From 3597f185cc1b872699ccd4f11b2db6dbd063d2bf Mon Sep 17 00:00:00 2001 From: wassname Date: Sun, 12 Nov 2017 14:41:24 +0800 Subject: [PATCH] better softmax clipping --- rl_portfolio_management/util.py | 3 ++- 1 file changed, 2 insertions(+), 1 deletion(-) diff --git a/rl_portfolio_management/util.py b/rl_portfolio_management/util.py index 0db1545..e12eb01 100644 --- a/rl_portfolio_management/util.py +++ b/rl_portfolio_management/util.py @@ -16,7 +16,8 @@ def MDD(returns): def softmax(w, t=1.0): """softmax implemented in numpy.""" - w = np.clip(w, -1000, 50) # avoid inf/nan + log_eps = np.log(eps) + w = np.clip(w, -log_eps, log_eps) # avoid inf/nan e = np.exp(np.array(w) / t) dist = e / np.sum(e) return dist