1618270200

Experimenting with RL for building optimal portfolio of 3 stocks and comparing it with portfolio theory based approaches

Reinforcement learning is arguably the coolest branch of artificial intelligence. It has already proven its prowess: stunning the world, beating the world champions in games of Chess, Go, and even DotA 2.

Using RL for stock trading has always been a holy grail among data scientists. Stock trading has drawn our imaginations because of its ease of access and to misquote Cardi B, we like diamond and we like dollars 😛.

There are several ways of using Machine Learning for stock trading. One approach is to use forecasting techniques to predict the movement of the stock and build some heuristic based bot that uses the prediction to make decisions. Another approach is to build a bot that can look at the stock movement and directly recommend the actions — buy/sell/hold. This is a perfect use-case for reinforcement learning as we will generally know the accumulated results of our actions only at the end of the trading episode.

#portfolio-management #machine-learning #reinforcement-learning #deep-learning #finance

1667425440

Perl script converts PDF files to Gerber format

Pdf2Gerb generates Gerber 274X photoplotting and Excellon drill files from PDFs of a PCB. Up to three PDFs are used: the top copper layer, the bottom copper layer (for 2-sided PCBs), and an optional silk screen layer. The PDFs can be created directly from any PDF drawing software, or a PDF print driver can be used to capture the Print output if the drawing software does not directly support output to PDF.

The general workflow is as follows:

- Design the PCB using your favorite CAD or drawing software.
- Print the top and bottom copper and top silk screen layers to a PDF file.
- Run Pdf2Gerb on the PDFs to create Gerber and Excellon files.
- Use a Gerber viewer to double-check the output against the original PCB design.
- Make adjustments as needed.
- Submit the files to a PCB manufacturer.

Please note that Pdf2Gerb does NOT perform DRC (Design Rule Checks), as these will vary according to individual PCB manufacturer conventions and capabilities. Also note that Pdf2Gerb is not perfect, so the output files must always be checked before submitting them. As of version 1.6, Pdf2Gerb supports most PCB elements, such as round and square pads, round holes, traces, SMD pads, ground planes, no-fill areas, and panelization. However, because it interprets the graphical output of a Print function, there are limitations in what it can recognize (or there may be bugs).

See docs/Pdf2Gerb.pdf for install/setup, config, usage, and other info.

```
#Pdf2Gerb config settings:
#Put this file in same folder/directory as pdf2gerb.pl itself (global settings),
#or copy to another folder/directory with PDFs if you want PCB-specific settings.
#There is only one user of this file, so we don't need a custom package or namespace.
#NOTE: all constants defined in here will be added to main namespace.
#package pdf2gerb_cfg;
use strict; #trap undef vars (easier debug)
use warnings; #other useful info (easier debug)
##############################################################################################
#configurable settings:
#change values here instead of in main pfg2gerb.pl file
use constant WANT_COLORS => ($^O !~ m/Win/); #ANSI colors no worky on Windows? this must be set < first DebugPrint() call
#just a little warning; set realistic expectations:
#DebugPrint("${\(CYAN)}Pdf2Gerb.pl ${\(VERSION)}, $^O O/S\n${\(YELLOW)}${\(BOLD)}${\(ITALIC)}This is EXPERIMENTAL software. \nGerber files MAY CONTAIN ERRORS. Please CHECK them before fabrication!${\(RESET)}", 0); #if WANT_DEBUG
use constant METRIC => FALSE; #set to TRUE for metric units (only affect final numbers in output files, not internal arithmetic)
use constant APERTURE_LIMIT => 0; #34; #max #apertures to use; generate warnings if too many apertures are used (0 to not check)
use constant DRILL_FMT => '2.4'; #'2.3'; #'2.4' is the default for PCB fab; change to '2.3' for CNC
use constant WANT_DEBUG => 0; #10; #level of debug wanted; higher == more, lower == less, 0 == none
use constant GERBER_DEBUG => 0; #level of debug to include in Gerber file; DON'T USE FOR FABRICATION
use constant WANT_STREAMS => FALSE; #TRUE; #save decompressed streams to files (for debug)
use constant WANT_ALLINPUT => FALSE; #TRUE; #save entire input stream (for debug ONLY)
#DebugPrint(sprintf("${\(CYAN)}DEBUG: stdout %d, gerber %d, want streams? %d, all input? %d, O/S: $^O, Perl: $]${\(RESET)}\n", WANT_DEBUG, GERBER_DEBUG, WANT_STREAMS, WANT_ALLINPUT), 1);
#DebugPrint(sprintf("max int = %d, min int = %d\n", MAXINT, MININT), 1);
#define standard trace and pad sizes to reduce scaling or PDF rendering errors:
#This avoids weird aperture settings and replaces them with more standardized values.
#(I'm not sure how photoplotters handle strange sizes).
#Fewer choices here gives more accurate mapping in the final Gerber files.
#units are in inches
use constant TOOL_SIZES => #add more as desired
(
#round or square pads (> 0) and drills (< 0):
.010, -.001, #tiny pads for SMD; dummy drill size (too small for practical use, but needed so StandardTool will use this entry)
.031, -.014, #used for vias
.041, -.020, #smallest non-filled plated hole
.051, -.025,
.056, -.029, #useful for IC pins
.070, -.033,
.075, -.040, #heavier leads
# .090, -.043, #NOTE: 600 dpi is not high enough resolution to reliably distinguish between .043" and .046", so choose 1 of the 2 here
.100, -.046,
.115, -.052,
.130, -.061,
.140, -.067,
.150, -.079,
.175, -.088,
.190, -.093,
.200, -.100,
.220, -.110,
.160, -.125, #useful for mounting holes
#some additional pad sizes without holes (repeat a previous hole size if you just want the pad size):
.090, -.040, #want a .090 pad option, but use dummy hole size
.065, -.040, #.065 x .065 rect pad
.035, -.040, #.035 x .065 rect pad
#traces:
.001, #too thin for real traces; use only for board outlines
.006, #minimum real trace width; mainly used for text
.008, #mainly used for mid-sized text, not traces
.010, #minimum recommended trace width for low-current signals
.012,
.015, #moderate low-voltage current
.020, #heavier trace for power, ground (even if a lighter one is adequate)
.025,
.030, #heavy-current traces; be careful with these ones!
.040,
.050,
.060,
.080,
.100,
.120,
);
#Areas larger than the values below will be filled with parallel lines:
#This cuts down on the number of aperture sizes used.
#Set to 0 to always use an aperture or drill, regardless of size.
use constant { MAX_APERTURE => max((TOOL_SIZES)) + .004, MAX_DRILL => -min((TOOL_SIZES)) + .004 }; #max aperture and drill sizes (plus a little tolerance)
#DebugPrint(sprintf("using %d standard tool sizes: %s, max aper %.3f, max drill %.3f\n", scalar((TOOL_SIZES)), join(", ", (TOOL_SIZES)), MAX_APERTURE, MAX_DRILL), 1);
#NOTE: Compare the PDF to the original CAD file to check the accuracy of the PDF rendering and parsing!
#for example, the CAD software I used generated the following circles for holes:
#CAD hole size: parsed PDF diameter: error:
# .014 .016 +.002
# .020 .02267 +.00267
# .025 .026 +.001
# .029 .03167 +.00267
# .033 .036 +.003
# .040 .04267 +.00267
#This was usually ~ .002" - .003" too big compared to the hole as displayed in the CAD software.
#To compensate for PDF rendering errors (either during CAD Print function or PDF parsing logic), adjust the values below as needed.
#units are pixels; for example, a value of 2.4 at 600 dpi = .0004 inch, 2 at 600 dpi = .0033"
use constant
{
HOLE_ADJUST => -0.004 * 600, #-2.6, #holes seemed to be slightly oversized (by .002" - .004"), so shrink them a little
RNDPAD_ADJUST => -0.003 * 600, #-2, #-2.4, #round pads seemed to be slightly oversized, so shrink them a little
SQRPAD_ADJUST => +0.001 * 600, #+.5, #square pads are sometimes too small by .00067, so bump them up a little
RECTPAD_ADJUST => 0, #(pixels) rectangular pads seem to be okay? (not tested much)
TRACE_ADJUST => 0, #(pixels) traces seemed to be okay?
REDUCE_TOLERANCE => .001, #(inches) allow this much variation when reducing circles and rects
};
#Also, my CAD's Print function or the PDF print driver I used was a little off for circles, so define some additional adjustment values here:
#Values are added to X/Y coordinates; units are pixels; for example, a value of 1 at 600 dpi would be ~= .002 inch
use constant
{
CIRCLE_ADJUST_MINX => 0,
CIRCLE_ADJUST_MINY => -0.001 * 600, #-1, #circles were a little too high, so nudge them a little lower
CIRCLE_ADJUST_MAXX => +0.001 * 600, #+1, #circles were a little too far to the left, so nudge them a little to the right
CIRCLE_ADJUST_MAXY => 0,
SUBST_CIRCLE_CLIPRECT => FALSE, #generate circle and substitute for clip rects (to compensate for the way some CAD software draws circles)
WANT_CLIPRECT => TRUE, #FALSE, #AI doesn't need clip rect at all? should be on normally?
RECT_COMPLETION => FALSE, #TRUE, #fill in 4th side of rect when 3 sides found
};
#allow .012 clearance around pads for solder mask:
#This value effectively adjusts pad sizes in the TOOL_SIZES list above (only for solder mask layers).
use constant SOLDER_MARGIN => +.012; #units are inches
#line join/cap styles:
use constant
{
CAP_NONE => 0, #butt (none); line is exact length
CAP_ROUND => 1, #round cap/join; line overhangs by a semi-circle at either end
CAP_SQUARE => 2, #square cap/join; line overhangs by a half square on either end
CAP_OVERRIDE => FALSE, #cap style overrides drawing logic
};
#number of elements in each shape type:
use constant
{
RECT_SHAPELEN => 6, #x0, y0, x1, y1, count, "rect" (start, end corners)
LINE_SHAPELEN => 6, #x0, y0, x1, y1, count, "line" (line seg)
CURVE_SHAPELEN => 10, #xstart, ystart, x0, y0, x1, y1, xend, yend, count, "curve" (bezier 2 points)
CIRCLE_SHAPELEN => 5, #x, y, 5, count, "circle" (center + radius)
};
#const my %SHAPELEN =
#Readonly my %SHAPELEN =>
our %SHAPELEN =
(
rect => RECT_SHAPELEN,
line => LINE_SHAPELEN,
curve => CURVE_SHAPELEN,
circle => CIRCLE_SHAPELEN,
);
#panelization:
#This will repeat the entire body the number of times indicated along the X or Y axes (files grow accordingly).
#Display elements that overhang PCB boundary can be squashed or left as-is (typically text or other silk screen markings).
#Set "overhangs" TRUE to allow overhangs, FALSE to truncate them.
#xpad and ypad allow margins to be added around outer edge of panelized PCB.
use constant PANELIZE => {'x' => 1, 'y' => 1, 'xpad' => 0, 'ypad' => 0, 'overhangs' => TRUE}; #number of times to repeat in X and Y directions
# Set this to 1 if you need TurboCAD support.
#$turboCAD = FALSE; #is this still needed as an option?
#CIRCAD pad generation uses an appropriate aperture, then moves it (stroke) "a little" - we use this to find pads and distinguish them from PCB holes.
use constant PAD_STROKE => 0.3; #0.0005 * 600; #units are pixels
#convert very short traces to pads or holes:
use constant TRACE_MINLEN => .001; #units are inches
#use constant ALWAYS_XY => TRUE; #FALSE; #force XY even if X or Y doesn't change; NOTE: needs to be TRUE for all pads to show in FlatCAM and ViewPlot
use constant REMOVE_POLARITY => FALSE; #TRUE; #set to remove subtractive (negative) polarity; NOTE: must be FALSE for ground planes
#PDF uses "points", each point = 1/72 inch
#combined with a PDF scale factor of .12, this gives 600 dpi resolution (1/72 * .12 = 600 dpi)
use constant INCHES_PER_POINT => 1/72; #0.0138888889; #multiply point-size by this to get inches
# The precision used when computing a bezier curve. Higher numbers are more precise but slower (and generate larger files).
#$bezierPrecision = 100;
use constant BEZIER_PRECISION => 36; #100; #use const; reduced for faster rendering (mainly used for silk screen and thermal pads)
# Ground planes and silk screen or larger copper rectangles or circles are filled line-by-line using this resolution.
use constant FILL_WIDTH => .01; #fill at most 0.01 inch at a time
# The max number of characters to read into memory
use constant MAX_BYTES => 10 * M; #bumped up to 10 MB, use const
use constant DUP_DRILL1 => TRUE; #FALSE; #kludge: ViewPlot doesn't load drill files that are too small so duplicate first tool
my $runtime = time(); #Time::HiRes::gettimeofday(); #measure my execution time
print STDERR "Loaded config settings from '${\(__FILE__)}'.\n";
1; #last value must be truthful to indicate successful load
#############################################################################################
#junk/experiment:
#use Package::Constants;
#use Exporter qw(import); #https://perldoc.perl.org/Exporter.html
#my $caller = "pdf2gerb::";
#sub cfg
#{
# my $proto = shift;
# my $class = ref($proto) || $proto;
# my $settings =
# {
# $WANT_DEBUG => 990, #10; #level of debug wanted; higher == more, lower == less, 0 == none
# };
# bless($settings, $class);
# return $settings;
#}
#use constant HELLO => "hi there2"; #"main::HELLO" => "hi there";
#use constant GOODBYE => 14; #"main::GOODBYE" => 12;
#print STDERR "read cfg file\n";
#our @EXPORT_OK = Package::Constants->list(__PACKAGE__); #https://www.perlmonks.org/?node_id=1072691; NOTE: "_OK" skips short/common names
#print STDERR scalar(@EXPORT_OK) . " consts exported:\n";
#foreach(@EXPORT_OK) { print STDERR "$_\n"; }
#my $val = main::thing("xyz");
#print STDERR "caller gave me $val\n";
#foreach my $arg (@ARGV) { print STDERR "arg $arg\n"; }
```

Author: swannman

Source Code: https://github.com/swannman/pdf2gerb

License: GPL-3.0 license

1618270200

Experimenting with RL for building optimal portfolio of 3 stocks and comparing it with portfolio theory based approaches

Reinforcement learning is arguably the coolest branch of artificial intelligence. It has already proven its prowess: stunning the world, beating the world champions in games of Chess, Go, and even DotA 2.

Using RL for stock trading has always been a holy grail among data scientists. Stock trading has drawn our imaginations because of its ease of access and to misquote Cardi B, we like diamond and we like dollars 😛.

There are several ways of using Machine Learning for stock trading. One approach is to use forecasting techniques to predict the movement of the stock and build some heuristic based bot that uses the prediction to make decisions. Another approach is to build a bot that can look at the stock movement and directly recommend the actions — buy/sell/hold. This is a perfect use-case for reinforcement learning as we will generally know the accumulated results of our actions only at the end of the trading episode.

#portfolio-management #machine-learning #reinforcement-learning #deep-learning #finance

1603753200

So far in our journey through the Machine Learning universe, we covered several big topics. We investigated some **regression** algorithms, **classification** algorithms and algorithms that can be used for both types of problems (**SVM****, ****Decision Trees** and Random Forest). Apart from that, we dipped our toes in unsupervised learning, saw how we can use this type of learning for **clustering** and learned about several clustering techniques.

We also talked about how to quantify machine learning model **performance** and how to improve it with **regularization**. In all these articles, we used Python for “from the scratch” implementations and libraries like **TensorFlow**, **Pytorch** and SciKit Learn. The word optimization popped out more than once in these articles, so in this and next article, we focus on optimization techniques which are an important part of the machine learning process.

In general, every machine learning algorithm is composed of three integral parts:

- A
**loss**function. - Optimization criteria based on the loss function, like a
**cost**function. **Optimization**technique – this process leverages training data to find a solution for optimization criteria (cost function).

As you were able to see in previous articles, some algorithms were created intuitively and didn’t have optimization criteria in mind. In fact, mathematical **explanations** of why and how these algorithms work were done later. Some of these algorithms are **Decision Trees** and **kNN**. Other algorithms, which were developed later had this thing in mind beforehand. **SVM**is one example.

During the training, we change the parameters of our machine learning model to try and **minimize** the loss function. However, the question of how do you change those parameters arises. Also, by how much should we change them during training and when. To answer all these questions we use **optimizers**. They put all different parts of the machine learning algorithm together. So far we mentioned **Gradient Decent** as an optimization technique, but we haven’t explored it in more detail. In this article, we focus on that and we cover the **grandfather** of all optimization techniques and its variation. Note that these techniques are **not** machine learning algorithms. They are solvers of **minimization** problems in which the function to minimize has a gradient in most points of its domain.

Data that we use in this article is the famous *Boston Housing Dataset* . This dataset is composed 14 features and contains information collected by the U.S Census Service concerning housing in the area of Boston Mass. It is a small **dataset** with only 506 samples.

For the purpose of this article, make sure that you have installed the following _Python _libraries:

- **NumPy **– Follow
**this guide**if you need help with installation. - **SciKit Learn **– Follow
**this guide**if you need help with installation. **Pandas**– Follow**this guide**if you need help with installation.

Once installed make sure that you have imported all the necessary modules that are used in this tutorial.

```
import pandas as pd
import numpy as np
import matplotlib.pyplot as plt
from sklearn.model_selection import train_test_split
from sklearn.metrics import mean_squared_error
from sklearn.preprocessing import StandardScaler
from sklearn.linear_model import SGDRegressor
```

Apart from that, it would be good to be at least familiar with the basics of **linear algebra**, **calculus** and **probability**.

Note that we also use simple **Linear Regression** in all examples. Due to the fact that we explore **optimization**techniques, we picked the easiest machine learning algorithm. You can see more details about Linear regression **here**. As a quick reminder the formula for linear regression goes like this:

where *w* and *b* are parameters of the machine learning algorithm. The entire point of the training process is to set the correct values to the *w* and *b*, so we get the desired output from the machine learning model. This means that we are trying to make the value of our **error vector** as small as possible, i.e. to find a **global minimum of the cost function**.

One way of solving this problem is to use calculus. We could compute derivatives and then use them to find places where is an extrema of the cost function. However, the cost function is not a function of one or a few variables; it is a function of all parameters of a machine learning algorithm, so these calculations will quickly grow into a monster. That is why we use these optimizers.

#ai #machine learning #python #artificaial inteligance #artificial intelligence #batch gradient descent #data science #datascience #deep learning #from scratch #gradient descent #machine learning #machine learning optimizers #ml optimization #optimizers #scikit learn #software #software craft #software craftsmanship #software development #stochastic gradient descent

1617355640

The Association of Data Scientists (AdaSci), a global professional body of data science and ML practitioners, is holding a full-day workshop on building games using reinforcement learning on Saturday, February 20.

Artificial intelligence systems are outperforming humans at many tasks, starting from driving cars, recognising images and objects, generating voices to imitating art, predicting weather, playing chess etc. AlphaGo, DOTA2, StarCraft II etc are a study in reinforcement learning.

Reinforcement learning enables the agent to learn and perform a task under uncertainty in a complex environment. The machine learning paradigm is currently applied to various fields like robotics, pattern recognition, personalised medical treatment, drug discovery, speech recognition, and more.

With an increase in the exciting applications of reinforcement learning across the industries, the demand for RL experts has soared. Taking the cue, the Association of Data Scientists, in collaboration with Analytics India Magazine, is bringing an extensive workshop on reinforcement learning aimed at developers and machine learning practitioners.

#ai workshops #deep reinforcement learning workshop #future of deep reinforcement learning #reinforcement learning #workshop on a saturday #workshop on deep reinforcement learning

1625945940

** Note from Towards Data Science’s editors:**_ While we allow independent authors to publish articles in accordance with our

Optimization is the key of most of the Machine Learning problems. Somewhere, in some sense we always have to optimize an expression. That may be a small part of a bigger problem. But, optimization will be there. In general mathematical sense, by optimization we mean, finding the minimum or maximum (if that exists) of a function. Nature of the function may have a wide variety. In this article, we will discuss about difference between two approaches of optimization: Reinforcement Learning & Bayesian approach. Rather going into deep details of implementation, our discussion will focus on applicability & the type of use cases where two methods can be applied.

Consider any random function like below:

Looks pretty simple, right ? Now, if you are asked to find maximum (or minimum) value of f, then you would take simple derivative and solve the equation. It is a traditional technique. But, what if you don’t know the body or algebraic form of it, i.e., f is black box ? Then also, solution is there. You would initiate a set of random parameter combination of (x1, x2, …, xn) and call f to get different y values and get the maximum (or minimum) among them. It is feasible if f is easy to invoke. But, what if it is black box and very costly to call. Each invocation would incur a cost to the total process. Random search like above is not feasible there. We have to do some sort of intelligent search to keep a check on the number of calls, but still we should be able to find the maximum (or minimum). Bayesian approach can do it. There are few terms in it.

**Surrogate Model**

Bayesian approach builds a surrogate model iteratively around the original function. Surrogate model is nothing but a Gaussian Regression Processor. It is used to get approximated output (y values) for a given set of x values as if the original function is called although it is not. This model is utilized in searching the parameters space and get the value of x for which y is maximum (or minimum).

**Acquisition Function**

It is a metric that helps in choosing the next x value that is most probable in giving a better y-value. Off course, the entire process is iterative in nature. *Acquisition function* is evaluated over a random array of x-values and the the one that gives maximum value for this metric is chosen as next x-value. While computing this metric Surrogate model is utilized for random search of x-values. It cuts off the need of calling the actual f function.

You might have a question, “what do we understand by next x value or y-value ?” Actually, Bayesian is a full iterative approach. It uses Bayesian concept of “Prior/Posterior” combo. From each iteration, best x-value is obtained from *Acquisition function* & corresponding y value is obtained from a the actual f function (posteriors). And they are added to the “Surrogate” model (as prior) resulting a model “update”. So, current iteration’s _posterior _gets added to the next iteration’s list of *priors*.

At the end, we the maximum (or minimum) value from prior list and that is returned as optimal value (maximum or minimum).

Now, question is why are we calling it “stateless” approach ? Just note that, each individual invocation of function f is independent of each other. It does not depend on some state values of the previous invocations. Off course, it is Prior/Posterior dependent, but they are not the “state” of the function. They are just input/output values.

**Finding hyper-parameters of complex Deep Neural Network**

Consider a very deep neural network having an array of hyper-parameters. It could be size of each different hidden layer, number of hidden layers, number of drop-out layers etc. Off course, training such a complex model takes lot of time & resources. How can we find out optimal set of hyper-parameters that can give optimal (maximum) accuracy (classification or regression) from the model ? We can think of it as a hypothetical costly black-box function that takes the array of hyper-parameters and returns accuracy (percentage accuracy for classification or R2 metric for regression). This function involves training of the model with cross-validation sets. We cannot afford to use random search here as it will incur lot of time & resources. Bayesian Optimization is the answer there.

#machine-learning #deep-learning #bayesian optimization #reinforcement learning