Commit Graph

10 Commits

Author SHA1 Message Date
jgrusewski
705d6c156b audit: ISV-ify 10 more design constants — Schulman + bootstraps + streaming α
Per `feedback_isv_for_adaptive_bounds` + user "do all except floors
and clamp bounds": 10 more constants moved from kernel-side `#define`s
into ISV slots (78 slots total now).

## Slot additions (468-477)

  RL_SCHULMAN_TOLERANCE_INDEX        (468, =1.5)   — shared by 4 controllers
  RL_SCHULMAN_ADJUST_RATE_INDEX      (469, =1.5)   — shared by 4 controllers
  RL_STREAM_ALPHA_INDEX              (470, =0.05)  — shared by var + kurt streaming
  RL_KURT_GAUSSIAN_INDEX             (471, =3.0)
  RL_KURT_NOISE_FLOOR_INDEX          (472, =1.0)
  RL_TAU_BOOTSTRAP_INDEX             (473, =0.005)
  RL_EPS_BOOTSTRAP_INDEX             (474, =0.2)
  RL_ROLLOUT_BOOTSTRAP_INDEX         (475, =2048)
  RL_REWARD_SCALE_BOOTSTRAP_INDEX    (476, =1.0)
  RL_PPO_RATIO_CLAMP_BOOTSTRAP_INDEX (477, =10.0)

## Skipped (per user "do all except floors and clamp bounds")

  * `*_MIN`/`*_MAX` clamp bounds (algebraic domain — risk γ=1.5 nonsense)
  * Numerical floors: ABS_MEAN_FLOOR=1e-6, M2_SQ_FLOOR=1e-12, EPS_PNL=1e-3
    (risk div-by-zero if mis-tuned)
  * C51 atom layout (V_MIN/V_MAX) — architecture, not config

## Wiring

  * Shared Schulman pattern: 4 controllers (ppo_clip, target_tau,
    rollout_steps, plus per_α independent KURT slots) now read TOLERANCE
    + ADJUST_RATE from the same 2 ISV slots. Single source of truth.
  * Each controller's bootstrap (1st-emit on sentinel-zero) reads
    isv[*_BOOTSTRAP_INDEX] instead of #define value. The `prev ==
    BOOTSTRAP` first-observation replace-direct check also reads from
    ISV.
  * 2 streaming kernels (var + kurt) share RL_STREAM_ALPHA_INDEX.

## Diag bake-in

JSONL `isv_config` block grows by 10 new fields: schulman_tolerance,
schulman_adjust_rate, stream_alpha, kurt_gaussian, kurt_noise_floor,
tau_bootstrap, eps_bootstrap, rollout_bootstrap,
reward_scale_bootstrap, ppo_ratio_clamp_bootstrap. Total isv_config
fields: 26.

Also includes windowed action_entropy fix (was structurally 0 at
b_size=1) — accumulates EMA-smoothed action distribution over
~1k-step window, computes entropy on the windowed dist. Makes the
exploration metric meaningful at b_size=1.

## Slot total

RL_SLOTS_END: 468 → 478. **78 total ISV slots.**

## Verified gates (local sm_86)

  G1 isv_bootstrap    (with 10 new assertions)
  G3 controllers     
  G4 target_update   
  integrated_smoke   

Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
2026-05-24 01:47:18 +02:00
jgrusewski
827a0e9416 fix(rl): ISV-ify ALL remaining tunable design constants (10 new slots)
Per `feedback_isv_for_adaptive_bounds`: every controller design knob
that's genuinely tunable now lives in ISV instead of as a kernel-side
`#define`. Tuning is a re-seed (kernel launch with new arg) rather
than a recompile.

## New ISV slots (10 design constants)

  RL_REWARD_CLAMP_WIN_INDEX       (452, =1.0)    apply_reward_scale
  RL_REWARD_CLAMP_LOSS_INDEX      (453, =3.0)    apply_reward_scale
  RL_KL_TARGET_INDEX              (454, =0.01)   rl_ppo_clip_controller
  RL_IMPROVEMENT_THRESHOLD_INDEX  (455, =0.99)   rl_lr_controller
  RL_PLATEAU_PATIENCE_INDEX       (456, =1000.0) rl_lr_controller
  RL_DIV_TARGET_INDEX             (457, =0.01)   rl_target_tau_controller
  RL_ENTROPY_TARGET_FRAC_INDEX    (458, =0.7)    rl_entropy_coef_controller
  RL_KURT_LIFT_SCALE_INDEX        (459, =7.0)    rl_per_alpha_controller
  RL_PPO_CLAMP_MARGIN_INDEX       (460, =10.0)   rl_ppo_ratio_clamp_controller
  RL_LR_WARMUP_STEPS_INDEX        (461, =2000.0) rl_lr_controller

RL_SLOTS_END: 452 → 462.

## Constants NOT converted (truly fundamental)

  * All `*_INDEX` (ABI)
  * All `*_MIN`/`*_MAX` clamp bounds (algebraic domain)
  * All `*_BOOTSTRAP` (one-shot init)
  * `WIENER_ALPHA_FLOOR` (per pearl_wiener_alpha_floor_for_nonstationary)
  * Schulman pattern parameters (`*_TOLERANCE`/`*_ADJUST_RATE`)
  * C51 (`Q_N_ATOMS`, `V_MIN/MAX`, `N_ACTIONS`)
  * Kernel numerics (`STREAM_ALPHA`, `ABS_MEAN_FLOOR`, `EPS_PNL`)
  * `KURT_GAUSSIAN` (statistical constant = 3.0 for Gaussian)
  * `KURT_NOISE_FLOOR` (defensive)
  * `LR_BOOTSTRAP`/`LR_MIN`/`LR_MAX`/`LR_LOSS_EMA_ALPHA`/`DECAY_FACTOR`

## New infrastructure

New CUDA kernel `rl_isv_write.cu` — generic single-thread device-side
seeder taking `(int slot, float value)`. Trainer loops calling it
once per design constant at init. Replaces the prior pattern of
extending `rl_streaming_clamp_init`'s arg list every time a new
constant was added.

## Ordering fix

Design constants must be seeded BEFORE controllers bootstrap — the
controllers' bootstrap paths read these slots (e.g.
`rl_entropy_coef_controller` reads `RL_ENTROPY_TARGET_FRAC_INDEX`
to derive its target). Without correct ordering, controllers see
sentinel 0.0 and bootstrap to wrong values (caught by failing G1
test before commit). Seed loop runs at TOP of
`with_controllers_bootstrapped`.

## Diag bake-in

JSONL gains `isv_config` block exposing all 10 design constants per
step:
  isv_config.{reward_clamp_win, reward_clamp_loss, kl_target,
              improvement_threshold, plateau_patience, div_target,
              entropy_target_frac, kurt_lift_scale, ppo_clamp_margin,
              lr_warmup_steps}

Post-hoc analysis can correlate any controller's behaviour with the
exact design constants it saw, without grepping the source for
`#define` defaults.

## Test updates

G1 (isv_bootstrap) + G3 (r5_controllers) — skip 10 new design-
constant slots in sentinel-zero loop, assert seeded values
separately.

## Verified gates (local sm_86)

  G1 isv_bootstrap    (with 10 new assertions)
  G3 controllers     
  G4 target_update   
  integrated_smoke   

Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
2026-05-24 01:10:53 +02:00
jgrusewski
644fbe0348 fix(rl): ISV-driven K-loop divisor + max ceiling (slot 450, 451)
f2ggr confirmed K-loop wiring works mechanically but K=8 firing on
22 % of steps over-trained at b_size=1: KL excursions to 12.44
(vs prior 3.4e-4), policy overshoot, reward/trade -$0.585 → -$0.723.

Per `feedback_isv_for_adaptive_bounds` the K-loop config must live
in ISV, not as hardcoded values in the trainer. Two new slots:

  RL_K_LOOP_DIVISOR_INDEX (450) — divides n_rollout_steps to get K
                                  Default 2048 (matches ROLLOUT_BOOTSTRAP
                                  so K=1 at controller bootstrap)
  RL_K_LOOP_MAX_INDEX     (451) — clamp ceiling on K
                                  Default 4 (was hardcoded 8; halved
                                  to prevent gradient overtraining)

K computation in step_with_lobsim now reads both from ISV:
  K = clamp(isv[404] / isv[450], 1, isv[451])

Halves worst-case overtraining while preserving the controller
cascade activation (KL above noise floor, ε actively adapting,
ratio_clamp firing). Distribution shifts from K=8 @ 22% → K=4 @ 22%
(half the gradient updates in the high-noise case).

## Wiring

`rl_streaming_clamp_init.cu` extended to seed 5 ISV-resident design
constants (was 3): adv_var_clamp, td_kurt_clamp, adv_var_target,
k_loop_divisor, k_loop_max. Still one kernel call, no HtoD.

## Diag bake-in

JSONL `k_updates` field replaced with `k_loop` block:
  k_loop.k_updates  — actual K used this step
  k_loop.divisor    — current divisor (reads isv[450])
  k_loop.max        — current max (reads isv[451])

Post-hoc analysis can verify the K-computation by independently
recomputing K from isv[404] / k_loop.divisor.

## Slot allocation

RL_SLOTS_END: 450 → 452 (+2 new config slots).

## Test updates

G1 + G3 skip slots 450, 451 in sentinel-zero loop and assert seeded
values (2048.0 + 4.0) separately.

## Verified gates (local sm_86)

  G1 isv_bootstrap   
  G3 controllers     
  G4 target_update   
  integrated_smoke   

Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
2026-05-24 00:23:38 +02:00
jgrusewski
95dcc4e312 fix(rl): ISV-driven ADV_VAR_RATIO_TARGET for rl_rollout_steps_controller
cvf86 controller_branch diag (commit 708c121f2) revealed:
  rollout_steps: 99.99% WIDEN, 0% HOLD, 0% SHRINK

The bounded-step + noise-floor fix was correctly applied, but the
controller WIDENED 99.99% of steps because the hardcoded
ADV_VAR_RATIO_TARGET = 0.1 (`#define` in the kernel) was a b_size>1
design choice. The streaming-EMA regime at b_size=1 has var/|mean|
naturally living in [1, 10] (median 3.9), so input is ALWAYS >> 0.1
and the controller correctly says "noisy advantages → widen". Result:
n_rollout pegs at MAX=8192 within ~5 steps and stays for 50k steps,
PPO update frequency drops 4×, KL stays in numerical noise (median
1.7e-8), Q can't learn (l_q stuck at ~2.7 vs uniform 3.04).

## Fix: ISV-driven target

Per `feedback_isv_for_adaptive_bounds`: ADV_VAR_RATIO_TARGET now
lives in ISV slot 449 (`RL_ADV_VAR_RATIO_TARGET_INDEX`), seeded at
trainer init to 5.0 (matches streaming-regime median 3.9). The
controller reads `isv[RL_ADV_VAR_RATIO_TARGET_INDEX]` each step
instead of a `#define`.

Expected behavior at TARGET=5.0:
  * Median input 3.9 lands in-band [3.33, 7.5] → HOLD
  * n_rollout stays near BOOTSTRAP=2048 instead of MAX
  * 4× more PPO updates per step → policy actually moves
  * KL leaves noise floor → ε controller activates
  * Q has gradient signal → can learn

Noise floor is now derived multiplicatively from the ISV target
(`target × ADV_VAR_RATIO_NOISE_FLOOR_FRAC = 0.01`) so adjusting
the target proportionally adjusts the floor — no separate slot
needed.

## Wiring

`rl_streaming_clamp_init.cu` extended to seed all three ISV-resident
design constants (adv_var clamp ceiling, td_kurt clamp ceiling, AND
adv_var regression target). Single kernel call at trainer init —
still no HtoD per `feedback_no_htod_htoh_only_mapped_pinned`.

## Diag bake-in

`controller_branch.rollout_steps_target` now reads from
`isv[RL_ADV_VAR_RATIO_TARGET_INDEX]` instead of the prior hardcoded
`0.1f32` literal. The diag shows the current ISV-resident target
so post-hoc branch analysis uses the actual value the controller
saw, and lets us track whether a future adaptive controller (one
that maintains target from observed-input percentile EMA) is
moving the target correctly.

## Slot allocation

RL_SLOTS_END: 449 → 450 (one new design-constant slot).

## Test updates

G1 (isv_bootstrap) + G3 (r5_controllers) skip slot 449 in the
sentinel-zero loop and assert the seeded value (5.0) separately.
G3's `advantage_var_ratio` input bumped from 5.0 → 20.0 so the
WIDEN branch still fires (input > new target × 1.5 = 7.5) and the
test still validates that the controller moves off bootstrap.

## Verified gates (local sm_86)

  G1 isv_bootstrap   
  G3 controllers      (with updated input)
  G4 target_update   
  integrated_smoke   

Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
2026-05-23 23:18:51 +02:00
jgrusewski
66115007ab fix(rl): ISV-driven output clamp on streaming var/kurtosis kernels
gxhr8 confirmed the streaming kernels work — both formerly-dead
controllers (rl_rollout_steps, rl_per_alpha) now adapt instead of
pegging at MIN. But the unclamped streaming outputs reached
advantage_var_ratio = 3e5 (when streaming-mean passed through zero
and `var/|mean|` blew up under the 1e-6 denominator floor) and
td_kurtosis = 50.6, pegging both downstream controllers at MAX
instead. Per_α at MAX over-concentrates PER sampling on outliers,
which hurts distributional Q learning (best l_q window regressed
from 2.41 → 2.69 between pdgxn and gxhr8).

## Fix: ISV-resident output clamp ceilings

Two new ISV slots hold the streaming-kernel output ceilings:

  RL_ADV_VAR_RATIO_CLAMP_INDEX = 447  (default 100.0)
  RL_TD_KURTOSIS_CLAMP_INDEX   = 448  (default  30.0)

  * 100.0 for var_ratio = 1000× ADV_VAR_RATIO_TARGET (= 0.1) — wide
    enough that healthy signal (typical 1-10) passes through, tight
    enough that 3e5 outliers don't peg rollout_steps.
  * 30.0 for kurtosis = 3× (KURT_GAUSSIAN + KURT_LIFT_SCALE) — lets
    the full per_α response range engage on heavy-tailed signal
    (≤ 10), bounds runaway above that.

Per `feedback_isv_for_adaptive_bounds`: the clamps live in ISV
(visible in diag, modifiable at runtime via re-launching the init
kernel or a future adaptive controller) rather than as kernel-side
`#define`s.

## Seeding (no HtoD per feedback_no_htod_htoh_only_mapped_pinned)

New device kernel `rl_streaming_clamp_init.cu` — single thread,
writes both clamp ceilings directly to ISV. Launched once at the
end of `with_controllers_bootstrapped` alongside the 8 existing
controller-bootstrap launches. Zero host→device transfer.

## Diag bake-in (per user request "ensure to bake in diags")

JSONL gains a new `streaming` block exposing:
  * `streaming.adv_var.{mean, m2, clamp}`
  * `streaming.td_kurt.{mean, m2, m4, clamp}`

Cross-check: when consumer-input slot (RL_ADVANTAGE_VAR_RATIO_EMA_INDEX
or RL_TD_KURTOSIS_EMA_INDEX) reads exactly the same value as
`streaming.*.clamp`, the clamp fired this step.

## Test updates

G1 (isv_bootstrap) + G3 (r5_controllers) blanket-assert that
ISV[417..END] is sentinel-zero at bootstrap. Both new slots are
seeded to non-zero values by rl_streaming_clamp_init during
bootstrap, so both tests skip these slots in the loop and assert
the seeded values separately.

## Verified gates (local sm_86)

  G1 isv_bootstrap   
  G3 controllers     
  G4 target_update   
  integrated_smoke   

Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
2026-05-23 22:26:12 +02:00
jgrusewski
53aeef099b feat(rl): ISV-driven PPO importance-ratio clamp + log-ratio diagnostic
pt67l confirmed reward-scale + V-target clamp eliminate V regression
spikes — but exposed a residual: |l_pi| max=586 with mean 0.22. Root
cause: PPO's clip(r, 1-ε, 1+ε) bounds the loss only when surr2 is
the active min. The unclipped branch IS active when A<0,r>1+ε
(surr1=A·r is then more negative than surr2=A·(1+ε), so min selects
surr1) and when A>0,r<1-ε. In the first case `r` can blow up: we've
seen r reach 1e10 from policy drift over a multi-step rollout
producing l_pi=O(1e10) spikes that contaminate the loss-balance
controller and the LR controller's plateau detection.

## Fix: ISV-driven ratio clamp

Per `feedback_isv_for_adaptive_bounds` and
`pearl_controller_anchors_isv_driven`: the clamp ceiling lives in
ISV[RL_PPO_RATIO_CLAMP_MAX_INDEX = 440], not as a hardcoded #define.

New controller `rl_ppo_ratio_clamp_controller.cu`:
  * Anchors on the (already KL-adaptive) PPO clip ε at ISV[402]
  * target = (1 + ε) × PPO_CLAMP_MARGIN  (MARGIN = 10.0)
  * Wiener-α blend with floor 0.4 per
    pearl_wiener_alpha_floor_for_nonstationary (ε is non-stationary)
  * Permanent floor 2.0 / ceiling 1000 per
    pearl_blend_formulas_must_have_permanent_floor
  * Bootstrap 10.0, replace-directly on first non-bootstrap ε
    observation per pearl_first_observation_bootstrap

When ε is small (rl_ppo_clip_controller seeing low KL → tight clip
band), the ratio clamp tightens — outliers should be rare anomalies.
When ε widens (large KL → wide clip band), the clamp widens
proportionally — outliers are expected so we permit more
magnitude before bounding.

## Wiring

ppo_clipped_surrogate_fwd and _bwd both read
isv[RL_PPO_RATIO_CLAMP_MAX_INDEX] and clamp ratio to
[1/ratio_max, ratio_max] before forming surr1/surr2. The clamp is
forward-only in effect (bwd gates pg_grad inside [1-ε, 1+ε] anyway
so gradients were already bounded), but bounding the FORWARD ratio
keeps l_pi sane for the controllers downstream.

The new controller is wired into both:
  * `with_controllers_bootstrapped` — bootstrap launch alongside
    the other 7 R1 controllers
  * `launch_rl_controllers_per_step` — per-step refresh alongside
    the other 7 R5 controllers

## Diagnostic: per-step max |log_ratio|

New kernel `ppo_log_ratio_abs_max_b.cu` (same tree-reduce shape as
rl_kl_approx_b) writes per-batch max(|log π_new − log π_old|) to
ISV[RL_PPO_LOG_RATIO_ABS_MAX_INDEX = 441]. Launched right after
rl_kl_approx_b (uses the same log_pi_old_d + pi_log_prob_d inputs).

Surfaces in diag JSONL as:
  "ppo": {
    "ratio_clamp_max":   isv[440],   # adaptive ceiling
    "log_ratio_abs_max": isv[441]    # per-step observed max
  }

The clamp fires when log_ratio_abs_max > ln(ratio_clamp_max).
For ratio_clamp_max = 10, ln = 2.30. Healthy training has
log_ratio_abs_max well below this most steps; outliers touch or
exceed it on rare excursions which the clamp bounds before they
pollute l_pi.

## Slot allocation

RL_PPO_RATIO_CLAMP_MAX_INDEX     = 440  (controller output)
RL_PPO_LOG_RATIO_ABS_MAX_INDEX   = 441  (per-step diag)
RL_SLOTS_END                     = 442  (was 440)

## Test updates

G1 (isv_bootstrap) + G3 (r5_controllers) blanket-assert ISV[417..END]
== 0.0 to catch slot-wiring bugs. Slot 440 is now a controller
OUTPUT bootstrapped to 10.0, so both tests skip it in the loop and
assert == 10.0 separately.

## Verified gates (local sm_86)

  G1 isv_bootstrap    (with new slot-440 assertion)
  G3 controllers     
  G4 target_update   
  G6 r7d_per_wiring  
  integrated_smoke   

Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
2026-05-23 20:55:00 +02:00
jgrusewski
fd415d9b17 fix(rl): apply derive-from-input bootstrap to γ + coef controllers
Systematic completion of the per_α fix (commit 0857d40ac) across the
two other additive-target controllers that had the same dead-zone
anti-pattern: hardcoded bootstrap value that coincides with a target
the formula naturally produces.

## Audit

Across the 7 RL controllers in `crates/ml-alpha/cuda/rl_*_controller.cu`,
target formulas split into three classes:

1. **Additive target** (target = f(input)): `per_α`, `γ`, `coef`.
   Hardcoded bootstrap can collide with target value at specific
   input — the dead-zone fix applies cleanly via derive-from-input.
2. **Multiplicative target** (target = prev × ratio): `τ`, `ε`,
   `n_roll`. Bootstrap IS the initial `prev`; the "no movement when
   ratio=1" case corresponds to "input at steady-state value" which
   is correct behavior, not a dead-zone bug. Not changed.
3. **Special** (target = 1/input): `scale`. Sentinel input → 1/0
   would blow up. Hardcoded bootstrap 1.0 + production input range
   (mean_abs_pnl ≫ 1.0 for ES futures) means no practical dead-zone.
   Not changed.

## γ kernel fix

Hardcoded `GAMMA_BOOTSTRAP = 0.99` coincided with `target(d ≈ 69)`
via `γ = 0.5^(1/d)`. For canonical hold times near 69 events (which
is exactly the d at which γ=0.99 is correct), the Wiener blend
`prev=0.99, target=0.99` produced no movement.

Now: bootstrap = `clamp(0.5^(1/max(d, 1)), GAMMA_MIN, GAMMA_MAX)`.
At sentinel input (d=0 → clamped d=1) → target=0.5 → clamped to
GAMMA_MIN = 0.90 (the floor). Cold-start γ is the floor (more
myopic for first few steps); as `trade_duration_ema` stabilises in
the typical 10-100 range, the controller drifts γ up toward
`0.5^(1/d_observed)`.

## coef kernel fix

Hardcoded `COEF_BOOTSTRAP = 0.01` coincided with `target(h_obs ≈
1.099)` via `coef = (h_target - h_obs) / h_max × COEF_MAX`. For
mid-range observed entropy (≈ half of h_target ≈ 1.538), bootstrap
= target → frozen.

Now: bootstrap = `(h_target - max(h_obs, 0)) / h_max × COEF_MAX`,
clamped. At sentinel input (h_obs=0) → deficit = h_target = 1.538
→ target = (1.538 / 2.197) × 0.05 ≈ 0.035 (3.5× the previous
canonical 0.01). Lifts the entropy bonus's relative weight in early
training — desirable cold-start behavior (push exploration when no
entropy data yet) and self-corrects as `entropy_observed_ema`
stabilises.

## Test updates

* `isv_bootstrap.rs`: `GAMMA_BOOTSTRAP` 0.99 → 0.90, `COEF_BOOTSTRAP`
  0.01 → 0.035. Inline comments document the post-R9-audit derive-
  from-input rationale.
* `r5_controllers_and_soft_update.rs`: same constants updated;
  `trade_duration_ema` fixture input 1.0 → 20.0 because d=1 produces
  target=0.5 which clamps to GAMMA_MIN = 0.90 = new bootstrap = floor
  (canonical "all production-realistic trade durations are 10-100
  events" range). The d=1 fixture was an unrealistic edge case
  (sub-event trade duration is non-physical).
* `r3_ema_advantage.rs::r3_compute_advantage_return_formula_holds`:
  pre-condition assertion loosened from `γ == 0.99` to `γ ∈ [0.90,
  0.999]` — the test computes its expected values from whatever γ
  ISV holds, so the hardcoded comparison was incidental.
* `trainer/integrated.rs` `with_controllers_bootstrapped` docstring:
  γ and coef slot docs updated to reflect derive-from-input.

## Verified gates (post-fix, local sm_86)

  G1  isv_bootstrap                 γ=0.90 τ=0.005 ε=0.2 coef=0.035
                                       n_roll=2048 per_α=0.4 scale=1.0
  G3  controllers_emit              γ 0.9 → 0.926 (target 0.966)
                                       coef 0.035 → 0.030 (target 0.025
                                       at h_obs=0.5)
  G4  target_soft_update            unchanged
  G6  r7d_per_wiring                unchanged
  R3  ema/advantage (3 tests)       pre-cond loosened, formula intact
  R4  action kernels (3 tests)      unchanged
  end integrated_trainer_smoke      all 5 head losses finite

## What's NOT in this commit

Multiplicative controllers (τ, ε, n_roll) and the special-form scale
controller still use hardcoded bootstraps. Their dead-zones (if any)
are either correct steady-state behavior (multiplicative) or
practically unreachable (scale's dead-zone at mean_abs_pnl=1.0 is
not hit by ES dollar-scale rewards). Documenting these as
"intentionally hardcoded" is preferable to forcing derive-from-input
where it doesn't naturally fit.

Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
2026-05-23 13:56:40 +02:00
jgrusewski
0857d40acd fix(rl): rl_per_alpha bootstrap dead-zone at canonical kurtosis
Real production bug surfaced by the R9 G3 local smoke (not the
test-fixture bug the prior commit's message claimed). The
`rl_per_alpha_controller` kernel hardcoded its bootstrap value to
`PER_ALPHA_BOOTSTRAP = 0.6` (canonical PER default per Schaul 2016).
The per-step path's target formula `target = 0.4 + 0.2 × (kurt − 3) / 7`
maps kurt=10 (the canonical heavy-tailed market kurtosis) to **exactly
0.6** — the bootstrap. The Wiener-α blend `(1 − α) · prev + α · target`
then produces 0.6 from any α when prev = target = 0.6, freezing the
controller at the bootstrap value for any input near the canonical
market regime.

This is a real production behaviour bug, not a test fixture bug:
in any market session where TD-error kurtosis sits near canonical 10
(which is the *most common* regime — that's WHY 0.6 is the canonical
PER default), the controller never adapts off bootstrap. The
adaptation mechanism is effectively disabled for typical inputs and
only fires when kurtosis drifts away. The prior commit
(ee24f0a30) papered over this with a fixture change (kurt=20 instead
of 10), which avoided the symptom without fixing the underlying
dead-zone.

## Fix: derive bootstrap from input (pearl-compliant)

Per `pearl_first_observation_bootstrap` ("sentinel = 0; first
observation replaces directly"), the canonical bootstrap pattern is
to compute the target from the current input and write that, rather
than a hardcoded constant. The kernel now:

  1. Computes `target = target_formula(input_slot's EMA value)` first.
  2. At sentinel (prev == 0): writes the computed target directly
     (= 0.4 when input is also sentinel-zero, = 0.886 when input is
     already at warm-start kurt=20, etc.).
  3. Per-step path unchanged: Wiener blend prev toward target.

The bootstrap value is now whatever the formula emits for the
current input. At cold start (no EMA observations yet), bootstrap =
target(0) = 0.4 (= PER_ALPHA_MIN + 0.1, the formula's floor). This
is distinct from EVERY target value the formula can emit for
non-sentinel input (target ≥ 0.4), so the per-step Wiener blend
always sees a real `prev` vs `target` delta and moves on subsequent
calls — no dead-zone possible.

Trade-off: cold-start α is now 0.4 (slightly more uniform PER
sampling) instead of 0.6 (canonical sharp). For the first ~1-2 steps
before the input EMA stabilises, the PER buffer treats transitions
more equally. After EMA stabilises, the controller drifts toward the
canonical 0.6 (when kurt ≈ 10) or higher (when tails are heavier).
The brief cold-start period with α=0.4 is a cost worth paying for
guaranteed responsiveness post-warm-up.

## Test impact

* `tests/isv_bootstrap.rs` + `tests/r5_controllers_and_soft_update.rs`:
  the `PER_ALPHA_BOOTSTRAP` Rust mirror constant updated from 0.6 →
  0.4 with an inline comment explaining the post-R9-audit derivation
  pattern. The hardcoded-0.6 const was the host-side reflection of
  the buggy CUDA `#define`.
* `tests/r5_controllers_and_soft_update.rs`: the prior commit's
  `td_kurtosis = 20.0` fixture-workaround REVERTED back to `10.0`.
  With the kernel fix, kurt=10 is no longer a dead-zone — the
  controller bootstraps to 0.4 and per-step blends to ≈ 0.48 toward
  the target 0.6. Test passes WITHOUT relying on a hand-picked
  fixture input that happened to dodge the bug.
* Trainer docstring at `with_controllers_bootstrapped`: per_α slot
  doc updated to reflect derive-from-input bootstrap pattern.

## Verified gates (post-fix, local sm_86)

  G1  isv_bootstrap                 per_α=0.4 (was 0.6 pre-fix)
  G3  controllers_emit              per_α 0.4 → 0.48 with kurt=10
  G4  target_soft_update            unchanged
  G6  r7d_per_wiring                unchanged
  end integrated_trainer_smoke      unchanged

Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
2026-05-23 13:46:53 +02:00
jgrusewski
c7ccf0c301 feat(rl): R7d — PER wired + off-policy DQN with stop-grad on encoder
Closes plan A9 (rebuild plan's "PER wiring" R7 scope second half;
R7c-data shipped the first half last commit). The `ReplayBuffer` in
`src/rl/replay.rs` has sat as dead code since Phase C — this commit
makes it load-bearing per `feedback_always_per` ("PER always enabled;
non-PER paths are dead code").

## Architecture: off-policy Q + on-policy PPO + V + stop-grad encoder

Shared-encoder pattern with the canonical off-policy + shared-encoder
discipline: the Q head trains from PER-sampled past transitions,
PPO + V train on current-step on-policy data, and the encoder receives
gradient signal ONLY from PPO + V (and BCE/aux via the perception
trainer's separate `step_batched` path). Standard pattern in SAC,
R2D2, IMPALA.

Stop-grad is implemented by computing Q's `grad_h_t` (via
`backward_to_w_b_h(sampled_h_t, ...)`) but NOT accumulating it into
`grad_h_t_combined_d` — the encoder backward only sees π + V
contributions. Per `feedback_no_hiding` the discarded buffer is
allocated and written (the kernel API requires the writeback target);
the discard is a deliberate design call documented at the
accumulation site.

## Wiring summary

### Kernel: `dqn_distributional_q_bwd`
* New `loss_per_batch [B]` output. Atom 0 of each block writes the
  per-sample CE loss (non-atomic — single writer per batch).
  `loss_out [1]` continues to atomicAdd the scalar sum for the
  diagnostic total. Build.rs cache bust v30.

### `DqnHead::backward_logits` (Rust wrapper)
* New `loss_per_batch: &mut CudaSlice<f32>` arg. Migrated atomically
  in the same commit per `feedback_no_partial_refactor` — only
  caller is the integrated trainer.

### `IntegratedTrainerConfig`
* New `per_capacity: usize` (default 4096, matches `replay.rs` doc
  ceiling for naive O(N) sampling).
* New `per_seed: u64` (default 0x9E37_79B9_7F4A_7C15).
* `Default` impl added so test fixtures forward-compat via
  `..IntegratedTrainerConfig::default()`. All 5 existing test
  fixtures migrated.

### `IntegratedTrainer`
* New fields: `replay: ReplayBuffer`, `sampled_h_t_d`,
  `sampled_h_tp1_d`, `sampled_actions_d`, `sampled_rewards_d`,
  `sampled_dones_d`, `sampled_next_actions_d`, `td_per_sample_d`.
* New methods: `push_to_replay(b_size)` — DtoH per-batch metadata
  (action/reward/done/log_pi_old) + alloc per-transition
  `CudaSlice<f32>(HIDDEN_DIM)` ×2 + DtoD per-batch slice copies +
  push to `ReplayBuffer`. `sample_and_gather(b_size)` — read
  per_α from ISV[405], call `replay.sample_indices`, gather sampled
  transitions' h_t/h_tp1 device payloads via per-batch DtoD into
  `sampled_h_t_d` / `sampled_h_tp1_d`, HtoD upload action/reward/done.

### `step_with_lobsim` orchestration
After `compute_advantage_return` and BEFORE `step_synthetic`:
  1. DtoH full ISV slice to refresh `isv_host` (so PER reads ISV[405]
     for per_α).
  2. `push_to_replay(b_size)` — push current step's transitions.
  3. `sample_and_gather(b_size)` — return `per_indices` for the
     priority update.
  4. `step_synthetic(snapshots)` — runs π + V on current-step h_t,
     Q on SAMPLED h_t (off-policy).
  5. DtoH `td_per_sample_d` → host; `replay.update_priorities(
     per_indices, td_per_sample_host)`.
  6. Target-net soft update (unchanged from R5).

### `step_synthetic` redirects (Q path → sampled, π/V stay on-policy)
* Q forward: `forward(&self.sampled_h_t_d)` (was `h_t_borrow`).
* New: forward online Q on `&self.sampled_h_tp1_d` → local scratch +
  `argmax_expected_q` → `self.sampled_next_actions_d`. The
  Double-DQN argmax MUST be recomputed each step (online net weights
  drift faster than transitions recycle through replay; storing
  argmax at push time would feed stale-action data into the
  projection).
* `forward_target(&self.sampled_h_tp1_d)` (was `&self.h_tp1_d`).
* `select_action_atoms(..., &self.sampled_next_actions_d, ...)`
  (was `&self.next_actions_d`).
* `project_bellman_target(..., &self.sampled_rewards_d,
  &self.sampled_dones_d, ...)` (was `rewards_d` / `dones_d`).
* `backward_logits(..., &self.sampled_actions_d, ...,
  &mut self.td_per_sample_d, ...)` (added per-sample loss output).
* `backward_to_w_b_h(&self.sampled_h_t_d, ...)` (was `h_t_borrow`).
* Q grad_h_t accumulation REMOVED from Step 10 (stop-grad).

## Test: r7d_per_wiring.rs (gate G6)
Three invariants per `pearl_tests_must_prove_not_lock_observations`:
  1. `replay.len()` grows by exactly `b_size` per `step_with_lobsim`
     call (push semantics).
  2. `sample_indices(b_size, α)` returns vec of length `b_size` on a
     non-empty buffer.
  3. Buffer caps at `per_capacity` (ring-with-random-replacement).
Drives 15 steps with `per_capacity=8`, asserts growth 0→5→8 across
the cap boundary.

## Acceptable host traffic this commit adds
* Per-step DtoH of 4 × b_size scalars (action/reward/done/log_pi_old)
  for PER push metadata.
* Per-step DtoH of b_size floats (td_per_sample_d) for
  update_priorities.
* Per-step HtoD of 3 × b_size scalars (sampled action/reward/done)
  for sampled metadata gather.
* Per-step DtoD of 2 × b_size × HIDDEN_DIM floats (per-batch h_t /
  h_tp1 slices) for PER push + gather.
PER bookkeeping is a control-plane operation by design (host-side
priority/index management); the device-side training hot path
(encoder, Q/π/V forward/backward, Adam) stays GPU-pure. GPU sum-tree
+ device-resident transitions are a Phase R-future optimization
flagged in `replay.rs`'s doc.

## What's NOT in this commit
* Q `loss_per_batch [B]` is now wired through `backward_logits` but
  the DtoH happens inside step_with_lobsim (not inside
  step_synthetic). Earlier R7d sketches considered a separate
  `dqn_offpolicy_step` method; the in-step_synthetic redirect
  approach landed because it touches fewer lines + reuses the
  existing scratch buffer allocations + matches the trainer's
  established λ-weighted multi-head pattern. A future refactor
  could split for clarity.

Local sm_86 smoke gates: `cargo test -p ml-alpha --test
r7d_per_wiring -- --ignored --nocapture` (G6) +
`integrated_trainer_smoke` (end-to-end). Cluster smoke deferred to
R9.

Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
2026-05-23 12:59:42 +02:00
jgrusewski
0840fcfe64 feat(rl): R1 — ISV slot extension + 7-controller bootstrap (G1 gate)
Closes defect #1 from the flawed Phase F+G arc: ISV[400..406] were
left at alloc_zeros sentinel 0 in production, causing
bellman_target_projection (γ=0), ppo_clipped_surrogate (ε=0, entropy=0),
and the C51 backward to train against degenerate targets that the
MockLobEnv toy fixture (done=true every step, horizon=1) intrinsically
could not detect.

Three changes:

1. Port crates/ml-alpha/cuda/rl_reward_scale_controller.cu from the
   ml-alpha-phase-f-g-flawed reference branch (93 lines, unchanged).
   Add to build.rs KERNELS list; bump cache-bust to v25.

2. Extend src/rl/isv_slots.rs: add 7 new EMA-input slot constants
   (RL_MEAN_TRADE_DURATION_EMA_INDEX..RL_MEAN_ABS_PNL_EMA_INDEX),
   RL_SLOTS_END goes 417 -> 424. These are reserved for the EMA
   producer kernels Phase R3 lands; in R1 they stay at sentinel 0
   (asserted by the G1 test).

3. Wire all 7 RL adaptive controllers (γ / τ / ε / entropy_coef /
   n_rollout_steps / per_α / reward_scale) into IntegratedTrainer:
   - 7 cubin includes + 7 module/function fields
   - All 7 loaded in new() via the existing load_cubin pattern
   - New fn launch_isv_controller_3arg() centralises the shared
     (isv*, alpha, scalar_input) launch signature
   - New fn with_controllers_bootstrapped() consumes self and fires
     each controller once against the freshly-zeroed isv_d; each
     kernel's first-observation-bootstrap path (per
     pearl_first_observation_bootstrap) sees sentinel zero in its
     slot and writes its canonical *_BOOTSTRAP value:
       ISV[400] γ              = 0.99
       ISV[401] τ              = 0.005
       ISV[402] ε              = 0.2
       ISV[403] entropy_coef   = 0.01
       ISV[404] n_rollout_steps= 2048
       ISV[405] per_α          = 0.6
       ISV[406] reward_scale   = 1.0
   - new() ends with `.with_controllers_bootstrapped()?` so every
     trainer construction site picks this up automatically.

This replaces the flawed Phase F approach of host memcpy_htod-ing
canonical constants into ISV, which violated
feedback_no_htod_htoh_only_mapped_pinned (tests not exempt) AND
short-circuited the canonical pearl_first_observation_bootstrap
pattern every other adaptive controller in the codebase uses.

The launch_isv_controller_3arg helper is reused by Phase R5's
per-step controller launches with real EMA inputs sourced from
ISV[417..424] — at that point the Wiener-α blend kicks in and the
slots adapt away from the R1 bootstrap defaults.

Gate G1 (crates/ml-alpha/tests/isv_bootstrap.rs):
  - Construct IntegratedTrainer
  - memcpy_dtoh full ISV slice to host
  - Assert ISV[400..406] equal each kernel's #define *_BOOTSTRAP
  - Assert ISV[417..424] still at sentinel 0 (R3 wires producers)

Per feedback_no_cpu_test_fallbacks: the oracle is the kernel's own
*_BOOTSTRAP constant, not a CPU computation. Per
pearl_tests_must_prove_not_lock_observations: the test asserts an
invariant (bootstrap path wrote the canonical value defined by the
kernel), not a tuned magic number.

Build clean: cargo check + cargo build --test isv_bootstrap on
ml-alpha both green. CUDA-required, #[ignore]'d for non-GPU CI.

Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
2026-05-23 09:43:38 +02:00