#' @export
ContextualLinTSPolicy <- R6::R6Class(
portable = FALSE,
class = FALSE,
inherit = Policy,
public = list(
sigma = NULL,
class_name = "ContextualLinTSPolicy",
initialize = function(v = 0.2) {
super$initialize()
self$sigma <- v^2
},
set_parameters = function(context_params) {
ul <- length(context_params$unique)
self$theta_to_arms <- list('A_inv' = diag(1, ul, ul), 'b' = rep(0, ul))
},
get_action = function(t, context) {
expected_rewards <- rep(0.0, context$k)
for (arm in 1:context$k) {
Xa <- get_arm_context(context, arm, context$unique)
A_inv <- self$theta$A_inv[[arm]]
b <- self$theta$b[[arm]]
theta_hat <- A_inv %*% b
sigma_hat <- self$sigma * A_inv
theta_tilde <- as.vector(contextual::mvrnorm(1, theta_hat, sigma_hat))
expected_rewards[arm] <- Xa %*% theta_tilde
}
action$choice <- which_max_tied(expected_rewards)
action
},
set_reward = function(t, context, action, reward) {
arm <- action$choice
reward <- reward$reward
Xa <- get_arm_context(context, arm, context$unique)
self$theta$A_inv[[arm]] <- sherman_morrisson(self$theta$A_inv[[arm]],Xa)
self$theta$b[[arm]] <- self$theta$b[[arm]] + reward * Xa
self$theta
}
)
)
#' Policy: Linear Thompson Sampling with unique linear models
#'
#' \code{ContextualLinTSPolicy} implements Thompson Sampling with Linear
#' Payoffs, following Agrawal and Goyal (2011).
#' Thompson Sampling with Linear Payoffs is a contextual Thompson Sampling multi-armed bandit
#' Policy which assumes the underlying relationship between rewards and contexts
#' are linear. Check the reference for more details.
#'
#' @name ContextualLinTSPolicy
#'
#'
#' @section Usage:
#' \preformatted{
#' policy <- ContextualLinTSPolicy$new(v = 0.2)
#' }
#'
#' @section Arguments:
#'
#' \describe{
#' \item{\code{v}}{
#' double, a positive real value R+;
#' Hyper-parameter for adjusting the variance of posterior gaussian distribution.
#' }
#' }
#'
#' @section Methods:
#'
#' \describe{
#' \item{\code{new(v)}}{ instantiates a new \code{ContextualLinTSPolicy} instance.
#' Arguments defined in the Arguments section above.}
#' }
#'
#' \describe{
#' \item{\code{set_parameters(context_params)}}{
#' initialization of policy parameters, utilising \code{context_params$k} (number of arms) and
#' \code{context_params$d} (number of context features).
#' }
#' }
#'
#' \describe{
#' \item{\code{get_action(t,context)}}{
#' selects an arm based on \code{self$theta} and \code{context}, returning the index of the selected arm
#' in \code{action$choice}. The {context} argument consists of a list with \code{context$k} (number of arms),
#' \code{context$d} (number of features), and the feature matrix \code{context$X} with dimensions
#' \eqn{d \times k}{d x k}.
#' }
#' }
#'
#' \describe{
#' \item{\code{set_reward(t, context, action, reward)}}{
#' updates parameter list \code{theta} in accordance with the current \code{reward$reward},
#' \code{action$choice} and the feature matrix \code{context$X} with dimensions
#' \eqn{d \times k}{d x k}. Returns the updated \code{theta}.
#' }
#' }
#'
#' @references
#'
#' Shipra Agrawal, and Navin Goyal. "Thompson Sampling for Contextual Bandits with Linear Payoffs." Advances
#' in Neural Information Processing Systems 24. 2011.
#'
#' @seealso
#'
#' Core contextual classes: \code{\link{Bandit}}, \code{\link{Policy}}, \code{\link{Simulator}},
#' \code{\link{Agent}}, \code{\link{History}}, \code{\link{Plot}}
#'
#' Bandit subclass examples: \code{\link{BasicBernoulliBandit}}, \code{\link{ContextualLogitBandit}},
#' \code{\link{OfflineReplayEvaluatorBandit}}
#'
#' Policy subclass examples: \code{\link{EpsilonGreedyPolicy}}, \code{\link{ContextualLinTSPolicy}}
#'
#' @examples
#' \dontrun{
#'
#' horizon <- 100L
#' simulations <- 100L
#'
#' bandit <- ContextualLinearBandit$new(k = 4, d = 3, sigma = 0.3)
#'
#' agents <- list(Agent$new(EpsilonGreedyPolicy$new(0.1), bandit, "EGreedy"),
#' Agent$new(ContextualLinTSPolicyPolicy$new(0.1), bandit, "LinTSPolicy"))
#'
#' simulation <- Simulator$new(agents, horizon, simulations, do_parallel = TRUE)
#'
#' history <- simulation$run()
#'
#' plot(history, type = "cumulative", rate = FALSE, legend_position = "topleft")
#'
#' }
NULL
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