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Maybe another little bugs #12

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stephenkgu opened this issue Mar 11, 2020 · 1 comment
Open

Maybe another little bugs #12

stephenkgu opened this issue Mar 11, 2020 · 1 comment

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@stephenkgu
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stephenkgu commented Mar 11, 2020

https://github.com/tspooner/rl_markets/blob/master/src/environment/base.cpp#L150

These lines just clear the rolling windows, not other data in it. With volatility RollingMean, this causes volatility accumulates between episodes, and becomes bigger and bigger. @tspooner

Regards,

@tspooner
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I think you're right. Looking back over the code, I suspect that (assuming stationary-ish marginal distributions over the observables) this doesn't cause many issues due to the particular implementation of the push(.) method. If anything, this should just degrade performance in some cases (i.e. with power 2 accumulates as you mention). If you want, please feel free to make the change to the clear() method and send a PR.

Regards,
Tom

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