def test_three_variances(self):
model, options, parameters, data = gf.setup_mcmc()
CP = CovarianceProcedures()
CP._qcov = np.atleast_2d([0.2, 0.3, 0.4])
CP._CovarianceProcedures__setup_R_based_on_variances(parind=[0, 1, 2])
self.assertTrue(np.array_equal(CP._R,
np.diagflat(np.sqrt([0.2, 0.3, 0.4]))),
msg=str('Expect sqrt of variances: {}'.format(CP._R)))
self.assertTrue(np.array_equal(CP._qcovorig,
np.diagflat([0.2, 0.3, 0.4])),
msg='Arrays should match')
def test_print_these_none(self):
model, options, parameters, data = gf.setup_mcmc()
CP = CovarianceProcedures()
CP._initialize_covariance_settings(parameters=parameters,
options=options)
print_these = CP.display_covariance_settings(print_these=None)
self.assertEqual(print_these, [
'qcov', 'R', 'RDR', 'invR', 'last_index_since_adaptation',
'covchain'
],
msg='Default print keys')
def test_3x3_cov_mtx(self):
model, options, parameters, data = gf.setup_mcmc()
CP = CovarianceProcedures()
testmtx = np.atleast_2d([[0.2, 0.01, 0.05], [0.01, 0.3, 0.024],
[0.05, 0.024, 0.04]])
CP._qcov = testmtx
CP._CovarianceProcedures__setup_R_based_on_covariance_matrix(
parind=[0, 1, 2])
self.assertTrue(np.array_equal(CP._R,
np.linalg.cholesky(testmtx).T),
msg='Expect sqrt of variance')
self.assertTrue(np.array_equal(CP._qcovorig, testmtx),
msg='Expect sqrt of variance')
def test_2x2_cov_mtx(self):
model, options, parameters, data = gf.setup_mcmc()
CP = CovarianceProcedures()
CP._qcov = np.atleast_2d([[0.2, 0.1], [0.1, 0.3]])
CP._CovarianceProcedures__setup_R_based_on_covariance_matrix(
parind=[0, 1])
self.assertTrue(np.array_equal(
CP._R,
np.linalg.cholesky(np.atleast_2d([[0.2, 0.1], [0.1, 0.3]])).T),
msg='Expect sqrt of variance')
self.assertTrue(np.array_equal(CP._qcovorig,
np.atleast_2d([[0.2, 0.1], [0.1,
0.3]])),
msg='Expect sqrt of variance')
def setup_run_adapt_settings():
__, options, parameters, data = gf.setup_mcmc()
CP = CovarianceProcedures()
CP._initialize_covariance_settings(parameters=parameters, options=options)
rejected = {'in_adaptation_interval': 4, 'total': 10, 'outside_bounds': 1}
isimu = 100
iiadapt = 100
chain = np.zeros([100, 2])
chain[:, 0] = np.linspace(1, 100, 100)
chain[:, 1] = np.linspace(1, 100, 100)
chainind = 100
u = np.random.random_sample(size=(1, 2))
npar = 2
alpha = 0.78
return CP, options, isimu, iiadapt, rejected, chain, chainind, u, npar, alpha
def test_update_cov_wsum_none(self):
__, options, parameters, data = gf.setup_mcmc()
CP = CovarianceProcedures()
CP._initialize_covariance_settings(parameters=parameters,
options=options)
theta = np.array([2., 5.])
CP._wsum = None
CP._covchain = 1
CP._meanchain = 2
CP._qcov = 0
CP._update_covariance_settings(parameter_set=theta)
CPD = CP.__dict__
self.assertEqual(CPD['_covchain'], 1, msg='_covchain unchanged.')
self.assertEqual(CPD['_meanchain'], 2, msg='_meanchain unchanged.')
def test_print_these_not_none(self):
model, options, parameters, data = gf.setup_mcmc()
CP = CovarianceProcedures()
CP._initialize_covariance_settings(parameters=parameters,
options=options)
print_these = [
'qcov', 'R', 'RDR', 'invR', 'last_index_since_adaptation',
'covchain'
]
for __, ptii in enumerate(print_these):
self.assertEqual(
CP.display_covariance_settings(print_these=[ptii]), [ptii],
msg='Specified print keys')
# -------------------------------------------
def test_update_cov_wsum_not_none(self):
model, options, parameters, data = gf.setup_mcmc()
CP = CovarianceProcedures()
CP._initialize_covariance_settings(parameters=parameters,
options=options)
theta = np.array([2., 5.])
CP._wsum = 10
CP._covchain = 1
CP._meanchain = 2
CP._qcov = 0
CP._update_covariance_settings(parameter_set=theta)
CPD = CP.__dict__
self.assertEqual(CPD['_covchain'], 0, msg='_covchain = _qcov.')
self.assertTrue(np.array_equal(CPD['_meanchain'], theta),
msg='_meanchain = parameter_set.')
def test_unpack_covariance(self):
model, options, parameters, data = gf.setup_mcmc()
CP = CovarianceProcedures()
CP._initialize_covariance_settings(parameters=parameters,
options=options)
last_index_since_adaptation, R, oldcovchain, oldmeanchain, oldwsum, no_adapt_index, qcov_scale, qcov = unpack_covariance_settings(
covariance=CP)
out = {
'last_index_since_adaptation': last_index_since_adaptation,
'R': R,
'oldcovchain': oldcovchain,
'oldmeanchain': oldmeanchain,
'oldwsum': oldwsum,
'no_adapt_index': no_adapt_index,
'qcov_scale': qcov_scale,
'qcov': qcov
}
defaults = {
'last_index_since_adaptation': 0,
'R': np.array([[0.1, 0.], [0., 0.25]]),
'oldcovchain': None,
'oldmeanchain': None,
'oldwsum': None,
'no_adapt_index': np.array([False, False]),
'qcov_scale': 2.4 / np.sqrt(2),
'qcov': np.square(np.array([[0.1, 0.], [0., 0.25]]))
}
check_these = [
'last_index_since_adaptation', 'oldcovchain', 'oldmeanchain',
'oldwsum'
]
for item in check_these:
self.assertEqual(out[item],
defaults[item],
msg=str('Expected {} = {} ? {}'.format(
item, defaults[item], out[item])))
check_these = ['R', 'no_adapt_index', 'qcov_scale', 'qcov']
for item in check_these:
self.assertTrue(np.array_equal(out[item], defaults[item]),
msg=str('Expected {} = {} ? {}'.format(
item, defaults[item], out[item])))
def test_update_cov(self):
__, options, parameters, __ = gf.setup_mcmc()
CP = CovarianceProcedures()
CP._initialize_covariance_settings(parameters=parameters,
options=options)
check = {
'R': np.random.random_sample(size=(2, 2)),
'covchain': np.random.random_sample(size=(2, 2)),
'meanchain': np.random.random_sample(size=(1, 2)),
'wsum': np.random.random_sample(size=(2, 1)),
'last_index_since_adaptation': 0,
'iiadapt': 100
}
CP._update_covariance_from_adaptation(**check)
CPD = CP.__dict__
items = ['last_index_since_adaptation', 'iiadapt']
for __, ai in enumerate(items):
self.assertEqual(CPD[str('_{}'.format(ai))],
check[ai],
msg=str('{}: {} != {}'.format(
ai, CPD[str('_{}'.format(ai))], check[ai])))
array_items = ['R', 'covchain', 'meanchain', 'wsum']
for __, ai in enumerate(array_items):
self.assertTrue(np.array_equal(CPD[str('_{}'.format(ai))],
check[ai]),
msg=str('{}: {} != {}'.format(
ai, CPD[str('_{}'.format(ai))], check[ai])))
def test_init_CP_original_cov(self):
CP = CovarianceProcedures()
__, options, parameters, __ = gf.setup_mcmc()
CP = CovarianceProcedures()
CP._initialize_covariance_settings(parameters=parameters,
options=options)
self.assertTrue(hasattr(CP, '_qcov_original'),
msg='Has assigned original covariance matrix')
original_covariance = CP._qcov_original.copy()
check = {
'R': np.random.random_sample(size=(2, 2)),
'covchain': np.random.random_sample(size=(2, 2)),
'meanchain': np.random.random_sample(size=(1, 2)),
'wsum': np.random.random_sample(size=(2, 1)),
'last_index_since_adaptation': 0,
'iiadapt': 100
}
CP._update_covariance_from_adaptation(**check)
self.assertTrue(
np.array_equal(CP._qcov_original, original_covariance),
msg='Expect original cov. mtx. unchanged after update.')
def test_update_cov(self):
__, options, parameters, __ = gf.setup_mcmc()
CP = CovarianceProcedures()
CP._initialize_covariance_settings(parameters=parameters,
options=options)
check = {
'RDR': np.random.random_sample(size=(2, 2)),
'invR': np.random.random_sample(size=(2, 2)),
}
CP._update_covariance_for_delayed_rejection_from_adaptation(**check)
CPD = CP.__dict__
array_items = ['RDR', 'invR']
for __, ai in enumerate(array_items):
self.assertTrue(np.array_equal(CPD[str('_{}'.format(ai))],
check[ai]),
msg=str('{}: {} != {}'.format(
ai, CPD[str('_{}'.format(ai))], check[ai])))
def test_init_CP(self):
CP = CovarianceProcedures()
self.assertTrue(hasattr(CP, 'description'))
def test_one_variance(self):
model, options, parameters, data = gf.setup_mcmc()
CP = CovarianceProcedures()
CP._qcov = np.atleast_2d([0.2])
CP._CovarianceProcedures__setup_R_based_on_variances(parind=[0])
self.assertEqual(CP._R, np.sqrt(0.2), msg='Expect sqrt of variance')