def test_MatrixGamma():
M = MatrixGamma('M', 1, 2, [[1, 0], [0, 1]])
assert M.pspace.distribution.set == MatrixSet(2, 2, S.Reals)
assert isinstance(density(M), MatrixGammaDistribution)
X = MatrixSymbol('X', 2, 2)
num = exp(Trace(Matrix([[-S(1) / 2, 0], [0, -S(1) / 2]]) * X))
assert density(M)(X).doit() == num / (4 * pi * sqrt(Determinant(X)))
assert density(M)([[2, 1], [1, 2]]).doit() == sqrt(3) * exp(-2) / (12 * pi)
X = MatrixSymbol('X', 1, 2)
Y = MatrixSymbol('Y', 1, 2)
assert density(M)([X, Y]).doit() == exp(-X[0, 0] / 2 - Y[0, 1] / 2) / (
4 * pi * sqrt(X[0, 0] * Y[0, 1] - X[0, 1] * Y[0, 0]))
# symbolic
a, b = symbols('a b', positive=True)
d = symbols('d', positive=True, integer=True)
Y = MatrixSymbol('Y', d, d)
Z = MatrixSymbol('Z', 2, 2)
SM = MatrixSymbol('SM', d, d)
M2 = MatrixGamma('M2', a, b, SM)
M3 = MatrixGamma('M3', 2, 3, [[2, 1], [1, 2]])
k = Dummy('k')
exprd = pi**(-d * (d - 1) / 4) * b**(-a * d) * exp(
Trace((-1 / b) * SM**(-1) * Y)) * Determinant(SM)**(-a) * Determinant(
Y)**(a - d / 2 - S(1) / 2) / Product(gamma(-k / 2 + a + S(1) / 2),
(k, 1, d))
assert density(M2)(Y).dummy_eq(exprd)
raises(NotImplementedError, lambda: density(M3 + M)(Z))
raises(ValueError, lambda: density(M)(1))
raises(ValueError, lambda: MatrixGamma('M', -1, 2, [[1, 0], [0, 1]]))
raises(ValueError, lambda: MatrixGamma('M', -1, -2, [[1, 0], [0, 1]]))
raises(ValueError, lambda: MatrixGamma('M', -1, 2, [[1, 0], [2, 1]]))
raises(ValueError, lambda: MatrixGamma('M', -1, 2, [[1, 0], [0]]))
def test_sample_pymc3():
distribs_pymc3 = [
MatrixNormal('M', [[5, 6], [3, 4]], [[1, 0], [0, 1]],
[[2, 1], [1, 2]]),
Wishart('W', 7, [[2, 1], [1, 2]])
]
size = 3
pymc3 = import_module('pymc3')
if not pymc3:
skip('PyMC3 is not installed. Abort tests for _sample_pymc3.')
else:
for X in distribs_pymc3:
samps = sample(X, size=size, library='pymc3')
for sam in samps:
assert Matrix(sam) in X.pspace.distribution.set
M = MatrixGamma('M', 1, 2, [[1, 0], [0, 1]])
raises(NotImplementedError, lambda: sample(M, size=3))
def test_sample_scipy():
distribs_scipy = [
MatrixNormal('M', [[5, 6]], [4], [[2, 1], [1, 2]]),
Wishart('W', 5, [[1, 0], [0, 1]])
]
size = 5
scipy = import_module('scipy')
if not scipy:
skip('Scipy not installed. Abort tests for _sample_scipy.')
else:
for X in distribs_scipy:
samps = sample(X, size=size)
for sam in samps:
assert Matrix(sam) in X.pspace.distribution.set
M = MatrixGamma('M', 1, 2, [[1, 0], [0, 1]])
raises(NotImplementedError, lambda: sample(M, size=3))
def test_sample_pymc3():
distribs_pymc3 = [
MatrixNormal('M', [[5, 6], [3, 4]], [[1, 0], [0, 1]], [[2, 1], [1, 2]]),
Wishart('W', 7, [[2, 1], [1, 2]])
]
size = 3
pymc3 = import_module('pymc3')
if not pymc3:
skip('PyMC3 is not installed. Abort tests for _sample_pymc3.')
else:
with ignore_warnings(UserWarning): ### TODO: Restore tests once warnings are removed
for X in distribs_pymc3:
samps = next(sample(X, size=size, library='pymc3'))
for sam in samps:
assert Matrix(sam) in X.pspace.distribution.set
M = MatrixGamma('M', 1, 2, [[1, 0], [0, 1]])
raises(NotImplementedError, lambda: next(sample(M, size=3)))
def test_sample_scipy():
distribs_scipy = [
MatrixNormal('M', [[5, 6]], [4], [[2, 1], [1, 2]]),
Wishart('W', 5, [[1, 0], [0, 1]])
]
size = 5
scipy = import_module('scipy')
if not scipy:
skip('Scipy not installed. Abort tests for _sample_scipy.')
else:
with ignore_warnings(UserWarning): ### TODO: Restore tests once warnings are removed
for X in distribs_scipy:
samps = next(sample(X, size=size))
for sam in samps:
assert Matrix(sam) in X.pspace.distribution.set
M = MatrixGamma('M', 1, 2, [[1, 0], [0, 1]])
raises(NotImplementedError, lambda: next(sample(M, size=3)))
