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Fix Thompson sampling posterior covariance draws #1

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Fix Thompson sampling posterior covariance draws #1

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8 changes: 6 additions & 2 deletions matlab/@Sampling/ThompsonSampling.m
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Original file line number Diff line number Diff line change
Expand Up @@ -25,7 +25,11 @@
mean = model.mean;
cov_scale = alg.settings.gp_settings.cov_scale;
sigma = model.sigma;


% sigma is the posterior covariance, so factor it (L*L' = sigma) to
% sample R ~ N(mean, cov_scale^2 * sigma) via R = mean + cov_scale.*(L*X)
L = chol(sigma,'lower');

% to store the sampled reward functions:
R_models = zeros(length(mean),num_samples);

Expand All @@ -45,7 +49,7 @@

% sample reward function from GP model posterior
X = randn(num_features,1);
R = mean + cov_scale .* sigma * X;
R = mean + cov_scale .* (L * X);
R = real(R);

% to avoid certain regions of the action space or not
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