import numpy as np class RunningMeanStd(object): # https://en.wikipedia.org/wiki/Algorithms_for_calculating_variance#Parallel_algorithm def __init__(self, epsilon=1e-4, shape=()): self.mean = np.zeros(shape, 'float64') self.var = np.ones(shape, 'float64') self.count = epsilon self.variables_name_save = [ 'mean','var','count', ] # TODO: refer to the code of soft actor critic for more elegent writing. def save(self ): variables = [] for v in self.variables_name_save: variables.append( getattr(self,v) ) return variables def load(self, variables): for i, v in enumerate( self.variables_name_save ): setattr(self,v, variables[i] ) def update(self, x): batch_mean = np.mean(x, axis=0) batch_var = np.var(x, axis=0) batch_count = x.shape[0] self.update_from_moments(batch_mean, batch_var, batch_count) def update_from_moments(self, batch_mean, batch_var, batch_count): delta = batch_mean - self.mean tot_count = self.count + batch_count new_mean = self.mean + delta * batch_count / tot_count m_a = self.var * (self.count) m_b = batch_var * (batch_count) M2 = m_a + m_b + np.square(delta) * self.count * batch_count / (self.count + batch_count) new_var = M2 / (self.count + batch_count) new_count = batch_count + self.count self.mean = new_mean self.var = new_var self.count = new_count # def test_loadsave(): # a = RunningMeanStd() # vs = a.save() # a.load(vs) def test_runningmeanstd(): for (x1, x2, x3) in [ (np.random.randn(3), np.random.randn(4), np.random.randn(5)), (np.random.randn(3,2), np.random.randn(4,2), np.random.randn(5,2)), ]: rms = RunningMeanStd(epsilon=0.0, shape=x1.shape[1:]) x = np.concatenate([x1, x2, x3], axis=0) ms1 = [x.mean(axis=0), x.var(axis=0)] rms.update(x1) rms.update(x2) rms.update(x3) ms2 = [rms.mean, rms.var] assert np.allclose(ms1, ms2) rms_new = RunningMeanStd(epsilon=0.0, shape=x1.shape[1:]) rms_new.load( rms.save() ) print('-'*10) print( rms_new.save() , '\n', rms.save() ) assert rms_new.save() == rms.save()