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nojhan 2011-12-15 21:38:53 +01:00
commit ff97af692d
2 changed files with 130 additions and 55 deletions
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115
test.cpp
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@ -1,3 +1,29 @@
/*
This library is free software; you can redistribute it and/or
modify it under the terms of the GNU Lesser General Public
License as published by the Free Software Foundation; either
version 2.1 of the License, or (at your option) any later version.
This library is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
Lesser General Public License for more details.
You should have received a copy of the GNU Lesser General Public
License along with this library; if not, write to the Free Software
Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301 USA
Copyright (C) 2010 Thales group
*/
/*
Authors:
Johann Dréo <johann.dreo@thalesgroup.com>
*/
#include <iostream>
#include <limits>
#include <iomanip>
#include <numeric>
#include "cholesky.h"
@ -79,7 +105,7 @@ MT error( const MT& M1, const MT& M2 )
template<typename MT >
double trigsum( const MT& M )
{
double sum;
double sum = 0;
for( unsigned int i=0; i<M.size1(); ++i ) {
for( unsigned int j=i; j<M.size2(); ++j ) { // triangular browsing
sum += fabs( M(i,j) ); // absolute deviation
@ -96,52 +122,77 @@ double sum( const T& c )
}
typedef double real;
int main(int argc, char** argv)
{
srand(time(0));
unsigned int N = 4; // size of matrix
unsigned int R = 1000; // nb of repetitions
unsigned int M = 10; // sample size
unsigned int N = 12; // variables number
unsigned int F = 10; // range factor
unsigned int R = 1; // nb of repetitions
if( argc >= 2 ) {
N = std::atoi(argv[1]);
M = std::atoi(argv[1]);
}
if( argc >= 3 ) {
R = std::atoi(argv[2]);
N = std::atoi(argv[2]);
}
if( argc >= 4 ) {
F = std::atoi(argv[3]);
}
if( argc >= 5 ) {
R = std::atoi(argv[4]);
}
std::cout << "Usage: t-cholesky [matrix size] [repetitions]" << std::endl;
std::cout << "matrix size = " << N << std::endl;
std::cout << "repetitions = " << R << std::endl;
std::clog << "Usage: test [sample size] [variables number] [random range] [repetitions]" << std::endl;
std::clog << "\tsample size = " << M << std::endl;
std::clog << "\tmatrix size = " << N << std::endl;
std::clog << "\trandom range = " << F << std::endl;
std::clog << "\trepetitions = " << R << std::endl;
typedef cholesky::Cholesky::CovarMat CovarMat;
typedef cholesky::Cholesky::FactorMat FactorMat;
typedef double real;
typedef cholesky::Cholesky<real>::CovarMat CovarMat;
typedef cholesky::Cholesky<real>::FactorMat FactorMat;
cholesky::LLT llt();
cholesky::LLTabs llta();
cholesky::LLTzero lltz();
cholesky::LDLT ldlt();
cholesky::LLT<real> llt;
cholesky::LLTabs<real> llta;
cholesky::LLTzero<real> lltz;
cholesky::LDLT<real> ldlt;
unsigned int llt_fail = 0;
std::vector<double> s0,s1,s2,s3;
for( unsigned int n=0; n<R; ++n ) {
// a variance-covariance matrix of size N*N
CovarMat V(N,N);
// random covariance matrix
for( unsigned int i=0; i<N; ++i) {
V(i,i) = std::pow(rand(),2); // variance should be >= 0
for( unsigned int j=i+1; j<N; ++j) {
V(i,j) = rand();
// a random sample matrix
ublas::matrix<real> S(M,N);
for( unsigned int i=0; i<M; ++i) {
for( unsigned int j=0; j<N; ++j) {
S(i,j) = F * static_cast<real>(rand())/RAND_MAX;
}
}
// a variance-covariance matrix of size N*N
CovarMat V = ublas::prod( ublas::trans(S), S );
assert( V.size1() == N && V.size2() == N );
FactorMat L0 = llt(V);
CovarMat V0 = ublas::prod( L0, ublas::trans(L0) );
s0.push_back( trigsum(error(V,V0)) );
if( R == 1 ) {
std::cout << std::endl << "Covariance matrix:" << std::endl;
std::cout << format(V) << std::endl;
}
FactorMat L0;
try {
L0 = llt(V);
CovarMat V0 = ublas::prod( L0, ublas::trans(L0) );
s0.push_back( trigsum(error(V,V0)) );
} catch( cholesky::NotDefinitePositive & error ) {
llt_fail++;
#ifndef NDEBUG
std::cout << "LLT FAILED:\t" << error.what() << std::endl;
#endif
}
FactorMat L1 = llta(V);
CovarMat V1 = ublas::prod( L1, ublas::trans(L1) );
@ -157,8 +208,16 @@ int main(int argc, char** argv)
}
std::cout << "Average error:" << std::endl;
std::cout << "\tLLT: " << sum(s0)/R << std::endl;
std::cout << "\tLLT: ";
if( s0.size() == 0 ) {
std::cout << "NAN";
} else {
std::cout << sum(s0)/R;
}
std::cout << "\t" << llt_fail << "/" << R << " failures" << std::endl;
std::cout << "\tLLTa: " << sum(s1)/R << std::endl;
std::cout << "\tLLTz: " << sum(s2)/R << std::endl;
std::cout << "\tLDLT: " << sum(s3)/R << std::endl;
}