1 | using System;
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2 | using System.Diagnostics;
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3 | using System.Linq;
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4 | using HeuristicLab.Common;
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5 |
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6 | namespace HeuristicLab.Algorithms.Bandits {
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7 | public class GaussianThompsonSamplingPolicy : BanditPolicy {
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8 | private readonly Random random;
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9 | private readonly double[] sumRewards;
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10 | private readonly double[] sumSqrRewards;
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11 | private readonly int[] tries;
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12 | public GaussianThompsonSamplingPolicy(Random random, int numActions)
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13 | : base(numActions) {
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14 | this.random = random;
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15 | this.sumRewards = new double[numActions];
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16 | this.sumSqrRewards = new double[numActions];
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17 | this.tries = new int[numActions];
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18 | }
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19 |
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20 |
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21 | public override int SelectAction() {
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22 | Debug.Assert(Actions.Any());
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23 | var maxTheta = double.NegativeInfinity;
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24 | int bestAction = -1;
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25 | foreach (var a in Actions) {
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26 | if (tries[a] == 0) return a;
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27 | var mu = sumRewards[a] / tries[a];
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28 | var stdDev = Math.Sqrt(sumSqrRewards[a] / tries[a] - Math.Pow(mu, 2));
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29 | var theta = Rand.RandNormal(random) * stdDev + mu;
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30 | if (theta > maxTheta) {
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31 | maxTheta = theta;
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32 | bestAction = a;
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33 | }
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34 | }
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35 | return bestAction;
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36 | }
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37 |
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38 | public override void UpdateReward(int action, double reward) {
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39 | Debug.Assert(Actions.Contains(action));
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40 |
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41 | sumRewards[action] += reward;
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42 | sumSqrRewards[action] += reward * reward;
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43 | tries[action]++;
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44 | }
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45 |
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46 | public override void DisableAction(int action) {
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47 | base.DisableAction(action);
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48 | sumRewards[action] = 0;
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49 | sumSqrRewards[action] = 0;
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50 | tries[action] = -1;
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51 | }
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52 |
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53 | public override void Reset() {
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54 | base.Reset();
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55 | Array.Clear(sumRewards, 0, sumRewards.Length);
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56 | Array.Clear(sumSqrRewards, 0, sumSqrRewards.Length);
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57 | Array.Clear(tries, 0, tries.Length);
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58 | }
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59 | }
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60 | }
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