root/library/tests/mpdf_test.cpp @ 524

#include "base/bdmbase.h"
#include "base/user_info.h"
#include "stat/emix.h"
#include "itpp_ext.h"
#include "mpdf_harness.h"
#include "mat_checks.h"
#include "UnitTest++.h"

using namespace bdm;

static void check_mean(mpdf &distrib_obj, const vec &mu0, int nsamples, const vec &mean, double tolerance);

static void check_covariance(mmix &distrib_obj, const vec &mu0, int nsamples, const mat &R, double tolerance);

TEST ( test_mepdf ) {
        mpdf_harness::test_config ( "mepdf.cfg" );
}

TEST ( test_mgamma ) {
        mpdf_harness::test_config ( "mgamma.cfg" );
}

TEST ( test_mlnorm ) {
        mpdf_harness::test_config ( "mlnorm.cfg" );
}

TEST ( test_mprod ) {
        mpdf_harness::test_config ( "mprod.cfg" );
}

// not using mpdf_harness because mmix isn't configurable (yet?)
TEST ( test_mmix ) {
        RV x ( "{mmixx }", "2" );
        RV y ( "{mmixy }", "2" );
        int N = 10000; //number of samples
        vec mu0 ( "1.5 1.7" );
        mat V0 ( "1.2 0.3; 0.3 5" );
        ldmat R = ldmat ( V0 );

        shared_ptr<enorm<ldmat> > eN = new enorm<ldmat>();
        eN->set_parameters ( mu0, R );

        shared_ptr<mgamma> mG = new mgamma();
        double k = 10.0;
        mG->set_parameters ( k, mu0 );

        mmix mMix;
        Array<shared_ptr<mpdf> > mComs ( 2 );

        // mmix::set_parameters requires the first mpdf to be named
        mG->set_rv(x);
        mG->set_rvc(y);
        mComs ( 0 ) = mG;

        eN->set_mu ( vec_2 ( 0.0, 0.0 ) );
        shared_ptr<mepdf> mEnorm = new mepdf ( eN );
        mComs ( 1 ) = mEnorm;

        mMix.set_parameters ( vec_2 ( 0.5, 0.5 ), mComs );

        double tolerance = 0.1;

        vec tmu = 0.5 * eN->mean() + 0.5 * mu0;
        check_mean ( mMix, mu0, N, tmu, tolerance );

        mat observedR ( "1.27572 0.778247; 0.778247 3.33129" );
        check_covariance( mMix, mu0, N, observedR, tolerance);
}

// not using mpdf_harness because emix isn't configurable (yet?)
TEST ( test_mepdf_emix ) {
        int N = 10000; //number of samples
        vec mu0 ( "1.5 1.7" );
        mat V0 ( "1.2 0.3; 0.3 5" );
        ldmat R = ldmat ( V0 );

        shared_ptr<enorm<ldmat> > eN = new enorm<ldmat>();
        eN->set_parameters ( mu0, R );

        vec a = "100000,10000";
        vec b = a / 10.0;
        shared_ptr<egamma> eG = new egamma();
        eG->set_parameters ( a, b );

        shared_ptr<emix> eMix = new emix();
        Array<shared_ptr<epdf> > Coms ( 2 );
        Coms ( 0 ) = eG;
        Coms ( 1 ) = eN;

        eMix->set_parameters ( vec_2 ( 0.5, 0.5 ), Coms );
        mepdf meMix ( eMix );
        check_mean ( meMix, mu0, N, eMix->mean(), 0.1 );
}

static void check_mean(mpdf &distrib_obj, const vec &mu0, int nsamples, const vec &mean, double tolerance) {
        int tc = 0;
        Array<vec> actual(CurrentContext::max_trial_count);
        do {
                mat smp = distrib_obj.samplecond_m ( mu0, nsamples );
                vec emu = smp * ones ( nsamples ) / nsamples ;
                actual( tc ) = emu;
                ++tc;
        } while ( ( tc < CurrentContext::max_trial_count ) &&
                  !UnitTest::AreClose ( mean, actual( tc - 1 ), tolerance ) );
        if ( ( tc == CurrentContext::max_trial_count ) &&
             ( !UnitTest::AreClose ( mean, actual( CurrentContext::max_trial_count - 1 ), tolerance ) ) ) {
                UnitTest::MemoryOutStream stream;
                UnitTest::TestDetails details(*UnitTest::CurrentTest::Details(), __LINE__);
                stream << "Expected " << mean << " +/- " << tolerance << " but was " << actual;

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

static void check_covariance(mmix &distrib_obj, const vec &mu0, int nsamples, const mat &R, double tolerance) {
        int tc = 0;
        Array<mat> actual(CurrentContext::max_trial_count);
        do {
                mat smp = distrib_obj.samplecond_m ( mu0, 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;
                UnitTest::TestDetails details(*UnitTest::CurrentTest::Details(), __LINE__);
                stream << "Expected " << R << " +/- " << tolerance << " but was " << actual;

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