def test_grad_fun1_cs(self):
for test_params in self.params:
#gtrue = self.x.sum(0)
gtrue = self.gradtrue(test_params)
fun = self.fun()
gcs = numdiff.approx_fprime_cs(test_params, fun, args=self.args)
assert_almost_equal(gtrue, gcs, decimal=DEC13)
def test_grad_fun1_cs(self):
for test_params in self.params:
#gtrue = self.x.sum(0)
gtrue = self.gradtrue(test_params)
fun = self.fun()
gcs = numdiff.approx_fprime_cs(test_params, fun, args=self.args)
assert_almost_equal(gtrue, gcs, decimal=DEC13)
def test_score(self):
pass
#assert_almost_equal(self.res1.params, self.res2.params, DECIMAL_4)
for test_params in self.params:
sc = self.mod.score(test_params)
scfd = numdiff.approx_fprime1(test_params.ravel(), self.mod.loglike)
assert_almost_equal(sc, scfd, decimal=1)
sccs = numdiff.approx_fprime_cs(test_params.ravel(), self.mod.loglike)
assert_almost_equal(sc, sccs, decimal=13)
def test_score(self):
pass
#assert_almost_equal(self.res1.params, self.res2.params, DECIMAL_4)
for test_params in self.params:
sc = self.mod.score(test_params)
scfd = numdiff.approx_fprime1(test_params.ravel(), self.mod.loglike)
assert_almost_equal(sc, scfd, decimal=1)
sccs = numdiff.approx_fprime_cs(test_params.ravel(), self.mod.loglike)
assert_almost_equal(sc, sccs, decimal=13)
def test_hess(self):
pass
#assert_almost_equal(self.res1.params, self.res2.params, DECIMAL_4)
for test_params in self.params:
he = self.mod.hessian(test_params)
#TODO: bug
## hefd = numdiff.approx_hess(test_params, self.mod.score)
## assert_almost_equal(he, hefd, decimal=DEC8)
hescs = numdiff.approx_fprime_cs(test_params.ravel(), self.mod.score)
assert_almost_equal(he, hescs, decimal=DEC8)
hecs = numdiff.approx_hess_cs(test_params.ravel(), self.mod.loglike)
assert_almost_equal(he, hecs, decimal=DEC6)
def test_hess(self):
pass
#assert_almost_equal(self.res1.params, self.res2.params, DECIMAL_4)
for test_params in self.params:
he = self.mod.hessian(test_params)
#TODO: bug
## hefd = numdiff.approx_hess(test_params, self.mod.score)
## assert_almost_equal(he, hefd, decimal=DEC8)
hescs = numdiff.approx_fprime_cs(test_params.ravel(), self.mod.score)
assert_almost_equal(he, hescs, decimal=DEC8)
hecs = numdiff.approx_hess_cs(test_params.ravel(), self.mod.loglike)
assert_almost_equal(he, hecs, decimal=DEC6)
epsilon = 1e-6
nobs = 200
x = np.arange(nobs * 3).reshape(nobs, -1)
x = np.random.randn(nobs, 3)
xk = np.array([1, 2, 3])
xk = np.array([1., 1., 1.])
#xk = np.zeros(3)
beta = xk
y = np.dot(x, beta) + 0.1 * np.random.randn(nobs)
xkols = np.dot(np.linalg.pinv(x), y)
print approx_fprime((1, 2, 3), fun, epsilon, x)
gradtrue = x.sum(0)
print x.sum(0)
gradcs = approx_fprime_cs((1, 2, 3), fun, (x, ), h=1.0e-20)
print gradcs, maxabs(gradcs, gradtrue)
print approx_hess_cs((1, 2, 3), fun, (x, ),
h=1.0e-20) #this is correctly zero
print approx_hess_cs((1, 2, 3), fun2,
(y, x), h=1.0e-20) - 2 * np.dot(x.T, x)
print numdiff.approx_hess(xk, fun2, 1e-3, (y, x))[0] - 2 * np.dot(x.T, x)
gt = (-x * 2 * (y - np.dot(x, [1, 2, 3]))[:, None])
g = approx_fprime_cs((1, 2, 3), fun1, (y, x),
h=1.0e-20) #.T #this shouldn't be transposed
gd = numdiff.approx_fprime1((1, 2, 3), fun1, epsilon, (y, x))
print maxabs(g, gt)
print maxabs(gd, gt)
epsilon = 1e-6
nobs = 200
x = np.arange(nobs*3).reshape(nobs,-1)
x = np.random.randn(nobs,3)
xk = np.array([1,2,3])
xk = np.array([1.,1.,1.])
#xk = np.zeros(3)
beta = xk
y = np.dot(x, beta) + 0.1*np.random.randn(nobs)
xkols = np.dot(np.linalg.pinv(x),y)
print approx_fprime((1,2,3),fun,epsilon,x)
gradtrue = x.sum(0)
print x.sum(0)
gradcs = approx_fprime_cs((1,2,3), fun, (x,), h=1.0e-20)
print gradcs, maxabs(gradcs, gradtrue)
print approx_hess_cs((1,2,3), fun, (x,), h=1.0e-20) #this is correctly zero
print approx_hess_cs((1,2,3), fun2, (y,x), h=1.0e-20)-2*np.dot(x.T, x)
print numdiff.approx_hess(xk,fun2,1e-3, (y,x))[0] - 2*np.dot(x.T, x)
gt = (-x*2*(y-np.dot(x, [1,2,3]))[:,None])
g = approx_fprime_cs((1,2,3), fun1, (y,x), h=1.0e-20)#.T #this shouldn't be transposed
gd = numdiff.approx_fprime1((1,2,3),fun1,epsilon,(y,x))
print maxabs(g, gt)
print maxabs(gd, gt)
import statsmodels.api as sm
