running_mean_std.py

import numpy as np

class RunningMeanStd(object):
    def __init__(self, active=True, epsilon=1e-4, shape=()):
        """
        calulates the running mean and std of a data stream
        https://en.wikipedia.org/wiki/Algorithms_for_calculating_variance#Parallel_algorithm
        :param epsilon: (float) helps with arithmetic issues
        :param shape: (tuple) the shape of the data stream's output
        """
        self.mean = np.zeros(shape, 'float64')
        self.var = np.ones(shape, 'float64')
        self.count = epsilon
        self.active

    def update(self, arr):
        batch_mean = np.mean(arr, axis=0)
        batch_var = np.var(arr, axis=0)
        batch_count = arr.shape[0]
        self.update_from_moments(batch_mean, batch_var, batch_count)

    def normalize(self, arr):
        if self.active:
            return (arr - self.mean) / np.sqrt(self.var)
        return arr

    def denormalize(self, arr):
        if self.active:
            return (arr * np.sqrt(self.var)) + self.mean
        return arr

    def update_from_moments(self, batch_mean, batch_var, batch_count):
        delta = batch_mean - self.mean
        tot_count = self.count + batch_count

        new_mean = self.mean + delta * batch_count / tot_count
        m_a = self.var * self.count
        m_b = batch_var * batch_count
        m_2 = m_a + m_b + np.square(delta) * self.count * batch_count / (self.count + batch_count)
        new_var = m_2 / (self.count + batch_count)

        new_count = batch_count + self.count

        self.mean = new_mean
        self.var = new_var
        self.count = new_count