BUGFIX: factorized matrix are not symetric, cholesky factorization should process different types for covariance and decomposition + better format output for cholesky test
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nojhan
parent
e0f691c148
commit
fe2cebc0e8
2 changed files with 110 additions and 54 deletions
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@ -28,6 +28,9 @@ Authors:
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#include <vector>
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#include <cstdlib>
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#include <iostream>
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#include <sstream>
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#include <limits>
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#include <iomanip>
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#include <eo>
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#include <es.h>
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@ -36,26 +39,73 @@ Authors:
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typedef eoReal< eoMinimizingFitness > EOT;
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typedef edoNormalMulti<EOT> EOD;
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std::ostream& operator<< (std::ostream& out, const ublas::symmetric_matrix< double, ublas::lower >& mat )
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void setformat( std::ostream& out )
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{
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out << std::right;
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out << std::setfill(' ');
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out << std::setw( 5 + std::numeric_limits<double>::digits10);
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out << std::setprecision(std::numeric_limits<double>::digits10);
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out << std::setiosflags(std::ios_base::showpoint);
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}
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template<typename MT>
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std::string format(const MT& mat )
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{
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std::ostringstream out;
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setformat(out);
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for( unsigned int i=0; i<mat.size1(); ++i) {
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for( unsigned int j=0; j<=i; ++j) {
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for( unsigned int j=0; j<mat.size2(); ++j) {
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out << mat(i,j) << "\t";
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} // columns
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out << std::endl;
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} // rows
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return out;
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return out.str();
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}
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template< typename T >
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T round( T val, T prec = 1.0 )
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{
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return (val > 0.0) ?
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floor(val * prec + 0.5) / prec :
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ceil(val * prec - 0.5) / prec ;
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}
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template<typename MT>
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bool equal( const MT& M1, const MT& M2, double prec /* = 1/std::numeric_limits<double>::digits10 ???*/ )
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{
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if( M1.size1() != M2.size1() || M1.size2() != M2.size2() ) {
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return false;
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}
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for( unsigned int i=0; i<M1.size1(); ++i ) {
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for( unsigned int j=0; j<M1.size2(); ++j ) {
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if( round(M1(i,j),prec) != round(M2(i,j),prec) ) {
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std::cout << "round(M(" << i << "," << j << "," << prec << ") == "
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<< round(M1(i,j),prec) << " != " << round(M2(i,j),prec) << std::endl;
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return false;
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}
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}
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}
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return true;
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}
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int main(int argc, char** argv)
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{
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unsigned int N = 4;
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typedef edoSamplerNormalMulti<EOT,EOD>::Cholesky::MatrixType MatrixType;
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typedef edoSamplerNormalMulti<EOT,EOD>::Cholesky::CovarMat CovarMat;
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typedef edoSamplerNormalMulti<EOT,EOD>::Cholesky::FactorMat FactorMat;
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// a variance-covariance matrix of size N*N
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MatrixType V(N,N);
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CovarMat V(N,N);
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// random covariance matrix
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for( unsigned int i=0; i<N; ++i) {
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@ -65,29 +115,35 @@ int main(int argc, char** argv)
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}
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}
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std::cout << "Covariance matrix" << std::endl << V << std::endl;
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std::cout << "-----------------------------------------------------------" << std::endl;
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double precision = 1e-15;
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setformat(std::cout);
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std::string linesep = "--------------------------------------------------------------------------------------------";
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std::cout << "Covariance matrix" << std::endl << format(V) << std::endl;
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std::cout << linesep << std::endl;
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edoSamplerNormalMulti<EOT,EOD>::Cholesky LLT( edoSamplerNormalMulti<EOT,EOD>::Cholesky::standard );
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FactorMat L0 = LLT(V);
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std::cout << "LLT" << std::endl << format(L0) << std::endl;
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CovarMat V0 = ublas::prod( L0, ublas::trans(L0) );
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std::cout << "LLT covar" << std::endl << format(V0) << std::endl;
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assert( equal(V0,V,precision) );
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std::cout << linesep << std::endl;
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edoSamplerNormalMulti<EOT,EOD>::Cholesky LLTa( edoSamplerNormalMulti<EOT,EOD>::Cholesky::absolute );
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edoSamplerNormalMulti<EOT,EOD>::Cholesky LDLT( edoSamplerNormalMulti<EOT,EOD>::Cholesky::robust );
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MatrixType L0 = LLT(V);
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std::cout << "LLT" << std::endl << L0 << std::endl;
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MatrixType V0 = ublas::prod( L0, ublas::trans(L0) );
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std::cout << "LLT covar" << std::endl << V0 << std::endl;
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std::cout << "-----------------------------------------------------------" << std::endl;
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MatrixType L1 = LLTa(V);
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std::cout << "LLT abs" << std::endl << L1 << std::endl;
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MatrixType V1 = ublas::prod( L1, ublas::trans(L1) );
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std::cout << "LLT covar" << std::endl << V1 << std::endl;
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std::cout << "-----------------------------------------------------------" << std::endl;
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FactorMat L1 = LLTa(V);
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std::cout << "LLT abs" << std::endl << format(L1) << std::endl;
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CovarMat V1 = ublas::prod( L1, ublas::trans(L1) );
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std::cout << "LLT covar" << std::endl << format(V1) << std::endl;
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assert( equal(V1,V,precision) );
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std::cout << linesep << std::endl;
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MatrixType L2 = LDLT(V);
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std::cout << "LDLT: L" << std::endl << L2 << std::endl;
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MatrixType V2 = ublas::prod( L2, ublas::trans(L2) );
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std::cout << "LDLT covar" << std::endl << V2 << std::endl;
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std::cout << "-----------------------------------------------------------" << std::endl;
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edoSamplerNormalMulti<EOT,EOD>::Cholesky LDLT( edoSamplerNormalMulti<EOT,EOD>::Cholesky::robust );
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FactorMat L2 = LDLT(V);
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std::cout << "LDLT" << std::endl << format(L2) << std::endl;
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CovarMat V2 = ublas::prod( L2, ublas::trans(L2) );
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std::cout << "LDLT covar" << std::endl << format(V2) << std::endl;
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assert( equal(V2,V,precision) );
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std::cout << linesep << std::endl;
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}
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