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@chenditc chenditc commented Nov 26, 2022

Existing double ensemble model does not implement capability to leverage validation set and do early stopping. Added such capability while remaining the default behavior unchanged.

Description

Added early_stopping_round option to double ensemble model.

Motivation and Context

#1208

The fixed epoch for sub model might make them overfit or underfit, depends on the dataset. Using validation set for early stopping can make sub model more robust.

How Has This Been Tested?

  • Pass the test by running: pytest qlib/tests/test_all_pipeline.py under upper directory of qlib.
  • If you are adding a new feature, test on your own test scripts.

Screenshots of Test Results (if appropriate):

  1. Pipeline test:
    image

  2. Your own tests:
    Run with early stopping:
    image

Run with default params:
image

Types of changes

  • Fix bugs
  • Add new feature
  • Update documentation

@you-n-g
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you-n-g commented Nov 27, 2022

@chenditc
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Please fix the CI error https://github.com/microsoft/qlib/actions/runs/3553539133/jobs/5969103534#step:9:17 Thanks

Lint error fixed.

@you-n-g you-n-g merged commit 7e5bab5 into microsoft:main Nov 28, 2022
@you-n-g
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you-n-g commented Nov 28, 2022

Thanks.
It looks great now!

@you-n-g you-n-g added the enhancement New feature or request label Dec 9, 2022
qianyun210603 pushed a commit to qianyun210603/qlib that referenced this pull request Mar 23, 2023
)

* Add early stopping to double ensemble model, add example

* Fix lint error
qianyun210603 pushed a commit to qianyun210603/qlib that referenced this pull request Mar 23, 2023
)

* Add early stopping to double ensemble model, add example

* Fix lint error
qianyun210603 pushed a commit to qianyun210603/qlib that referenced this pull request Mar 23, 2023
)

* Add early stopping to double ensemble model, add example

* Fix lint error
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2 participants