source: branches/HeuristicLab.Problems.GrammaticalOptimization-gkr/HeuristicLab.Common/OnlineMeanAndVarianceEstimator.cs @ 13475

using System;
using System.Collections.Generic;
using System.Diagnostics;
using System.Linq;
using System.Text;
using System.Threading.Tasks;

namespace HeuristicLab.Algorithms.Bandits {
  public class OnlineMeanAndVarianceEstimator {
    public int N { get; private set; }
    public double Sum { get; private set; }
    public double Avg { get; private set; }
    public double Variance { get { return sampleM2 / N; } }
    private double sampleM2;

    public void UpdateReward(double reward) {
      N++;
      Sum += reward;

      var delta = reward - Avg;
      //Avg += delta / N;
      // double alpha = 0.01;
      double alpha = 1.0 / N;
      Avg = Avg + alpha * (delta);
      sampleM2 += delta * (reward - Avg);
    }

    public void Reset() {
      Sum = 0.0;
      Avg = 0.0;
      N = 0;
      sampleM2 = 0.0;
    }
  }
}