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import numpy as np | |
import torch | |
class myOptimizer(): | |
def __init__(self, lr, mu, mu_square, adaptation_rate, transaction_cost): | |
self.lr = lr | |
self.mu = mu | |
self.mu_square = mu_square | |
self.adaptation_rate = adaptation_rate | |
self.last_gradient = 0.0 | |
self.transaction_cost = transaction_cost | |
def step(self, grad_n, reward, last_observation): | |
numerator = self.mu_square - (self.mu * reward) | |
denominator = torch.sqrt((self.mu_square - (self.mu ** 2)) ** 3) | |
gradient = numerator / (denominator + 1e-8) | |
self.mu = self.mu + self.adaptation_rate * (reward - self.mu) | |
self.mu_square = self.mu_square + self.adaptation_rate * ((reward ** 2) - self.mu_square) | |
current_grad = (-1.0 * self.transaction_cost * grad_n) | |
previous_grad = (last_observation + self.transaction_cost) * self.last_gradient | |
gradient = gradient * (current_grad + previous_grad) | |
self.last_gradient = grad_n | |
return self.lr * gradient | |