def test_Ikpw_Jkpw_identities():
"""Test the relations given in Wiktorsson2001 equation (2.1)"""
dW = deltaW(N, m, h).reshape((N, m, 1))
A, I = Ikpw(dW, h)
assert (A.shape == (N, m, m) and I.shape == (N, m, m))
Im = broadcast_to(np.eye(m), (N, m, m))
assert (np.allclose(I + _t(I), _dot(dW, _t(dW)) - h * Im))
assert (np.allclose(A, -_t(A)))
assert (np.allclose(2.0 * (I - A), _dot(dW, _t(dW)) - h * Im))
# and tests for Stratonovich case
A, J = Jkpw(dW, h)
assert (A.shape == (N, m, m) and J.shape == (N, m, m))
assert (np.allclose(J + _t(J), _dot(dW, _t(dW))))
assert (np.allclose(2.0 * (J - A), _dot(dW, _t(dW))))
def test_Ikpw_Jkpw_identities():
"""Test the relations given in Wiktorsson2001 equation (2.1)"""
dW = deltaW(N, m, h).reshape((N, m, 1))
A, I = Ikpw(dW, h)
assert(A.shape == (N, m, m) and I.shape == (N, m, m))
Im = broadcast_to(np.eye(m), (N, m, m))
assert(np.allclose(I + _t(I), _dot(dW, _t(dW)) - h*Im))
assert(np.allclose(A, -_t(A)))
assert(np.allclose(2.0*(I - A), _dot(dW, _t(dW)) - h*Im))
# and tests for Stratonovich case
A, J = Jkpw(dW, h)
assert(A.shape == (N, m, m) and J.shape == (N, m, m))
assert(np.allclose(J + _t(J), _dot(dW, _t(dW))))
assert(np.allclose(2.0*(J - A), _dot(dW, _t(dW))))
def test_P():
"""Test permutation matrix _P(m)"""
Pm0 = _P(m)
X = np.random.normal(0.0, 1.0, (N, m, 1))
Y = np.random.normal(0.0, 1.0, (N, m, 1))
assert (Pm0.shape == (m**2, m**2))
assert (np.allclose(Pm0, Pm0.T)) # symmetric
assert (np.allclose(np.dot(Pm0, Pm0), np.eye(m**2))) # is its own inverse
Pm = broadcast_to(Pm0, (N, m**2, m**2))
for n in range(0, N):
assert (np.allclose(np.dot(Pm0, np.kron(X[n, :, 0], Y[n, :, 0])),
np.kron(Y[n, :, 0], X[n, :, 0])))
# next line is equivalent to the previous 3 lines:
assert (np.allclose(_dot(Pm, _kp(X, Y)), _kp(Y, X)))
def test_P():
"""Test permutation matrix _P(m)"""
Pm0 = _P(m)
X = np.random.normal(0.0, 1.0, (N, m, 1))
Y = np.random.normal(0.0, 1.0, (N, m, 1))
assert(Pm0.shape == (m**2, m**2))
assert(np.allclose(Pm0, Pm0.T)) # symmetric
assert(np.allclose(np.dot(Pm0, Pm0), np.eye(m**2))) # is its own inverse
Pm = broadcast_to(Pm0, (N, m**2, m**2))
for n in range(0, N):
assert(np.allclose(np.dot(Pm0, np.kron(X[n,:,0], Y[n,:,0])),
np.kron(Y[n,:,0], X[n,:,0])))
# next line is equivalent to the previous 3 lines:
assert(np.allclose(_dot(Pm, _kp(X, Y)), _kp(Y, X)))
def test_Iwik_Jwik_identities():
dW = deltaW(N, m, h).reshape((N, m, 1))
Atilde, I = Iwik(dW, h)
M = m * (m - 1) // 2
assert (Atilde.shape == (N, M, 1) and I.shape == (N, m, m))
Im = broadcast_to(np.eye(m), (N, m, m))
assert (np.allclose(I + _t(I), _dot(dW, _t(dW)) - h * Im))
# can get A from Atilde: (Wiktorsson2001 equation between (4.3) and (4.4))
Ims = broadcast_to(np.eye(m * m), (N, m * m, m * m))
Pm = broadcast_to(_P(m), (N, m * m, m * m))
Km = broadcast_to(_K(m), (N, M, m * m))
A = _unvec(_dot(_dot((Ims - Pm), _t(Km)), Atilde))
# now can test this A against the identities of Wiktorsson eqn (2.1)
assert (np.allclose(A, -_t(A)))
assert (np.allclose(2.0 * (I - A), _dot(dW, _t(dW)) - h * Im))
# and tests for Stratonovich case
Atilde, J = Jwik(dW, h)
assert (Atilde.shape == (N, M, 1) and J.shape == (N, m, m))
assert (np.allclose(J + _t(J), _dot(dW, _t(dW))))
A = _unvec(_dot(_dot((Ims - Pm), _t(Km)), Atilde))
assert (np.allclose(2.0 * (J - A), _dot(dW, _t(dW))))
def test_Iwik_Jwik_identities():
dW = deltaW(N, m, h).reshape((N, m, 1))
Atilde, I = Iwik(dW, h)
M = m*(m-1)/2
assert(Atilde.shape == (N, M, 1) and I.shape == (N, m, m))
Im = broadcast_to(np.eye(m), (N, m, m))
assert(np.allclose(I + _t(I), _dot(dW, _t(dW)) - h*Im))
# can get A from Atilde: (Wiktorsson2001 equation between (4.3) and (4.4))
Ims = broadcast_to(np.eye(m*m), (N, m*m, m*m))
Pm = broadcast_to(_P(m), (N, m*m, m*m))
Km = broadcast_to(_K(m), (N, M, m*m))
A = _unvec(_dot(_dot((Ims - Pm), _t(Km)), Atilde))
# now can test this A against the identities of Wiktorsson eqn (2.1)
assert(np.allclose(A, -_t(A)))
assert(np.allclose(2.0*(I - A), _dot(dW, _t(dW)) - h*Im))
# and tests for Stratonovich case
Atilde, J = Jwik(dW, h)
assert(Atilde.shape == (N, M, 1) and J.shape == (N, m, m))
assert(np.allclose(J + _t(J), _dot(dW, _t(dW))))
A = _unvec(_dot(_dot((Ims - Pm), _t(Km)), Atilde))
assert(np.allclose(2.0*(J - A), _dot(dW, _t(dW))))
