MovingMeanVarNormalizer.java

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package rlpark.plugin.rltoys.math.normalization;

import rlpark.plugin.rltoys.math.averages.MeanVar;
import rlpark.plugin.rltoys.utils.Utils;
import zephyr.plugin.core.api.monitoring.annotations.Monitor;

@Monitor
public class MovingMeanVarNormalizer implements Normalizer, MeanVar {
  private static final long serialVersionUID = -1340053804929435288L;
  private double mean = 0.0;
  private double var = 1.0;
  private double c = 0.0;
  private final int trackingSpeed;
  private final double alpha;

  public MovingMeanVarNormalizer(int trackingSpeed) {
    this.trackingSpeed = trackingSpeed;
    this.alpha = 1 - Utils.timeStepsToDiscount(trackingSpeed);
  }

  @Override
  final public double normalize(double x) {
    if (var == 0.0)
      return 0.0;
    return ((x - mean) / Math.sqrt(var)) * c;
  }

  @Override
  public void update(double x) {
    double delta = x - mean;
    mean = mean + alpha * delta;
    var = var + alpha * ((x - mean) * (x - mean) - var);
    c = c + alpha * (1 - c);
  }

  @Override
  public double mean() {
    return mean;
  }

  @Override
  public double var() {
    return var;
  }

  @Override
  public MovingMeanVarNormalizer newInstance() {
    return new MovingMeanVarNormalizer(trackingSpeed);
  }
}