fix softmax

rl_portfolio_management/util.py

@@ -17,7 +17,7 @@ def MDD(returns):
 def softmax(w, t=1.0):
     """softmax implemented in numpy."""
     log_eps = np.log(eps)
-    w = np.clip(w, -log_eps, log_eps)  # avoid inf/nan
+    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

test/test_utils.py

@@ -10,6 +10,12 @@ def test_softmax():
     y = softmax(x)
     np.testing.assert_almost_equal(y.sum(), 1)
 
+    x = np.random.random([0, 1])
+    y = softmax(x)
+    assert y[0] < y[1]
+    assert (y > 0).all()
+    assert (y < 1).all()
+
 
 def test_maxdrawdown():
     assert MDD(np.array([0, 0, 0, 0, 1, 2, 3])) == 0