def test_log_ei():
for mean, var in [(0, 1), (-4, 9)]:
thresholds = np.arange(-5, 30, 0.25) * np.sqrt(var) + mean
ei = np.asarray(
[crit.EI_gaussian(mean, var, thresh) for thresh in thresholds])
nlei = np.asarray(
[crit.logEI_gaussian(mean, var, thresh) for thresh in thresholds])
naive = np.log(ei)
# import matplotlib.pyplot as plt
# plt.plot(thresholds, ei, label='ei')
# plt.plot(thresholds, nlei, label='nlei')
# plt.plot(thresholds, naive, label='naive')
# plt.legend()
# plt.show()
# -- assert that they match when the threshold isn't too high
assert np.allclose(nlei, naive)
def test_ei():
rng = np.random.RandomState(123)
for mean, var in [(0, 1), (-4, 9)]:
thresholds = np.arange(-5, 5, .25) * np.sqrt(var) + mean
v_n = [
crit.EI_gaussian_empirical(mean, var, thresh, rng, 10000)
for thresh in thresholds
]
v_a = [crit.EI_gaussian(mean, var, thresh) for thresh in thresholds]
#import matplotlib.pyplot as plt
#plt.plot(thresholds, v_n)
#plt.plot(thresholds, v_a)
#plt.show()
if not np.allclose(v_n, v_a, atol=0.03, rtol=0.03):
for t, n, a in zip(thresholds, v_n, v_a):
print t, n, a, abs(n - a), abs(n - a) / (abs(n) + abs(a))
assert 0