def test_mlpg_window_full():
static_dim = 2
T = 10
def full_window_mat_native(win_mats, T):
cocatenated_window = np.zeros((T * len(windows), T))
for win_index, win_mat in enumerate(win_mats):
win = win_mat.full()
b = win_index * T
cocatenated_window[b:b + T, :] = win
return cocatenated_window
for windows in _get_windows_set():
win_mats = G.build_win_mats(windows, T)
fullwin = G.full_window_mat(win_mats, T)
assert fullwin.shape == (T * len(windows), T)
assert np.allclose(full_window_mat_native(win_mats, T), fullwin)
def test_linalg_choleskey_inv():
for windows in _get_windows_set():
for T in [5, 10]:
win_mats = build_win_mats(windows, T)
P = _get_banded_test_mat(win_mats, T).full()
L = scipy.linalg.cholesky(P, lower=True)
U = scipy.linalg.cholesky(P, lower=False)
assert np.allclose(L.dot(L.T), P)
assert np.allclose(U.T.dot(U), P)
Pinv = np.linalg.inv(P)
Pinv_hat = cholesky_inv(L, lower=True)
assert np.allclose(Pinv, Pinv_hat)
Pinv_hat = cholesky_inv(U, lower=False)
assert np.allclose(Pinv, Pinv_hat)
Pinv_hat = cholesky_inv_banded(L, width=3)
assert np.allclose(Pinv, Pinv_hat)