multilayernn.py

#importing libraries
import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
from sklearn import preprocessing
from sklearn.preprocessing import normalize
import sklearn
import sklearn.datasets
import sklearn.linear_model

%matplotlib inline

#load dataset
dataset = pd.read_csv("/Users/samar/Documents/pythonwd/special-potato/AXISBANK.csv")


#Clean dataset
#adding t1 value or the next day value
dataset["t1"] = dataset["4. close"].shift(-1)


#removing last NaN - because nobody likes naan! 
dataset = dataset[0:(dataset.shape[0]-1)]


#adding p1 as change between t1 and t0
dataset["p1"] = (dataset["t1"] - dataset["4. close"]) 


#changing p1 to 1 if change was +ve and 0 if - ve 
dataset["p1"] = np.where(dataset["p1"] > 0, 1,0)


#cleaning out dates and dataframe
X = dataset[["1. open","2. high", "3. low" ,"4. close", "5. volume"]]

def normalize(df):
    G = preprocessing.StandardScaler().fit(df)
    ndf_mean = df- G.mean_
    ndf = ndf_mean/G.var_
    return ndf
    
X = normalize(X)

split = (int(X.shape[0]*(2/3)))
Y = dataset[["p1"]]

train_set_x = X[:split]
train_set_x = train_set_x.transpose()
train_set_x = train_set_x.values

train_set_y = X[:split]
train_set_y = train_set_y.transpose()
train_set_y = train_set_y.values


test_set_x = Y[split:]
test_set_x = test_set_x.transpose()
test_set_x = test_set_x.values

test_set_y = Y[split:]
test_set_y = test_set_y.transpose()
test_set_y = test_set_y.values

X = train_set_x
Y = train_set_y


def sigmoid(Z):
    A = 1/(1+np.exp(-Z))
    cache = Z
    return A, cache

def relu(Z):
    A = np.maximum(0,Z)
    assert(A.shape == Z.shape)
    cache = Z 
    return A, cache


def relu_backward(dA, cache):
    Z = cache
    dZ = np.array(dA, copy=True) # just converting dz to a correct object.
    dZ[Z <= 0] = 0
    assert (dZ.shape == Z.shape)
    return dZ

def sigmoid_backward(dA, cache):
    T = cache
    s = 1/(1+np.exp(-T))
    dZ = (dA * s) * (1-s)
    print(T.shape)
    print(dA.shape)
    print(dZ.shape)
    assert (dZ.shape == T.shape)
    return dZ
    
def layer_sizes(X,Y,H= 4):
    #size of input layer
    n_x = X.shape[0]
    #siz of output layer
    n_y = Y.shape[0]
    #size of hidden layer
    n_h= H
    return(n_x,n_h,n_y)

def initialize_parameters(n_x, n_h, n_y):
    """
    Argument:
    n_x -- size of the input layer
    n_h -- size of the hidden layer
    n_y -- size of the output layer
    
    Returns:
    parameters -- python dictionary containing your parameters:
                    W1 -- weight matrix of shape (n_h, n_x)
                    b1 -- bias vector of shape (n_h, 1)
                    W2 -- weight matrix of shape (n_y, n_h)
                    b2 -- bias vector of shape (n_y, 1)
    """
    
    np.random.seed(1)
    
    ### START CODE HERE ### (≈ 4 lines of code)
    W1 = np.random.randn(n_h, n_x) * 0.01
    b1 = np.zeros(shape=(n_h, 1))
    W2 = np.random.randn(n_y, n_h) * 0.01
    b2 = np.zeros(shape=(n_y, 1))
    ### END CODE HERE ###
    
    assert(W1.shape == (n_h, n_x))
    assert(b1.shape == (n_h, 1))
    assert(W2.shape == (n_y, n_h))
    assert(b2.shape == (n_y, 1))
    
    parameters = {"W1": W1,
                  "b1": b1,
                  "W2": W2,
                  "b2": b2}
    
    return parameters

parameters = initialize_parameters(5,4,1)

def initialize_parameters_deep(layer_dims):
    """
    Arguments:
    layer_dims -- python array (list) containing the dimensions of each layer in our network
    
    Returns:
    parameters -- python dictionary containing your parameters "W1", "b1", ..., "WL", "bL":
                    Wl -- weight matrix of shape (layer_dims[l], layer_dims[l-1])
                    bl -- bias vector of shape (layer_dims[l], 1)
    """
    
    np.random.seed(3)
    parameters = {}
    L = len(layer_dims)            # number of layers in the network

    for l in range(1, L):
        ### START CODE HERE ### (≈ 2 lines of code)
        parameters['W' + str(l)] = np.random.randn(layer_dims[l], layer_dims[l - 1]) * 0.01
        parameters['b' + str(l)] = np.zeros((layer_dims[l], 1))
        ### END CODE HERE ###
        
        assert(parameters['W' + str(l)].shape == (layer_dims[l], layer_dims[l - 1]))
        assert(parameters['b' + str(l)].shape == (layer_dims[l], 1))

        
    return parameters

def linear_forward(A, W, b):
    """
    Implement the linear part of a layer's forward propagation.

    Arguments:
    A -- activations from previous layer (or input data): (size of previous layer, number of examples)
    W -- weights matrix: numpy array of shape (size of current layer, size of previous layer)
    b -- bias vector, numpy array of shape (size of the current layer, 1)

    Returns:
    Z -- the input of the activation function, also called pre-activation parameter 
    cache -- a python dictionary containing "A", "W" and "b" ; stored for computing the backward pass efficiently
    """
    
    ### START CODE HERE ### (≈ 1 line of code)
    Z = np.dot(W, A) + b
    ### END CODE HERE ###
    
    assert(Z.shape == (W.shape[0], A.shape[1]))
    cache = (A, W, b)
    
    return Z, cache

def linear_activation_forward(A_prev, W, b, activation):
    """
    Implement the forward propagation for the LINEAR->ACTIVATION layer

    Arguments:
    A_prev -- activations from previous layer (or input data): (size of previous layer, number of examples)
    W -- weights matrix: numpy array of shape (size of current layer, size of previous layer)
    b -- bias vector, numpy array of shape (size of the current layer, 1)
    activation -- the activation to be used in this layer, stored as a text string: "sigmoid" or "relu"

    Returns:
    A -- the output of the activation function, also called the post-activation value 
    cache -- a python dictionary containing "linear_cache" and "activation_cache";
             stored for computing the backward pass efficiently
    """
    
    if activation == "sigmoid":
        # Inputs: "A_prev, W, b". Outputs: "A, activation_cache".
        ### START CODE HERE ### (≈ 2 lines of code)
        Z = np.dot(W, A_prev) + b
        cache = (A_prev, W, b)
        Z, linear_cache = Z, cache
        A, activation_cache = sigmoid(Z)
        ### END CODE HERE ###
    
    elif activation == "relu":
        # Inputs: "A_prev, W, b". Outputs: "A, activation_cache".
        ### START CODE HERE ### (≈ 2 lines of code)
        Z = np.dot(W, A_prev) + b
        cache = (A_prev, W, b)
        Z, linear_cache = Z, cache
        A, activation_cache = relu(Z)
        ### END CODE HERE ###
    
    assert (A.shape == (W.shape[0], A_prev.shape[1]))
    cache = (linear_cache, activation_cache)

    return A, cache

def L_model_forward(X, parameters):
    """
    Implement forward propagation for the [LINEAR->RELU]*(L-1)->LINEAR->SIGMOID computation
    
    Arguments:
    X -- data, numpy array of shape (input size, number of examples)
    parameters -- output of initialize_parameters_deep()
    
    Returns:
    AL -- last post-activation value
    caches -- list of caches containing:
                every cache of linear_relu_forward() (there are L-1 of them, indexed from 0 to L-2)
                the cache of linear_sigmoid_forward() (there is one, indexed L-1)
    """

    caches = []
    A = X
    L = len(parameters) // 2                  # number of layers in the neural network
    
    # Implement [LINEAR -> RELU]*(L-1). Add "cache" to the "caches" list.
    for l in range(1, L):
        A_prev = A 
        ### START CODE HERE ### (≈ 2 lines of code)
        A, cache = linear_activation_forward(A_prev, 
                                             parameters['W' + str(l)], 
                                             parameters['b' + str(l)], 
                                             activation='relu')
        caches.append(cache)
        
        ### END CODE HERE ###
    
    # Implement LINEAR -> SIGMOID. Add "cache" to the "caches" list.
    ### START CODE HERE ### (≈ 2 lines of code)
    AL, cache = linear_activation_forward(A, 
                                          parameters['W' + str(L)], 
                                          parameters['b' + str(L)], 
                                          activation='sigmoid')
    caches.append(cache)
    
    ### END CODE HERE ###
    
    assert(AL.shape == (1, X.shape[1]))
            
    return AL, caches

def compute_cost(AL, Y):
    """
    Implement the cost function defined by equation (7).

    Arguments:
    AL -- probability vector corresponding to your label predictions, shape (1, number of examples)
    Y -- true "label" vector (for example: containing 0 if non-cat, 1 if cat), shape (1, number of examples)

    Returns:
    cost -- cross-entropy cost
    """
    
    m = Y.shape[1]

    # Compute loss from aL and y.
    ### START CODE HERE ### (≈ 1 lines of code)
    cost = (-1 / m) * np.sum(np.multiply(Y, np.log(AL)) + np.multiply(1 - Y, np.log(1 - AL)))
    ### END CODE HERE ###
    
    cost = np.squeeze(cost)      # To make sure your cost's shape is what we expect (e.g. this turns [[17]] into 17).
    assert(cost.shape == ())
    
    return cost
    
def linear_backward(dZ, cache):
    """
    Implement the linear portion of backward propagation for a single layer (layer l)

    Arguments:
    dZ -- Gradient of the cost with respect to the linear output (of current layer l)
    cache -- tuple of values (A_prev, W, b) coming from the forward propagation in the current layer

    Returns:
    dA_prev -- Gradient of the cost with respect to the activation (of the previous layer l-1), same shape as A_prev
    dW -- Gradient of the cost with respect to W (current layer l), same shape as W
    db -- Gradient of the cost with respect to b (current layer l), same shape as b
    """
    A_prev, W, b = cache
    m = A_prev.shape[1]

    ### START CODE HERE ### (≈ 3 lines of code)
    dW = np.dot(dZ, cache[0].T) / m
    db = np.squeeze(np.sum(dZ, axis=1, keepdims=True)) / m
    dA_prev = np.dot(cache[1].T, dZ)
    print(db)
    ### END CODE HERE ###
    
    assert (dA_prev.shape == A_prev.shape)
    assert (dW.shape == W.shape)
    #assert (isinstance(db, float))
    
    return dA_prev, dW, db
    
def linear_activation_backward(dA, cache, activation):
    """
    Implement the backward propagation for the LINEAR->ACTIVATION layer.
    
    Arguments:
    dA -- post-activation gradient for current layer l 
    cache -- tuple of values (linear_cache, activation_cache) we store for computing backward propagation efficiently
    activation -- the activation to be used in this layer, stored as a text string: "sigmoid" or "relu"
    
    Returns:
    dA_prev -- Gradient of the cost with respect to the activation (of the previous layer l-1), same shape as A_prev
    dW -- Gradient of the cost with respect to W (current layer l), same shape as W
    db -- Gradient of the cost with respect to b (current layer l), same shape as b
    """
    linear_cache, activation_cache = cache
    
    if activation == "relu":
        ### START CODE HERE ### (≈ 2 lines of code)
        dZ = relu_backward(dA, activation_cache)
        ### END CODE HERE ###
        
    elif activation == "sigmoid":
        ### START CODE HERE ### (≈ 2 lines of code)
        dZ = sigmoid_backward(dA, activation_cache)
        ### END CODE HERE ###
    
    # Shorten the code
    dA_prev, dW, db = linear_backward(dZ, linear_cache)
    
    return dA_prev, dW, db
    
def L_model_backward(AL, Y, caches):
    """
    Implement the backward propagation for the [LINEAR->RELU] * (L-1) -> LINEAR -> SIGMOID group
    
    Arguments:
    AL -- probability vector, output of the forward propagation (L_model_forward())
    Y -- true "label" vector (containing 0 if non-cat, 1 if cat)
    caches -- list of caches containing:
                every cache of linear_activation_forward() with "relu" (it's caches[l], for l in range(L-1) i.e l = 0...L-2)
                the cache of linear_activation_forward() with "sigmoid" (it's caches[L-1])
    
    Returns:
    grads -- A dictionary with the gradients
             grads["dA" + str(l)] = ... 
             grads["dW" + str(l)] = ...
             grads["db" + str(l)] = ... 
    """
    grads = {}
    L = len(caches) # the number of layers
    m = AL.shape[1]
    Y = Y.reshape(AL.shape) # after this line, Y is the same shape as AL
    
    # Initializing the backpropagation
    ### START CODE HERE ### (1 line of code)
    dAL = dAL = - (np.divide(Y, AL) - np.divide(1 - Y, 1 - AL))
    ### END CODE HERE ###
    
    # Lth layer (SIGMOID -> LINEAR) gradients. Inputs: "AL, Y, caches". Outputs: "grads["dAL"], grads["dWL"], grads["dbL"]
    ### START CODE HERE ### (approx. 2 lines)
    current_cache = caches[-1]
    grads["dA" + str(L)], grads["dW" + str(L)], grads["db" + str(L)] = linear_backward(sigmoid_backward(dAL, 
                                                                                                        current_cache[1]), 
                                                                                       current_cache[0])
    ### END CODE HERE ###
    
    for l in reversed(range(L-1)):
        # lth layer: (RELU -> LINEAR) gradients.
        # Inputs: "grads["dA" + str(l + 2)], caches". Outputs: "grads["dA" + str(l + 1)] , grads["dW" + str(l + 1)] , grads["db" + str(l + 1)] 
        ### START CODE HERE ### (approx. 5 lines)
        current_cache = caches[l]
        dA_prev_temp, dW_temp, db_temp = linear_backward(sigmoid_backward(dAL, caches[1]), caches[0])
        grads["dA" + str(l + 1)] = dA_prev_temp
        grads["dW" + str(l + 1)] = dW_temp
        grads["db" + str(l + 1)] = db_temp
        ### END CODE HERE ###

    return grads
    
def update_parameters(parameters, grads, learning_rate):
    """
    Update parameters using gradient descent
    
    Arguments:
    parameters -- python dictionary containing your parameters 
    grads -- python dictionary containing your gradients, output of L_model_backward
    
    Returns:
    parameters -- python dictionary containing your updated parameters 
                  parameters["W" + str(l)] = ... 
                  parameters["b" + str(l)] = ...
    """
    
    L = len(parameters) // 2 # number of layers in the neural network

    # Update rule for each parameter. Use a for loop.
    ### START CODE HERE ### (≈ 3 lines of code)
    for l in range(L):
        parameters["W" + str(l + 1)] = parameters["W" + str(l + 1)] - learning_rate * grads["dW" + str(l + 1)]
        parameters["b" + str(l + 1)] = parameters["b" + str(l + 1)] - learning_rate * grads["db" + str(l + 1)]
    ### END CODE HERE ###
        
    return parameters
    
n_x = 5     # num_px * num_px * 3
n_h = 4
n_y = 1
layers_dims = (n_x, n_h, n_y)

def two_layer_model(X, Y, layers_dims, learning_rate=0.0075, num_iterations=3000, print_cost=False):
    """
    Implements a two-layer neural network: LINEAR->RELU->LINEAR->SIGMOID.
    
    Arguments:
    X -- input data, of shape (n_x, number of examples)
    Y -- true "label" vector (containing 0 if cat, 1 if non-cat), of shape (1, number of examples)
    layers_dims -- dimensions of the layers (n_x, n_h, n_y)
    num_iterations -- number of iterations of the optimization loop
    learning_rate -- learning rate of the gradient descent update rule
    print_cost -- If set to True, this will print the cost every 100 iterations 
    
    Returns:
    parameters -- a dictionary containing W1, W2, b1, and b2
    """
    
    np.random.seed(1)
    grads = {}
    costs = []                              # to keep track of the cost
    m = X.shape[1]                           # number of examples
    (n_x, n_h, n_y) = layers_dims
    
    # Initialize parameters dictionary, by calling one of the functions you'd previously implemented
    ### START CODE HERE ### (≈ 1 line of code)
    parameters = initialize_parameters(n_x, n_h, n_y)
    ### END CODE HERE ###
    
    # Get W1, b1, W2 and b2 from the dictionary parameters.
    W1 = parameters["W1"]
    b1 = parameters["b1"]
    W2 = parameters["W2"]
    b2 = parameters["b2"]
    
    # Loop (gradient descent)

    for i in range(0, num_iterations):

        # Forward propagation: LINEAR -> RELU -> LINEAR -> SIGMOID. Inputs: "X, W1, b1". Output: "A1, cache1, A2, cache2".
        ### START CODE HERE ### (≈ 2 lines of code)
        A1, cache1 = linear_activation_forward(X, W1, b1, 'relu')
        A2, cache2 = linear_activation_forward(A1, W2, b2, 'sigmoid')
        ### END CODE HERE ###
        
        # Compute cost
        ### START CODE HERE ### (≈ 1 line of code)
        cost = compute_cost(A2, Y)
        ### END CODE HERE ###
        
        # Initializing backward propagation
        dA2 = - (np.divide(Y, A2) - np.divide(1 - Y, 1 - A2))
        
        # Backward propagation. Inputs: "dA2, cache2, cache1". Outputs: "dA1, dW2, db2; also dA0 (not used), dW1, db1".
        ### START CODE HERE ### (≈ 2 lines of code)
        dA1, dW2, db2 = linear_activation_backward(dA2, cache2, 'sigmoid')
        dA0, dW1, db1 = linear_activation_backward(dA1, cache1, 'relu')
        ### END CODE HERE ###
        
        # Set grads['dWl'] to dW1, grads['db1'] to db1, grads['dW2'] to dW2, grads['db2'] to db2
        grads['dW1'] = dW1
        grads['db1'] = db1
        grads['dW2'] = dW2
        grads['db2'] = db2
        
        # Update parameters.
        ### START CODE HERE ### (approx. 1 line of code)
        parameters = update_parameters(parameters, grads, 0.01)
        ### END CODE HERE ###

        # Retrieve W1, b1, W2, b2 from parameters
        W1 = parameters["W1"]
        b1 = parameters["b1"]
        W2 = parameters["W2"]
        b2 = parameters["b2"]
        
        # Print the cost every 100 training example
        if print_cost and i % 100 == 0:
            print("Cost after iteration {}: {}".format(i, np.squeeze(cost)))
        if print_cost and i % 100 == 0:
            costs.append(cost)
       
    # plot the cost

    plt.plot(np.squeeze(costs))
    plt.ylabel('cost')
    plt.xlabel('iterations (per tens)')
    plt.title("Learning rate =" + str(learning_rate))
    plt.show()
    
    return parameters


parameters = two_layer_model(X, Y, layers_dims = (n_x, n_h, n_y), num_iterations = 2500, print_cost=True)

np.shape(train_set_y)