and load_model should accept any information it needs to load an existing model, should not return anything, and then the user should be able to predict without training.

MetaModels and Combiners

MetaModel

A MetaModel is a way to combine different models to have an even better model. It requires a list of models as input which it can train, and a combination function. The combination function will define how to models need to work together to provide an even better result.

A MetaModel is also a model, so it can also be trained and used for predictions.

Combiner

A Combiner has one main function combine which accepts a list of predictions and the correct outputs, and returns a list of weights to use. The model can then use these weights to use later to provide unknown predictions.

Provided information

Data Processing

Numerai

One DataLoader is provided, for the online data competition of Numerai. It implements the output feature and the different feature columns.

Models

AWS

Different Amazon models are implemented.

1. Two Amazon Estimators:
   1. XG Boost (models.aws_xgboost)
   2. Linear Learner (models.aws_linear_learner)
2. One PyTorch model for AWS:
   1. Two layer linear network
      • models.pytorch.aws_models.AwsTwoLayerLinearNeuralNetwork for the extension of BaseModel
      • models.pytorch.two_layer_linear for the AWS implementation

You can easily create your own AWS models by subclassing AwsBase, AwsEstimator or AwsPyTorch. They provide some basic help such as a sagemaker instance, basic data downloading, uploading, moving to S3 etc.

Hunga Bunga / SKLearn (Beta)

The Hunga Bunga library provides the lazy man's implementation of all SKLearn's models. It goes over each default SKlearn models and select the best performing one. There is a Classifier and Regressor version.

NOTE: Because my computer gets stuck while executing these models, these have been untested.

Executors

Sagemaker

A Sagemaker implementation is also there, that can get data from S3, and has some default parameters for model loading and creation.

Numerai

Numerai also has an API to download the latest tournament data and upload your predictions. A basic interface is also present to format the data correctly as required by Numerai.

Feature requests

1. Implementation of Classifications
2. Implementation of other service providers
   1. Google Cloud
   2. Azure Cloud
3. Implementation of more model types
   1. Tensorflow
   2. Keras
   3. Docker images
4. Data pre-processing
   1. PCA
5. Refactoring of the PyTorch models
6. More combiners
7. More implemented models
8. Default configurations
9. States
   1. Saving to state
   2. Loading from state
   3. State validation
10. Possible refactor of hyperparameters etc to model initialisation
11. Error handling
12. Parallel training/prediction
    1. For non-local models (i.e. starting all loading and predicting at the same time)
    2. For local models