utilities/OU_Noise.py

import numpy as np
import random
import copy

class OU_Noise(object):
    """Ornstein-Uhlenbeck process."""
    def __init__(self, size, seed, mu=0., theta=0.15, sigma=0.2):
        self.mu = mu * np.ones(size)
        self.theta = theta
        self.sigma = sigma
        self.seed = random.seed(seed)
        self.reset()

    def reset(self):
        """Reset the internal state (= noise) to mean (mu)."""
        self.state = copy.copy(self.mu)

    def sample(self):
        """Update internal state and return it as a noise sample."""
        dx = self.theta * (self.mu - self.state) + self.sigma * np.array([np.random.normal() for _ in range(len(self.state))])
        self.state += dx
        return self.state