def testSparseSorSolver_DivergenceExampleHighRelaxationRate(self):
vector_b = vector.Vector(name="b", number_list=[-1, 7, -7])
sparse_sor_solver = sparse_sor.SparseSorSolver(self.matrix_a, vector_b,
100, .0001, 30.0)
self.assertEqual(sparse_sor_solver.stopping_reason,
sor_pb2.SorReturnValue.X_SEQUENCE_DIVERGENCE)
def testZeroOnDiagonal(self):
zero_diagonal_mat = sparse_matrix.SparseMatrix(
dense_matrix=[[4, 1], [1, 0]])
b_vector = vector.Vector(name="b", number_list=[2, 2])
sparse_sor_solver = sparse_sor.SparseSorSolver(zero_diagonal_mat,
b_vector, 50, 10**-20,
1)
self.assertEqual(sparse_sor_solver.stopping_reason,
sor_pb2.SorReturnValue.ZERO_ON_DIAGONAL)
def testSparseSorSolverToProto(self):
matrix_a = sparse_matrix.SparseMatrix(
dense_matrix=[[3, -1, 1], [-1, 3, -1], [1, -1, 3]])
vector_b = vector.Vector(name="b", number_list=[-1, 7, -7])
sparse_sor_solver = sparse_sor.SparseSorSolver(matrix_a, vector_b, 10,
.0001, 1.0)
solution_proto = sparse_sor_solver.to_proto()
self.assertEqual(type(solution_proto), sor_pb2.SorReturnValue)
def testIllConditionedHighRelaxation(self):
matrix_ill_conditioned = sparse_matrix.SparseMatrix(
dense_matrix=[[1.01, 1], [1, 1.01]])
vector_ill_conditioned = vector.Vector(name="b", number_list=[2, 2])
sparse_sor_solver = sparse_sor.SparseSorSolver(matrix_ill_conditioned,
vector_ill_conditioned,
50, 10**-20, 1.5)
print(sparse_sor_solver)
def experiment_EffectOfDifferentTolerance(matrix, vector):
"""Calculate residual sum for a matrix with different relaxation rates.
Args:
matrix: A sparse_matrix.Matrix. This needs to be diagonally dominant.
vector: A vector.Vector
Returns: List of sum of residuals for different relaxation rates.
"""
i = -1
while (i > -22):
sparse_sor_solver = sparse_sor.SparseSorSolver(matrix, vector, 50,
10**i, 1.0)
print(sparse_sor_solver)
i -= 4
def testSparseSorSolver_SolvedExample(self):
matrix_a = sparse_matrix.SparseMatrix(
dense_matrix=[[3, -1, 1], [-1, 3, -1], [1, -1, 3]])
vector_b = vector.Vector(name="b", number_list=[-1, 7, -7])
sparse_sor_solver = sparse_sor.SparseSorSolver(matrix_a, vector_b, 10,
.0001, 1.0)
expected = [1, 2, -2]
self.assertTrue(
all(
almost_equal(*values)
for values in zip(expected, sparse_sor_solver.x)))
def effect_relaxation_rate(matrix, vector, maxits=50):
"""Calculate stopping iterationa matrix with different relaxation rates.
Args:
matrix: A sparse_matrix.Matrix. This needs to be diagonally dominant.
vector: A vector.Vector
maxits: Max number of iterations
Returns: List of sum of residuals for different relaxation rates.
"""
i = 0.1
results = []
while (i < 2.01):
sparse_sor_solver = sparse_sor.SparseSorSolver(matrix, vector, maxits,
2**-20, i)
results.append(sparse_sor_solver.iteration)
i += 0.01
return (results)
def testSparseSorSolver_MatrixProto(self):
matrix_a_proto = sor_pb2.SparseMatrix(matrix_name="a",
row_count=3,
column_count=3)
for i in range(0, 3):
# This creates and returns a pointer to a sor_pb2.SparseValue message.
value = matrix_a_proto.values.add()
value.row_index = i
value.column_index = i
# This is just a made up float value.
value.value = (i + 1) * 3.9
matrix_a = sparse_matrix.SparseMatrix(matrix_a_proto)
vector_b = vector.Vector(name="b", number_list=[2, 3, 4])
sparse_sor_solver = sparse_sor.SparseSorSolver(matrix_a, vector_b, 10,
.0001, 1.0)
self.assertEqual(sparse_sor_solver.stopping_reason,
sor_pb2.SorReturnValue.RESIDUAL_CONVERGENCE)
def generate_option_price_grid(timesteps, strike_price, h, k, sigma, r,
stock_price_array):
"""Generate the matrix of option prices for each price, timestep pair.
Args:
timesteps: The integer number of timesteps to run for.
strike_price: The strike price of the option in question.
h: h the number of intervals into which the price is broken.
k: k the number of intervals into which each timestep is broken.
sigma: The standard deviation
r: The risk free rate.
Returns:
A list of lists matrix. The rows are for different stock prices and the
columns are the different timesteps.
"""
option_price_grid = [[None for _ in range(h + 1)]
for _ in range(timesteps + 1)]
# row is across prices columns are over time
option_price_grid[0] = start_prices(strike_price, stock_price_array)
# A matrix will have N-2 * N-2 elements. Of which only 3 * N-2 are populated
A = sparse_matrix.SparseMatrix(
dense_matrix=generate_black_scholes_matrix(h - 1, k, sigma, r))
adjustment = generate_adjustment_term(strike_price, k, sigma, r)
time_step = 1
while time_step < (timesteps + 1):
# Need to create a new list here to avoid Python list mutability.
f_vector = option_price_grid[time_step - 1][:]
# Need to adjust 1st element by adding adjustment term.
f_vector[1] += adjustment
f = vector.Vector(number_list=f_vector[1:-1])
sparse_sor_solver = sparse_sor.SparseSorSolver(A, f, 100, .0001, 1.0)
option_price_grid[time_step] = (
[strike_price] + sparse_sor_solver.get_solution().values + [0])
time_step += 1
return option_price_grid
}).set_index('relaxation_rate')
pyplot.plot(table[:1.65])
pyplot.ylabel('Number of Iterations Run')
pyplot.xlabel('Relaxation Rate')
pyplot.legend(["diag_c", "diag_a", "diag_b", "positive_def"], loc=9, ncol=4)
pyplot.show()
# Print results to be added to assignment doc
print("------------------------------------------------------------------")
print("Show effect of setting relaxation rate set to out of bounds number")
print("------------------------------------------------------------------")
# Experiment to see effect of setting relaxation rate to out of bounds number
sparse_sor_solver_a = sparse_sor.SparseSorSolver(positive_definite_symmetric,
vector_b_1, 50, 10**-10, 20)
sparse_sor_solver_b = sparse_sor.SparseSorSolver(diag_dominant_a, vector_b_2,
50, 10**-10, 20)
sparse_sor_solver_c = sparse_sor.SparseSorSolver(diag_dominant_b, vector_b_3,
50, 10**-10, 20)
sparse_sor_solver_d = sparse_sor.SparseSorSolver(diag_dominant_c, vector_b_4,
50, 10**-10, 20)
print(sparse_sor_solver_a)
print(sparse_sor_solver_b)
print(sparse_sor_solver_c)
print(sparse_sor_solver_d)
""" Black-Scholes with Google stock options """
#! /usr/bin/python3
"""End to end demonstration script for sparse_sor."""
import data_io
import vector
import sparse_sor
import sparse_matrix
from proto_genfiles.protos import sor_pb2
import sys
if __name__ == "__main__":
# Remove one for the program itself.
args = len(sys.argv) - 1
print("Number of additional command line args passed: %s" % args)
# Default values
input_filename = "nas_Sor.in"
output_filename = "nas_Sor.out"
if args > 2:
raise Exception("Error: Too many command line args passed")
elif args == 2:
output_filename = sys.argv[2]
if args >= 1:
input_filename = sys.argv[1]
print("Reading input data from file: %s" % input_filename)
matrix_proto, vector_proto = data_io.read_input(input_filename)
matrix_a = sparse_matrix.SparseMatrix(matrix_proto)
vector_b = vector.Vector(vector_proto=vector_proto)
solver = sparse_sor.SparseSorSolver(matrix_a, vector_b, 10, .0001, 1.0)
solution_proto = solver.to_proto()
print("Calculation complete. Writing solution to: %s" % output_filename)
data_io.write_output(solution_proto, output_filename)
def testSparseSorSolver_PositiveDefiniteRelaxationVeryHigh(self):
sparse_sor_solver = sparse_sor.SparseSorSolver(
self.positive_definite_symmetric, self.vector_b, 250, 10**-20, 1.9)
print(sparse_sor_solver)
self.assertEqual(sparse_sor_solver.stopping_reason,
sor_pb2.SorReturnValue.MAX_ITERATIONS_REACHED)
def testSparseSorSolver_PositiveDefiniteRelaxationHigh(self):
sparse_sor_solver = sparse_sor.SparseSorSolver(
self.positive_definite_symmetric, self.vector_b, 250, 10**-20, 1.5)
print(sparse_sor_solver)
self.assertEqual(sparse_sor_solver.stopping_reason,
sor_pb2.SorReturnValue.RESIDUAL_CONVERGENCE)
def testSparseSorSolver_ClassExample2RelaxationVeryHigh(self):
sparse_sor_solver = sparse_sor.SparseSorSolver(self.matrix_a,
self.vector_b, 50,
10**-20, 1.9)
self.assertEqual(sparse_sor_solver.stopping_reason,
sor_pb2.SorReturnValue.X_SEQUENCE_DIVERGENCE)
def testSparseSorSolver_ClassExampleRelaxationHigh(self):
sparse_sor_solver = sparse_sor.SparseSorSolver(self.matrix_a,
self.vector_b, 10,
10**-20, 1.5)
self.assertEqual(sparse_sor_solver.stopping_reason,
sor_pb2.SorReturnValue.MAX_ITERATIONS_REACHED)