def unwrap_finite_horizon_MDP(
process: FiniteMarkovDecisionProcess[WithTime[S], A]
) -> Sequence[StateActionMapping[S, A]]:
'''Unwrap a finite Markov decision process into a sequence of
transitions between each time step (starting with 0). This
representation makes it easier to implement backwards induction.
'''
def time(x: WithTime[S]) -> int:
return x.time
def single_without_time(
s_r: Tuple[State[WithTime[S]], float]) -> Tuple[State[S], float]:
if isinstance(s_r[0], NonTerminal):
ret: Tuple[State[S],
float] = (NonTerminal(s_r[0].state.state), s_r[1])
else:
ret = (Terminal(s_r[0].state.state), s_r[1])
return ret
def without_time(arg: ActionMapping[A, WithTime[S]]) -> \
ActionMapping[A, S]:
return {
a: sr_distr.map(single_without_time)
for a, sr_distr in arg.items()
}
return [{
NonTerminal(s.state):
without_time(process.action_mapping(NonTerminal(s)))
for s in states
} for _, states in groupby(sorted(
(nt.state for nt in process.non_terminal_states), key=time),
key=time)]
def unwrap_finite_horizon_MRP(
process: FiniteMarkovRewardProcess[WithTime[S]]
) -> Sequence[RewardTransition[S]]:
'''Given a finite-horizon process, break the transition between each
time step (starting with 0) into its own data structure. This
representation makes it easier to implement backwards
induction.
'''
def time(x: WithTime[S]) -> int:
return x.time
def single_without_time(
s_r: Tuple[State[WithTime[S]], float]) -> Tuple[State[S], float]:
if isinstance(s_r[0], NonTerminal):
ret: Tuple[State[S],
float] = (NonTerminal(s_r[0].state.state), s_r[1])
else:
ret = (Terminal(s_r[0].state.state), s_r[1])
return ret
def without_time(arg: StateReward[WithTime[S]]) -> StateReward[S]:
return arg.map(single_without_time)
return [{
NonTerminal(s.state):
without_time(process.transition_reward(NonTerminal(s)))
for s in states
} for _, states in groupby(sorted(
(nt.state for nt in process.non_terminal_states), key=time),
key=time)]
def test_evaluate_finite_mrp(self) -> None:
start = Tabular(
{s: 0.0 for s in self.finite_flip_flop.non_terminal_states},
count_to_weight_func=lambda _: 0.1
)
episode_length = 20
episodes: Iterable[Iterable[mp.TransitionStep[bool]]] =\
self.finite_flip_flop.reward_traces(Choose({
NonTerminal(True),
NonTerminal(False)
}))
transitions: Iterable[mp.TransitionStep[bool]] =\
itertools.chain.from_iterable(
itertools.islice(episode, episode_length)
for episode in episodes
)
vs = td.td_prediction(transitions, γ=0.99, approx_0=start)
v: Optional[Tabular[NonTerminal[bool]]] = iterate.last(
itertools.islice(
cast(Iterator[Tabular[NonTerminal[bool]]], vs),
10000)
)
if v is not None:
self.assertEqual(len(v.values_map), 2)
for s in v.values_map:
# Intentionally loose bound—otherwise test is too slow.
# Takes >1s on my machine otherwise.
self.assertLess(abs(v(s) - 170), 3.0)
else:
assert False
def get_fixed_episodes_from_sr_pairs_seq(
sr_pairs_seq: Sequence[Sequence[Tuple[S, float]]],
terminal_state: S) -> Sequence[Sequence[TransitionStep[S]]]:
return [[
TransitionStep(state=NonTerminal(s),
reward=r,
next_state=NonTerminal(trace[i + 1][0])
if i < len(trace) - 1 else Terminal(terminal_state))
for i, (s, r) in enumerate(trace)
] for trace in sr_pairs_seq]
def next_state(state=state):
switch_states = Bernoulli(self.p).sample()
st: bool = state.state
if switch_states:
next_s: bool = not st
reward = 1 if st else 0.5
return NonTerminal(next_s), reward
else:
return NonTerminal(st), 0.5
def test_compare_to_backward_induction(self):
finite_horizon = finite_horizon_MRP(self.finite_flip_flop, 10)
v = evaluate_mrp_result(finite_horizon, gamma=1)
self.assertEqual(len(v), 20)
finite_v =\
list(evaluate(unwrap_finite_horizon_MRP(finite_horizon), gamma=1))
for time in range(10):
self.assertAlmostEqual(
v[NonTerminal(WithTime(state=True, time=time))],
finite_v[time][NonTerminal(True)])
self.assertAlmostEqual(
v[NonTerminal(WithTime(state=False, time=time))],
finite_v[time][NonTerminal(False)])
def test_flip_flop(self):
trace = list(
itertools.islice(
self.flip_flop.simulate(Constant(NonTerminal(True))), 10))
self.assertTrue(
all(isinstance(outcome.state, bool) for outcome in trace))
longer_trace = itertools.islice(
self.flip_flop.simulate(Constant(NonTerminal(True))), 10000)
count_trues = len(
list(outcome for outcome in longer_trace if outcome.state))
# If the code is correct, this should fail with a vanishingly
# small probability
self.assertTrue(1000 < count_trues < 9000)
def get_q_learning_vf_and_policy(
self,
states_actions_dict: Mapping[Cell, Set[Move]],
sample_func: Callable[[Cell, Move], Tuple[Cell, float]],
episodes: int = 10000,
step_size: float = 0.01,
epsilon: float = 0.1
) -> Tuple[V[Cell], FiniteDeterministicPolicy[Cell, Move]]:
'''
states_actions_dict gives us the set of possible moves from
a non-block cell.
sample_func is a function with two inputs: state and action,
and with output as a sampled pair of (next_state, reward).
'''
q: Dict[Cell, Dict[Move, float]] = \
{s: {a: 0. for a in actions} for s, actions in
states_actions_dict.items()}
nt_states: CellSet = {s for s in q}
uniform_states: Choose[Cell] = Choose(nt_states)
for episode_num in range(episodes):
state: Cell = uniform_states.sample()
'''
write your code here
update the dictionary q initialized above according
to the Q-learning algorithm's Q-Value Function updates.
'''
vf_dict: V[Cell] = {NonTerminal(s): max(d.values()) for s, d
in q.items()}
policy: FiniteDeterministicPolicy[Cell, Move] = \
FiniteDeterministicPolicy(
{s: max(d.items(), key=itemgetter(1))[0] for s, d in q.items()}
)
return (vf_dict, policy)
def test_evaluate_finite_mrp(self):
start = Tabular(
{s: 0.0
for s in self.finite_flip_flop.non_terminal_states})
traces = self.finite_flip_flop.reward_traces(
Choose({NonTerminal(True), NonTerminal(False)}))
v = iterate.converged(
mc.mc_prediction(traces, γ=0.99, approx_0=start),
# Loose bound of 0.01 to speed up test.
done=lambda a, b: a.within(b, 0.01))
self.assertEqual(len(v.values_map), 2)
for s in v.values_map:
# Intentionally loose bound—otherwise test is too slow.
# Takes >1s on my machine otherwise.
self.assertLess(abs(v(s) - 170), 1.0)
def single_without_time(
s_r: Tuple[State[WithTime[S]], float]) -> Tuple[State[S], float]:
if isinstance(s_r[0], NonTerminal):
ret: Tuple[State[S],
float] = (NonTerminal(s_r[0].state.state), s_r[1])
else:
ret = (Terminal(s_r[0].state.state), s_r[1])
return ret
def sample_next_state_reward(state=state) ->\
Tuple[State[InventoryState], float]:
demand_sample: int = np.random.poisson(self.poisson_lambda)
ip: int = state.state.inventory_position()
next_state: InventoryState = InventoryState(
max(ip - demand_sample, 0), max(self.capacity - ip, 0))
reward: float = - self.holding_cost * state.on_hand\
- self.stockout_cost * max(demand_sample - ip, 0)
return NonTerminal(next_state), reward
def __init__(self,
mapping: Mapping[S,
Mapping[A,
FiniteDistribution[Tuple[S,
float]]]]):
non_terminals: Set[S] = set(mapping.keys())
self.mapping = {
NonTerminal(s): {
a: Categorical({
(NonTerminal(s1) if s1 in non_terminals else Terminal(s1),
r): p
for (s1, r), p in v.table().items()
})
for a, v in d.items()
}
for s, d in mapping.items()
}
self.non_terminal_states = list(self.mapping.keys())
def test_flip_flop(self):
trace = list(
itertools.islice(
self.flip_flop.simulate_reward(Constant(NonTerminal(True))),
10))
self.assertTrue(
all(isinstance(step.next_state.state, bool) for step in trace))
cumulative_reward = sum(step.reward for step in trace)
self.assertTrue(0 <= cumulative_reward <= 10)
def test_evaluate_finite_mdp(self) -> None:
q_0: Tabular[Tuple[NonTerminal[bool], bool]] = Tabular(
{(s, a): 0.0
for s in self.finite_mdp.non_terminal_states
for a in self.finite_mdp.actions(s)},
count_to_weight_func=lambda _: 0.1
)
uniform_policy: FinitePolicy[bool, bool] =\
FinitePolicy({
s.state: Choose(self.finite_mdp.actions(s))
for s in self.finite_mdp.non_terminal_states
})
transitions: Iterable[mdp.TransitionStep[bool, bool]] =\
self.finite_mdp.simulate_actions(
Choose(self.finite_mdp.non_terminal_states),
uniform_policy
)
qs = td.q_learning_external_transitions(
transitions,
self.finite_mdp.actions,
q_0,
γ=0.99
)
q: Optional[Tabular[Tuple[NonTerminal[bool], bool]]] =\
iterate.last(
cast(Iterator[Tabular[Tuple[NonTerminal[bool], bool]]],
itertools.islice(qs, 20000))
)
if q is not None:
self.assertEqual(len(q.values_map), 4)
for s in [NonTerminal(True), NonTerminal(False)]:
self.assertLess(abs(q((s, False)) - 170.0), 2)
self.assertGreater(q((s, False)), q((s, True)))
else:
assert False
def get_mean_returns_from_return_steps(
returns_seq: Sequence[ReturnStep[S]]
) -> Mapping[NonTerminal[S], float]:
def by_state(ret: ReturnStep[S]) -> S:
return ret.state.state
sorted_returns_seq: Sequence[ReturnStep[S]] = sorted(returns_seq,
key=by_state)
return {
NonTerminal(s): np.mean([r.return_ for r in l])
for s, l in itertools.groupby(sorted_returns_seq, key=by_state)
}
def fraction_of_days_oos(self, policy: Policy[InventoryState, int],
time_steps: int, num_traces: int) -> float:
impl_mrp: MarkovRewardProcess[InventoryState] =\
self.apply_policy(policy)
count: int = 0
high_fractile: int = int(poisson(self.poisson_lambda).ppf(0.98))
start: InventoryState = random.choice(
[InventoryState(i, 0) for i in range(high_fractile + 1)])
for _ in range(num_traces):
steps = itertools.islice(
impl_mrp.simulate_reward(Constant(NonTerminal(start))),
time_steps)
for step in steps:
if step.reward < -self.holding_cost * step.state.state.on_hand:
count += 1
return float(count) / (time_steps * num_traces)
def get_sarsa_vf_and_policy(
self,
states_actions_dict: Mapping[Cell, Set[Move]],
sample_func: Callable[[Cell, Move], Tuple[Cell, float]],
episodes: int = 10000,
step_size: float = 0.01
) -> Tuple[V[Cell], FiniteDeterministicPolicy[Cell, Move]]:
'''
states_actions_dict gives us the set of possible moves from
a non-terminal cell.
sample_func is a function with two inputs: state and action,
and with output as a sampled pair of (next_state, reward).
'''
q: Dict[Cell, Dict[Move, float]] = \
{s: {a: 0. for a in actions} for s, actions in
states_actions_dict.items()}
nt_states: CellSet = {s for s in q}
uniform_states: Choose[Cell] = Choose(nt_states)
for episode_num in range(episodes):
epsilon: float = 1.0 / (episode_num + 1)
state: Cell = uniform_states.sample()
action: Move = WindyGrid.epsilon_greedy_action(state, q, epsilon)
while state in nt_states:
next_state, reward = sample_func(state, action)
if next_state in nt_states:
next_action: Move = WindyGrid.epsilon_greedy_action(
next_state, q, epsilon)
q[state][action] += step_size * \
(reward + q[next_state][next_action] -
q[state][action])
action = next_action
else:
q[state][action] += step_size * (reward - q[state][action])
state = next_state
vf_dict: V[Cell] = {
NonTerminal(s): max(d.values())
for s, d in q.items()
}
policy: FiniteDeterministicPolicy[Cell, Move] = \
FiniteDeterministicPolicy(
{s: max(d.items(), key=itemgetter(1))[0] for s, d in q.items()}
)
return vf_dict, policy
european_price: float = european_put_price(spot_price=spot_price_val,
expiry=expiry_val,
rate=rate_val,
vol=vol_val,
strike=strike_val)
opt_ex_bin_tree: OptimalExerciseBinTree = OptimalExerciseBinTree(
spot_price=spot_price_val,
payoff=lambda _, x: max(strike_val - x, 0),
expiry=expiry_val,
rate=rate_val,
vol=vol_val,
num_steps=100)
vf_seq, policy_seq = zip(*opt_ex_bin_tree.get_opt_vf_and_policy())
bin_tree_price: float = vf_seq[0][NonTerminal(0)]
bin_tree_ex_boundary: Sequence[Tuple[float, float]] = \
opt_ex_bin_tree.option_exercise_boundary(policy_seq, False)
bin_tree_x, bin_tree_y = zip(*bin_tree_ex_boundary)
lspi_x, lspi_y = put_option_exercise_boundary(func=flspi,
expiry=expiry_val,
num_steps=num_steps_lspi,
strike=strike_val)
dql_x, dql_y = put_option_exercise_boundary(func=fdql,
expiry=expiry_val,
num_steps=num_steps_dql,
strike=strike_val)
plot_list_of_curves(list_of_x_vals=[lspi_x, dql_x, bin_tree_x],
list_of_y_vals=[lspi_y, dql_y, bin_tree_y],
list_of_colors=["b", "r", "g"],
def sample_func(state: Cell, action: Move) -> Tuple[Cell, float]:
s, r = mdp.step(NonTerminal(state), action).sample()
return s.state, r
if __name__ == '__main__':
from pprint import pprint
from rl.gen_utils.plot_funcs import plot_list_of_curves
from rl.markov_process import NonTerminal
villagers: int = 20
vampire_mdp: VampireMDP = VampireMDP(villagers)
true_vf, true_policy = vampire_mdp.vi_vf_and_policy()
pprint(true_vf)
print(true_policy)
lspi_vf, lspi_policy = vampire_mdp.lspi_vf_and_policy()
pprint(lspi_vf)
print(lspi_policy)
states = range(1, villagers + 1)
true_vf_vals = [true_vf[NonTerminal(s)] for s in states]
lspi_vf_vals = [lspi_vf[NonTerminal(s)] for s in states]
true_policy_actions = [true_policy.action_for[s] for s in states]
lspi_policy_actions = [lspi_policy.action_for[s] for s in states]
plot_list_of_curves(
[states, states], [true_vf_vals, lspi_vf_vals], ["r", "b"],
["True Optimal VF", "LSPI-Estimated Optimal VF"],
x_label="States",
y_label="Optimal Values",
title="True Optimal VF versus LSPI-Estimated Optimal VF")
plot_list_of_curves(
[states, states], [true_policy_actions, lspi_policy_actions],
["r", "b"], ["True Optimal Policy", "LSPI-Estimated Optimal Policy"],
x_label="States",
y_label="Optimal Actions",
def deter_policy(state: S) -> A:
return max(
((mdp.step(NonTerminal(state), a).expectation(return_), a)
for a in mdp.actions(NonTerminal(state))),
key=itemgetter(0))[1]
def deter_policy(state: S) -> A:
return max(((res.expectation(return_), a)
for a, res in step[NonTerminal(state)].items()),
key=itemgetter(0))[1]
import itertools
import rl.iterate as iterate
given_data: Sequence[Sequence[Tuple[str, float]]] = [
[('A', 2.), ('A', 6.), ('B', 1.), ('B', 2.)],
[('A', 3.), ('B', 2.), ('A', 4.), ('B', 2.), ('B', 0.)],
[('B', 3.), ('B', 6.), ('A', 1.), ('B', 1.)],
[('A', 0.), ('B', 2.), ('A', 4.), ('B', 4.), ('B', 2.), ('B', 3.)],
[('B', 8.), ('B', 2.)]
]
gamma: float = 0.9
fixed_traces: Sequence[Sequence[TransitionStep[str]]] = \
[[TransitionStep(
state=NonTerminal(s),
reward=r,
next_state=NonTerminal(trace[i+1][0])
if i < len(trace) - 1 else Terminal('T')
) for i, (s, r) in enumerate(trace)] for trace in given_data]
a: NonTerminal[str] = NonTerminal('A')
b: NonTerminal[str] = NonTerminal('B')
# fa: LinearFunctionApprox[NonTerminal[str]] = LinearFunctionApprox.create(
# feature_functions=[
# lambda x: 1.0 if x == a else 0.,
# lambda y: 1.0 if y == b else 0.
# ],
# adam_gradient=AdamGradient(
# learning_rate=0.1,
def next_state(state=state):
switch_states = Bernoulli(self.p).sample()
next_st: bool = not state.state if switch_states else state.state
return NonTerminal(next_st)