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Added some tests for TruncatedNormal, mainly for the unbounded case Corrected mathematical and precision errors in TruncatedNormaltruncatednormal
BenHewins
11 years ago
4 changed files with 258 additions and 32 deletions
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// <copyright file="TruncatedNormalTests.cs" company="Math.NET">
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// Math.NET Numerics, part of the Math.NET Project
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// http://numerics.mathdotnet.com
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// http://github.com/mathnet/mathnet-numerics
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// http://mathnetnumerics.codeplex.com
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//
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// Copyright (c) 2009-2014 Math.NET
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//
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// Permission is hereby granted, free of charge, to any person
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// obtaining a copy of this software and associated documentation
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// files (the "Software"), to deal in the Software without
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// restriction, including without limitation the rights to use,
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// copy, modify, merge, publish, distribute, sublicense, and/or sell
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// copies of the Software, and to permit persons to whom the
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// Software is furnished to do so, subject to the following
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// conditions:
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//
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// The above copyright notice and this permission notice shall be
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// included in all copies or substantial portions of the Software.
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//
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// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
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// EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES
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// OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
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// NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT
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// HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY,
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// WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING
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// FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR
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// OTHER DEALINGS IN THE SOFTWARE.
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// </copyright>
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using MathNet.Numerics.Distributions; |
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using NUnit.Framework; |
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using System; |
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using System.Collections.Generic; |
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using System.Linq; |
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using System.Threading.Tasks; |
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namespace MathNet.Numerics.UnitTests.DistributionTests.Continuous |
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{ |
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[TestFixture, Category("Distributions")] |
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public class TruncatedNormalTests |
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{ |
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/// <summary>
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/// Can create a truncated normal without bounds.
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/// </summary>
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[TestCase(0.0, 0.0)] |
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[TestCase(10.0, 0.1)] |
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[TestCase(-5.0, 1.0)] |
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[TestCase(0.0, 10.0)] |
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[TestCase(10.0, 100.0)] |
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[TestCase(-5.0, Double.PositiveInfinity)] |
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public void CanCreateWithoutBounds(double mean, double stdDev) |
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{ |
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var truncatedNormal = new TruncatedNormal(mean, stdDev); |
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Assert.IsTrue(double.IsNegativeInfinity(truncatedNormal.Minimum)); |
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Assert.IsTrue(double.IsPositiveInfinity(truncatedNormal.Maximum)); |
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Assert.AreEqual(mean, truncatedNormal.Mean); |
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Assert.AreEqual(stdDev, truncatedNormal.StdDev); |
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} |
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/// <summary>
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/// Constructor fails with negative stdDev or incorrectly ordered bounds.
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/// </summary>
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/// <param name="mean"></param>
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/// <param name="stdDev"></param>
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/// <param name="lower"></param>
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/// <param name="upper"></param>
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[TestCase(0.0, -1.0,-10d, 10d)] |
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[TestCase(0.0, 1.0, 10d, 9d)] |
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public void TruncatedNormalCreateFailsWithBadParameters(double mean, double stdDev, double lower, double upper) |
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{ |
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Assert.That(() => new TruncatedNormal(mean, stdDev, lower, upper), Throws.ArgumentException); |
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} |
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[TestCase(0.0, 1.0, double.NegativeInfinity, double.PositiveInfinity)] |
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[TestCase(0.0, 1.0, -5.0, 5.0)] |
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[TestCase(-6.0, 1.0, -5.0, 5.0)] |
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[TestCase(8.0, 1.0, -5.0, 5.0)] |
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[TestCase(15, 20.0, -20.0, 0.0)] |
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public void ValidateMode(double mean, double stdDev, double lower, double upper) |
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{ |
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double mode; |
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if(mean < lower) { |
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mode = lower; |
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} else if(mean <= upper) { |
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mode = mean; |
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} else { |
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mode = upper; |
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} |
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var truncatedNormal = new TruncatedNormal(mean, stdDev, lower, upper); |
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Assert.AreEqual(mode, truncatedNormal.Mode); |
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} |
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/// <summary>
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/// Validate cumulative distribution. Uses the same test cases as for the normal distribution
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/// as they should be equivalent.
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/// </summary>
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/// <param name="x">Input X value.</param>
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/// <param name="p">Expected value.</param>
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[TestCase(Double.NegativeInfinity, 0.0)] |
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[TestCase(-5.0, 0.00000028665157187919391167375233287464535385442301361187883)] |
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[TestCase(-2.0, 0.0002326290790355250363499258867279847735487493358890356)] |
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[TestCase(-0.0, 0.0062096653257761351669781045741922211278977469230927036)] |
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[TestCase(0.0, .0062096653257761351669781045741922211278977469230927036)] |
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[TestCase(4.0, .30853753872598689636229538939166226011639782444542207)] |
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[TestCase(5.0, .5)] |
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[TestCase(6.0, .69146246127401310363770461060833773988360217555457859)] |
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[TestCase(10.0, 0.9937903346742238648330218954258077788721022530769078)] |
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[TestCase(Double.PositiveInfinity, 1.0)] |
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public void ValidateCumulativeNoBounds(double x, double p) { |
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var truncatedNormal = new TruncatedNormal(5.0, 2.0); |
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AssertHelpers.AlmostEqualRelative(p, truncatedNormal.CumulativeDistribution(x), 14); |
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} |
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/// <summary>
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/// Validate inverse cumulative distribution. Uses the same test cases as for the normal distribution
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/// as they should be equivalent.
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/// </summary>
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/// <param name="x">Expected value</param>
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/// <param name="p">Input quantile</param>
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[TestCase(Double.NegativeInfinity, 0.0)] |
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[TestCase(-5.0, 0.00000028665157187919391167375233287464535385442301361187883)] |
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[TestCase(-2.0, 0.0002326290790355250363499258867279847735487493358890356)] |
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[TestCase(-0.0, 0.0062096653257761351669781045741922211278977469230927036)] |
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[TestCase(0.0, 0.0062096653257761351669781045741922211278977469230927036)] |
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[TestCase(4.0, .30853753872598689636229538939166226011639782444542207)] |
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[TestCase(5.0, .5)] |
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[TestCase(6.0, .69146246127401310363770461060833773988360217555457859)] |
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[TestCase(10.0, 0.9937903346742238648330218954258077788721022530769078)] |
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[TestCase(Double.PositiveInfinity, 1.0)] |
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public void ValidateInverseCumulativeNoBounds(double x, double p) |
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{ |
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var truncatedNormal = new TruncatedNormal(5.0, 2.0); |
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AssertHelpers.AlmostEqualRelative(x, truncatedNormal.InverseCumulativeDistribution(p), 14); |
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} |
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/// <summary>
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/// Validate density when no bounds are specified. Uses same
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/// test cases as the Normal distribution as should be equivalent in this case.
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/// </summary>
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/// <param name="mean">Mean value.</param>
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/// <param name="sdev">Standard deviation value.</param>
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[TestCase(10.0, 0.1)] |
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[TestCase(-5.0, 1.0)] |
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[TestCase(0.0, 10.0)] |
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[TestCase(10.0, 100.0)] |
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[TestCase(-5.0, Double.PositiveInfinity)] |
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public void ValidateDensityNoBounds(double mean, double sdev) { |
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var n = new TruncatedNormal(mean, sdev); |
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for (var i = 0; i < 11; i++) { |
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var x = i - 5.0; |
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var d = (mean - x) / sdev; |
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var pdf = Math.Exp(-0.5 * d * d) / (sdev * Constants.Sqrt2Pi); |
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AssertHelpers.AlmostEqualRelative(pdf, n.Density(x), 14); |
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} |
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} |
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/// <summary>
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/// Validate density log when no bounds are specified. Uses same
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/// test cases as the Normal distribution as should be equivalent in this case.
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/// </summary>
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/// <param name="mean">Mean value.</param>
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/// <param name="sdev">Standard deviation value.</param>
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[TestCase(10.0, 0.1)] |
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[TestCase(-5.0, 1.0)] |
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[TestCase(0.0, 10.0)] |
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[TestCase(10.0, 100.0)] |
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[TestCase(-5.0, Double.PositiveInfinity)] |
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public void ValidateDensityLnNoBounds(double mean, double sdev) { |
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var n = new TruncatedNormal(mean, sdev); |
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for (var i = 0; i < 11; i++) { |
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var x = i - 5.0; |
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var d = (mean - x) / sdev; |
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var pdfln = (-0.5 * (d * d)) - Math.Log(sdev) - Constants.LogSqrt2Pi; |
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AssertHelpers.AlmostEqualRelative(pdfln, n.DensityLn(x), 14); |
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} |
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} |
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[Test] |
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public void CanSample() |
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{ |
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var truncatedNormal = new TruncatedNormal(5.0, 2.0, -10, 10.0); |
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truncatedNormal.Sample(); |
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} |
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/// <summary>
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/// Can sample sequence.
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/// </summary>
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[Test] |
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public void CanSampleSequence() { |
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var truncatedNormal = new TruncatedNormal(5.0, 2.0, -10, 10.0); |
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var ied = truncatedNormal.Samples(); |
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GC.KeepAlive(ied.Take(5).ToArray()); |
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} |
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} |
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} |
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