"""Utility functions for the wrappers.""" import numpy as np class RunningMeanStd: """Tracks the mean, variance and count of values.""" # https://en.wikipedia.org/wiki/Algorithms_for_calculating_variance#Parallel_algorithm def __init__(self, epsilon=1e-4, shape=()): """Tracks the mean, variance and count of values.""" self.mean = np.zeros(shape, "float64") self.var = np.ones(shape, "float64") self.count = epsilon def update(self, x): """Updates the mean, var and count from a batch of samples.""" 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): """Updates from batch mean, variance and count moments.""" self.mean, self.var, self.count = update_mean_var_count_from_moments( self.mean, self.var, self.count, batch_mean, batch_var, batch_count ) def update_mean_var_count_from_moments( mean, var, count, batch_mean, batch_var, batch_count ): """Updates the mean, var and count using the previous mean, var, count and batch values.""" delta = batch_mean - mean tot_count = count + batch_count new_mean = mean + delta * batch_count / tot_count m_a = var * count m_b = batch_var * batch_count M2 = m_a + m_b + np.square(delta) * count * batch_count / tot_count new_var = M2 / tot_count new_count = tot_count return new_mean, new_var, new_count