# -*- coding: utf-8 -*-
""" The improved kl-UCB++ policy, for one-parameter exponential distributions.
Reference: [Menard & Garivier, ALT 2017](https://hal.inria.fr/hal-01475078)
"""
from __future__ import division, print_function # Python 2 compatibility
__author__ = "Lilian Besson"
__version__ = "0.5"
from math import log
import numpy as np
np.seterr(divide='ignore') # XXX dangerous in general, controlled here!
try:
from .kullback import klucbBern
from .klUCB import klUCB, c
except ImportError:
from kullback import klucbBern
from klUCB import klUCB, c
# --- Numerical functions required for the function g(n) for kl-UCB++
[docs]def logplus(x):
"""..math:: \log^+(x) := \max(0, \log(x))."""
return max(0., log(x))
[docs]def g(t, T, K):
r"""The exploration function g(t) (for t current time, T horizon, K nb arms), as defined in page 3 of the reference paper.
.. math::
g(t, T, K) &:= \log^+(y (1 + \log^+(y)^2)),\\
y &:= \frac{T}{K t}.
"""
y = T / (K * t)
return max(0., log(y * (1. + max(0., log(y)) ** 2)))
[docs]def g_vect(t, T, K):
r"""The exploration function g(t) (for t current time, T horizon, K nb arms), as defined in page 3 of the reference paper, for numpy vectorized inputs.
.. math::
g(t, T, K) &:= \log^+(y (1 + \log^+(y)^2)),\\
y &:= \frac{T}{K t}.
"""
y = T / (K * t)
return np.maximum(0., np.log(y * (1. + np.maximum(0., np.log(y)) ** 2)))
[docs]class klUCBPlusPlus(klUCB):
""" The improved kl-UCB++ policy, for one-parameter exponential distributions.
Reference: [Menard & Garivier, ALT 2017](https://hal.inria.fr/hal-01475078)
"""
[docs] def __init__(self, nbArms, horizon=None, tolerance=1e-4, klucb=klucbBern, c=c, lower=0., amplitude=1.):
super(klUCBPlusPlus, self).__init__(nbArms, tolerance=tolerance, klucb=klucb, c=c, lower=lower, amplitude=amplitude)
self.nbArms = float(self.nbArms) # Just speed up type casting by forcing it to be a float
self.horizon = int(horizon) #: Parameter :math:`T` = known horizon of the experiment.
[docs] def __str__(self):
name = "" if self.klucb.__name__[5:] == "Bern" else ", " + self.klucb.__name__[5:]
complement = "$T={}${}{}".format(self.horizon, name, "" if self.c == 1 else r", $c={:.3g}$".format(self.c))
return r"kl-UCB{}({})".format("$^{++}$", complement)
[docs] def computeIndex(self, arm):
r""" Compute the current index, at time t and after :math:`N_k(t)` pulls of arm k:
.. math::
\hat{\mu}_k(t) &= \frac{X_k(t)}{N_k(t)}, \\
U_k(t) &= \sup\limits_{q \in [a, b]} \left\{ q : \mathrm{kl}(\hat{\mu}_k(t), q) \leq \frac{c g(N_k(t), T, K)}{N_k(t)} \right\},\\
I_k(t) &= U_k(t).
If rewards are in :math:`[a, b]` (default to :math:`[0, 1]`) and :math:`\mathrm{kl}(x, y)` is the Kullback-Leibler divergence between two distributions of means x and y (see :mod:`Arms.kullback`),
and c is the parameter (default to 1), and where :math:`g(t, T, K)` is this function:
.. math::
g(t, T, K) &:= \log^+(y (1 + \log^+(y)^2)),\\
y &:= \frac{T}{K t}.
"""
if self.pulls[arm] < 1:
return float('+inf')
else:
# XXX We could adapt tolerance to the value of self.t
return self.klucb(self.rewards[arm] / self.pulls[arm], self.c * g(self.pulls[arm], self.horizon, self.nbArms) / self.pulls[arm], self.tolerance)
[docs] def computeAllIndex(self):
""" Compute the current indexes for all arms, in a vectorized manner."""
indexes = self.klucb_vect(self.rewards / self.pulls, self.c * g_vect(self.pulls, self.horizon, self.nbArms) / self.pulls, self.tolerance)
indexes[self.pulls < 1] = float('+inf')
self.index[:] = indexes