root/library/tests/emix_test.cpp @ 500

#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;

//These lines are needed for use of cout and endl
using std::cout;
using std::endl;

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

        enorm<ldmat> E1;
        E1.set_rv ( xy );

        E1.set_parameters ( "1.00054 1.0455" , mat ( "0.740142 -0.259015; -0.259015 1.0302" ) );
        enorm<ldmat> E2;
        E2.set_rv ( xy );
        E2.set_parameters ( "-1.2 -0.1" , mat ( "1 0.4; 0.4 0.5" ) );

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

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

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

        mlnorm<ldmat> *wacnd = dynamic_cast<mlnorm<ldmat> *>(Ac);
        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<epdf*> A2 ( 2 );
        A2 ( 0 ) = &E1;
        A2 ( 1 ) = &E2;

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


        // 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 );

        epdf *nm2mrg = M2.marginal ( y );
        CHECK ( nm2mrg );
        shared_ptr<epdf> Mg ( nm2mrg );
        mpdf *Cn = M2.condition ( x );
        CHECK ( Cn );

#if false
        it_file it ( "emix_test.it" );
        it << Name ( "Smp" ) << Smp;
#endif

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

#if false
        // putting them back together
        mepdf mMg ( Mg );
        Array<mpdf*> AA ( 2 );
        AA ( 0 ) = Cn;
        AA ( 1 ) = &mMg;
        mprod mEp ( AA );

        for ( int j = 0; j < N; j++ ) {
                ll2 ( j ) = mEp.evallogcond ( Smp.get_col ( j ), vec ( 0 ) );
        }
        it << Name ( "ll" ) << ll;
        it << Name ( "ll2" ) << ll2;
#endif
}