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linear_osi.jl
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using JLD2;
using Distributed;
using Printf;
using IterTools;
using Distributions
include("../thresholds.jl")
include("../peps.jl")
include("../elimination_rules.jl")
include("../stopping_rules.jl")
include("../sampling_rules.jl")
include("../runit.jl")
include("../experiment_helpers.jl")
include("../utils.jl")
include("../envelope.jl")
δ = 0.01
d = 20
K = 50
m = 5 # for topm
# for reproducibility
rng = MersenneTwister(123)
arms = Vector{Float64}[]
mid = Int(ceil(d/2))
for k = 1:mid
v = zeros(d)
v[k] = 1.0
push!(arms, v)
end
θ = zeros(d)
θ[1:mid] = rand(rng, mid) .* 0.1 .+ 0.1 # uniform in [0.1,0.2]
θ[1:mid] .*= sign.(2 .* rand(rng, mid) .- 1) # randomize sign
θ[mid+1:end] = rand(rng, d-mid) .- 1 # uniform in [-0.5,0.5]
while length(arms) < K
v = zeros(d)
while abs(v'θ) < 0.5
v = 2 .* rand(rng, d) .- 1 # Uniform in [-1,1]
v ./= norm(v) # make sure unit norm
end
push!(arms, v)
end
μ = [arm'θ for arm in arms]
topm_arms = istar(Topm(arms, m), θ)
println("min abs value of μ: ", minimum(abs.(μ)))
println("min gap: ", minimum(maximum(μ) .- maximum(μ[setdiff(1:K, Set([argmax(μ)]))])))
println("min gap topm: ", minimum(minimum(μ[topm_arms]) .- maximum(μ[setdiff(1:K, topm_arms)])))
# β = LinearThreshold(d, 1, 1, 1)
# β = GK16()
β = HeuristicThreshold()
pep = OSI(arms);
w_star = optimal_allocation(pep, θ, false, 10000)
println("Optimal allocation: ", round.(w_star, digits=3))
max_samples = 1e6
repeats = 100;
seed = 123;
function run()
# One fake run for each algorithm
# This is to have fair comparison of compute times later since Julia compiles stuff at the first calls
@time data = map( # TODO: replace by pmap (it is easier to debug with map)
((sampling, stopping, elim),) -> runit(seed, sampling, stopping, elim, θ, pep, β, δ),
zip(sampling_rules, stopping_rules, elim_rules)
);
@time data = map( # TODO: replace by pmap (it is easier to debug with map)
(((sampling, stopping, elim), i),) -> runit(seed + i, sampling, stopping, elim, θ, pep, β, δ),
Iterators.product(zip(sampling_rules, stopping_rules, elim_rules), 1:repeats),
);
dump_stats(pep, θ, δ, β, stopping_rules, sampling_rules, elim_rules, data, repeats);
# save
isdir("experiments/results") || mkdir("experiments/results")
@save isempty(ARGS) ? "experiments/results/lin_$(typeof(pep))_$(typeof(sampling_rules[1]))_K$(K)_d$(d).dat" : ARGS[1] θ pep stopping_rules sampling_rules elim_rules data δ β repeats seed
end
#################################################
# LinGapE
#################################################
elim_rules = [NoElim(), CompElim(), CompElim()]
stopping_rules = [Force_Stopping(max_samples, LLR_Stopping()), Force_Stopping(max_samples, Elim_Stopping()), Force_Stopping(max_samples, Elim_Stopping())]
sampling_rules = [LinGapE(NoElimSR), LinGapE(NoElimSR), LinGapE(ElimSR)]
run()
#################################################
# LinGame
#################################################
elim_rules = [NoElim(), CompElim(), CompElim()]
stopping_rules = [Force_Stopping(max_samples, LLR_Stopping()), Force_Stopping(max_samples, Elim_Stopping()), Force_Stopping(max_samples, Elim_Stopping())]
sampling_rules = [LinGame(CTracking, NoElimSR, false), LinGame(CTracking, NoElimSR, false), LinGame(CTracking, ElimSR, false)]
run()
#################################################
# Oracle
#################################################
elim_rules = [NoElim(), CompElim()]
stopping_rules = [Force_Stopping(max_samples, LLR_Stopping()), Force_Stopping(max_samples, Elim_Stopping())]
sampling_rules = [FixedWeights(w_star), FixedWeights(w_star)]
run()
#################################################
# LazyTaS
#################################################
elim_rules = [NoElim(), CompElim(), CompElim()]
stopping_rules = [Force_Stopping(max_samples, LLR_Stopping()), Force_Stopping(max_samples, Elim_Stopping()), Force_Stopping(max_samples, Elim_Stopping())]
sampling_rules = [LazyTaS(NoElimSR), LazyTaS(NoElimSR), LazyTaS(ElimSR)]
run()
#################################################
# FWS
#################################################
elim_rules = [NoElim(), CompElim(), CompElim()]
stopping_rules = [Force_Stopping(max_samples, LLR_Stopping()), Force_Stopping(max_samples, Elim_Stopping()), Force_Stopping(max_samples, Elim_Stopping())]
sampling_rules = [FWSampling(NoElimSR), FWSampling(NoElimSR), FWSampling(ElimSR)]
run()