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Ignore:
Timestamp:
08/17/15 19:13:19 (8 years ago)
Author:
gkronber
Message:

#2283: implemented first crude version of extreme hunter algorithm in branch

File:
1 edited

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  • branches/HeuristicLab.Problems.GrammaticalOptimization-gkr/HeuristicLab.Problems.Bandits/GaussianBandit.cs

    r11849 r12876  
    1212    public int OptimalExpectedRewardArm { get; private set; }
    1313    public int OptimalMaximalRewardArm { get; private set; }
    14 
     14    public double MaxReward { get; private set; }
     15    public double MinReward { get; private set; }
    1516    private readonly Random random;
    1617    private readonly double[] exp;
    1718    private readonly double[] stdDev;
    18     public GaussianBandit(Random random, int nArms) {
     19    public GaussianBandit(Random random, int nArms, double minReward = double.NegativeInfinity, double maxReward = double.PositiveInfinity) {
     20      this.MaxReward = maxReward;
     21      this.MinReward = minReward;
    1922      this.random = random;
    2023      this.NumArms = nArms;
     
    3134          OptimalExpectedRewardArm = i;
    3235        }
    33         var q = alglib.invnormaldistribution(0.99) * stdDev[i] + exp[i];
     36        var q = alglib.invnormaldistribution(0.999) * stdDev[i] + exp[i];
    3437        if (q > bestQ) {
    3538          bestQ = q;
     
    3942    }
    4043
    41     // pulling an arm results in a truncated normally distributed reward
    42     // with mean expReward[i] and std.dev 0.1
     44    // pulling an arm results in a normally distributed reward
     45    // with mean expReward[i] and std.dev
    4346    public double Pull(int arm) {
    44       var z = Rand.RandNormal(random);
    45       var x = z * stdDev[arm] + exp[arm];
     47      double x;
     48      do {
     49        var z = Rand.RandNormal(random);
     50        x = z * stdDev[arm] + exp[arm];
     51      } while (x <= MinReward || x > MaxReward);
    4652      return x;
    4753    }
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