This is a dirty workaround to show how to get input and output tensors from models and use concatenate layers with them. Also to learn how to use Dense
and other layers with tensors and create functional API models.
Ideally, you should rewrite everything that's inside build_network
for clean and optimized code. (Perhaps this doesn't even work depending on the content of this function, but this is the idea)
lower_model = [self.build_network(
self.model_config['critic_lower'],
input_shape=(self.history_length, self.n_stock, 1))
for _ in range(1 + self.n_smooth + self.n_down)]
#for building models you need input and output tensors
lower_inputs = [model.input for model in lower_model]
lower_outputs = [model.output for model in lower_model]
#these lines assume each model in the list has only one input and output
#using a concatenate layer on a list of tensors
merged_tensor = Concatenate()(lower_outputs) #or Concatenate(axis=...)(lower_outputs)
#this is a workaround for compatibility.
#ideally you should work just with tensors, not create unnecessary intermediate models
merged_model = Model(lower_inputs, merged_tensor) #make model from input tensors to outputs
# upper layer
upper_model = self.build_network(self.model_config['critic_upper'], model=merged_model)
# action layer
action = self.build_network(self.model_config['critic_action'], input_shape=(self.n_stock,), is_conv=False)
# output layer - get the output tensors from the models
upper_out = upper_model.output
action_out = action.output
#apply the Multiply layer on the list of tensors
merged_tensor = Multiply()([upper_out, action_out])
#apply the Dense layer on the merged tensor
out = Dense(1)(merged_tensor)
#get input tensors to create a model
upper_iputs = upper_model.inputs #should be a list
action_inputs = action.inputs #if not a list, append to the previous list
inputs = upper_inputs + action_inputs
model = Model(inputs, out)
return model