This post is a follow up on this one: https://www.reddit.com/r/tensorflow/comments/pk5dqj/custom_loss_function_error_attributeerror/

Basically I need to compute 3 derivatives of the ANN I’m training with respect to (wrt) some input variables. I need those derivatives for a custom loss function.

I finally managed to calculate the 2 first order partial derivatives. The problem is in the second order derivative. It returns NoneType and I don’t know why. I’ve already tried different examples to no avail. For example tried the Jacobian (https://www.tensorflow.org/api_docs/python/tf/GradientTape#jacobian).

import pandas as pd from tensorflow import keras import tensorflow as tf from tensorflow.keras import layers, losses import numpy as np # Hyperparameters n_hidden_layers = 2 # Number of hidden layers. n_units = 128 # Number of neurons of the hidden layers. n_batch = 64 # Number of observations used per gradient update. n_epochs = 30 # Sample data x_train = {'strike': [200, 2925], 'Time to Maturity': [0.312329, 0.0356164], "RF Rate": [0.08, 2.97], "Sigma 20 Days Annualized": [0.123251, 0.0837898], "Underlying Price": [1494.82, 2840.69] } call_X_train = pd.DataFrame(x_train, columns = ['strike', "Time to Maturity", "RF Rate", "Sigma 20 Days Annualized", "Underlying Price"] ) x_test = {'strike': [200], 'Time to Maturity': [0.0356164], "RF Rate": [2.97], "Sigma 20 Days Annualized": [0.0837898], "Underlying Price": [2840.69] } call_X_test = pd.DataFrame(x_test, columns = ['strike', "Time to Maturity", "RF Rate", "Sigma 20 Days Annualized", "Underlying Price"] ) y_train = np.array([1285.25, 0.8]) call_y_train = pd.Series(y_train) y_test = np.array([0.8]) call_y_test = pd.Series(y_test) # Creates hidden layers def hl(tensor, n_units): hl_output = layers.Dense(n_units, activation = layers.LeakyReLU(alpha = 1))(tensor) # alpha = 1 makes the function LeakyReLU C^inf return hl_output # Create model using Keras' Functional API def mlp3_call(n_hidden_layers, n_units): # Create input layer inputs = keras.Input(shape = (call_X_train.shape[1],)) x = layers.LeakyReLU(alpha = 1)(inputs) # Create hidden layers for _ in range(n_hidden_layers): x = hl(x, n_units) # Create output layer outputs = layers.Dense(1, activation = keras.activations.softplus)(x) # Actually create the model model = keras.Model(inputs=inputs, outputs=outputs) return model # Custom loss function def constrained_mse(y_true, y_pred): mse = losses.mse(y_true, y_pred) x = tf.convert_to_tensor(call_X_train, np.float32) with tf.GradientTape() as tape: tape.watch(x) with tf.GradientTape(persistent=True) as tape2: tape2.watch(x) y = model(x) grad_y = tape2.gradient(y, x) dy_dstrike = grad_y[0, 0] dy_dttm = grad_y[0, 1] d2y_dstrike2 = tape.gradient(dy_dstrike, x[:,0]) loss = mse + dy_dstrike + dy_dttm + d2y_dstrike2 return loss model = mlp3_call(n_hidden_layers, n_units) model.compile(loss = constrained_mse, optimizer = keras.optimizers.Adam(),) history = model.fit(call_X_train, call_y_train, batch_size = n_batch, epochs = n_epochs, validation_split = 0.01, verbose = 1)

submitted by /u/Snoo37084

[visit reddit] [comments]