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source:branches/HeuristicLab.Problems.GrammaticalOptimization/HeuristicLab.Algorithms.Bandits/BanditPolicies/UCB1TunedPolicy.cs@11832

Last change on this file since 11832 was 11832, checked in by gkronber, 8 years ago

linear value function approximation and good results for poly-10 benchmark

File size: 1.9 KB
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1using System;
2using System.Collections.Generic;
3using System.Diagnostics;
4using System.Linq;
5using System.Text;
7using HeuristicLab.Common;
8
9namespace HeuristicLab.Algorithms.Bandits.BanditPolicies {
10  // policy for k-armed bandit (see Auer et al. 2002)
11  public class UCB1TunedPolicy : IBanditPolicy {
12
13    public int SelectAction(Random random, IEnumerable<IBanditPolicyActionInfo> actionInfos) {
14      var myActionInfos = actionInfos.OfType<MeanAndVariancePolicyActionInfo>();
15
16      int totalTries = myActionInfos.Sum(a => a.Tries);
17
18      int aIdx = -1;
19      double bestQ = double.NegativeInfinity;
20      var bestActions = new List<int>();
21      foreach (var aInfo in myActionInfos) {
22        aIdx++;
23        double q;
24        if (aInfo.Tries == 0) {
25          q = double.PositiveInfinity;
26        } else {
27          var sumReward = aInfo.SumReward;
28          var tries = aInfo.Tries;
29
30          var avgReward = sumReward / tries;
31          q = avgReward + Math.Sqrt((Math.Log(totalTries) / tries) * Math.Min(1.0 / 4, V(aInfo, totalTries)));
32          // 1/4 is upper bound of bernoulli distributed variable
33        }
34        if (q > bestQ) {
35          bestQ = q;
36          bestActions.Clear();
38        } else if (q.IsAlmost(bestQ)) {
40        }
41      }
42      Debug.Assert(bestActions.Any());
43
44      return bestActions.SelectRandom(random);
45    }
46
47    public IBanditPolicyActionInfo CreateActionInfo() {
48      return new MeanAndVariancePolicyActionInfo();
49    }
50
51    private double V(MeanAndVariancePolicyActionInfo actionInfo, int totalTries) {
52      var s = actionInfo.Tries;
53      return actionInfo.RewardVariance + Math.Sqrt(2 * Math.Log(totalTries) / s);
54    }
55
56    public override string ToString() {
57      return "UCB1TunedPolicy";
58    }
59  }
60}
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