1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
use rand::distributions::Distribution;
use rand::thread_rng;
use rand_distr::LogNormal;

use super::{ArgBounds, Bandit};

/// A bandit whose arms distribute rewards according to the Log Normal distributions.
pub struct LogNormalBandit<'a> {
    /// Means base normal distributions
    mus: &'a Vec<f64>,

    /// Standard deviations of the base normal distributions
    sigmas: &'a Vec<f64>,

    /// Number of arms on the bandit.
    arms: usize,

    /// The bandit arm with highest reward.
    best_arm: usize,

    /// Distributions of the arms.
    distributions: Vec<LogNormal<f64>>,
}

impl<'a> LogNormalBandit<'a> {
    /// Initializes a new Bandit where each arm distributes rewards according to a Log Normal
    /// distribution.
    fn new(mus: &'a Vec<f64>, sigmas: &'a Vec<f64>) -> LogNormalBandit<'a> {
        assert_eq!(mus.len(), sigmas.len());
        assert!(sigmas.val_min() > 0.0);
        let dist = mus
            .iter()
            .zip(sigmas)
            .map(|(&m, &s)| LogNormal::new(m, s).unwrap())
            .collect();
        let best_arm = mus
            .iter()
            .zip(sigmas)
            .map(|(&m, &s)| m + s * s / 2.0)
            .collect::<Vec<f64>>()
            .arg_max();
        LogNormalBandit {
            mus,
            sigmas,
            arms: mus.len(),
            best_arm,
            distributions: dist,
        }
    }
}

impl<'a> Bandit<f64> for LogNormalBandit<'a> {
    ///Returns the number of arms on the bandit.
    fn arms(&self) -> usize {
        self.arms
    }

    ///Returns the arm with highest average reward.
    fn best_arm(&self) -> usize {
        self.best_arm
    }

    /// The expected return of each arm.
    fn mean(&self, arm: usize) -> f64 {
        (self.mus[arm] + self.sigmas[arm] * self.sigmas[arm] / 2.0).exp()
    }

    /// Determines the reward for pulling a given arm.
    fn reward(&self, arm: usize) -> f64 {
        self.distributions[arm].sample(&mut thread_rng())
    }

    /// The standard deviations of each arm.
    fn std(&self, arm: usize) -> f64 {
        (((self.sigmas[arm] * self.sigmas[arm]).exp() - 1.0)
            * (2.0 * self.mus[arm] + self.sigmas[arm] * self.sigmas[arm]).exp())
            .sqrt()
    }
}

#[cfg(test)]
mod tests {
    use assert_approx_eq::assert_approx_eq;

    use super::LogNormalBandit;
    use super::super::Bandit;

    #[test]
    fn test_arms() {
        let mus_vec: Vec<f64> = vec![-1.83, -0.82, -1.35, 2.61, 0.39];
        let sigmas_vec: Vec<f64> = vec![2.3, 1.25, 0.78, 1.80, 1.55];
        let log_norm: LogNormalBandit = LogNormalBandit::new(&mus_vec, &sigmas_vec);
        assert_eq!(log_norm.arms(), 5)
    }

    #[test]
    fn test_best_arm() {
        let mus_vec: Vec<f64> = vec![-1.83, -0.82, -1.35, 2.61, 0.39];
        let sigmas_vec: Vec<f64> = vec![2.3, 1.25, 0.78, 1.80, 1.55];
        let log_norm: LogNormalBandit = LogNormalBandit::new(&mus_vec, &sigmas_vec);
        assert_eq!(log_norm.best_arm(), 3)
    }

    #[test]
    fn test_max_reward() {
        let mus_vec: Vec<f64> = vec![-1.83, -0.82, -1.35, 2.61, 0.39];
        let sigmas_vec: Vec<f64> = vec![2.3, 1.25, 0.78, 1.80, 1.55];
        let log_norm: LogNormalBandit = LogNormalBandit::new(&mus_vec, &sigmas_vec);
        assert_approx_eq!(log_norm.max_reward(), 68.71723217)
    }

    #[test]
    fn test_mean() {
        let mus_vec: Vec<f64> = vec![-1.83, -0.82, -1.35, 2.61, 0.39];
        let sigmas_vec: Vec<f64> = vec![2.3, 1.25, 0.78, 1.80, 1.55];
        let log_norm: LogNormalBandit = LogNormalBandit::new(&mus_vec, &sigmas_vec);
        assert_approx_eq!(log_norm.mean(1), 0.96199118)
    }

    #[test]
    fn test_means() {
        let mus_vec: Vec<f64> = vec![-1.83, -0.82, -1.35, 2.61, 0.39];
        let sigmas_vec: Vec<f64> = vec![2.3, 1.25, 0.78, 1.80, 1.55];
        let log_norm: LogNormalBandit = LogNormalBandit::new(&mus_vec, &sigmas_vec);
        log_norm
            .means()
            .iter()
            .zip(vec![
                2.25917567,
                0.96199118,
                0.35141058,
                68.71723217,
                4.90988245,
            ])
            .for_each(|(m1, m2)| assert_approx_eq!(m1, m2))
    }

    #[test]
    #[should_panic]
    fn test_new_wrong_size() {
        let mus_vec: Vec<f64> = vec![-1.83, -0.82, -1.35, 2.61, 0.39];
        let sigmas_vec: Vec<f64> = vec![2.3, 1.25, 0.78, 1.80];
        LogNormalBandit::new(&mus_vec, &sigmas_vec);
    }

    #[test]
    #[should_panic]
    fn test_new_neg_sigma() {
        let mus_vec: Vec<f64> = vec![-1.83, -0.82, -1.35, 2.61, 0.39];
        let sigmas_vec: Vec<f64> = vec![2.3, 1.25, 0.78, -1.80, 1.55];
        LogNormalBandit::new(&mus_vec, &sigmas_vec);
    }

    #[test]
    fn test_reward() {
        let mus_vec: Vec<f64> = vec![-1.83, -0.82, -1.35, 2.61, 0.39];
        let sigmas_vec: Vec<f64> = vec![2.3, 1.25, 0.78, 1.80, 1.55];
        let log_norm: LogNormalBandit = LogNormalBandit::new(&mus_vec, &sigmas_vec);
        for _ in 0..1000 {
            log_norm.reward(2);
        }
    }

    #[test]
    fn test_std() {
        let mus_vec: Vec<f64> = vec![-1.83, -0.82, -1.35, 2.61, 0.39];
        let sigmas_vec: Vec<f64> = vec![2.3, 1.25, 0.78, 1.80, 1.55];
        let log_norm: LogNormalBandit = LogNormalBandit::new(&mus_vec, &sigmas_vec);
        assert_approx_eq!(log_norm.std(1), 1.86803062)
    }

    #[test]
    fn test_stds() {
        let mus_vec: Vec<f64> = vec![-1.83, -0.82, -1.35, 2.61, 0.39];
        let sigmas_vec: Vec<f64> = vec![2.3, 1.25, 0.78, 1.80, 1.55];
        let log_norm: LogNormalBandit = LogNormalBandit::new(&mus_vec, &sigmas_vec);
        log_norm
            .stds()
            .iter()
            .zip(vec![
                31.7366684,
                1.86803062,
                0.321591383,
                340.366945,
                15.5657745,
            ])
            .for_each(|(s1, s2)| assert_approx_eq!(s1, s2))
    }
}