CRITICAL FINDINGS from 3-trial validation: - 85,120 gradient clipping warnings (81.6% of logs) - REGRESSION - Rainbow features DISABLED: use_dueling=false, use_distributional=false, use_noisy_nets=false - Negative Q-values confirmed: HOLD -1000 to -3250 - Performance: Sharpe 0.29 (target 0.77) Changes: - Fixed N-Step compilation (7/7 tests passing) - Fixed Distributional compilation (6/6 tests passing) - Fixed Dueling CUDA errors (10/10 tests passing) - Added TDD validation for state_dim=225 - Total: 23/23 Wave 11 tests passing (100%) Issues requiring investigation: 1. Why are Dueling/Distributional/Noisy disabled in hyperopt? 2. Why gradient explosion despite previous fixes? 3. Test coverage gaps - unit tests pass but integration fails 🤖 Generated with Claude Code Co-Authored-By: Claude <noreply@anthropic.com>
332 lines
10 KiB
Plaintext
332 lines
10 KiB
Plaintext
//! Unit tests for softmax sampling boundary bias fix (Wave 2 Agent 2E)
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//!
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//! Tests verify:
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//! 1. Uniform distribution sampling (equal probabilities)
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//! 2. Boundary cases (prob=0.0, prob=1.0)
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//! 3. Statistical distribution over 10,000 samples
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//! 4. No action index bias (chi-square test)
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use ml::dqn::{WorkingDQN, WorkingDQNConfig};
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/// Test that uniform probabilities produce uniform action distribution
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#[test]
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fn test_uniform_probability_sampling() -> anyhow::Result<()> {
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let mut config = WorkingDQNConfig::emergency_safe_defaults();
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config.state_dim = 52;
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config.epsilon_start = 0.0; // Disable epsilon-greedy for pure softmax testing
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config.epsilon_end = 0.0;
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config.temperature_start = 1.0; // Balanced temperature
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let mut dqn = WorkingDQN::new(config)?;
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// Create state that produces uniform Q-values (should lead to uniform probabilities)
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let state = vec![0.0; 52];
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// Sample 10,000 actions
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let mut action_counts = [0, 0, 0];
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for _ in 0..10000 {
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let action = dqn.select_action(&state)?;
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action_counts[action as usize] += 1;
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}
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// Expected: ~3333 per action (uniform distribution)
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let expected = 10000.0 / 3.0;
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// Verify each action is within 5% of expected (chi-square tolerance)
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for (i, &count) in action_counts.iter().enumerate() {
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let ratio = count as f64 / expected;
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assert!(
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ratio >= 0.90 && ratio <= 1.10,
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"Action {} count ({}) deviates >10% from expected ({:.0}), ratio={:.3}",
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i,
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count,
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expected,
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ratio
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);
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}
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// Calculate chi-square statistic
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let chi_square: f64 = action_counts
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.iter()
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.map(|&count| {
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let diff = count as f64 - expected;
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(diff * diff) / expected
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})
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.sum();
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// Chi-square critical value at 95% confidence, 2 degrees of freedom: 5.991
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assert!(
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chi_square < 5.991,
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"Chi-square test failed: {:.3} > 5.991 (not uniform distribution)",
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chi_square
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);
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println!(
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"✓ Uniform sampling test passed: BUY={}, SELL={}, HOLD={}, χ²={:.3}",
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action_counts[0], action_counts[1], action_counts[2], chi_square
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);
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Ok(())
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}
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/// Test boundary case: probability = 0.0 (action should never be selected)
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#[test]
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fn test_zero_probability_boundary() -> anyhow::Result<()> {
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let mut config = WorkingDQNConfig::emergency_safe_defaults();
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config.state_dim = 52;
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config.epsilon_start = 0.0; // Disable epsilon-greedy
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config.epsilon_end = 0.0;
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config.temperature_start = 0.1; // Low temperature for peaked distribution
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let mut dqn = WorkingDQN::new(config)?;
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// Create state that strongly favors HOLD (index 2)
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// With low temperature, this should make BUY/SELL probabilities very small
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let mut state = vec![0.0; 52];
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state[0] = -10.0; // Strong negative signal for BUY
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state[1] = -10.0; // Strong negative signal for SELL
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// Sample 1,000 actions
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let mut action_counts = [0, 0, 0];
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for _ in 0..1000 {
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let action = dqn.select_action(&state)?;
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action_counts[action as usize] += 1;
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}
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// HOLD should dominate (>95% of samples)
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let hold_ratio = action_counts[2] as f64 / 1000.0;
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assert!(
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hold_ratio > 0.95,
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"Expected HOLD to dominate with low temperature, got ratio={:.3}",
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hold_ratio
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);
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println!(
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"✓ Zero probability boundary test passed: BUY={}, SELL={}, HOLD={} ({:.1}%)",
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action_counts[0],
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action_counts[1],
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action_counts[2],
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hold_ratio * 100.0
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);
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Ok(())
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}
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/// Test boundary case: probability = 1.0 (action should always be selected)
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#[test]
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fn test_one_probability_boundary() -> anyhow::Result<()> {
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let mut config = WorkingDQNConfig::emergency_safe_defaults();
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config.state_dim = 52;
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config.epsilon_start = 0.0; // Disable epsilon-greedy
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config.epsilon_end = 0.0;
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config.temperature_start = 0.01; // Very low temperature for extremely peaked distribution
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let mut dqn = WorkingDQN::new(config)?;
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// Create state that strongly favors BUY (index 0)
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let mut state = vec![0.0; 52];
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state[0] = 100.0; // Extremely strong signal for BUY
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state[1] = -100.0; // Strong negative signal for SELL
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state[2] = -100.0; // Strong negative signal for HOLD
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// Sample 1,000 actions
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let mut action_counts = [0, 0, 0];
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for _ in 0..1000 {
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let action = dqn.select_action(&state)?;
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action_counts[action as usize] += 1;
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}
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// BUY should dominate (>99% of samples with very low temperature)
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let buy_ratio = action_counts[0] as f64 / 1000.0;
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assert!(
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buy_ratio > 0.99,
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"Expected BUY to dominate with very low temperature, got ratio={:.3}",
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buy_ratio
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);
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println!(
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"✓ One probability boundary test passed: BUY={} ({:.1}%), SELL={}, HOLD={}",
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action_counts[0],
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buy_ratio * 100.0,
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action_counts[1],
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action_counts[2]
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);
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Ok(())
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}
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/// Test that sampling doesn't favor lower-index actions (no bias)
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#[test]
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fn test_no_action_index_bias() -> anyhow::Result<()> {
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let mut config = WorkingDQNConfig::emergency_safe_defaults();
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config.state_dim = 52;
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config.epsilon_start = 0.0; // Disable epsilon-greedy
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config.epsilon_end = 0.0;
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config.temperature_start = 1.0; // Balanced temperature
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let mut dqn = WorkingDQN::new(config)?;
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// Test multiple states to ensure no systematic bias
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let test_cases = vec![
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("uniform", vec![0.0; 52]),
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("slightly positive", vec![0.5; 52]),
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("slightly negative", vec![-0.5; 52]),
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];
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for (name, state) in test_cases {
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let mut action_counts = [0, 0, 0];
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// Sample 10,000 actions
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for _ in 0..10000 {
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let action = dqn.select_action(&state)?;
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action_counts[action as usize] += 1;
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}
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// Check for lower-index bias (BUY should not be significantly higher than others)
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let expected = 10000.0 / 3.0;
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let buy_ratio = action_counts[0] as f64 / expected;
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let sell_ratio = action_counts[1] as f64 / expected;
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let hold_ratio = action_counts[2] as f64 / expected;
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// None should deviate more than 10% from expected
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assert!(
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buy_ratio >= 0.90 && buy_ratio <= 1.10,
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"Test '{}': BUY ratio {:.3} deviates >10% from expected",
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name,
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buy_ratio
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);
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assert!(
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sell_ratio >= 0.90 && sell_ratio <= 1.10,
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"Test '{}': SELL ratio {:.3} deviates >10% from expected",
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name,
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sell_ratio
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);
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assert!(
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hold_ratio >= 0.90 && hold_ratio <= 1.10,
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"Test '{}': HOLD ratio {:.3} deviates >10% from expected",
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name,
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hold_ratio
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);
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println!(
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"✓ No bias test passed for '{}': BUY={} ({:.3}), SELL={} ({:.3}), HOLD={} ({:.3})",
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name,
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action_counts[0],
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buy_ratio,
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action_counts[1],
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sell_ratio,
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action_counts[2],
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hold_ratio
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);
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}
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Ok(())
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}
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/// Test edge case: sample exactly equals cumulative probability
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#[test]
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fn test_sample_equals_cumulative_edge_case() -> anyhow::Result<()> {
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// This test verifies the fix for the boundary condition bug
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// When sample == cumulative, the action should be selected
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// But with `<=` instead of `<`, it creates a bias towards lower indices
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let mut config = WorkingDQNConfig::emergency_safe_defaults();
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config.state_dim = 52;
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config.epsilon_start = 0.0;
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config.epsilon_end = 0.0;
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config.temperature_start = 1.0;
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let mut dqn = WorkingDQN::new(config)?;
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// Use uniform state to get equal probabilities
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let state = vec![0.0; 52];
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// Run large sample to catch edge cases
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let mut action_counts = [0, 0, 0];
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for _ in 0..100000 {
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let action = dqn.select_action(&state)?;
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action_counts[action as usize] += 1;
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}
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// With 100K samples, we should see very tight distribution
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let expected = 100000.0 / 3.0;
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// All actions should be within 2% of expected (stricter tolerance with more samples)
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for (i, &count) in action_counts.iter().enumerate() {
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let ratio = count as f64 / expected;
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assert!(
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ratio >= 0.98 && ratio <= 1.02,
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"Action {} count ({}) deviates >2% from expected ({:.0}), ratio={:.3}",
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i,
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count,
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expected,
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ratio
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);
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}
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// Chi-square test with large sample
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let chi_square: f64 = action_counts
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.iter()
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.map(|&count| {
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let diff = count as f64 - expected;
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(diff * diff) / expected
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})
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.sum();
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assert!(
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chi_square < 5.991,
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"Chi-square test failed with 100K samples: {:.3} > 5.991",
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chi_square
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);
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println!(
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"✓ Edge case test passed (100K samples): BUY={}, SELL={}, HOLD={}, χ²={:.3}",
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action_counts[0], action_counts[1], action_counts[2], chi_square
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);
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Ok(())
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}
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/// Test cumulative probability normalization (should sum to exactly 1.0)
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#[test]
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fn test_probability_normalization() -> anyhow::Result<()> {
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// This test verifies that softmax probabilities sum to 1.0
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// Important for the cumulative sampling to work correctly
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use candle_core::{Device, Tensor};
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use candle_nn;
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let device = Device::Cpu;
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// Test multiple Q-value scenarios
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let test_cases = vec![
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("uniform", vec![0.5, 0.5, 0.5]),
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("peaked", vec![1.0, 0.0, 0.0]),
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("mixed", vec![0.7, 0.2, 0.1]),
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];
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for (name, q_values) in test_cases {
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let q_tensor = Tensor::from_vec(q_values, (1, 3), &device)?;
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// Apply softmax (this is what DQN does internally)
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let probs = candle_nn::ops::softmax(&q_tensor, 1)?;
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let probs_vec = probs.flatten_all()?.to_vec1::<f32>()?;
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// Sum should be exactly 1.0 (within floating point tolerance)
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let sum: f32 = probs_vec.iter().sum();
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assert!(
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(sum - 1.0).abs() < 1e-6,
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"Test '{}': Probabilities don't sum to 1.0: sum={:.10}",
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name,
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sum
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);
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println!(
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"✓ Normalization test passed for '{}': probs={:?}, sum={:.10}",
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name, probs_vec, sum
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);
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}
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Ok(())
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}
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