# --------------------------------------

# Ornstein-Uhlenbeck Noise

# Author: Flood Sung

# Date: 2016.5.4

# Reference: https://github.com/rllab/rllab/blob/master/rllab/exploration_strategies/ou_strategy.py

# --------------------------------------

import numpy as np

import numpy.random as nr

class OUNoise:

    """docstring for OUNoise"""

    def __init__(self,action_dimension,mu=0, theta=0.15, sigma=0.2):

        self.action_dimension = action_dimension

        self.mu = mu

        self.theta = theta

        self.sigma = sigma

        self.state = np.ones(self.action_dimension) * self.mu

        self.reset()

    def reset(self):

        self.state = np.ones(self.action_dimension) * self.mu

    def noise(self):

        x = self.state

        dx = self.theta * (self.mu - x) + self.sigma * nr.randn(len(x))

        self.state = x + dx

        return self.state

if __name__ == '__main__':

    ou = OUNoise(3)

    states = []

    for i in range(1000):

        states.append(ou.noise())

    import matplotlib.pyplot as plt

    plt.plot(states)

    plt.show()