root/library/tests/emix_test.cpp @ 504

#include "shared_ptr.h"
#include "stat/exp_family.h"
#include "stat/emix.h"
#include "mat_checks.h"
#include "UnitTest++.h"
#include "test_util.h"

const double epsilon = 0.00001;

using namespace bdm;

TEST ( test_emix_old ) {
        RV x ( "{x }" );
        RV y ( "{y }" );
        RV xy = concat ( x, y );

        shared_ptr<enorm<ldmat> > E1 = new enorm<ldmat>();
        E1->set_rv ( xy );
        E1->set_parameters ( "1.00054 1.0455" , mat ( "0.740142 -0.259015; -0.259015 1.0302" ) );

        shared_ptr<enorm<ldmat> > E2 = new enorm<ldmat>();
        E2->set_rv ( xy );
        E2->set_parameters ( "-1.2 -0.1" , mat ( "1 0.4; 0.4 0.5" ) );

        Array<shared_ptr<epdf> > A1 ( 1 );
        A1 ( 0 ) = E1;

        emix M1;
        M1.set_rv ( xy );
        M1.set_parameters ( vec ( "1" ), A1 );

        // test if ARX and emix with one ARX are the same
        shared_ptr<epdf> Mm = M1.marginal ( y );
        shared_ptr<epdf> Am = E1->marginal ( y );
        shared_ptr<mpdf> Mc = M1.condition ( y );
        shared_ptr<mpdf> Ac = E1->condition ( y );

        mlnorm<ldmat> *wacnd = dynamic_cast<mlnorm<ldmat> *>( Ac.get() );
        CHECK(wacnd);
        if ( wacnd ) {
                CHECK_CLOSE ( mat ( "-0.349953" ), wacnd->_A(), epsilon );
                CHECK_CLOSE ( vec ( "1.39564" ), wacnd->_mu_const(), epsilon );
                CHECK_CLOSE ( mat ( "0.939557" ), wacnd->_R(), epsilon );
        }

        double same = -1.46433;
        CHECK_CLOSE ( same, Mm->evallog ( vec_1 ( 0.0 ) ), epsilon );
        CHECK_CLOSE ( same, Am->evallog ( vec_1 ( 0.0 ) ), epsilon );
        CHECK_CLOSE ( 0.145974, Mc->evallogcond ( vec_1 ( 0.0 ), vec_1 ( 0.0 ) ), epsilon );
        CHECK_CLOSE ( -1.92433, Ac->evallogcond ( vec_1 ( 0.0 ), vec_1 ( 0.0 ) ), epsilon );

        // mixture with two components
        Array<shared_ptr<epdf> > A2 ( 2 );
        A2 ( 0 ) = E1;
        A2 ( 1 ) = E2;

        emix M2;
        M2.set_rv ( xy );
        M2.set_parameters ( vec ( "1" ), A2 );


        // mixture normalization
        CHECK_CLOSE ( 1.0, normcoef ( &M2, vec ( "-3 3 " ), vec ( "-3 3 " ) ), 0.1 );

        int N = 3;
        vec ll2 ( N );
        mat Smp = M2.sample_m ( N );
        vec ll = M2.evallog_m ( Smp );

        vec Emu = sum ( Smp, 2 ) / N;
        CHECK_CLOSE ( vec ( "1.00054 1.0455" ), Emu, 1.0 );

        mat Er = ( Smp * Smp.transpose() ) / N - outer_product ( Emu, Emu );
        CHECK_CLOSE ( mat ( "0.740142 -0.259015; -0.259015 1.0302" ), Er, 2.0 );

        shared_ptr<epdf> Mg = M2.marginal ( y );
        CHECK ( Mg.get() );
        shared_ptr<mpdf> Cn = M2.condition ( x );
        CHECK ( Cn.get() );

        // marginal mean
        CHECK_CLOSE ( vec ( "1.0" ), Mg->mean(), 0.1 );
}