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error message, don't adjust action

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Mike Clark
2017-10-29 13:36:13 +08:00
committed by GitHub
parent f0a17a71f5
commit 1958a948ee
1 changed files with 5 additions and 4 deletions
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src/environments/portfolio.py
+5 -4
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@@ -247,15 +247,13 @@ class PortfolioEnv(gym.Env):
"""
logger.debug('action: %s', action)
# normalise just in case
# weights = softmax(action)
weights = np.clip(action, 0.0, 1.0)
weights[0] = 1.0 - sum(weights[1:])
# Sanity checks
np.testing.assert_almost_equal(
action.shape,
(len(self.sim.asset_names),)
(len(self.sim.asset_names),),
err_msg='Action should contain %s floats, not %s'%(len(self.sim.asset_names), action.shape)
)
assert ((action >= 0) * (action <= 1)
).all(), 'all action values should be between 0 and 1. Not %s' % action
@@ -345,3 +343,6 @@ class PortfolioEnv(gym.Env):
'/tmp', labels=self.sim.asset_names, title='price changes')
ys = [df_info['price_' + name] for name in self.sim.asset_names]
self._plot3.update(x, ys)
if close:
self._plot = self._plot2 = self._plot3 = None