Add DDPG and fix Gym wrapper (#1207)

* Fix Gym wrapper
- It was returning things in the wrong order
- Gym now differentiates between terminated and truncated

* Add DDPG

* Apply fixes

* Remove Result annotations

* Also remove Vec annotation

* rustfmt

* Various small improvements (avoid cloning, mutability, get clippy to pass, ...)

---------

Co-authored-by: Travis Hammond <travis.hammond@alexanderthamm.com>
Co-authored-by: Laurent <laurent.mazare@gmail.com>

candle-examples/examples/reinforcement-learning/ddpg.rs

@@ -0,0 +1,451 @@
+use std::collections::VecDeque;
+use std::fmt::Display;
+
+use candle::{DType, Device, Error, Module, Result, Tensor, Var};
+use candle_nn::{
+    func, linear, sequential::seq, Activation, AdamW, Optimizer, ParamsAdamW, Sequential,
+    VarBuilder, VarMap,
+};
+use rand::{distributions::Uniform, thread_rng, Rng};
+
+pub struct OuNoise {
+    mu: f64,
+    theta: f64,
+    sigma: f64,
+    state: Tensor,
+}
+impl OuNoise {
+    pub fn new(mu: f64, theta: f64, sigma: f64, size_action: usize) -> Result<Self> {
+        Ok(Self {
+            mu,
+            theta,
+            sigma,
+            state: Tensor::ones(size_action, DType::F32, &Device::Cpu)?,
+        })
+    }
+
+    pub fn sample(&mut self) -> Result<Tensor> {
+        let rand = Tensor::randn_like(&self.state, 0.0, 1.0)?;
+        let dx = ((self.theta * (self.mu - &self.state)?)? + (self.sigma * rand)?)?;
+        self.state = (&self.state + dx)?;
+        Ok(self.state.clone())
+    }
+}
+
+#[derive(Clone)]
+struct Transition {
+    state: Tensor,
+    action: Tensor,
+    reward: Tensor,
+    next_state: Tensor,
+    terminated: bool,
+    truncated: bool,
+}
+impl Transition {
+    fn new(
+        state: &Tensor,
+        action: &Tensor,
+        reward: &Tensor,
+        next_state: &Tensor,
+        terminated: bool,
+        truncated: bool,
+    ) -> Self {
+        Self {
+            state: state.clone(),
+            action: action.clone(),
+            reward: reward.clone(),
+            next_state: next_state.clone(),
+            terminated,
+            truncated,
+        }
+    }
+}
+
+pub struct ReplayBuffer {
+    buffer: VecDeque<Transition>,
+    capacity: usize,
+    size: usize,
+}
+impl ReplayBuffer {
+    pub fn new(capacity: usize) -> Self {
+        Self {
+            buffer: VecDeque::with_capacity(capacity),
+            capacity,
+            size: 0,
+        }
+    }
+
+    pub fn push(
+        &mut self,
+        state: &Tensor,
+        action: &Tensor,
+        reward: &Tensor,
+        next_state: &Tensor,
+        terminated: bool,
+        truncated: bool,
+    ) {
+        if self.size == self.capacity {
+            self.buffer.pop_front();
+        } else {
+            self.size += 1;
+        }
+        self.buffer.push_back(Transition::new(
+            state, action, reward, next_state, terminated, truncated,
+        ));
+    }
+
+    #[allow(clippy::type_complexity)]
+    pub fn random_batch(
+        &self,
+        batch_size: usize,
+    ) -> Result<Option<(Tensor, Tensor, Tensor, Tensor, Vec<bool>, Vec<bool>)>> {
+        if self.size < batch_size {
+            Ok(None)
+        } else {
+            let transitions: Vec<&Transition> = thread_rng()
+                .sample_iter(Uniform::from(0..self.size))
+                .take(batch_size)
+                .map(|i| self.buffer.get(i).unwrap())
+                .collect();
+
+            let states: Vec<Tensor> = transitions
+                .iter()
+                .map(|t| t.state.unsqueeze(0))
+                .collect::<Result<_>>()?;
+            let actions: Vec<Tensor> = transitions
+                .iter()
+                .map(|t| t.action.unsqueeze(0))
+                .collect::<Result<_>>()?;
+            let rewards: Vec<Tensor> = transitions
+                .iter()
+                .map(|t| t.reward.unsqueeze(0))
+                .collect::<Result<_>>()?;
+            let next_states: Vec<Tensor> = transitions
+                .iter()
+                .map(|t| t.next_state.unsqueeze(0))
+                .collect::<Result<_>>()?;
+            let terminateds: Vec<bool> = transitions.iter().map(|t| t.terminated).collect();
+            let truncateds: Vec<bool> = transitions.iter().map(|t| t.truncated).collect();
+
+            Ok(Some((
+                Tensor::cat(&states, 0)?,
+                Tensor::cat(&actions, 0)?,
+                Tensor::cat(&rewards, 0)?,
+                Tensor::cat(&next_states, 0)?,
+                terminateds,
+                truncateds,
+            )))
+        }
+    }
+}
+
+fn track(
+    varmap: &mut VarMap,
+    vb: &VarBuilder,
+    target_prefix: &str,
+    network_prefix: &str,
+    dims: &[(usize, usize)],
+    tau: f64,
+) -> Result<()> {
+    for (i, &(in_dim, out_dim)) in dims.iter().enumerate() {
+        let target_w = vb.get((out_dim, in_dim), &format!("{target_prefix}-fc{i}.weight"))?;
+        let network_w = vb.get((out_dim, in_dim), &format!("{network_prefix}-fc{i}.weight"))?;
+        varmap.set_one(
+            format!("{target_prefix}-fc{i}.weight"),
+            ((tau * network_w)? + ((1.0 - tau) * target_w)?)?,
+        )?;
+
+        let target_b = vb.get(out_dim, &format!("{target_prefix}-fc{i}.bias"))?;
+        let network_b = vb.get(out_dim, &format!("{network_prefix}-fc{i}.bias"))?;
+        varmap.set_one(
+            format!("{target_prefix}-fc{i}.bias"),
+            ((tau * network_b)? + ((1.0 - tau) * target_b)?)?,
+        )?;
+    }
+    Ok(())
+}
+
+struct Actor<'a> {
+    varmap: VarMap,
+    vb: VarBuilder<'a>,
+    network: Sequential,
+    target_network: Sequential,
+    size_state: usize,
+    size_action: usize,
+    dims: Vec<(usize, usize)>,
+}
+
+impl Actor<'_> {
+    fn new(device: &Device, dtype: DType, size_state: usize, size_action: usize) -> Result<Self> {
+        let mut varmap = VarMap::new();
+        let vb = VarBuilder::from_varmap(&varmap, dtype, device);
+
+        let dims = vec![(size_state, 400), (400, 300), (300, size_action)];
+
+        let make_network = |prefix: &str| {
+            let seq = seq()
+                .add(linear(
+                    dims[0].0,
+                    dims[0].1,
+                    vb.pp(format!("{prefix}-fc0")),
+                )?)
+                .add(Activation::Relu)
+                .add(linear(
+                    dims[1].0,
+                    dims[1].1,
+                    vb.pp(format!("{prefix}-fc1")),
+                )?)
+                .add(Activation::Relu)
+                .add(linear(
+                    dims[2].0,
+                    dims[2].1,
+                    vb.pp(format!("{prefix}-fc2")),
+                )?)
+                .add(func(|xs| xs.tanh()));
+            Ok::<Sequential, Error>(seq)
+        };
+
+        let network = make_network("actor")?;
+        let target_network = make_network("target-actor")?;
+
+        // this sets the two networks to be equal to each other using tau = 1.0
+        track(&mut varmap, &vb, "target-actor", "actor", &dims, 1.0);
+
+        Ok(Self {
+            varmap,
+            vb,
+            network,
+            target_network,
+            size_state,
+            size_action,
+            dims,
+        })
+    }
+
+    fn forward(&self, state: &Tensor) -> Result<Tensor> {
+        self.network.forward(state)
+    }
+
+    fn target_forward(&self, state: &Tensor) -> Result<Tensor> {
+        self.target_network.forward(state)
+    }
+
+    fn track(&mut self, tau: f64) -> Result<()> {
+        track(
+            &mut self.varmap,
+            &self.vb,
+            "target-actor",
+            "actor",
+            &self.dims,
+            tau,
+        )
+    }
+}
+
+struct Critic<'a> {
+    varmap: VarMap,
+    vb: VarBuilder<'a>,
+    network: Sequential,
+    target_network: Sequential,
+    size_state: usize,
+    size_action: usize,
+    dims: Vec<(usize, usize)>,
+}
+
+impl Critic<'_> {
+    fn new(device: &Device, dtype: DType, size_state: usize, size_action: usize) -> Result<Self> {
+        let mut varmap = VarMap::new();
+        let vb = VarBuilder::from_varmap(&varmap, dtype, device);
+
+        let dims: Vec<(usize, usize)> = vec![(size_state + size_action, 400), (400, 300), (300, 1)];
+
+        let make_network = |prefix: &str| {
+            let seq = seq()
+                .add(linear(
+                    dims[0].0,
+                    dims[0].1,
+                    vb.pp(format!("{prefix}-fc0")),
+                )?)
+                .add(Activation::Relu)
+                .add(linear(
+                    dims[1].0,
+                    dims[1].1,
+                    vb.pp(format!("{prefix}-fc1")),
+                )?)
+                .add(Activation::Relu)
+                .add(linear(
+                    dims[2].0,
+                    dims[2].1,
+                    vb.pp(format!("{prefix}-fc2")),
+                )?);
+            Ok::<Sequential, Error>(seq)
+        };
+
+        let network = make_network("critic")?;
+        let target_network = make_network("target-critic")?;
+
+        // this sets the two networks to be equal to each other using tau = 1.0
+        track(&mut varmap, &vb, "target-critic", "critic", &dims, 1.0);
+
+        Ok(Self {
+            varmap,
+            vb,
+            network,
+            target_network,
+            size_state,
+            size_action,
+            dims,
+        })
+    }
+
+    fn forward(&self, state: &Tensor, action: &Tensor) -> Result<Tensor> {
+        let xs = Tensor::cat(&[action, state], 1)?;
+        self.network.forward(&xs)
+    }
+
+    fn target_forward(&self, state: &Tensor, action: &Tensor) -> Result<Tensor> {
+        let xs = Tensor::cat(&[action, state], 1)?;
+        self.target_network.forward(&xs)
+    }
+
+    fn track(&mut self, tau: f64) -> Result<()> {
+        track(
+            &mut self.varmap,
+            &self.vb,
+            "target-critic",
+            "critic",
+            &self.dims,
+            tau,
+        )
+    }
+}
+
+#[allow(clippy::upper_case_acronyms)]
+pub struct DDPG<'a> {
+    actor: Actor<'a>,
+    actor_optim: AdamW,
+    critic: Critic<'a>,
+    critic_optim: AdamW,
+    gamma: f64,
+    tau: f64,
+    replay_buffer: ReplayBuffer,
+    ou_noise: OuNoise,
+
+    size_state: usize,
+    size_action: usize,
+    pub train: bool,
+}
+
+impl DDPG<'_> {
+    #[allow(clippy::too_many_arguments)]
+    pub fn new(
+        device: &Device,
+        size_state: usize,
+        size_action: usize,
+        train: bool,
+        actor_lr: f64,
+        critic_lr: f64,
+        gamma: f64,
+        tau: f64,
+        buffer_capacity: usize,
+        ou_noise: OuNoise,
+    ) -> Result<Self> {
+        let filter_by_prefix = |varmap: &VarMap, prefix: &str| {
+            varmap
+                .data()
+                .lock()
+                .unwrap()
+                .iter()
+                .filter_map(|(name, var)| name.starts_with(prefix).then_some(var.clone()))
+                .collect::<Vec<Var>>()
+        };
+
+        let actor = Actor::new(device, DType::F32, size_state, size_action)?;
+        let actor_optim = AdamW::new(
+            filter_by_prefix(&actor.varmap, "actor"),
+            ParamsAdamW {
+                lr: actor_lr,
+                ..Default::default()
+            },
+        )?;
+
+        let critic = Critic::new(device, DType::F32, size_state, size_action)?;
+        let critic_optim = AdamW::new(
+            filter_by_prefix(&critic.varmap, "critic"),
+            ParamsAdamW {
+                lr: critic_lr,
+                ..Default::default()
+            },
+        )?;
+
+        Ok(Self {
+            actor,
+            actor_optim,
+            critic,
+            critic_optim,
+            gamma,
+            tau,
+            replay_buffer: ReplayBuffer::new(buffer_capacity),
+            ou_noise,
+            size_state,
+            size_action,
+            train,
+        })
+    }
+
+    pub fn remember(
+        &mut self,
+        state: &Tensor,
+        action: &Tensor,
+        reward: &Tensor,
+        next_state: &Tensor,
+        terminated: bool,
+        truncated: bool,
+    ) {
+        self.replay_buffer
+            .push(state, action, reward, next_state, terminated, truncated)
+    }
+
+    pub fn actions(&mut self, state: &Tensor) -> Result<f32> {
+        let actions = self
+            .actor
+            .forward(&state.detach()?.unsqueeze(0)?)?
+            .squeeze(0)?;
+        let actions = if self.train {
+            (actions + self.ou_noise.sample()?)?
+        } else {
+            actions
+        };
+        actions.squeeze(0)?.to_scalar::<f32>()
+    }
+
+    pub fn train(&mut self, batch_size: usize) -> Result<()> {
+        let (states, actions, rewards, next_states, _, _) =
+            match self.replay_buffer.random_batch(batch_size)? {
+                Some(v) => v,
+                _ => return Ok(()),
+            };
+
+        let q_target = self
+            .critic
+            .target_forward(&next_states, &self.actor.target_forward(&next_states)?)?;
+        let q_target = (rewards + (self.gamma * q_target)?.detach())?;
+        let q = self.critic.forward(&states, &actions)?;
+        let diff = (q_target - q)?;
+
+        let critic_loss = diff.sqr()?.mean_all()?;
+        self.critic_optim.backward_step(&critic_loss)?;
+
+        let actor_loss = self
+            .critic
+            .forward(&states, &self.actor.forward(&states)?)?
+            .mean_all()?
+            .neg()?;
+        self.actor_optim.backward_step(&actor_loss)?;
+
+        self.critic.track(self.tau)?;
+        self.actor.track(self.tau)?;
+
+        Ok(())
+    }
+}

candle-examples/examples/reinforcement-learning/gym_env.rs

@@ -7,20 +7,22 @@ use pyo3::types::PyDict;
 /// The return value for a step.
 #[derive(Debug)]
 pub struct Step<A> {
-    pub obs: Tensor,
+    pub state: Tensor,
     pub action: A,
     pub reward: f64,
-    pub is_done: bool,
+    pub terminated: bool,
+    pub truncated: bool,
 }
 
 impl<A: Copy> Step<A> {
     /// Returns a copy of this step changing the observation tensor.
-    pub fn copy_with_obs(&self, obs: &Tensor) -> Step<A> {
+    pub fn copy_with_obs(&self, state: &Tensor) -> Step<A> {
         Step {
-            obs: obs.clone(),
+            state: state.clone(),
             action: self.action,
             reward: self.reward,
-            is_done: self.is_done,
+            terminated: self.terminated,
+            truncated: self.truncated,
         }
     }
 }
@@ -63,14 +65,14 @@ impl GymEnv {
 
     /// Resets the environment, returning the observation tensor.
     pub fn reset(&self, seed: u64) -> Result<Tensor> {
-        let obs: Vec<f32> = Python::with_gil(|py| {
+        let state: Vec<f32> = Python::with_gil(|py| {
             let kwargs = PyDict::new(py);
             kwargs.set_item("seed", seed)?;
-            let obs = self.env.call_method(py, "reset", (), Some(kwargs))?;
-            obs.as_ref(py).get_item(0)?.extract()
+            let state = self.env.call_method(py, "reset", (), Some(kwargs))?;
+            state.as_ref(py).get_item(0)?.extract()
         })
         .map_err(w)?;
-        Tensor::new(obs, &Device::Cpu)
+        Tensor::new(state, &Device::Cpu)
     }
 
     /// Applies an environment step using the specified action.
@@ -78,21 +80,23 @@ impl GymEnv {
         &self,
         action: A,
     ) -> Result<Step<A>> {
-        let (obs, reward, is_done) = Python::with_gil(|py| {
+        let (state, reward, terminated, truncated) = Python::with_gil(|py| {
             let step = self.env.call_method(py, "step", (action.clone(),), None)?;
             let step = step.as_ref(py);
-            let obs: Vec<f32> = step.get_item(0)?.extract()?;
+            let state: Vec<f32> = step.get_item(0)?.extract()?;
             let reward: f64 = step.get_item(1)?.extract()?;
-            let is_done: bool = step.get_item(2)?.extract()?;
-            Ok((obs, reward, is_done))
+            let terminated: bool = step.get_item(2)?.extract()?;
+            let truncated: bool = step.get_item(3)?.extract()?;
+            Ok((state, reward, terminated, truncated))
         })
         .map_err(w)?;
-        let obs = Tensor::new(obs, &Device::Cpu)?;
+        let state = Tensor::new(state, &Device::Cpu)?;
         Ok(Step {
-            obs,
-            reward,
-            is_done,
+            state,
             action,
+            reward,
+            terminated,
+            truncated,
         })
     }
 

candle-examples/examples/reinforcement-learning/main.rs

@@ -9,14 +9,34 @@ extern crate accelerate_src;
 mod gym_env;
 mod vec_gym_env;
 
-use candle::Result;
+mod ddpg;
+
+use candle::{Device, Result, Tensor};
 use clap::Parser;
 use rand::Rng;
 
+// The impact of the q value of the next state on the current state's q value.
+const GAMMA: f64 = 0.99;
+// The weight for updating the target networks.
+const TAU: f64 = 0.005;
+// The capacity of the replay buffer used for sampling training data.
+const REPLAY_BUFFER_CAPACITY: usize = 100_000;
+// The training batch size for each training iteration.
+const TRAINING_BATCH_SIZE: usize = 100;
 // The total number of episodes.
 const MAX_EPISODES: usize = 100;
 // The maximum length of an episode.
 const EPISODE_LENGTH: usize = 200;
+// The number of training iterations after one episode finishes.
+const TRAINING_ITERATIONS: usize = 200;
+
+// Ornstein-Uhlenbeck process parameters.
+const MU: f64 = 0.0;
+const THETA: f64 = 0.15;
+const SIGMA: f64 = 0.1;
+
+const ACTOR_LEARNING_RATE: f64 = 1e-4;
+const CRITIC_LEARNING_RATE: f64 = 1e-3;
 
 #[derive(Parser, Debug, Clone)]
 #[command(author, version, about, long_about = None)]
@@ -48,28 +68,77 @@ fn main() -> Result<()> {
     println!("action space: {}", env.action_space());
     println!("observation space: {:?}", env.observation_space());
 
-    let _num_obs = env.observation_space().iter().product::<usize>();
-    let _num_actions = env.action_space();
+    let size_state = env.observation_space().iter().product::<usize>();
+    let size_action = env.action_space();
+
+    let mut agent = ddpg::DDPG::new(
+        &Device::Cpu,
+        size_state,
+        size_action,
+        true,
+        ACTOR_LEARNING_RATE,
+        CRITIC_LEARNING_RATE,
+        GAMMA,
+        TAU,
+        REPLAY_BUFFER_CAPACITY,
+        ddpg::OuNoise::new(MU, THETA, SIGMA, size_action)?,
+    )?;
 
     let mut rng = rand::thread_rng();
 
     for episode in 0..MAX_EPISODES {
-        let mut obs = env.reset(episode as u64)?;
+        // let mut state = env.reset(episode as u64)?;
+        let mut state = env.reset(rng.gen::<u64>())?;
 
         let mut total_reward = 0.0;
         for _ in 0..EPISODE_LENGTH {
-            let actions = rng.gen_range(-2.0..2.0);
+            let mut action = 2.0 * agent.actions(&state)?;
+            action = action.clamp(-2.0, 2.0);
 
-            let step = env.step(vec![actions])?;
+            let step = env.step(vec![action])?;
             total_reward += step.reward;
 
-            if step.is_done {
+            agent.remember(
+                &state,
+                &Tensor::new(vec![action], &Device::Cpu)?,
+                &Tensor::new(vec![step.reward as f32], &Device::Cpu)?,
+                &step.state,
+                step.terminated,
+                step.truncated,
+            );
+
+            if step.terminated || step.truncated {
                 break;
             }
-            obs = step.obs;
+            state = step.state;
         }
 
         println!("episode {episode} with total reward of {total_reward}");
+
+        for _ in 0..TRAINING_ITERATIONS {
+            agent.train(TRAINING_BATCH_SIZE)?;
+        }
+    }
+
+    println!("Testing...");
+    agent.train = false;
+    for episode in 0..10 {
+        // let mut state = env.reset(episode as u64)?;
+        let mut state = env.reset(rng.gen::<u64>())?;
+        let mut total_reward = 0.0;
+        for _ in 0..EPISODE_LENGTH {
+            let mut action = 2.0 * agent.actions(&state)?;
+            action = action.clamp(-2.0, 2.0);
+
+            let step = env.step(vec![action])?;
+            total_reward += step.reward;
+
+            if step.terminated || step.truncated {
+                break;
+            }
+            state = step.state;
+        }
+        println!("episode {episode} with total reward of {total_reward}");
     }
     Ok(())
 }