Comparison of Variance Estimation Algorithm

Codebase for the variance estimation algorithms we wish to compare.

Installation

pip install --editable .

NB: has to be installed from the git repo, because in order to mark experiments with the version of the library they were ran with, I use the git commit hash, which is unavailable if it's installed for non-development use.

Examples

Look at examples/basic_example.py for an illustration of how to run a simple experiment.

Documentation

The code is documented inline, although you can generate HTML/LaTeX/whatever else Sphinx supports if desired.

For example, to generate HTML documentation:

cd docs
make html

Or, with setuptools:

python setup.py build_sphinx

It's not perfectly well-formatted because I tend to use documentation conventions influenced by Markdown, which causes some conflicts with the sphinx-napoleon extension that parses the docstrings.

Remarks and Further Details

Codebase Organization

The code that implements the algorithms and runs the experiments is located in varcompfa, which is set up as a python package. The algorithms are stored in varcompfa/algos, custom environments in varcompfa/envs, and so on.

Setting it up this way entails a little bit of extra work when modifying the codebase, but is worth it because it ensures consistency (and therefore reproducibility).

To add a new algorithm, for example, you write the code (say in varcompfa/algos/my_algo.py), then modify the files varcompfa/algos/__init__.py and varcompfa/__init__.py to ensure that it is imported as desired.

We use the OpenAI Gym insofar as possible to avoid reimplementing the wheel and also to enhance reproducibility.

Ultimately, each experiment should be specified as a .py file in experiments, following the same sort of structure as in examples/basic_example.py.

Things that aren't suitable for prime-time should be worked on in the sandbox directory, and then moved to other locations once they're ready. The sandbox is protected from accidental commits via the .gitignore in the root directory.

Fancy Coding

There are a few places where the code is not as straightforward as I'd like-- for example, using abstract base classes that feature functions inherit from. I view these things as necessary in order to ensure that certain methods are actually implemented. Otherwise, things may not work as expected, and it's better to know this as soon as possible rather than via an obscure bug that crops up near submission time.