root/library/tests/epdf_harness.cpp @ 737

#include "epdf_harness.h"
#include "base/bdmbase.h"
#include "base/user_info.h"
#include "stat/exp_family.h"
#include "mat_checks.h"
#include "test_util.h"
#include "UnitTest++.h"
#include <memory>

namespace bdm {

void epdf_harness::test_config ( const char *config_file_name ) {
        RV::clear_all();

        UIFile in ( config_file_name );
        Array<shared_ptr<epdf_harness> > input;
        UI::get ( input, in, "data", UI::compulsory );
        int sz = input.size();
        CHECK ( sz > 0 );
        for ( int i = 0; i < sz; ++i ) {
                input ( i )->test ( config_file_name, i );
        }
}

void epdf_harness::from_setting ( const Setting &set ) {
        hepdf = UI::build<epdf> ( set, "epdf", UI::compulsory );
        UI::get ( mean, set, "mean", UI::compulsory );
        UI::get ( variance, set, "variance", UI::compulsory );

        support = UI::build<rectangular_support> ( set, "support", UI::optional );
        UI::get ( nsamples, set, "nsamples", UI::optional );
        UI::get ( R, set, "R", UI::optional );

        mrv = UI::build<RV> ( set, "marginal_rv", UI::optional );

        UI::get ( tolerance, set, "tolerance", UI::optional );
}

void epdf_harness::test ( const char *config_name, int idx ) {
        CurrentContext cc ( config_name, idx );

        CHECK_CLOSE_EX ( mean, hepdf->mean(), tolerance );
        CHECK_CLOSE_EX ( variance, hepdf->variance(), tolerance );

        if ( support ) { // support is given
                grid_fnc ep_disc;
                ep_disc.set_support ( *support );
                ep_disc.set_values ( *hepdf );
                // ep_disc is discretized at support points

                double point_volume = prod ( support->_steps() );
                CHECK_CLOSE ( 1.0, sum ( ep_disc._values() ) *point_volume, 0.01 );

                vec pdf = ep_disc._values();
                pdf /= sum ( pdf ); // normalize

                vec mea = pdf ( 0 ) * support->first_vec();
                mat Remp = pdf ( 0 ) * outer_product ( support->act_vec(), support->act_vec() );

                // run through all points
                for ( int i = 1; i < support->points(); i++ ) {
                        mea += pdf ( i ) * support->next_vec();
                        Remp += pdf ( i ) * outer_product ( support->act_vec(), support->act_vec() );
                }
                CHECK_CLOSE ( mean, mea, tolerance );
                CHECK_CLOSE ( R, Remp - outer_product ( mea, mea ), tolerance );
        }

        if ( variance.length() > 0 ) {
                check_sample_mean();
        }
        if ( R.rows() > 0 ) {
                check_covariance();
        }

        if ( mrv ) {
                RV crv = hepdf->_rv().subt ( *mrv );
                epdf_ptr m = hepdf->marginal ( *mrv );
                pdf_ptr c = hepdf->condition ( crv );

                pdf_array aa ( 2 );
                aa ( 0 ) = c;
                aa ( 1 ) = m;
                mprod mEp ( aa );

                check_cond_mean ( mEp );
                if ( R.rows() > 0 ) {
                        check_cond_covariance ( mEp );
                }

                // test of pdflog at zero
                vec zero ( 0 );
                vec zeron = zeros ( hepdf->dimension() );

                double lpz = hepdf->evallog ( zeron );
                double lpzc = mEp.evallogcond ( zeron, zero );
                CHECK_CLOSE_EX ( lpz, lpzc, tolerance );

                vec lpzv ( 1 );
                lpzv ( 0 ) = lpz;

                mat zero1n ( hepdf->dimension(), 1 );
                for ( int i = 0; i < zero1n.rows(); ++i ) {
                        zero1n ( i, 0 ) = 0;
                }

                vec lpzv_act = hepdf->evallog_mat ( zero1n );
                CHECK_CLOSE_EX ( lpzv, lpzv_act, tolerance );

                Array<vec> zeroa ( 3 );
                lpzv = vec ( zeroa.size() );
                for ( int i = 0; i < zeroa.size(); ++i ) {
                        zeroa ( i ) = zeron;
                        lpzv ( i ) = lpz;
                }

                lpzv_act = hepdf->evallog_mat ( zeroa );
                CHECK_CLOSE_EX ( lpzv, lpzv_act, tolerance );
        }
}


void epdf_harness::check_sample_mean() {
        vec delta = make_close_tolerance ( variance, nsamples );

        int tc = 0;
        Array<vec> actual ( CurrentContext::max_trial_count );
        do {
                mat smp = hepdf->sample_mat ( nsamples );
                vec emu = smp * ones ( nsamples ) / nsamples;
                actual ( tc ) = emu;
                ++tc;
        } while ( ( tc < CurrentContext::max_trial_count ) &&
                  !UnitTest::AreClose ( mean, actual ( tc - 1 ), delta ) );

        if ( ( tc == CurrentContext::max_trial_count ) &&
                ( !UnitTest::AreClose ( mean, actual ( CurrentContext::max_trial_count - 1 ), delta ) ) ) {
                UnitTest::MemoryOutStream stream;
                stream << CurrentContext::format_context ( __LINE__ ) << "expected " << mean << " +/- " << delta << " but was " << actual;

                UnitTest::TestDetails details ( *UnitTest::CurrentTest::Details(), 0, false );

                UnitTest::CurrentTest::Results()->OnTestFailure ( details, stream.GetText() );
        }
}

void epdf_harness::check_covariance() {
        int tc = 0;
        Array<mat> actual ( CurrentContext::max_trial_count );
        do {
                mat smp = hepdf->sample_mat ( nsamples );
                vec emu = smp * ones ( nsamples ) / nsamples;
                mat er = ( smp * smp.T() ) / nsamples - outer_product ( emu, emu );
                actual ( tc ) = er;
                ++tc;
        } while ( ( tc < CurrentContext::max_trial_count ) &&
                  !UnitTest::AreClose ( R, actual ( tc - 1 ), tolerance ) );

        if ( ( tc == CurrentContext::max_trial_count ) &&
                ( !UnitTest::AreClose ( R, actual ( CurrentContext::max_trial_count - 1 ), tolerance ) ) ) {
                UnitTest::MemoryOutStream stream;
                stream << CurrentContext::format_context ( __LINE__ ) << "expected " << R << " +/- " << tolerance << " but was " << actual;

                UnitTest::TestDetails details ( *UnitTest::CurrentTest::Details(), 0, false );

                UnitTest::CurrentTest::Results()->OnTestFailure ( details, stream.GetText() );
        }
}

void epdf_harness::check_cond_mean ( mprod &mep ) {
        vec delta = make_close_tolerance ( variance, nsamples );

        int tc = 0;
        Array<vec> actual ( CurrentContext::max_trial_count );
        do {
                mat smp = mep.samplecond_mat ( vec ( 0 ), nsamples );
                vec emu = sum ( smp, 2 ) / nsamples;
                actual ( tc ) = emu;
                ++tc;
        } while ( ( tc < CurrentContext::max_trial_count ) &&
                  !UnitTest::AreClose ( mean, actual ( tc - 1 ), delta ) );
        if ( ( tc == CurrentContext::max_trial_count ) &&
                ( !UnitTest::AreClose ( mean, actual ( CurrentContext::max_trial_count - 1 ), delta ) ) ) {
                UnitTest::MemoryOutStream stream;
                stream << CurrentContext::format_context ( __LINE__ ) << "expected " << mean << " +/- " << delta << " but was " << actual;

                UnitTest::TestDetails details ( *UnitTest::CurrentTest::Details(), 0, false );

                UnitTest::CurrentTest::Results()->OnTestFailure ( details, stream.GetText() );
        }
}

void epdf_harness::check_cond_covariance ( mprod &mep ) {
        int tc = 0;
        Array<mat> actual ( CurrentContext::max_trial_count );
        do {
                mat smp = mep.samplecond_mat ( vec ( 0 ), nsamples );
                vec emu = sum ( smp, 2 ) / nsamples;
                mat er = ( smp * smp.T() ) / nsamples - outer_product ( emu, emu );
                actual ( tc ) = er;
                ++tc;
        } while ( ( tc < CurrentContext::max_trial_count ) &&
                  !UnitTest::AreClose ( R, actual ( tc - 1 ), tolerance ) );
        if ( ( tc == CurrentContext::max_trial_count ) &&
                ( !UnitTest::AreClose ( R, actual ( CurrentContext::max_trial_count - 1 ), tolerance ) ) ) {
                UnitTest::MemoryOutStream stream;
                stream << CurrentContext::format_context ( __LINE__ ) << "expected " << mean << " +/- " << tolerance << " but was " << actual;

                UnitTest::TestDetails details ( *UnitTest::CurrentTest::Details(), 0, false );

                UnitTest::CurrentTest::Results()->OnTestFailure ( details, stream.GetText() );
        }
}

}