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jankrepl / deepdow

Portfolio optimization with deep learning.
https://deepdow.readthedocs.io
Apache License 2.0
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Dataset - batching both columns and rows #3

Closed jankrepl closed 4 years ago

jankrepl commented 4 years ago

Write a torch.utils.data.Dataset subclass such that it randomly subsamples both samples and assets. Seems like cvxpylayers does not scale well

jankrepl commented 4 years ago

Can be done via DataLoader ..additionally one can cutoff lookback randomly and maybe horizon too