import sys import pandas as pd import numpy as np import torch import torch.nn as nn import torch.optim as optim from sklearn.model_selection import KFold from sklearn.preprocessing import RobustScaler from scipy.stats import pearsonr import warnings warnings.filterwarnings('ignore') # ===== Feature Engineering ===== def feature_engineering(df): # 保持接口一致,实际特征工程已在feature.py完成 return df # ===== Configuration ===== class Config: TRAIN_PATH = "/AI4M/users/mjzhang/workspace/DRW/ZMJ/max_IC_mixed/train_aggregated.parquet" TEST_PATH = "/AI4M/users/mjzhang/workspace/DRW/ZMJ/max_IC_mixed/test_aggregated.parquet" SUBMISSION_PATH = "/AI4M/users/mjzhang/workspace/DRW/ZMJ/max_IC_mixed/sample_submission.csv" LABEL_COLUMN = "label" N_FOLDS = 3 RANDOM_STATE = 42 DEVICE = torch.device('cuda' if torch.cuda.is_available() else 'cpu') BATCH_SIZE = 128 EPOCHS = 20 LEARNING_RATE = 1e-3 # ===== MLP Model Definition ===== class MLP(nn.Module): def __init__(self, input_dim): super().__init__() self.net = nn.Sequential( nn.Linear(input_dim, 256), nn.ReLU(), nn.Linear(256, 128), nn.ReLU(), # nn.Linear(1024, 512), # nn.ReLU(), # nn.Linear(512, 256), # nn.ReLU(), # nn.Linear(256, 128), # nn.ReLU(), # nn.Linear(256, 128), # nn.ReLU(), nn.Linear(128, 1) ) def forward(self, x): return self.net(x) # ===== Data Loading ===== def load_data(): train_df = pd.read_parquet(Config.TRAIN_PATH) test_df = pd.read_parquet(Config.TEST_PATH) submission_df = pd.read_csv(Config.SUBMISSION_PATH) Config.FEATURES = [col for col in train_df.columns.tolist() if col != Config.LABEL_COLUMN] print(f"Loaded data - Train: {train_df.shape}, Test: {test_df.shape}, Submission: {submission_df.shape}") print(f"Total features: {len(Config.FEATURES)}") return train_df.reset_index(drop=True), test_df.reset_index(drop=True), submission_df # ===== Model Training ===== def train_mlp(X_train, y_train, X_valid, y_valid, X_test, scaler): X_train = scaler.transform(X_train) X_valid = scaler.transform(X_valid) X_test = scaler.transform(X_test) X_train = torch.tensor(X_train, dtype=torch.float32, device=Config.DEVICE) y_train = torch.tensor(y_train.values, dtype=torch.float32, device=Config.DEVICE).view(-1, 1) X_valid = torch.tensor(X_valid, dtype=torch.float32, device=Config.DEVICE) y_valid = torch.tensor(y_valid.values, dtype=torch.float32, device=Config.DEVICE).view(-1, 1) X_test = torch.tensor(X_test, dtype=torch.float32, device=Config.DEVICE) model = MLP(X_train.shape[1]).to(Config.DEVICE) optimizer = optim.AdamW(model.parameters(), lr=Config.LEARNING_RATE, weight_decay=1e-4) # L2正则 criterion = nn.MSELoss() scheduler = optim.lr_scheduler.CosineAnnealingLR(optimizer, T_max=Config.EPOCHS) best_model = None best_score = -np.inf patience = 7 # 早停容忍轮数 patience_counter = 0 for epoch in range(Config.EPOCHS): model.train() idx = np.random.permutation(len(X_train)) for i in range(0, len(X_train), Config.BATCH_SIZE): batch_idx = idx[i:i+Config.BATCH_SIZE] xb = X_train[batch_idx] yb = y_train[batch_idx] optimizer.zero_grad() pred = model(xb) loss = criterion(pred, yb) loss.backward() optimizer.step() scheduler.step() # 验证 model.eval() with torch.no_grad(): val_pred = model(X_valid).cpu().numpy().flatten() val_score = np.corrcoef(val_pred, y_valid.cpu().numpy().flatten())[0, 1] if val_score > best_score: best_score = val_score best_model = MLP(X_train.shape[1]).to(Config.DEVICE) best_model.load_state_dict(model.state_dict()) patience_counter = 0 else: patience_counter += 1 if patience_counter >= patience: print(f"Early stopping at epoch {epoch+1}, best valid corr: {best_score:.4f}") break # 用最佳模型预测 best_model.eval() with torch.no_grad(): valid_pred = best_model(X_valid).cpu().numpy().flatten() test_pred = best_model(X_test).cpu().numpy().flatten() return valid_pred, test_pred def train_and_evaluate(train_df, test_df): X_train = train_df[Config.FEATURES] y_train = train_df[Config.LABEL_COLUMN] X_test = test_df[Config.FEATURES] scaler = RobustScaler().fit(X_train) # 这里直接用全集训练 valid_pred, test_pred = train_mlp(X_train, y_train, X_train, y_train, X_test, scaler) oof_preds = valid_pred # 全集预测 test_preds = test_pred score = pearsonr(y_train, valid_pred)[0] print(f"Train PearsonR (no CV): {score:.4f}") return oof_preds, test_preds # ===== Submission ===== def create_submission(train_df, oof_preds, test_preds, submission_df): score = pearsonr(train_df[Config.LABEL_COLUMN], oof_preds)[0] print(f"\nMLP OOF PearsonR: {score:.4f}") submission = submission_df.copy() submission["prediction"] = test_preds submission.to_csv("/AI4M/users/mjzhang/workspace/DRW/ZMJ/max_IC_mixed/submission_mlp_new.csv", index=False) print("Saved: submission_mlp.csv") return score # ===== Main Execution ===== if __name__ == "__main__": print("Loading data...") train_df, test_df, submission_df = load_data() print("\nTraining MLP model...") oof_preds, test_preds = train_and_evaluate(train_df, test_df) print("\nCreating submission...") score = create_submission(train_df, oof_preds, test_preds, submission_df) print(f"\nAll done! MLP OOF PearsonR: {score:.4f}")