[448] | 1 | #define BDMLIB // not an ideal way to prevent double registration of UI factories... |
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| 2 | #include "base/bdmbase.h" |
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| 3 | #include "base/user_info.h" |
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| 4 | #include "stat/exp_family.h" |
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| 5 | #include "stat/emix.h" |
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| 6 | #include "itpp_ext.h" |
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| 7 | #include "mpdf_harness.h" |
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| 8 | #include "mat_checks.h" |
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| 9 | #include "UnitTest++.h" |
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| 10 | |
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| 11 | using namespace bdm; |
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| 12 | |
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| 13 | const double epsilon = 0.00001; |
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| 14 | |
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| 15 | namespace UnitTest |
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| 16 | { |
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| 17 | |
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| 18 | inline void CheckClose(TestResults &results, const itpp::vec &expected, |
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| 19 | const itpp::vec &actual, double tolerance, |
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| 20 | TestDetails const& details) { |
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| 21 | if (!AreClose(expected, actual, tolerance)) { |
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| 22 | MemoryOutStream stream; |
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| 23 | stream << "Expected " << expected << " +/- " << tolerance << " but was " << actual; |
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| 24 | |
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| 25 | results.OnTestFailure(details, stream.GetText()); |
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| 26 | } |
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| 27 | } |
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| 28 | |
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| 29 | inline void CheckClose(TestResults &results, const itpp::mat &expected, |
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| 30 | const itpp::mat &actual, double tolerance, |
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| 31 | TestDetails const& details) { |
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| 32 | if (!AreClose(expected, actual, tolerance)) { |
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| 33 | MemoryOutStream stream; |
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| 34 | stream << "Expected " << expected << " +/- " << tolerance << " but was " << actual; |
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| 35 | |
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| 36 | results.OnTestFailure(details, stream.GetText()); |
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| 37 | } |
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| 38 | } |
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| 39 | |
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| 40 | } |
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| 41 | |
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| 42 | TEST(test_mepdf) { |
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| 43 | RV::clear_all(); |
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| 44 | UIFile in("mepdf.cfg"); |
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| 45 | Array<mpdf_harness *> input; |
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| 46 | UI::get(input, in, "data"); |
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| 47 | int sz = input.size(); |
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| 48 | CHECK(sz > 0); |
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| 49 | for (int i = 0; i < sz; ++i) { |
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| 50 | input(i)->test(); |
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| 51 | } |
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| 52 | } |
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| 53 | |
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| 54 | TEST(test_mepdf_sample) { |
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| 55 | // Setup model |
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| 56 | vec mu("1.1 -1"); |
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| 57 | ldmat R(mat("1 -0.5; -0.5 2")); |
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| 58 | |
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| 59 | RV x("{x }"); |
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| 60 | RV y("{y }"); |
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| 61 | |
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| 62 | enorm<ldmat> E; |
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| 63 | E.set_rv(concat(x, y)); |
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| 64 | E.set_parameters(mu, R); |
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| 65 | |
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| 66 | epdf *Mg = E.marginal(y); |
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| 67 | CHECK_CLOSE(vec("-1"), Mg->mean(), epsilon); |
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| 68 | |
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| 69 | // putting them back together |
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| 70 | mpdf *Cn = E.condition(x); |
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| 71 | mepdf mMg(Mg); |
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| 72 | Array<mpdf *> A(2); |
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| 73 | A(0) = Cn; |
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| 74 | A(1) = &mMg; |
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| 75 | mprod mEp(A); |
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| 76 | |
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| 77 | int n = 1000; |
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| 78 | mat smp = mEp.samplecond(vec(0), n); |
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| 79 | vec emu = sum(smp, 2) / n; |
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| 80 | CHECK_CLOSE(mu, emu, 0.3); |
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| 81 | |
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| 82 | mat er = (smp * smp.T()) / n - outer_product(emu, emu); |
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| 83 | CHECK_CLOSE(R.to_mat(), er, 0.3); |
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| 84 | |
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| 85 | // test of pdflog at zero |
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| 86 | vec zero(0); |
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| 87 | vec zero2("0 0"); |
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| 88 | CHECK_CLOSE(E.evallog(zero2), mEp.evallogcond(zero2, zero), epsilon); |
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| 89 | } |
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