[−][src]Crate ornstein_uhlenbeck
In mathematics, the Ornstein–Uhlenbeck process is a stochastic process with applications in financial mathematics and the physical sciences. Its original application in physics was as a model for the velocity of a massive Brownian particle under the influence of friction. It is named after Leonard Ornstein and George Eugene Uhlenbeck. [1]
The samples generated in this process are often used in reinforcement learning for exploration, for example in deep mind's ddpg. [2]
The implementation is inspired by [3].
use ornstein_uhlenbeck::OrnsteinUhlenbeckProcessBuilder; use ndarray::{Array, array}; const ACTION_MIN: f64 = -0.5; const ACTION_MAX: f64 = 0.5; let mut ou_process = OrnsteinUhlenbeckProcessBuilder::default().build((3)); for step in 0..100 { let mut some_action: Array<f64, _> = array![0.1, 0.5, -0.4]; // Add some noise from the process for exploration. some_action += ou_process.sample_at(step); // Now me might exceed our action space... some_action = some_action.mapv(|v| v.max(ACTION_MAX).min(ACTION_MIN)); // ... and use the action... }
Structs
OrnsteinUhlenbeckProcess | The Ornstein-Uhlenbeck process for sampling. |
OrnsteinUhlenbeckProcessBuilder | The builder for a process which uses default values for ommited parameters. |