1 | using System;
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2 | using System.Collections.Generic;
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3 | using System.Diagnostics;
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4 | using System.Linq;
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5 | using System.Text;
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6 | using System.Threading.Tasks;
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7 |
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8 | namespace HeuristicLab.Algorithms.Bandits {
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9 | /* see: Streeter and Smith: A simple distribution-free approach to the max k-armed bandit problem, Proceedings of the 12th
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10 | International Conference, CP 2006, Nantes, France, September 25-29, 2006. pp 560-574 */
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11 |
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12 | public class ChernoffIntervalEstimationPolicy : BanditPolicy {
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13 | private readonly int[] tries;
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14 | private readonly double[] sumReward;
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15 | private int totalTries = 0;
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16 | private readonly double delta;
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17 |
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18 | public ChernoffIntervalEstimationPolicy(int numActions, double delta = 0.01)
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19 | : base(numActions) {
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20 | this.delta = delta;
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21 | this.tries = new int[numActions];
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22 | this.sumReward = new double[numActions];
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23 | }
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24 |
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25 | public override int SelectAction() {
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26 | int bestAction = -1;
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27 | double bestQ = double.NegativeInfinity;
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28 | double k = Actions.Count();
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29 | Debug.Assert(k > 0);
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30 | foreach (var a in Actions) {
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31 | if (tries[a] == 0) return a;
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32 | // page 5 of "A simple distribution-free appraoch to the max k-armed bandit problem"
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33 | // var alpha = Math.Log(2 * totalTries * k / delta);
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34 | double alpha = Math.Log(2) + Math.Log(totalTries) + Math.Log(k) - Math.Log(delta); // total tries is max tries in the original paper
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35 | double mu = sumReward[a] / tries[a];
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36 | var q = mu + (alpha + Math.Sqrt(2 * tries[a] * mu * alpha + alpha * alpha)) / tries[a];
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37 | if (q > bestQ) {
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38 | bestQ = q;
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39 | bestAction = a;
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40 | }
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41 | }
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42 | return bestAction;
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43 | }
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44 | public override void UpdateReward(int action, double reward) {
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45 | Debug.Assert(Actions.Contains(action));
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46 | totalTries++;
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47 | tries[action]++;
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48 | sumReward[action] += reward;
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49 | }
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50 |
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51 | public override void DisableAction(int action) {
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52 | base.DisableAction(action);
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53 | totalTries -= tries[action];
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54 | tries[action] = -1;
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55 | sumReward[action] = 0;
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56 | }
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57 |
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58 | public override void Reset() {
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59 | base.Reset();
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60 | totalTries = 0;
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61 | Array.Clear(tries, 0, tries.Length);
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62 | Array.Clear(sumReward, 0, sumReward.Length);
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63 | }
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64 |
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65 | public override void PrintStats() {
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66 | for (int i = 0; i < sumReward.Length; i++) {
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67 | if (tries[i] >= 0) {
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68 | Console.Write("{0,5:F2}", sumReward[i] / tries[i]);
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69 | } else {
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70 | Console.Write("{0,5}", "");
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71 | }
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72 | }
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73 | Console.WriteLine();
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74 | }
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75 | public override string ToString() {
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76 | return string.Format("ChernoffIntervalEstimationPolicy({0:F2})", delta);
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77 | }
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78 | }
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79 | }
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