func TestSoftmax(t *testing.T) {
τ := 0.1
sims := 5000
trials := 300
bestArmIndex := 4 // Bernoulli(bestArm)
bestArm := 0.8
arms := []sim.Arm{
bmath.BernRand(0.1),
bmath.BernRand(0.3),
bmath.BernRand(0.2),
bmath.BernRand(0.8),
}
strategy, err := NewSoftmax(len(arms), τ)
if err != nil {
t.Fatalf(err.Error())
}
s, err := sim.MonteCarlo(sims, trials, arms, strategy)
if err != nil {
t.Fatalf(err.Error())
}
expected := sims * trials
if got := len(s.Selected); got != expected {
t.Fatalf("incorrect number of trials: %d", got)
}
accuracies := sim.Accuracy([]int{bestArmIndex})(&s)
if got := accuracies[len(accuracies)-1]; got < 0.9 {
t.Fatalf("accuracy is only %f. %d sims, %d trials", got, sims, trials)
}
performances := sim.Performance(&s)
if got := performances[len(performances)-1]; math.Abs(bestArm-got) > 0.1 {
t.Fatalf("performance converge to %f. is %f", bestArm, got)
}
expectedCumulative := 200.0
cumulatives := sim.Cumulative(&s)
if got := cumulatives[len(cumulatives)-1]; got < expectedCumulative {
t.Fatalf("cumulative performance should be > %f. is %f", expectedCumulative, got)
}
}
func TestDelayedStrategy(t *testing.T) {
τ := 0.1
sims := 5000
trials := 300
flushAfter := 100
bestArmIndex := 4 // Bernoulli(bestArm)
bestArm := 0.8
arms := []sim.Arm{
bmath.BernRand(0.1),
bmath.BernRand(0.3),
bmath.BernRand(0.2),
bmath.BernRand(0.8),
}
b, err := NewSoftmax(len(arms), τ)
if err != nil {
t.Fatalf(err.Error())
}
d := NewSimulatedDelayedStrategy(b, len(arms), flushAfter)
s, err := sim.MonteCarlo(sims, trials, arms, d)
if err != nil {
t.Fatalf(err.Error())
}
accuracies := sim.Accuracy([]int{bestArmIndex})(&s)
if got := accuracies[len(accuracies)-1]; got < 0.9 {
t.Fatalf("accuracy is only %f. %d sims, %d trials", got, sims, trials)
}
performances := sim.Performance(&s)
if got := performances[len(performances)-1]; math.Abs(bestArm-got) > 0.1 {
t.Fatalf("performance converge to %f. is %f", bestArm, got)
}
expectedCumulative := 200.0
cumulatives := sim.Cumulative(&s)
if got := cumulatives[len(cumulatives)-1]; got < expectedCumulative {
t.Fatalf("cumulative performance should be > %f. is %f", expectedCumulative, got)
}
}
// You can run and plot a Monte Carlo simulation using the `plot` binary. It
// will display the accuracy, performance and cumulative performance over
// time.
//
// You can change the default number and parameterization of bernoulli arms
// like this:
//
// plot -mus 0.22,0.1,0.7
//
func main() {
μs, bestArms, err := parseArms(*mcMus)
if err != nil {
log.Fatal(err.Error())
}
// bernoulli arms. this is the hidden distribution.
arms := arms{}
for _, μ := range μs {
arms = append(arms, math.BernRand(μ))
}
// groups of graphs to draw
groups := []group{}
// epsilon greedy
greedys := strategys{}
for _, ε := range []float64{0.1, 0.2, 0.3, 0.4, 0.5} {
strategy, err := bandit.NewEpsilonGreedy(len(μs), ε)
if err != nil {
log.Fatal(err.Error())
}
greedys = append(greedys, strategy)
}
groups = append(groups, group{
name: "Epsilon Greedy",
strategys: greedys,
})
// softmax
softmaxes := strategys{}
for _, τ := range []float64{0.1, 0.2, 0.3, 0.4, 0.5} {
strategy, err := bandit.NewSoftmax(len(μs), τ)
if err != nil {
log.Fatal(err.Error())
}
softmaxes = append(softmaxes, strategy)
}
groups = append(groups, group{
name: "Softmax",
strategys: softmaxes,
})
// ucb1
ucb1s := strategys{
bandit.NewUCB1(len(μs)),
}
groups = append(groups, group{
name: "UCB1",
strategys: ucb1s,
})
// thompson sampling
thompsons := strategys{}
for _, α := range []float64{1, 2, 10, 20, 100} {
strategy, err := bandit.NewThompson(len(μs), α)
if err != nil {
log.Fatal(err.Error())
}
thompsons = append(thompsons, strategy)
}
groups = append(groups, group{
name: "Thompson Sampling",
strategys: thompsons,
})
// mixed
mixed := strategys{}
greedy, err := bandit.NewEpsilonGreedy(len(μs), 0.1)
if err != nil {
log.Fatal(err.Error())
}
mixed = append(mixed, greedy)
softmax, err := bandit.NewSoftmax(len(μs), 0.1)
if err != nil {
log.Fatal(err.Error())
}
mixed = append(mixed, softmax)
// ucb1 into mixed
mixed = append(mixed, bandit.NewUCB1(len(μs)))
groups = append(groups, group{
name: "Comparative",
strategys: mixed,
})
// thompson into mixed
thompson, err := bandit.NewThompson(len(μs), 10.0)
if err != nil {
log.Fatal(err.Error())
}
mixed = append(mixed, thompson)
groups = append(groups, group{
name: "Comparative",
strategys: mixed,
})
// draw groups
for _, group := range groups {
s, err := simulate(group.strategys, arms, *mcSims, *mcHorizon)
if err != nil {
log.Fatal(err.Error())
}
graph := summarize(s, sim.Accuracy(bestArms))
draw(graph, group.name+" Accuracy", "Time", "P(selecting best arm)")
s, err = simulate(group.strategys, arms, *mcSims, *mcHorizon)
if err != nil {
log.Fatal(err.Error())
}
graph = summarize(s, sim.Performance)
draw(graph, group.name+" Performance", "Time", "Average Reward")
s, err = simulate(group.strategys, arms, *mcSims, *mcHorizon)
if err != nil {
log.Fatal(err.Error())
}
graph = summarize(s, sim.Cumulative)
draw(graph, group.name+" Cumulative", "Time", "Cumulative Reward")
}
}