Exemplo n.º 1
0
def test_DiscreteMarkovChain():

    # pass only the name
    X = DiscreteMarkovChain("X")
    assert isinstance(X.state_space, Range)
    assert X.index_set == S.Naturals0
    assert isinstance(X.transition_probabilities, MatrixSymbol)
    t = symbols('t', positive=True, integer=True)
    assert isinstance(X[t], RandomIndexedSymbol)
    assert E(X[0]) == Expectation(X[0])
    raises(TypeError, lambda: DiscreteMarkovChain(1))
    raises(NotImplementedError, lambda: X(t))
    raises(NotImplementedError, lambda: X.communication_classes())
    raises(NotImplementedError, lambda: X.canonical_form())
    raises(NotImplementedError, lambda: X.decompose())

    nz = Symbol('n', integer=True)
    TZ = MatrixSymbol('M', nz, nz)
    SZ = Range(nz)
    YZ = DiscreteMarkovChain('Y', SZ, TZ)
    assert P(Eq(YZ[2], 1), Eq(YZ[1], 0)) == TZ[0, 1]

    raises(ValueError, lambda: sample_stochastic_process(t))
    raises(ValueError, lambda: next(sample_stochastic_process(X)))
    # pass name and state_space
    # any hashable object should be a valid state
    # states should be valid as a tuple/set/list/Tuple/Range
    sym, rainy, cloudy, sunny = symbols('a Rainy Cloudy Sunny', real=True)
    state_spaces = [(1, 2, 3), [Str('Hello'), sym, DiscreteMarkovChain],
                    Tuple(S(1), exp(sym), Str('World'), sympify=False),
                    Range(-1, 5, 2), [rainy, cloudy, sunny]]
    chains = [
        DiscreteMarkovChain("Y", state_space) for state_space in state_spaces
    ]

    for i, Y in enumerate(chains):
        assert isinstance(Y.transition_probabilities, MatrixSymbol)
        assert Y.state_space == state_spaces[i] or Y.state_space == FiniteSet(
            *state_spaces[i])
        assert Y.number_of_states == 3

        with ignore_warnings(
                UserWarning):  # TODO: Restore tests once warnings are removed
            assert P(Eq(Y[2], 1), Eq(Y[0], 2),
                     evaluate=False) == Probability(Eq(Y[2], 1), Eq(Y[0], 2))
        assert E(Y[0]) == Expectation(Y[0])

        raises(ValueError, lambda: next(sample_stochastic_process(Y)))

    raises(TypeError, lambda: DiscreteMarkovChain("Y", dict((1, 1))))
    Y = DiscreteMarkovChain("Y", Range(1, t, 2))
    assert Y.number_of_states == ceiling((t - 1) / 2)

    # pass name and transition_probabilities
    chains = [
        DiscreteMarkovChain("Y", trans_probs=Matrix([[]])),
        DiscreteMarkovChain("Y", trans_probs=Matrix([[0, 1], [1, 0]])),
        DiscreteMarkovChain("Y",
                            trans_probs=Matrix([[pi, 1 - pi], [sym, 1 - sym]]))
    ]
    for Z in chains:
        assert Z.number_of_states == Z.transition_probabilities.shape[0]
        assert isinstance(Z.transition_probabilities, ImmutableMatrix)

    # pass name, state_space and transition_probabilities
    T = Matrix([[0.5, 0.2, 0.3], [0.2, 0.5, 0.3], [0.2, 0.3, 0.5]])
    TS = MatrixSymbol('T', 3, 3)
    Y = DiscreteMarkovChain("Y", [0, 1, 2], T)
    YS = DiscreteMarkovChain("Y", ['One', 'Two', 3], TS)
    assert Y.joint_distribution(1, Y[2],
                                3) == JointDistribution(Y[1], Y[2], Y[3])
    raises(ValueError, lambda: Y.joint_distribution(Y[1].symbol, Y[2].symbol))
    assert P(Eq(Y[3], 2), Eq(Y[1], 1)).round(2) == Float(0.36, 2)
    assert (P(Eq(YS[3], 2), Eq(YS[1], 1)) -
            (TS[0, 2] * TS[1, 0] + TS[1, 1] * TS[1, 2] +
             TS[1, 2] * TS[2, 2])).simplify() == 0
    assert P(Eq(YS[1], 1), Eq(YS[2], 2)) == Probability(Eq(YS[1], 1))
    assert P(Eq(YS[3], 3), Eq(
        YS[1],
        1)) == TS[0, 2] * TS[1, 0] + TS[1, 1] * TS[1, 2] + TS[1, 2] * TS[2, 2]
    TO = Matrix([[0.25, 0.75, 0], [0, 0.25, 0.75], [0.75, 0, 0.25]])
    assert P(Eq(Y[3], 2),
             Eq(Y[1], 1) & TransitionMatrixOf(Y, TO)).round(3) == Float(
                 0.375, 3)
    with ignore_warnings(
            UserWarning):  ### TODO: Restore tests once warnings are removed
        assert E(Y[3], evaluate=False) == Expectation(Y[3])
        assert E(Y[3], Eq(Y[2], 1)).round(2) == Float(1.1, 3)
    TSO = MatrixSymbol('T', 4, 4)
    raises(
        ValueError,
        lambda: str(P(Eq(YS[3], 2),
                      Eq(YS[1], 1) & TransitionMatrixOf(YS, TSO))))
    raises(TypeError,
           lambda: DiscreteMarkovChain("Z", [0, 1, 2], symbols('M')))
    raises(
        ValueError,
        lambda: DiscreteMarkovChain("Z", [0, 1, 2], MatrixSymbol('T', 3, 4)))
    raises(ValueError, lambda: E(Y[3], Eq(Y[2], 6)))
    raises(ValueError, lambda: E(Y[2], Eq(Y[3], 1)))

    # extended tests for probability queries
    TO1 = Matrix([[Rational(1, 4), Rational(3, 4), 0],
                  [Rational(1, 3),
                   Rational(1, 3),
                   Rational(1, 3)], [0, Rational(1, 4),
                                     Rational(3, 4)]])
    assert P(
        And(Eq(Y[2], 1), Eq(Y[1], 1), Eq(Y[0], 0)),
        Eq(Probability(Eq(Y[0], 0)), Rational(1, 4))
        & TransitionMatrixOf(Y, TO1)) == Rational(1, 16)
    assert P(And(Eq(Y[2], 1), Eq(Y[1], 1), Eq(Y[0], 0)), TransitionMatrixOf(Y, TO1)) == \
            Probability(Eq(Y[0], 0))/4
    assert P(
        Lt(X[1], 2) & Gt(X[1], 0),
        Eq(X[0], 2) & StochasticStateSpaceOf(X, [0, 1, 2])
        & TransitionMatrixOf(X, TO1)) == Rational(1, 4)
    assert P(
        Lt(X[1], 2) & Gt(X[1], 0),
        Eq(X[0], 2) & StochasticStateSpaceOf(X, [None, 'None', 1])
        & TransitionMatrixOf(X, TO1)) == Rational(1, 4)
    assert P(
        Ne(X[1], 2) & Ne(X[1], 1),
        Eq(X[0], 2) & StochasticStateSpaceOf(X, [0, 1, 2])
        & TransitionMatrixOf(X, TO1)) is S.Zero
    assert P(
        Ne(X[1], 2) & Ne(X[1], 1),
        Eq(X[0], 2) & StochasticStateSpaceOf(X, [None, 'None', 1])
        & TransitionMatrixOf(X, TO1)) is S.Zero
    assert P(And(Eq(Y[2], 1), Eq(Y[1], 1), Eq(Y[0], 0)),
             Eq(Y[1], 1)) == 0.1 * Probability(Eq(Y[0], 0))

    # testing properties of Markov chain
    TO2 = Matrix([[S.One, 0, 0],
                  [Rational(1, 3),
                   Rational(1, 3),
                   Rational(1, 3)], [0, Rational(1, 4),
                                     Rational(3, 4)]])
    TO3 = Matrix([[Rational(1, 4), Rational(3, 4), 0],
                  [Rational(1, 3),
                   Rational(1, 3),
                   Rational(1, 3)], [0, Rational(1, 4),
                                     Rational(3, 4)]])
    Y2 = DiscreteMarkovChain('Y', trans_probs=TO2)
    Y3 = DiscreteMarkovChain('Y', trans_probs=TO3)
    assert Y3.fundamental_matrix() == ImmutableMatrix(
        [[176, 81, -132], [36, 141, -52], [-44, -39, 208]]) / 125
    assert Y2.is_absorbing_chain() == True
    assert Y3.is_absorbing_chain() == False
    assert Y2.canonical_form() == ([0, 1, 2], TO2)
    assert Y3.canonical_form() == ([0, 1, 2], TO3)
    assert Y2.decompose() == ([0, 1,
                               2], TO2[0:1, 0:1], TO2[1:3, 0:1], TO2[1:3, 1:3])
    assert Y3.decompose() == ([0, 1, 2], TO3, Matrix(0, 3,
                                                     []), Matrix(0, 0, []))
    TO4 = Matrix([[Rational(1, 5),
                   Rational(2, 5),
                   Rational(2, 5)], [Rational(1, 10), S.Half,
                                     Rational(2, 5)],
                  [Rational(3, 5),
                   Rational(3, 10),
                   Rational(1, 10)]])
    Y4 = DiscreteMarkovChain('Y', trans_probs=TO4)
    w = ImmutableMatrix([[Rational(11, 39),
                          Rational(16, 39),
                          Rational(4, 13)]])
    assert Y4.limiting_distribution == w
    assert Y4.is_regular() == True
    assert Y4.is_ergodic() == True
    TS1 = MatrixSymbol('T', 3, 3)
    Y5 = DiscreteMarkovChain('Y', trans_probs=TS1)
    assert Y5.limiting_distribution(w, TO4).doit() == True
    assert Y5.stationary_distribution(condition_set=True).subs(
        TS1, TO4).contains(w).doit() == S.true
    TO6 = Matrix([[S.One, 0, 0, 0, 0], [S.Half, 0, S.Half, 0, 0],
                  [0, S.Half, 0, S.Half, 0], [0, 0, S.Half, 0, S.Half],
                  [0, 0, 0, 0, 1]])
    Y6 = DiscreteMarkovChain('Y', trans_probs=TO6)
    assert Y6.fundamental_matrix() == ImmutableMatrix(
        [[Rational(3, 2), S.One, S.Half], [S.One, S(2), S.One],
         [S.Half, S.One, Rational(3, 2)]])
    assert Y6.absorbing_probabilities() == ImmutableMatrix(
        [[Rational(3, 4), Rational(1, 4)], [S.Half, S.Half],
         [Rational(1, 4), Rational(3, 4)]])
    TO7 = Matrix([[Rational(1, 2),
                   Rational(1, 4),
                   Rational(1, 4)], [Rational(1, 2), 0,
                                     Rational(1, 2)],
                  [Rational(1, 4),
                   Rational(1, 4),
                   Rational(1, 2)]])
    Y7 = DiscreteMarkovChain('Y', trans_probs=TO7)
    assert Y7.is_absorbing_chain() == False
    assert Y7.fundamental_matrix() == ImmutableMatrix(
        [[Rational(86, 75),
          Rational(1, 25),
          Rational(-14, 75)],
         [Rational(2, 25), Rational(21, 25),
          Rational(2, 25)],
         [Rational(-14, 75),
          Rational(1, 25),
          Rational(86, 75)]])

    # test for zero-sized matrix functionality
    X = DiscreteMarkovChain('X', trans_probs=Matrix([[]]))
    assert X.number_of_states == 0
    assert X.stationary_distribution() == Matrix([[]])
    assert X.communication_classes() == []
    assert X.canonical_form() == ([], Matrix([[]]))
    assert X.decompose() == ([], Matrix([[]]), Matrix([[]]), Matrix([[]]))
    assert X.is_regular() == False
    assert X.is_ergodic() == False

    # test communication_class
    # see https://drive.google.com/drive/folders/1HbxLlwwn2b3U8Lj7eb_ASIUb5vYaNIjg?usp=sharing
    # tutorial 2.pdf
    TO7 = Matrix([[0, 5, 5, 0, 0], [0, 0, 0, 10, 0], [5, 0, 5, 0, 0],
                  [0, 10, 0, 0, 0], [0, 3, 0, 3, 4]]) / 10
    Y7 = DiscreteMarkovChain('Y', trans_probs=TO7)
    tuples = Y7.communication_classes()
    classes, recurrence, periods = list(zip(*tuples))
    assert classes == ([1, 3], [0, 2], [4])
    assert recurrence == (True, False, False)
    assert periods == (2, 1, 1)

    TO8 = Matrix([[0, 0, 0, 10, 0, 0], [5, 0, 5, 0, 0, 0], [0, 4, 0, 0, 0, 6],
                  [10, 0, 0, 0, 0, 0], [0, 10, 0, 0, 0, 0], [0, 0, 0, 5, 5, 0]
                  ]) / 10
    Y8 = DiscreteMarkovChain('Y', trans_probs=TO8)
    tuples = Y8.communication_classes()
    classes, recurrence, periods = list(zip(*tuples))
    assert classes == ([0, 3], [1, 2, 5, 4])
    assert recurrence == (True, False)
    assert periods == (2, 2)

    TO9 = Matrix(
        [[2, 0, 0, 3, 0, 0, 3, 2, 0, 0], [0, 10, 0, 0, 0, 0, 0, 0, 0, 0],
         [0, 2, 2, 0, 0, 0, 0, 0, 3, 3], [0, 0, 0, 3, 0, 0, 6, 1, 0, 0],
         [0, 0, 0, 0, 5, 5, 0, 0, 0, 0], [0, 0, 0, 0, 0, 10, 0, 0, 0, 0],
         [4, 0, 0, 5, 0, 0, 1, 0, 0, 0], [2, 0, 0, 4, 0, 0, 2, 2, 0, 0],
         [3, 0, 1, 0, 0, 0, 0, 0, 4, 2], [0, 0, 4, 0, 0, 0, 0, 0, 3, 3]]) / 10
    Y9 = DiscreteMarkovChain('Y', trans_probs=TO9)
    tuples = Y9.communication_classes()
    classes, recurrence, periods = list(zip(*tuples))
    assert classes == ([0, 3, 6, 7], [1], [2, 8, 9], [5], [4])
    assert recurrence == (True, True, False, True, False)
    assert periods == (1, 1, 1, 1, 1)

    # test canonical form
    # see https://www.dartmouth.edu/~chance/teaching_aids/books_articles/probability_book/Chapter11.pdf
    # example 11.13
    T = Matrix([[1, 0, 0, 0, 0], [S(1) / 2, 0, S(1) / 2, 0, 0],
                [0, S(1) / 2, 0, S(1) / 2, 0], [0, 0,
                                                S(1) / 2, 0,
                                                S(1) / 2], [0, 0, 0, 0,
                                                            S(1)]])
    DW = DiscreteMarkovChain('DW', [0, 1, 2, 3, 4], T)
    states, A, B, C = DW.decompose()
    assert states == [0, 4, 1, 2, 3]
    assert A == Matrix([[1, 0], [0, 1]])
    assert B == Matrix([[S(1) / 2, 0], [0, 0], [0, S(1) / 2]])
    assert C == Matrix([[0, S(1) / 2, 0], [S(1) / 2, 0, S(1) / 2],
                        [0, S(1) / 2, 0]])
    states, new_matrix = DW.canonical_form()
    assert states == [0, 4, 1, 2, 3]
    assert new_matrix == Matrix([[1, 0, 0, 0, 0], [0, 1, 0, 0, 0],
                                 [S(1) / 2, 0, 0, S(1) / 2, 0],
                                 [0, 0, S(1) / 2, 0,
                                  S(1) / 2], [0, S(1) / 2, 0,
                                              S(1) / 2, 0]])

    # test regular and ergodic
    # https://www.dartmouth.edu/~chance/teaching_aids/books_articles/probability_book/Chapter11.pdf
    T = Matrix([[0, 4, 0, 0, 0], [1, 0, 3, 0, 0], [0, 2, 0, 2, 0],
                [0, 0, 3, 0, 1], [0, 0, 0, 4, 0]]) / 4
    X = DiscreteMarkovChain('X', trans_probs=T)
    assert not X.is_regular()
    assert X.is_ergodic()
    T = Matrix([[0, 1], [1, 0]])
    X = DiscreteMarkovChain('X', trans_probs=T)
    assert not X.is_regular()
    assert X.is_ergodic()
    # http://www.math.wisc.edu/~valko/courses/331/MC2.pdf
    T = Matrix([[2, 1, 1], [2, 0, 2], [1, 1, 2]]) / 4
    X = DiscreteMarkovChain('X', trans_probs=T)
    assert X.is_regular()
    assert X.is_ergodic()
    # https://docs.ufpr.br/~lucambio/CE222/1S2014/Kemeny-Snell1976.pdf
    T = Matrix([[1, 1], [1, 1]]) / 2
    X = DiscreteMarkovChain('X', trans_probs=T)
    assert X.is_regular()
    assert X.is_ergodic()

    # test is_absorbing_chain
    T = Matrix([[0, 1, 0], [1, 0, 0], [0, 0, 1]])
    X = DiscreteMarkovChain('X', trans_probs=T)
    assert not X.is_absorbing_chain()
    # https://en.wikipedia.org/wiki/Absorbing_Markov_chain
    T = Matrix([[1, 1, 0, 0], [0, 1, 1, 0], [1, 0, 0, 1], [0, 0, 0, 2]]) / 2
    X = DiscreteMarkovChain('X', trans_probs=T)
    assert X.is_absorbing_chain()
    T = Matrix([[2, 0, 0, 0, 0], [1, 0, 1, 0, 0], [0, 1, 0, 1, 0],
                [0, 0, 1, 0, 1], [0, 0, 0, 0, 2]]) / 2
    X = DiscreteMarkovChain('X', trans_probs=T)
    assert X.is_absorbing_chain()

    # test custom state space
    Y10 = DiscreteMarkovChain('Y', [1, 2, 3], TO2)
    tuples = Y10.communication_classes()
    classes, recurrence, periods = list(zip(*tuples))
    assert classes == ([1], [2, 3])
    assert recurrence == (True, False)
    assert periods == (1, 1)
    assert Y10.canonical_form() == ([1, 2, 3], TO2)
    assert Y10.decompose() == ([1, 2, 3], TO2[0:1, 0:1], TO2[1:3,
                                                             0:1], TO2[1:3,
                                                                       1:3])

    # testing miscellaneous queries
    T = Matrix([[S.Half, Rational(1, 4),
                 Rational(1, 4)], [Rational(1, 3), 0,
                                   Rational(2, 3)], [S.Half, S.Half, 0]])
    X = DiscreteMarkovChain('X', [0, 1, 2], T)
    assert P(
        Eq(X[1], 2) & Eq(X[2], 1) & Eq(X[3], 0),
        Eq(P(Eq(X[1], 0)), Rational(1, 4))
        & Eq(P(Eq(X[1], 1)), Rational(1, 4))) == Rational(1, 12)
    assert P(Eq(X[2], 1) | Eq(X[2], 2), Eq(X[1], 1)) == Rational(2, 3)
    assert P(Eq(X[2], 1) & Eq(X[2], 2), Eq(X[1], 1)) is S.Zero
    assert P(Ne(X[2], 2), Eq(X[1], 1)) == Rational(1, 3)
    assert E(X[1]**2, Eq(X[0], 1)) == Rational(8, 3)
    assert variance(X[1], Eq(X[0], 1)) == Rational(8, 9)
    raises(ValueError, lambda: E(X[1], Eq(X[2], 1)))
    raises(ValueError, lambda: DiscreteMarkovChain('X', [0, 1], T))

    # testing miscellaneous queries with different state space
    X = DiscreteMarkovChain('X', ['A', 'B', 'C'], T)
    assert P(
        Eq(X[1], 2) & Eq(X[2], 1) & Eq(X[3], 0),
        Eq(P(Eq(X[1], 0)), Rational(1, 4))
        & Eq(P(Eq(X[1], 1)), Rational(1, 4))) == Rational(1, 12)
    assert P(Eq(X[2], 1) | Eq(X[2], 2), Eq(X[1], 1)) == Rational(2, 3)
    assert P(Eq(X[2], 1) & Eq(X[2], 2), Eq(X[1], 1)) is S.Zero
    assert P(Ne(X[2], 2), Eq(X[1], 1)) == Rational(1, 3)
    a = X.state_space.args[0]
    c = X.state_space.args[2]
    assert (E(X[1]**2, Eq(X[0], 1)) -
            (a**2 / 3 + 2 * c**2 / 3)).simplify() == 0
    assert (variance(X[1], Eq(X[0], 1)) -
            (2 * (-a / 3 + c / 3)**2 / 3 +
             (2 * a / 3 - 2 * c / 3)**2 / 3)).simplify() == 0
    raises(ValueError, lambda: E(X[1], Eq(X[2], 1)))

    #testing queries with multiple RandomIndexedSymbols
    T = Matrix([[Rational(5, 10),
                 Rational(3, 10),
                 Rational(2, 10)],
                [Rational(2, 10),
                 Rational(7, 10),
                 Rational(1, 10)],
                [Rational(3, 10),
                 Rational(3, 10),
                 Rational(4, 10)]])
    Y = DiscreteMarkovChain("Y", [0, 1, 2], T)
    assert P(Eq(Y[7], Y[5]), Eq(Y[2], 0)).round(5) == Float(0.44428, 5)
    assert P(Gt(Y[3], Y[1]), Eq(Y[0], 0)).round(2) == Float(0.36, 2)
    assert P(Le(Y[5], Y[10]), Eq(Y[4], 2)).round(6) == Float(0.583120, 6)
    assert Float(P(Eq(Y[10], Y[5]), Eq(Y[4], 1)),
                 14) == Float(1 - P(Ne(Y[10], Y[5]), Eq(Y[4], 1)), 14)
    assert Float(P(Gt(Y[8], Y[9]), Eq(Y[3], 2)),
                 14) == Float(1 - P(Le(Y[8], Y[9]), Eq(Y[3], 2)), 14)
    assert Float(P(Lt(Y[1], Y[4]), Eq(Y[0], 0)),
                 14) == Float(1 - P(Ge(Y[1], Y[4]), Eq(Y[0], 0)), 14)
    assert P(Eq(Y[5], Y[10]), Eq(Y[2], 1)) == P(Eq(Y[10], Y[5]), Eq(Y[2], 1))
    assert P(Gt(Y[1], Y[2]), Eq(Y[0], 1)) == P(Lt(Y[2], Y[1]), Eq(Y[0], 1))
    assert P(Ge(Y[7], Y[6]), Eq(Y[4], 1)) == P(Le(Y[6], Y[7]), Eq(Y[4], 1))

    #test symbolic queries
    a, b, c, d = symbols('a b c d')
    T = Matrix([[Rational(1, 10),
                 Rational(4, 10),
                 Rational(5, 10)],
                [Rational(3, 10),
                 Rational(4, 10),
                 Rational(3, 10)],
                [Rational(7, 10),
                 Rational(2, 10),
                 Rational(1, 10)]])
    Y = DiscreteMarkovChain("Y", [0, 1, 2], T)
    query = P(Eq(Y[a], b), Eq(Y[c], d))
    assert query.subs({
        a: 10,
        b: 2,
        c: 5,
        d: 1
    }).evalf().round(4) == P(Eq(Y[10], 2), Eq(Y[5], 1)).round(4)
    assert query.subs({
        a: 15,
        b: 0,
        c: 10,
        d: 1
    }).evalf().round(4) == P(Eq(Y[15], 0), Eq(Y[10], 1)).round(4)
    query_gt = P(Gt(Y[a], b), Eq(Y[c], d))
    query_le = P(Le(Y[a], b), Eq(Y[c], d))
    assert query_gt.subs({
        a: 5,
        b: 2,
        c: 1,
        d: 0
    }).evalf() + query_le.subs({
        a: 5,
        b: 2,
        c: 1,
        d: 0
    }).evalf() == 1
    query_ge = P(Ge(Y[a], b), Eq(Y[c], d))
    query_lt = P(Lt(Y[a], b), Eq(Y[c], d))
    assert query_ge.subs({
        a: 4,
        b: 1,
        c: 0,
        d: 2
    }).evalf() + query_lt.subs({
        a: 4,
        b: 1,
        c: 0,
        d: 2
    }).evalf() == 1

    #test issue 20078
    assert (2 * Y[1] + 3 * Y[1]).simplify() == 5 * Y[1]
    assert (2 * Y[1] - 3 * Y[1]).simplify() == -Y[1]
    assert (2 * (0.25 * Y[1])).simplify() == 0.5 * Y[1]
    assert ((2 * Y[1]) * (0.25 * Y[1])).simplify() == 0.5 * Y[1]**2
    assert (Y[1]**2 + Y[1]**3).simplify() == (Y[1] + 1) * Y[1]**2
Exemplo n.º 2
0
def test_DiscreteMarkovChain():

    # pass only the name
    X = DiscreteMarkovChain("X")
    assert X.state_space == S.Reals
    assert X.index_set == S.Naturals0
    assert X.transition_probabilities == None
    t = symbols("t", positive=True, integer=True)
    assert isinstance(X[t], RandomIndexedSymbol)
    assert E(X[0]) == Expectation(X[0])
    raises(TypeError, lambda: DiscreteMarkovChain(1))
    raises(NotImplementedError, lambda: X(t))

    # pass name and state_space
    Y = DiscreteMarkovChain("Y", [1, 2, 3])
    assert Y.transition_probabilities == None
    assert Y.state_space == FiniteSet(1, 2, 3)
    assert P(Eq(Y[2], 1), Eq(Y[0], 2)) == Probability(Eq(Y[2], 1), Eq(Y[0], 2))
    assert E(X[0]) == Expectation(X[0])
    raises(TypeError, lambda: DiscreteMarkovChain("Y", dict((1, 1))))

    # pass name, state_space and transition_probabilities
    T = Matrix([[0.5, 0.2, 0.3], [0.2, 0.5, 0.3], [0.2, 0.3, 0.5]])
    TS = MatrixSymbol("T", 3, 3)
    Y = DiscreteMarkovChain("Y", [0, 1, 2], T)
    YS = DiscreteMarkovChain("Y", [0, 1, 2], TS)
    assert YS._transient2transient() == None
    assert YS._transient2absorbing() == None
    assert Y.joint_distribution(1, Y[2],
                                3) == JointDistribution(Y[1], Y[2], Y[3])
    raises(ValueError, lambda: Y.joint_distribution(Y[1].symbol, Y[2].symbol))
    assert P(Eq(Y[3], 2), Eq(Y[1], 1)).round(2) == Float(0.36, 2)
    assert (str(P(Eq(YS[3], 2), Eq(
        YS[1], 1))) == "T[0, 2]*T[1, 0] + T[1, 1]*T[1, 2] + T[1, 2]*T[2, 2]")
    assert P(Eq(YS[1], 1), Eq(YS[2], 2)) == Probability(Eq(YS[1], 1))
    assert P(Eq(YS[3], 3), Eq(YS[1], 1)) is S.Zero
    TO = Matrix([[0.25, 0.75, 0], [0, 0.25, 0.75], [0.75, 0, 0.25]])
    assert P(Eq(Y[3], 2),
             Eq(Y[1], 1) & TransitionMatrixOf(Y, TO)).round(3) == Float(
                 0.375, 3)
    assert E(Y[3], evaluate=False) == Expectation(Y[3])
    assert E(Y[3], Eq(Y[2], 1)).round(2) == Float(1.1, 3)
    TSO = MatrixSymbol("T", 4, 4)
    raises(
        ValueError,
        lambda: str(P(Eq(YS[3], 2),
                      Eq(YS[1], 1) & TransitionMatrixOf(YS, TSO))),
    )
    raises(TypeError,
           lambda: DiscreteMarkovChain("Z", [0, 1, 2], symbols("M")))
    raises(
        ValueError,
        lambda: DiscreteMarkovChain("Z", [0, 1, 2], MatrixSymbol("T", 3, 4)))
    raises(ValueError, lambda: E(Y[3], Eq(Y[2], 6)))
    raises(ValueError, lambda: E(Y[2], Eq(Y[3], 1)))

    # extended tests for probability queries
    TO1 = Matrix([
        [Rational(1, 4), Rational(3, 4), 0],
        [Rational(1, 3), Rational(1, 3),
         Rational(1, 3)],
        [0, Rational(1, 4), Rational(3, 4)],
    ])
    assert P(
        And(Eq(Y[2], 1), Eq(Y[1], 1), Eq(Y[0], 0)),
        Eq(Probability(Eq(Y[0], 0)), Rational(1, 4))
        & TransitionMatrixOf(Y, TO1),
    ) == Rational(1, 16)
    assert (P(And(Eq(Y[2], 1), Eq(Y[1], 1), Eq(Y[0], 0)),
              TransitionMatrixOf(Y, TO1)) == Probability(Eq(Y[0], 0)) / 4)
    assert P(
        Lt(X[1], 2) & Gt(X[1], 0),
        Eq(X[0], 2) & StochasticStateSpaceOf(X, [0, 1, 2])
        & TransitionMatrixOf(X, TO1),
    ) == Rational(1, 4)
    assert (P(
        Ne(X[1], 2) & Ne(X[1], 1),
        Eq(X[0], 2)
        & StochasticStateSpaceOf(X, [0, 1, 2])
        & TransitionMatrixOf(X, TO1),
    ) is S.Zero)
    assert P(And(Eq(Y[2], 1), Eq(Y[1], 1), Eq(Y[0], 0)),
             Eq(Y[1], 1)) == 0.1 * Probability(Eq(Y[0], 0))

    # testing properties of Markov chain
    TO2 = Matrix([
        [S.One, 0, 0],
        [Rational(1, 3), Rational(1, 3),
         Rational(1, 3)],
        [0, Rational(1, 4), Rational(3, 4)],
    ])
    TO3 = Matrix([
        [Rational(1, 4), Rational(3, 4), 0],
        [Rational(1, 3), Rational(1, 3),
         Rational(1, 3)],
        [0, Rational(1, 4), Rational(3, 4)],
    ])
    Y2 = DiscreteMarkovChain("Y", trans_probs=TO2)
    Y3 = DiscreteMarkovChain("Y", trans_probs=TO3)
    assert Y3._transient2absorbing() == None
    raises(ValueError, lambda: Y3.fundamental_matrix())
    assert Y2.is_absorbing_chain() == True
    assert Y3.is_absorbing_chain() == False
    TO4 = Matrix([
        [Rational(1, 5), Rational(2, 5),
         Rational(2, 5)],
        [Rational(1, 10), S.Half, Rational(2, 5)],
        [Rational(3, 5), Rational(3, 10),
         Rational(1, 10)],
    ])
    Y4 = DiscreteMarkovChain("Y", trans_probs=TO4)
    w = ImmutableMatrix([[Rational(11, 39),
                          Rational(16, 39),
                          Rational(4, 13)]])
    assert Y4.limiting_distribution == w
    assert Y4.is_regular() == True
    TS1 = MatrixSymbol("T", 3, 3)
    Y5 = DiscreteMarkovChain("Y", trans_probs=TS1)
    assert Y5.limiting_distribution(w, TO4).doit() == True
    TO6 = Matrix([
        [S.One, 0, 0, 0, 0],
        [S.Half, 0, S.Half, 0, 0],
        [0, S.Half, 0, S.Half, 0],
        [0, 0, S.Half, 0, S.Half],
        [0, 0, 0, 0, 1],
    ])
    Y6 = DiscreteMarkovChain("Y", trans_probs=TO6)
    assert Y6._transient2absorbing() == ImmutableMatrix([[S.Half, 0], [0, 0],
                                                         [0, S.Half]])
    assert Y6._transient2transient() == ImmutableMatrix([[0, S.Half, 0],
                                                         [S.Half, 0, S.Half],
                                                         [0, S.Half, 0]])
    assert Y6.fundamental_matrix() == ImmutableMatrix([
        [Rational(3, 2), S.One, S.Half],
        [S.One, S(2), S.One],
        [S.Half, S.One, Rational(3, 2)],
    ])
    assert Y6.absorbing_probabilites() == ImmutableMatrix([
        [Rational(3, 4), Rational(1, 4)],
        [S.Half, S.Half],
        [Rational(1, 4), Rational(3, 4)],
    ])

    # testing miscellaneous queries
    T = Matrix([
        [S.Half, Rational(1, 4), Rational(1, 4)],
        [Rational(1, 3), 0, Rational(2, 3)],
        [S.Half, S.Half, 0],
    ])
    X = DiscreteMarkovChain("X", [0, 1, 2], T)
    assert P(
        Eq(X[1], 2) & Eq(X[2], 1) & Eq(X[3], 0),
        Eq(P(Eq(X[1], 0)), Rational(1, 4))
        & Eq(P(Eq(X[1], 1)), Rational(1, 4)),
    ) == Rational(1, 12)
    assert P(Eq(X[2], 1) | Eq(X[2], 2), Eq(X[1], 1)) == Rational(2, 3)
    assert P(Eq(X[2], 1) & Eq(X[2], 2), Eq(X[1], 1)) is S.Zero
    assert P(Ne(X[2], 2), Eq(X[1], 1)) == Rational(1, 3)
    assert E(X[1]**2, Eq(X[0], 1)) == Rational(8, 3)
    assert variance(X[1], Eq(X[0], 1)) == Rational(8, 9)
    raises(ValueError, lambda: E(X[1], Eq(X[2], 1)))
Exemplo n.º 3
0
def test_DiscreteMarkovChain():

    # pass only the name
    X = DiscreteMarkovChain("X")
    assert X.state_space == S.Reals
    assert X.index_set == S.Naturals0
    assert X.transition_probabilities == None
    t = symbols('t', positive=True, integer=True)
    assert isinstance(X[t], RandomIndexedSymbol)
    assert E(X[0]) == Expectation(X[0])
    raises(TypeError, lambda: DiscreteMarkovChain(1))
    raises(NotImplementedError, lambda: X(t))

    # pass name and state_space
    Y = DiscreteMarkovChain("Y", [1, 2, 3])
    assert Y.transition_probabilities == None
    assert Y.state_space == FiniteSet(1, 2, 3)
    assert P(Eq(Y[2], 1), Eq(Y[0], 2)) == Probability(Eq(Y[2], 1), Eq(Y[0], 2))
    assert E(X[0]) == Expectation(X[0])
    raises(TypeError, lambda: DiscreteMarkovChain("Y", dict((1, 1))))

    # pass name, state_space and transition_probabilities
    T = Matrix([[0.5, 0.2, 0.3], [0.2, 0.5, 0.3], [0.2, 0.3, 0.5]])
    TS = MatrixSymbol('T', 3, 3)
    Y = DiscreteMarkovChain("Y", [0, 1, 2], T)
    YS = DiscreteMarkovChain("Y", [0, 1, 2], TS)
    assert YS._transient2transient() == None
    assert YS._transient2absorbing() == None
    assert Y.joint_distribution(1, Y[2],
                                3) == JointDistribution(Y[1], Y[2], Y[3])
    raises(ValueError, lambda: Y.joint_distribution(Y[1].symbol, Y[2].symbol))
    assert P(Eq(Y[3], 2), Eq(Y[1], 1)).round(2) == Float(0.36, 2)
    assert str(P(Eq(YS[3], 2), Eq(YS[1], 1))) == \
        "T[0, 2]*T[1, 0] + T[1, 1]*T[1, 2] + T[1, 2]*T[2, 2]"
    TO = Matrix([[0.25, 0.75, 0], [0, 0.25, 0.75], [0.75, 0, 0.25]])
    assert P(Eq(Y[3], 2),
             Eq(Y[1], 1) & TransitionMatrixOf(Y, TO)).round(3) == Float(
                 0.375, 3)
    assert E(Y[3], evaluate=False) == Expectation(Y[3])
    assert E(Y[3], Eq(Y[2], 1)).round(2) == Float(1.1, 3)
    TSO = MatrixSymbol('T', 4, 4)
    raises(
        ValueError,
        lambda: str(P(Eq(YS[3], 2),
                      Eq(YS[1], 1) & TransitionMatrixOf(YS, TSO))))
    raises(TypeError,
           lambda: DiscreteMarkovChain("Z", [0, 1, 2], symbols('M')))
    raises(
        ValueError,
        lambda: DiscreteMarkovChain("Z", [0, 1, 2], MatrixSymbol('T', 3, 4)))
    raises(IndexError, lambda: str(P(Eq(YS[3], 3), Eq(YS[1], 1))))
    raises(ValueError, lambda: str(P(Eq(YS[1], 1), Eq(YS[2], 2))))
    raises(ValueError, lambda: E(Y[3], Eq(Y[2], 6)))
    raises(ValueError, lambda: E(Y[2], Eq(Y[3], 1)))

    # extended tests for probability queries
    TO1 = Matrix([[S(1) / 4, S(3) / 4, 0], [S(1) / 3,
                                            S(1) / 3,
                                            S(1) / 3], [0,
                                                        S(1) / 4,
                                                        S(3) / 4]])
    assert P(
        And(Eq(Y[2], 1), Eq(Y[1], 1), Eq(Y[0], 0)),
        Eq(Probability(Eq(Y[0], 0)),
           S(1) / 4) & TransitionMatrixOf(Y, TO1)) == S(1) / 16
    assert P(And(Eq(Y[2], 1), Eq(Y[1], 1), Eq(Y[0], 0)), TransitionMatrixOf(Y, TO1)) == \
            Probability(Eq(Y[0], 0))/4
    assert P(
        Lt(X[1], 2) & Gt(X[1], 0),
        Eq(X[0], 2) & StochasticStateSpaceOf(X, [0, 1, 2])
        & TransitionMatrixOf(X, TO1)) == S(1) / 4
    assert P(
        Ne(X[1], 2) & Ne(X[1], 1),
        Eq(X[0], 2) & StochasticStateSpaceOf(X, [0, 1, 2])
        & TransitionMatrixOf(X, TO1)) == S(0)
    raises(
        ValueError, lambda: str(
            P(And(Eq(Y[2], 1), Eq(Y[1], 1), Eq(Y[0], 0)), Eq(Y[1], 1))))

    # testing properties of Markov chain
    TO2 = Matrix([[S(1), 0, 0], [S(1) / 3, S(1) / 3,
                                 S(1) / 3], [0, S(1) / 4,
                                             S(3) / 4]])
    TO3 = Matrix([[S(1) / 4, S(3) / 4, 0], [S(1) / 3,
                                            S(1) / 3,
                                            S(1) / 3], [0,
                                                        S(1) / 4,
                                                        S(3) / 4]])
    Y2 = DiscreteMarkovChain('Y', trans_probs=TO2)
    Y3 = DiscreteMarkovChain('Y', trans_probs=TO3)
    assert Y3._transient2absorbing() == None
    raises(ValueError, lambda: Y3.fundamental_matrix())
    assert Y2.is_absorbing_chain() == True
    assert Y3.is_absorbing_chain() == False
    TO4 = Matrix([[S(1) / 5, S(2) / 5, S(2) / 5],
                  [S(1) / 10, S(1) / 2, S(2) / 5],
                  [S(3) / 5, S(3) / 10, S(1) / 10]])
    Y4 = DiscreteMarkovChain('Y', trans_probs=TO4)
    w = ImmutableMatrix([[S(11) / 39, S(16) / 39, S(4) / 13]])
    assert Y4.limiting_distribution == w
    assert Y4.is_regular() == True
    TS1 = MatrixSymbol('T', 3, 3)
    Y5 = DiscreteMarkovChain('Y', trans_probs=TS1)
    assert Y5.limiting_distribution(w, TO4).doit() == True
    TO6 = Matrix([[S(1), 0, 0, 0, 0], [S(1) / 2, 0,
                                       S(1) / 2, 0, 0],
                  [0, S(1) / 2, 0, S(1) / 2, 0], [0, 0,
                                                  S(1) / 2, 0,
                                                  S(1) / 2], [0, 0, 0, 0, 1]])
    Y6 = DiscreteMarkovChain('Y', trans_probs=TO6)
    assert Y6._transient2absorbing() == ImmutableMatrix([[S(1) / 2, 0], [0, 0],
                                                         [0, S(1) / 2]])
    assert Y6._transient2transient() == ImmutableMatrix(
        [[0, S(1) / 2, 0], [S(1) / 2, 0, S(1) / 2], [0, S(1) / 2, 0]])
    assert Y6.fundamental_matrix() == ImmutableMatrix(
        [[S(3) / 2, S(1), S(1) / 2], [S(1), S(2), S(1)],
         [S(1) / 2, S(1), S(3) / 2]])
    assert Y6.absorbing_probabilites() == ImmutableMatrix(
        [[S(3) / 4, S(1) / 4], [S(1) / 2, S(1) / 2], [S(1) / 4,
                                                      S(3) / 4]])

    # testing miscellaneous queries
    T = Matrix([[S(1) / 2, S(1) / 4, S(1) / 4], [S(1) / 3, 0,
                                                 S(2) / 3],
                [S(1) / 2, S(1) / 2, 0]])
    X = DiscreteMarkovChain('X', [0, 1, 2], T)
    assert P(
        Eq(X[1], 2) & Eq(X[2], 1) & Eq(X[3], 0),
        Eq(P(Eq(X[1], 0)),
           S(1) / 4) & Eq(P(Eq(X[1], 1)),
                          S(1) / 4)) == S(1) / 12
    assert P(Eq(X[2], 1) | Eq(X[2], 2), Eq(X[1], 1)) == S(2) / 3
    assert P(Eq(X[2], 1) & Eq(X[2], 2), Eq(X[1], 1)) == S(0)
    assert P(Ne(X[2], 2), Eq(X[1], 1)) == S(1) / 3
    assert E(X[1]**2, Eq(X[0], 1)) == S(8) / 3
    assert variance(X[1], Eq(X[0], 1)) == S(8) / 9
    raises(ValueError, lambda: E(X[1], Eq(X[2], 1)))
Exemplo n.º 4
0
def test_DiscreteMarkovChain():

    # pass only the name
    X = DiscreteMarkovChain("X")
    assert isinstance(X.state_space, Range)
    assert X.index_set == S.Naturals0
    assert isinstance(X.transition_probabilities, MatrixSymbol)
    t = symbols('t', positive=True, integer=True)
    assert isinstance(X[t], RandomIndexedSymbol)
    assert E(X[0]) == Expectation(X[0])
    raises(TypeError, lambda: DiscreteMarkovChain(1))
    raises(NotImplementedError, lambda: X(t))

    nz = Symbol('n', integer=True)
    TZ = MatrixSymbol('M', nz, nz)
    SZ = Range(nz)
    YZ = DiscreteMarkovChain('Y', SZ, TZ)
    assert P(Eq(YZ[2], 1), Eq(YZ[1], 0)) == TZ[0, 1]

    raises(ValueError, lambda: sample_stochastic_process(t))
    raises(ValueError, lambda: next(sample_stochastic_process(X)))
    # pass name and state_space
    # any hashable object should be a valid state
    # states should be valid as a tuple/set/list/Tuple/Range
    sym, rainy, cloudy, sunny = symbols('a Rainy Cloudy Sunny', real=True)
    state_spaces = [(1, 2, 3), [Str('Hello'), sym, DiscreteMarkovChain],
                    Tuple(1, exp(sym), Str('World'), sympify=False),
                    Range(-1, 5, 2), [rainy, cloudy, sunny]]
    chains = [
        DiscreteMarkovChain("Y", state_space) for state_space in state_spaces
    ]

    for i, Y in enumerate(chains):
        assert isinstance(Y.transition_probabilities, MatrixSymbol)
        assert Y.state_space == state_spaces[i] or Y.state_space == FiniteSet(
            *state_spaces[i])
        assert Y.number_of_states == 3

        with ignore_warnings(
                UserWarning):  # TODO: Restore tests once warnings are removed
            assert P(Eq(Y[2], 1), Eq(Y[0], 2),
                     evaluate=False) == Probability(Eq(Y[2], 1), Eq(Y[0], 2))
        assert E(Y[0]) == Expectation(Y[0])

        raises(ValueError, lambda: next(sample_stochastic_process(Y)))

    raises(TypeError, lambda: DiscreteMarkovChain("Y", dict((1, 1))))
    Y = DiscreteMarkovChain("Y", Range(1, t, 2))
    assert Y.number_of_states == ceiling((t - 1) / 2)

    # pass name and transition_probabilities
    chains = [
        DiscreteMarkovChain("Y", trans_probs=Matrix([[]])),
        DiscreteMarkovChain("Y", trans_probs=Matrix([[0, 1], [1, 0]])),
        DiscreteMarkovChain("Y",
                            trans_probs=Matrix([[pi, 1 - pi], [sym, 1 - sym]]))
    ]
    for Z in chains:
        assert Z.number_of_states == Z.transition_probabilities.shape[0]
        assert isinstance(Z.transition_probabilities, ImmutableDenseMatrix)

    # pass name, state_space and transition_probabilities
    T = Matrix([[0.5, 0.2, 0.3], [0.2, 0.5, 0.3], [0.2, 0.3, 0.5]])
    TS = MatrixSymbol('T', 3, 3)
    Y = DiscreteMarkovChain("Y", [0, 1, 2], T)
    YS = DiscreteMarkovChain("Y", ['One', 'Two', 3], TS)
    assert YS._transient2transient() == None
    assert YS._transient2absorbing() == None
    assert Y.joint_distribution(1, Y[2],
                                3) == JointDistribution(Y[1], Y[2], Y[3])
    raises(ValueError, lambda: Y.joint_distribution(Y[1].symbol, Y[2].symbol))
    assert P(Eq(Y[3], 2), Eq(Y[1], 1)).round(2) == Float(0.36, 2)
    assert (P(Eq(YS[3], 2), Eq(YS[1], 1)) -
            (TS[0, 2] * TS[1, 0] + TS[1, 1] * TS[1, 2] +
             TS[1, 2] * TS[2, 2])).simplify() == 0
    assert P(Eq(YS[1], 1), Eq(YS[2], 2)) == Probability(Eq(YS[1], 1))
    assert P(Eq(YS[3], 3), Eq(
        YS[1],
        1)) == TS[0, 2] * TS[1, 0] + TS[1, 1] * TS[1, 2] + TS[1, 2] * TS[2, 2]
    TO = Matrix([[0.25, 0.75, 0], [0, 0.25, 0.75], [0.75, 0, 0.25]])
    assert P(Eq(Y[3], 2),
             Eq(Y[1], 1) & TransitionMatrixOf(Y, TO)).round(3) == Float(
                 0.375, 3)
    with ignore_warnings(
            UserWarning):  ### TODO: Restore tests once warnings are removed
        assert E(Y[3], evaluate=False) == Expectation(Y[3])
        assert E(Y[3], Eq(Y[2], 1)).round(2) == Float(1.1, 3)
    TSO = MatrixSymbol('T', 4, 4)
    raises(
        ValueError,
        lambda: str(P(Eq(YS[3], 2),
                      Eq(YS[1], 1) & TransitionMatrixOf(YS, TSO))))
    raises(TypeError,
           lambda: DiscreteMarkovChain("Z", [0, 1, 2], symbols('M')))
    raises(
        ValueError,
        lambda: DiscreteMarkovChain("Z", [0, 1, 2], MatrixSymbol('T', 3, 4)))
    raises(ValueError, lambda: E(Y[3], Eq(Y[2], 6)))
    raises(ValueError, lambda: E(Y[2], Eq(Y[3], 1)))

    # extended tests for probability queries
    TO1 = Matrix([[Rational(1, 4), Rational(3, 4), 0],
                  [Rational(1, 3),
                   Rational(1, 3),
                   Rational(1, 3)], [0, Rational(1, 4),
                                     Rational(3, 4)]])
    assert P(
        And(Eq(Y[2], 1), Eq(Y[1], 1), Eq(Y[0], 0)),
        Eq(Probability(Eq(Y[0], 0)), Rational(1, 4))
        & TransitionMatrixOf(Y, TO1)) == Rational(1, 16)
    assert P(And(Eq(Y[2], 1), Eq(Y[1], 1), Eq(Y[0], 0)), TransitionMatrixOf(Y, TO1)) == \
            Probability(Eq(Y[0], 0))/4
    assert P(
        Lt(X[1], 2) & Gt(X[1], 0),
        Eq(X[0], 2) & StochasticStateSpaceOf(X, [0, 1, 2])
        & TransitionMatrixOf(X, TO1)) == Rational(1, 4)
    assert P(
        Lt(X[1], 2) & Gt(X[1], 0),
        Eq(X[0], 2) & StochasticStateSpaceOf(X, [None, 'None', 1])
        & TransitionMatrixOf(X, TO1)) == Rational(1, 4)
    assert P(
        Ne(X[1], 2) & Ne(X[1], 1),
        Eq(X[0], 2) & StochasticStateSpaceOf(X, [0, 1, 2])
        & TransitionMatrixOf(X, TO1)) is S.Zero
    assert P(
        Ne(X[1], 2) & Ne(X[1], 1),
        Eq(X[0], 2) & StochasticStateSpaceOf(X, [None, 'None', 1])
        & TransitionMatrixOf(X, TO1)) is S.Zero
    assert P(And(Eq(Y[2], 1), Eq(Y[1], 1), Eq(Y[0], 0)),
             Eq(Y[1], 1)) == 0.1 * Probability(Eq(Y[0], 0))

    # testing properties of Markov chain
    TO2 = Matrix([[S.One, 0, 0],
                  [Rational(1, 3),
                   Rational(1, 3),
                   Rational(1, 3)], [0, Rational(1, 4),
                                     Rational(3, 4)]])
    TO3 = Matrix([[Rational(1, 4), Rational(3, 4), 0],
                  [Rational(1, 3),
                   Rational(1, 3),
                   Rational(1, 3)], [0, Rational(1, 4),
                                     Rational(3, 4)]])
    Y2 = DiscreteMarkovChain('Y', trans_probs=TO2)
    Y3 = DiscreteMarkovChain('Y', trans_probs=TO3)
    assert Y3._transient2absorbing() == None
    raises(ValueError, lambda: Y3.fundamental_matrix())
    assert Y2.is_absorbing_chain() == True
    assert Y3.is_absorbing_chain() == False
    TO4 = Matrix([[Rational(1, 5),
                   Rational(2, 5),
                   Rational(2, 5)], [Rational(1, 10), S.Half,
                                     Rational(2, 5)],
                  [Rational(3, 5),
                   Rational(3, 10),
                   Rational(1, 10)]])
    Y4 = DiscreteMarkovChain('Y', trans_probs=TO4)
    w = ImmutableMatrix([[Rational(11, 39),
                          Rational(16, 39),
                          Rational(4, 13)]])
    assert Y4.limiting_distribution == w
    assert Y4.is_regular() == True
    TS1 = MatrixSymbol('T', 3, 3)
    Y5 = DiscreteMarkovChain('Y', trans_probs=TS1)
    assert Y5.limiting_distribution(w, TO4).doit() == True
    assert Y5.stationary_distribution(condition_set=True).subs(
        TS1, TO4).contains(w).doit() == S.true
    TO6 = Matrix([[S.One, 0, 0, 0, 0], [S.Half, 0, S.Half, 0, 0],
                  [0, S.Half, 0, S.Half, 0], [0, 0, S.Half, 0, S.Half],
                  [0, 0, 0, 0, 1]])
    Y6 = DiscreteMarkovChain('Y', trans_probs=TO6)
    assert Y6._transient2absorbing() == ImmutableMatrix([[S.Half, 0], [0, 0],
                                                         [0, S.Half]])
    assert Y6._transient2transient() == ImmutableMatrix([[0, S.Half, 0],
                                                         [S.Half, 0, S.Half],
                                                         [0, S.Half, 0]])
    assert Y6.fundamental_matrix() == ImmutableMatrix(
        [[Rational(3, 2), S.One, S.Half], [S.One, S(2), S.One],
         [S.Half, S.One, Rational(3, 2)]])
    assert Y6.absorbing_probabilities() == ImmutableMatrix(
        [[Rational(3, 4), Rational(1, 4)], [S.Half, S.Half],
         [Rational(1, 4), Rational(3, 4)]])

    # test for zero-sized matrix functionality
    X = DiscreteMarkovChain('X', trans_probs=Matrix([[]]))
    assert X.number_of_states == 0
    assert X.stationary_distribution() == Matrix([[]])
    # test communication_class
    # see https://drive.google.com/drive/folders/1HbxLlwwn2b3U8Lj7eb_ASIUb5vYaNIjg?usp=sharing
    # tutorial 2.pdf
    TO7 = Matrix([[0, 5, 5, 0, 0], [0, 0, 0, 10, 0], [5, 0, 5, 0, 0],
                  [0, 10, 0, 0, 0], [0, 3, 0, 3, 4]]) / 10
    Y7 = DiscreteMarkovChain('Y', trans_probs=TO7)
    tuples = Y7.communication_classes()
    classes, recurrence, periods = list(zip(*tuples))
    assert classes == ([1, 3], [0, 2], [4])
    assert recurrence == (True, False, False)
    assert periods == (2, 1, 1)

    TO8 = Matrix([[0, 0, 0, 10, 0, 0], [5, 0, 5, 0, 0, 0], [0, 4, 0, 0, 0, 6],
                  [10, 0, 0, 0, 0, 0], [0, 10, 0, 0, 0, 0], [0, 0, 0, 5, 5, 0]
                  ]) / 10
    Y8 = DiscreteMarkovChain('Y', trans_probs=TO8)
    tuples = Y8.communication_classes()
    classes, recurrence, periods = list(zip(*tuples))
    assert classes == ([0, 3], [1, 2, 5, 4])
    assert recurrence == (True, False)
    assert periods == (2, 2)

    TO9 = Matrix(
        [[2, 0, 0, 3, 0, 0, 3, 2, 0, 0], [0, 10, 0, 0, 0, 0, 0, 0, 0, 0],
         [0, 2, 2, 0, 0, 0, 0, 0, 3, 3], [0, 0, 0, 3, 0, 0, 6, 1, 0, 0],
         [0, 0, 0, 0, 5, 5, 0, 0, 0, 0], [0, 0, 0, 0, 0, 10, 0, 0, 0, 0],
         [4, 0, 0, 5, 0, 0, 1, 0, 0, 0], [2, 0, 0, 4, 0, 0, 2, 2, 0, 0],
         [3, 0, 1, 0, 0, 0, 0, 0, 4, 2], [0, 0, 4, 0, 0, 0, 0, 0, 3, 3]]) / 10
    Y9 = DiscreteMarkovChain('Y', trans_probs=TO9)
    tuples = Y9.communication_classes()
    classes, recurrence, periods = list(zip(*tuples))
    assert classes == ([0, 3, 6, 7], [1], [2, 8, 9], [5], [4])
    assert recurrence == (True, True, False, True, False)
    assert periods == (1, 1, 1, 1, 1)

    # test custom state space
    Y10 = DiscreteMarkovChain('Y', [1, 2, 3], TO2)
    tuples = Y10.communication_classes()
    classes, recurrence, periods = list(zip(*tuples))
    assert classes == ([1], [2, 3])
    assert recurrence == (True, False)
    assert periods == (1, 1)

    # testing miscellaneous queries
    T = Matrix([[S.Half, Rational(1, 4),
                 Rational(1, 4)], [Rational(1, 3), 0,
                                   Rational(2, 3)], [S.Half, S.Half, 0]])
    X = DiscreteMarkovChain('X', [0, 1, 2], T)
    assert P(
        Eq(X[1], 2) & Eq(X[2], 1) & Eq(X[3], 0),
        Eq(P(Eq(X[1], 0)), Rational(1, 4))
        & Eq(P(Eq(X[1], 1)), Rational(1, 4))) == Rational(1, 12)
    assert P(Eq(X[2], 1) | Eq(X[2], 2), Eq(X[1], 1)) == Rational(2, 3)
    assert P(Eq(X[2], 1) & Eq(X[2], 2), Eq(X[1], 1)) is S.Zero
    assert P(Ne(X[2], 2), Eq(X[1], 1)) == Rational(1, 3)
    assert E(X[1]**2, Eq(X[0], 1)) == Rational(8, 3)
    assert variance(X[1], Eq(X[0], 1)) == Rational(8, 9)
    raises(ValueError, lambda: E(X[1], Eq(X[2], 1)))
    raises(ValueError, lambda: DiscreteMarkovChain('X', [0, 1], T))

    # testing miscellaneous queries with different state space
    X = DiscreteMarkovChain('X', ['A', 'B', 'C'], T)
    assert P(
        Eq(X[1], 2) & Eq(X[2], 1) & Eq(X[3], 0),
        Eq(P(Eq(X[1], 0)), Rational(1, 4))
        & Eq(P(Eq(X[1], 1)), Rational(1, 4))) == Rational(1, 12)
    assert P(Eq(X[2], 1) | Eq(X[2], 2), Eq(X[1], 1)) == Rational(2, 3)
    assert P(Eq(X[2], 1) & Eq(X[2], 2), Eq(X[1], 1)) is S.Zero
    assert P(Ne(X[2], 2), Eq(X[1], 1)) == Rational(1, 3)
    a = X.state_space.args[0]
    c = X.state_space.args[2]
    assert (E(X[1]**2, Eq(X[0], 1)) -
            (a**2 / 3 + 2 * c**2 / 3)).simplify() == 0
    assert (variance(X[1], Eq(X[0], 1)) -
            (2 * (-a / 3 + c / 3)**2 / 3 +
             (2 * a / 3 - 2 * c / 3)**2 / 3)).simplify() == 0
    raises(ValueError, lambda: E(X[1], Eq(X[2], 1)))
Exemplo n.º 5
0
def test_DiscreteMarkovChain():

    # pass only the name
    X = DiscreteMarkovChain("X")
    assert isinstance(X.state_space, Range)
    assert isinstance(X.index_of, Range)
    assert not X._is_numeric
    assert X.index_set == S.Naturals0
    assert isinstance(X.transition_probabilities, MatrixSymbol)
    t = symbols('t', positive=True, integer=True)
    assert isinstance(X[t], RandomIndexedSymbol)
    assert E(X[0]) == Expectation(X[0])
    raises(TypeError, lambda: DiscreteMarkovChain(1))
    raises(NotImplementedError, lambda: X(t))

    raises(ValueError, lambda: sample_stochastic_process(t))
    raises(ValueError, lambda: next(sample_stochastic_process(X)))
    # pass name and state_space
    # any hashable object should be a valid state
    # states should be valid as a tuple/set/list/Tuple/Range
    sym = symbols('a', real=True)
    state_spaces = [(1, 2, 3), [Str('Hello'), sym, DiscreteMarkovChain],
                    Tuple(1, exp(sym), Str('World'), sympify=False),
                    Range(-1, 7, 2)]
    chains = [
        DiscreteMarkovChain("Y", state_spaces[0]),
        DiscreteMarkovChain("Y", state_spaces[1]),
        DiscreteMarkovChain("Y", state_spaces[2])
    ]
    for i, Y in enumerate(chains):
        assert isinstance(Y.transition_probabilities, MatrixSymbol)
        assert Y.state_space == Tuple(*state_spaces[i])
        assert Y.number_of_states == 3
        assert not Y._is_numeric  # because no transition matrix is provided
        assert Y.index_of[state_spaces[i][0]] == 0
        assert Y.index_of[state_spaces[i][1]] == 1
        assert Y.index_of[state_spaces[i][2]] == 2

        with ignore_warnings(
                UserWarning):  # TODO: Restore tests once warnings are removed
            assert P(Eq(Y[2], 1), Eq(Y[0], 2),
                     evaluate=False) == Probability(Eq(Y[2], 1), Eq(Y[0], 2))
        assert E(Y[0]) == Expectation(Y[0])

        raises(ValueError, lambda: next(sample_stochastic_process(Y)))

    raises(TypeError, lambda: DiscreteMarkovChain("Y", dict((1, 1))))
    Y = DiscreteMarkovChain("Y", Range(1, t, 2))
    assert Y.number_of_states == ceiling((t - 1) / 2)
    raises(NotImplementedError, lambda: Y.index_of)

    # pass name and transition_probabilities
    chains = [
        DiscreteMarkovChain("Y", trans_probs=Matrix([[]])),
        DiscreteMarkovChain("Y", trans_probs=Matrix([[0, 1], [1, 0]])),
        DiscreteMarkovChain("Y",
                            trans_probs=Matrix([[pi, 1 - pi], [sym, 1 - sym]]))
    ]
    for Z in chains:
        assert Z.number_of_states == Z.transition_probabilities.shape[0]
        assert isinstance(Z.transition_probabilities, ImmutableDenseMatrix)
        assert isinstance(Z.state_space, Tuple)
        assert Z._is_numeric

    # pass name, state_space and transition_probabilities
    T = Matrix([[0.5, 0.2, 0.3], [0.2, 0.5, 0.3], [0.2, 0.3, 0.5]])
    TS = MatrixSymbol('T', 3, 3)
    Y = DiscreteMarkovChain("Y", [0, 1, 2], T)
    YS = DiscreteMarkovChain("Y", ['One', 'Two', 3], TS)
    assert YS._transient2transient() == None
    assert YS._transient2absorbing() == None
    assert Y.joint_distribution(1, Y[2],
                                3) == JointDistribution(Y[1], Y[2], Y[3])
    raises(ValueError, lambda: Y.joint_distribution(Y[1].symbol, Y[2].symbol))
    assert P(Eq(Y[3], 2), Eq(Y[1], 1)).round(2) == Float(0.36, 2)
    assert (P(Eq(YS[3], 2), Eq(YS[1], 1)) -
            (TS[0, 2] * TS[1, 0] + TS[1, 1] * TS[1, 2] +
             TS[1, 2] * TS[2, 2])).simplify() == 0
    assert P(Eq(YS[1], 1), Eq(YS[2], 2)) == Probability(Eq(YS[1], 1))
    assert P(Eq(YS[3], 3), Eq(YS[1], 1)) is S.Zero
    TO = Matrix([[0.25, 0.75, 0], [0, 0.25, 0.75], [0.75, 0, 0.25]])
    assert P(Eq(Y[3], 2),
             Eq(Y[1], 1) & TransitionMatrixOf(Y, TO)).round(3) == Float(
                 0.375, 3)
    with ignore_warnings(
            UserWarning):  ### TODO: Restore tests once warnings are removed
        assert E(Y[3], evaluate=False) == Expectation(Y[3])
        assert E(Y[3], Eq(Y[2], 1)).round(2) == Float(1.1, 3)
    TSO = MatrixSymbol('T', 4, 4)
    raises(
        ValueError,
        lambda: str(P(Eq(YS[3], 2),
                      Eq(YS[1], 1) & TransitionMatrixOf(YS, TSO))))
    raises(TypeError,
           lambda: DiscreteMarkovChain("Z", [0, 1, 2], symbols('M')))
    raises(
        ValueError,
        lambda: DiscreteMarkovChain("Z", [0, 1, 2], MatrixSymbol('T', 3, 4)))
    raises(ValueError, lambda: E(Y[3], Eq(Y[2], 6)))
    raises(ValueError, lambda: E(Y[2], Eq(Y[3], 1)))

    # extended tests for probability queries
    TO1 = Matrix([[Rational(1, 4), Rational(3, 4), 0],
                  [Rational(1, 3),
                   Rational(1, 3),
                   Rational(1, 3)], [0, Rational(1, 4),
                                     Rational(3, 4)]])
    assert P(
        And(Eq(Y[2], 1), Eq(Y[1], 1), Eq(Y[0], 0)),
        Eq(Probability(Eq(Y[0], 0)), Rational(1, 4))
        & TransitionMatrixOf(Y, TO1)) == Rational(1, 16)
    assert P(And(Eq(Y[2], 1), Eq(Y[1], 1), Eq(Y[0], 0)), TransitionMatrixOf(Y, TO1)) == \
            Probability(Eq(Y[0], 0))/4
    assert P(
        Lt(X[1], 2) & Gt(X[1], 0),
        Eq(X[0], 2) & StochasticStateSpaceOf(X, [0, 1, 2])
        & TransitionMatrixOf(X, TO1)) == Rational(1, 4)
    assert P(
        Lt(X[1], 2) & Gt(X[1], 0),
        Eq(X[0], 2) & StochasticStateSpaceOf(X, [None, 'None', 1])
        & TransitionMatrixOf(X, TO1)) == Rational(1, 4)
    assert P(
        Ne(X[1], 2) & Ne(X[1], 1),
        Eq(X[0], 2) & StochasticStateSpaceOf(X, [0, 1, 2])
        & TransitionMatrixOf(X, TO1)) is S.Zero
    assert P(
        Ne(X[1], 2) & Ne(X[1], 1),
        Eq(X[0], 2) & StochasticStateSpaceOf(X, [None, 'None', 1])
        & TransitionMatrixOf(X, TO1)) is S.Zero
    assert P(And(Eq(Y[2], 1), Eq(Y[1], 1), Eq(Y[0], 0)),
             Eq(Y[1], 1)) == 0.1 * Probability(Eq(Y[0], 0))

    # testing properties of Markov chain
    TO2 = Matrix([[S.One, 0, 0],
                  [Rational(1, 3),
                   Rational(1, 3),
                   Rational(1, 3)], [0, Rational(1, 4),
                                     Rational(3, 4)]])
    TO3 = Matrix([[Rational(1, 4), Rational(3, 4), 0],
                  [Rational(1, 3),
                   Rational(1, 3),
                   Rational(1, 3)], [0, Rational(1, 4),
                                     Rational(3, 4)]])
    Y2 = DiscreteMarkovChain('Y', trans_probs=TO2)
    Y3 = DiscreteMarkovChain('Y', trans_probs=TO3)
    assert Y3._transient2absorbing() == None
    raises(ValueError, lambda: Y3.fundamental_matrix())
    assert Y2.is_absorbing_chain() == True
    assert Y3.is_absorbing_chain() == False
    TO4 = Matrix([[Rational(1, 5),
                   Rational(2, 5),
                   Rational(2, 5)], [Rational(1, 10), S.Half,
                                     Rational(2, 5)],
                  [Rational(3, 5),
                   Rational(3, 10),
                   Rational(1, 10)]])
    Y4 = DiscreteMarkovChain('Y', trans_probs=TO4)
    w = ImmutableMatrix([[Rational(11, 39),
                          Rational(16, 39),
                          Rational(4, 13)]])
    assert Y4.limiting_distribution == w
    assert Y4.is_regular() == True
    TS1 = MatrixSymbol('T', 3, 3)
    Y5 = DiscreteMarkovChain('Y', trans_probs=TS1)
    assert Y5.limiting_distribution(w, TO4).doit() == True
    TO6 = Matrix([[S.One, 0, 0, 0, 0], [S.Half, 0, S.Half, 0, 0],
                  [0, S.Half, 0, S.Half, 0], [0, 0, S.Half, 0, S.Half],
                  [0, 0, 0, 0, 1]])
    Y6 = DiscreteMarkovChain('Y', trans_probs=TO6)
    assert Y6._transient2absorbing() == ImmutableMatrix([[S.Half, 0], [0, 0],
                                                         [0, S.Half]])
    assert Y6._transient2transient() == ImmutableMatrix([[0, S.Half, 0],
                                                         [S.Half, 0, S.Half],
                                                         [0, S.Half, 0]])
    assert Y6.fundamental_matrix() == ImmutableMatrix(
        [[Rational(3, 2), S.One, S.Half], [S.One, S(2), S.One],
         [S.Half, S.One, Rational(3, 2)]])
    assert Y6.absorbing_probabilities() == ImmutableMatrix(
        [[Rational(3, 4), Rational(1, 4)], [S.Half, S.Half],
         [Rational(1, 4), Rational(3, 4)]])

    # testing miscellaneous queries
    T = Matrix([[S.Half, Rational(1, 4),
                 Rational(1, 4)], [Rational(1, 3), 0,
                                   Rational(2, 3)], [S.Half, S.Half, 0]])
    X = DiscreteMarkovChain('X', [0, 1, 2], T)
    assert P(
        Eq(X[1], 2) & Eq(X[2], 1) & Eq(X[3], 0),
        Eq(P(Eq(X[1], 0)), Rational(1, 4))
        & Eq(P(Eq(X[1], 1)), Rational(1, 4))) == Rational(1, 12)
    assert P(Eq(X[2], 1) | Eq(X[2], 2), Eq(X[1], 1)) == Rational(2, 3)
    assert P(Eq(X[2], 1) & Eq(X[2], 2), Eq(X[1], 1)) is S.Zero
    assert P(Ne(X[2], 2), Eq(X[1], 1)) == Rational(1, 3)
    assert E(X[1]**2, Eq(X[0], 1)) == Rational(8, 3)
    assert variance(X[1], Eq(X[0], 1)) == Rational(8, 9)
    raises(ValueError, lambda: E(X[1], Eq(X[2], 1)))
    raises(ValueError, lambda: DiscreteMarkovChain('X', [0, 1], T))

    # testing miscellaneous queries with different state space
    X = DiscreteMarkovChain('X', ['A', 'B', 'C'], T)
    assert P(
        Eq(X[1], 2) & Eq(X[2], 1) & Eq(X[3], 0),
        Eq(P(Eq(X[1], 0)), Rational(1, 4))
        & Eq(P(Eq(X[1], 1)), Rational(1, 4))) == Rational(1, 12)
    assert P(Eq(X[2], 1) | Eq(X[2], 2), Eq(X[1], 1)) == Rational(2, 3)
    assert P(Eq(X[2], 1) & Eq(X[2], 2), Eq(X[1], 1)) is S.Zero
    assert P(Ne(X[2], 2), Eq(X[1], 1)) == Rational(1, 3)
    a = X.state_space.args[0]
    c = X.state_space.args[2]
    assert (E(X[1]**2, Eq(X[0], 1)) -
            (a**2 / 3 + 2 * c**2 / 3)).simplify() == 0
    assert (variance(X[1], Eq(X[0], 1)) -
            (2 * (-a / 3 + c / 3)**2 / 3 +
             (2 * a / 3 - 2 * c / 3)**2 / 3)).simplify() == 0
    raises(ValueError, lambda: E(X[1], Eq(X[2], 1)))