LOBench-A-share-processed / code /experiments /tbd_revision /scripts /summarize_hyperparameter_sensitivity.py
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| #!/usr/bin/env python3 | |
| """Summarize the five-stock, three-seed hyperparameter sensitivity grid.""" | |
| from __future__ import annotations | |
| import argparse | |
| import csv | |
| import json | |
| import random | |
| import statistics | |
| from collections import defaultdict | |
| from pathlib import Path | |
| METHODS = ("timae", "lobgrid_timae", "simlob2026") | |
| STOCKS = ("asset_001", "asset_002", "asset_017", "asset_005", "asset_033") | |
| SEEDS = (2026, 2027, 2028) | |
| AXES = { | |
| "latent_dim": ((64, "latent64"), (128, "baseline"), (256, "latent256")), | |
| "hidden_width": ((64, "width64"), (96, "baseline"), (128, "width128")), | |
| "attention_heads": ((2, "heads2"), (4, "baseline"), (8, "heads8")), | |
| "mask_ratio": ((0.2, "mask20"), (0.4, "baseline"), (0.6, "mask60")), | |
| "learning_rate": ((0.0001, "lr100"), (0.0003, "baseline"), (0.001, "lr1000")), | |
| "batch_size": ((64, "batch64"), (128, "baseline"), (256, "batch256")), | |
| "weight_decay": ((0.0, "wd0"), (0.00001, "baseline"), (0.0001, "wd1e4")), | |
| } | |
| def parse_args() -> argparse.Namespace: | |
| parser = argparse.ArgumentParser(description=__doc__) | |
| parser.add_argument("--results-root", type=Path, required=True) | |
| parser.add_argument("--output-dir", type=Path, required=True) | |
| return parser.parse_args() | |
| def percentile(values: list[float], probability: float) -> float: | |
| ordered = sorted(values) | |
| position = probability * (len(ordered) - 1) | |
| lower = int(position) | |
| upper = min(lower + 1, len(ordered) - 1) | |
| weight = position - lower | |
| return ordered[lower] * (1.0 - weight) + ordered[upper] * weight | |
| def bootstrap_ci(values: list[float], seed: int) -> tuple[float, float]: | |
| rng = random.Random(seed) | |
| draws = sorted( | |
| statistics.fmean(values[rng.randrange(len(values))] for _ in values) | |
| for _ in range(20_000) | |
| ) | |
| return percentile(draws, 0.025), percentile(draws, 0.975) | |
| def write_csv(path: Path, rows: list[dict[str, object]]) -> None: | |
| with path.open("w", newline="", encoding="utf-8") as handle: | |
| writer = csv.DictWriter(handle, fieldnames=list(rows[0])) | |
| writer.writeheader() | |
| writer.writerows(rows) | |
| def load_variant(directory: Path) -> dict[tuple[str, str, int, str], dict]: | |
| cases: dict[tuple[str, str, int, str], dict] = {} | |
| for path in sorted(directory.glob("*.json")): | |
| if path.name.endswith(".pretrain.json") or path.name == "resolved_config.json": | |
| continue | |
| payload = json.loads(path.read_text(encoding="utf-8")) | |
| if ( | |
| payload.get("method") not in METHODS | |
| or payload.get("stock") not in STOCKS | |
| or int(payload.get("seed", -1)) not in SEEDS | |
| or abs(float(payload.get("label_budget", -1.0)) - 0.5) > 1e-12 | |
| or payload.get("setting") not in {"from_scratch", "fine_tune"} | |
| ): | |
| continue | |
| key = ( | |
| str(payload["method"]), | |
| str(payload["stock"]), | |
| int(payload["seed"]), | |
| str(payload["setting"]), | |
| ) | |
| if key in cases: | |
| raise ValueError(f"Duplicate sensitivity case in {directory}: {key}") | |
| cases[key] = payload | |
| expected = { | |
| (method, stock, seed, setting) | |
| for method in METHODS | |
| for stock in STOCKS | |
| for seed in SEEDS | |
| for setting in ("from_scratch", "fine_tune") | |
| } | |
| if set(cases) != expected: | |
| missing = sorted(expected - set(cases)) | |
| extra = sorted(set(cases) - expected) | |
| raise ValueError( | |
| f"{directory} is incomplete: missing={missing[:5]}, extra={extra[:5]}" | |
| ) | |
| return cases | |
| def main() -> None: | |
| args = parse_args() | |
| variants = { | |
| variant | |
| for values in AXES.values() | |
| for _, variant in values | |
| } | |
| cases = { | |
| variant: load_variant(args.results_root / variant) | |
| for variant in sorted(variants) | |
| } | |
| stock_rows: list[dict[str, object]] = [] | |
| summary_rows: list[dict[str, object]] = [] | |
| for axis_index, (axis, values) in enumerate(AXES.items()): | |
| for value_index, (value, variant) in enumerate(values): | |
| for method_index, method in enumerate(METHODS): | |
| stock_deltas = [] | |
| stock_scratch = [] | |
| stock_pooled = [] | |
| for stock in STOCKS: | |
| scratch = [ | |
| float(cases[variant][(method, stock, seed, "from_scratch")]["test"]["macro_f1"]) | |
| for seed in SEEDS | |
| ] | |
| pooled = [ | |
| float(cases[variant][(method, stock, seed, "fine_tune")]["test"]["macro_f1"]) | |
| for seed in SEEDS | |
| ] | |
| scratch_mean = statistics.fmean(scratch) | |
| pooled_mean = statistics.fmean(pooled) | |
| delta_mean = statistics.fmean( | |
| candidate - baseline | |
| for candidate, baseline in zip(pooled, scratch) | |
| ) | |
| stock_scratch.append(scratch_mean) | |
| stock_pooled.append(pooled_mean) | |
| stock_deltas.append(delta_mean) | |
| stock_rows.append( | |
| { | |
| "axis": axis, | |
| "value": value, | |
| "variant": variant, | |
| "method": method, | |
| "stock": stock, | |
| "n_seeds": len(SEEDS), | |
| "scratch_macro_f1_mean": scratch_mean, | |
| "pooled_macro_f1_mean": pooled_mean, | |
| "paired_delta_mean": delta_mean, | |
| "paired_delta_seed_sd": statistics.stdev( | |
| candidate - baseline | |
| for candidate, baseline in zip(pooled, scratch) | |
| ), | |
| } | |
| ) | |
| ci_low, ci_high = bootstrap_ci( | |
| stock_deltas, | |
| 20260801 + 100 * axis_index + 10 * value_index + method_index, | |
| ) | |
| summary_rows.append( | |
| { | |
| "axis": axis, | |
| "value": value, | |
| "variant": variant, | |
| "method": method, | |
| "n_stocks": len(STOCKS), | |
| "seeds_per_stock": len(SEEDS), | |
| "scratch_macro_f1_mean": statistics.fmean(stock_scratch), | |
| "pooled_macro_f1_mean": statistics.fmean(stock_pooled), | |
| "paired_delta_mean": statistics.fmean(stock_deltas), | |
| "paired_delta_median": statistics.median(stock_deltas), | |
| "ci95_low": ci_low, | |
| "ci95_high": ci_high, | |
| "wins": sum(value_ > 0 for value_ in stock_deltas), | |
| } | |
| ) | |
| range_rows: list[dict[str, object]] = [] | |
| for axis in AXES: | |
| for method in METHODS: | |
| cells = [ | |
| row | |
| for row in summary_rows | |
| if row["axis"] == axis and row["method"] == method | |
| ] | |
| if len(cells) != 3: | |
| raise ValueError(f"Expected three values for {axis}/{method}") | |
| best = max(cells, key=lambda row: float(row["paired_delta_mean"])) | |
| worst = min(cells, key=lambda row: float(row["paired_delta_mean"])) | |
| retained = next(row for row in cells if row["variant"] == "baseline") | |
| range_rows.append( | |
| { | |
| "axis": axis, | |
| "method": method, | |
| "retained_value": retained["value"], | |
| "retained_delta": retained["paired_delta_mean"], | |
| "minimum_delta": worst["paired_delta_mean"], | |
| "minimum_value": worst["value"], | |
| "maximum_delta": best["paired_delta_mean"], | |
| "maximum_value": best["value"], | |
| "delta_span": float(best["paired_delta_mean"]) | |
| - float(worst["paired_delta_mean"]), | |
| "positive_values": sum( | |
| float(row["paired_delta_mean"]) > 0 for row in cells | |
| ), | |
| } | |
| ) | |
| overall_rows: list[dict[str, object]] = [] | |
| for method in METHODS: | |
| unique_by_variant: dict[str, dict[str, object]] = {} | |
| for row in summary_rows: | |
| if row["method"] != method: | |
| continue | |
| variant = str(row["variant"]) | |
| previous = unique_by_variant.get(variant) | |
| if previous is not None and abs( | |
| float(previous["paired_delta_mean"]) | |
| - float(row["paired_delta_mean"]) | |
| ) > 1e-12: | |
| raise ValueError(f"Inconsistent repeated baseline for {method}") | |
| unique_by_variant[variant] = row | |
| if len(unique_by_variant) != 15: | |
| raise ValueError( | |
| f"Expected 15 unique configurations for {method}; " | |
| f"found {len(unique_by_variant)}" | |
| ) | |
| cells = list(unique_by_variant.values()) | |
| best = max(cells, key=lambda row: float(row["paired_delta_mean"])) | |
| worst = min(cells, key=lambda row: float(row["paired_delta_mean"])) | |
| deltas = [float(row["paired_delta_mean"]) for row in cells] | |
| retained = unique_by_variant["baseline"] | |
| overall_rows.append( | |
| { | |
| "method": method, | |
| "n_unique_configurations": len(cells), | |
| "retained_delta": retained["paired_delta_mean"], | |
| "minimum_delta": worst["paired_delta_mean"], | |
| "minimum_variant": worst["variant"], | |
| "maximum_delta": best["paired_delta_mean"], | |
| "maximum_variant": best["variant"], | |
| "median_delta": statistics.median(deltas), | |
| "positive_configurations": sum(value > 0 for value in deltas), | |
| "within_practical_range": sum(abs(value) <= 0.01 for value in deltas), | |
| } | |
| ) | |
| args.output_dir.mkdir(parents=True, exist_ok=True) | |
| write_csv(args.output_dir / "hyperparameter_stock_summary.csv", stock_rows) | |
| write_csv(args.output_dir / "hyperparameter_sensitivity.csv", summary_rows) | |
| write_csv(args.output_dir / "hyperparameter_axis_ranges.csv", range_rows) | |
| write_csv(args.output_dir / "hyperparameter_overall_ranges.csv", overall_rows) | |
| payload = { | |
| "design": { | |
| "stocks": list(STOCKS), | |
| "methods": list(METHODS), | |
| "seeds": list(SEEDS), | |
| "label_budget": 0.5, | |
| "axes": { | |
| axis: [value for value, _ in values] | |
| for axis, values in AXES.items() | |
| }, | |
| "aggregation": "seeds paired and averaged within stock; five stock means form the reporting units", | |
| "retained_configuration": { | |
| "latent_dim": 128, | |
| "hidden_width": 96, | |
| "attention_heads": 4, | |
| "mask_ratio": 0.4, | |
| "learning_rate": 0.0003, | |
| "batch_size": 128, | |
| "weight_decay": 0.00001, | |
| }, | |
| }, | |
| "rows": summary_rows, | |
| "axis_ranges": range_rows, | |
| "overall_ranges": overall_rows, | |
| } | |
| (args.output_dir / "hyperparameter_sensitivity.json").write_text( | |
| json.dumps(payload, indent=2) + "\n", | |
| encoding="utf-8", | |
| ) | |
| lines = [ | |
| "# Hyperparameter sensitivity", | |
| "", | |
| "Each row changes one setting from the retained configuration. Seeds are paired within stock before the five-stock summary.", | |
| "", | |
| "| axis | value | method | scratch F1 | pooled F1 | paired delta [95% stock interval] | wins/5 |", | |
| "|---|---:|---|---:|---:|---:|---:|", | |
| ] | |
| for row in summary_rows: | |
| lines.append( | |
| f"| {row['axis']} | {row['value']} | {row['method']} | " | |
| f"{row['scratch_macro_f1_mean']:.4f} | " | |
| f"{row['pooled_macro_f1_mean']:.4f} | " | |
| f"{row['paired_delta_mean']:+.4f} " | |
| f"[{row['ci95_low']:+.4f}, {row['ci95_high']:+.4f}] | " | |
| f"{row['wins']}/5 |" | |
| ) | |
| lines.extend( | |
| [ | |
| "", | |
| "## Across-value ranges", | |
| "", | |
| "| axis | method | retained delta | minimum | maximum | span | positive values |", | |
| "|---|---|---:|---:|---:|---:|---:|", | |
| ] | |
| ) | |
| for row in range_rows: | |
| lines.append( | |
| f"| {row['axis']} | {row['method']} | " | |
| f"{row['retained_delta']:+.4f} | " | |
| f"{row['minimum_delta']:+.4f} ({row['minimum_value']}) | " | |
| f"{row['maximum_delta']:+.4f} ({row['maximum_value']}) | " | |
| f"{row['delta_span']:.4f} | {row['positive_values']}/3 |" | |
| ) | |
| lines.extend( | |
| [ | |
| "", | |
| "## Across the 15 unique configurations", | |
| "", | |
| "| method | retained | minimum | maximum | median | positive | within ±0.01 |", | |
| "|---|---:|---:|---:|---:|---:|---:|", | |
| ] | |
| ) | |
| for row in overall_rows: | |
| lines.append( | |
| f"| {row['method']} | {row['retained_delta']:+.4f} | " | |
| f"{row['minimum_delta']:+.4f} ({row['minimum_variant']}) | " | |
| f"{row['maximum_delta']:+.4f} ({row['maximum_variant']}) | " | |
| f"{row['median_delta']:+.4f} | " | |
| f"{row['positive_configurations']}/15 | " | |
| f"{row['within_practical_range']}/15 |" | |
| ) | |
| (args.output_dir / "hyperparameter_sensitivity.md").write_text( | |
| "\n".join(lines) + "\n", | |
| encoding="utf-8", | |
| ) | |
| print( | |
| f"wrote {len(summary_rows)} hyperparameter summaries from " | |
| f"{len(stock_rows)} stock-level cells" | |
| ) | |
| if __name__ == "__main__": | |
| main() | |