peacock-data-public-datasets-idc-cronscript
/
venv
/lib
/python3.10
/site-packages
/scipy
/stats
/tests
/test_sampling.py
import threading | |
import pickle | |
import pytest | |
from copy import deepcopy | |
import platform | |
import sys | |
import math | |
import numpy as np | |
from numpy.testing import assert_allclose, assert_equal, suppress_warnings | |
from scipy.stats.sampling import ( | |
TransformedDensityRejection, | |
DiscreteAliasUrn, | |
DiscreteGuideTable, | |
NumericalInversePolynomial, | |
NumericalInverseHermite, | |
RatioUniforms, | |
SimpleRatioUniforms, | |
UNURANError | |
) | |
from pytest import raises as assert_raises | |
from scipy import stats | |
from scipy import special | |
from scipy.stats import chisquare, cramervonmises | |
from scipy.stats._distr_params import distdiscrete, distcont | |
from scipy._lib._util import check_random_state | |
# common test data: this data can be shared between all the tests. | |
# Normal distribution shared between all the continuous methods | |
class StandardNormal: | |
def pdf(self, x): | |
# normalization constant needed for NumericalInverseHermite | |
return 1./np.sqrt(2.*np.pi) * np.exp(-0.5 * x*x) | |
def dpdf(self, x): | |
return 1./np.sqrt(2.*np.pi) * -x * np.exp(-0.5 * x*x) | |
def cdf(self, x): | |
return special.ndtr(x) | |
all_methods = [ | |
("TransformedDensityRejection", {"dist": StandardNormal()}), | |
("DiscreteAliasUrn", {"dist": [0.02, 0.18, 0.8]}), | |
("DiscreteGuideTable", {"dist": [0.02, 0.18, 0.8]}), | |
("NumericalInversePolynomial", {"dist": StandardNormal()}), | |
("NumericalInverseHermite", {"dist": StandardNormal()}), | |
("SimpleRatioUniforms", {"dist": StandardNormal(), "mode": 0}) | |
] | |
if (sys.implementation.name == 'pypy' | |
and sys.implementation.version < (7, 3, 10)): | |
# changed in PyPy for v7.3.10 | |
floaterr = r"unsupported operand type for float\(\): 'list'" | |
else: | |
floaterr = r"must be real number, not list" | |
# Make sure an internal error occurs in UNU.RAN when invalid callbacks are | |
# passed. Moreover, different generators throw different error messages. | |
# So, in case of an `UNURANError`, we do not validate the error message. | |
bad_pdfs_common = [ | |
# Negative PDF | |
(lambda x: -x, UNURANError, r"..."), | |
# Returning wrong type | |
(lambda x: [], TypeError, floaterr), | |
# Undefined name inside the function | |
(lambda x: foo, NameError, r"name 'foo' is not defined"), # type: ignore[name-defined] # noqa: F821, E501 | |
# Infinite value returned => Overflow error. | |
(lambda x: np.inf, UNURANError, r"..."), | |
# NaN value => internal error in UNU.RAN | |
(lambda x: np.nan, UNURANError, r"..."), | |
# signature of PDF wrong | |
(lambda: 1.0, TypeError, r"takes 0 positional arguments but 1 was given") | |
] | |
# same approach for dpdf | |
bad_dpdf_common = [ | |
# Infinite value returned. | |
(lambda x: np.inf, UNURANError, r"..."), | |
# NaN value => internal error in UNU.RAN | |
(lambda x: np.nan, UNURANError, r"..."), | |
# Returning wrong type | |
(lambda x: [], TypeError, floaterr), | |
# Undefined name inside the function | |
(lambda x: foo, NameError, r"name 'foo' is not defined"), # type: ignore[name-defined] # noqa: F821, E501 | |
# signature of dPDF wrong | |
(lambda: 1.0, TypeError, r"takes 0 positional arguments but 1 was given") | |
] | |
# same approach for logpdf | |
bad_logpdfs_common = [ | |
# Returning wrong type | |
(lambda x: [], TypeError, floaterr), | |
# Undefined name inside the function | |
(lambda x: foo, NameError, r"name 'foo' is not defined"), # type: ignore[name-defined] # noqa: F821, E501 | |
# Infinite value returned => Overflow error. | |
(lambda x: np.inf, UNURANError, r"..."), | |
# NaN value => internal error in UNU.RAN | |
(lambda x: np.nan, UNURANError, r"..."), | |
# signature of logpdf wrong | |
(lambda: 1.0, TypeError, r"takes 0 positional arguments but 1 was given") | |
] | |
bad_pv_common = [ | |
([], r"must contain at least one element"), | |
([[1.0, 0.0]], r"wrong number of dimensions \(expected 1, got 2\)"), | |
([0.2, 0.4, np.nan, 0.8], r"must contain only finite / non-nan values"), | |
([0.2, 0.4, np.inf, 0.8], r"must contain only finite / non-nan values"), | |
([0.0, 0.0], r"must contain at least one non-zero value"), | |
] | |
# size of the domains is incorrect | |
bad_sized_domains = [ | |
# > 2 elements in the domain | |
((1, 2, 3), ValueError, r"must be a length 2 tuple"), | |
# empty domain | |
((), ValueError, r"must be a length 2 tuple") | |
] | |
# domain values are incorrect | |
bad_domains = [ | |
((2, 1), UNURANError, r"left >= right"), | |
((1, 1), UNURANError, r"left >= right"), | |
] | |
# infinite and nan values present in domain. | |
inf_nan_domains = [ | |
# left >= right | |
((10, 10), UNURANError, r"left >= right"), | |
((np.inf, np.inf), UNURANError, r"left >= right"), | |
((-np.inf, -np.inf), UNURANError, r"left >= right"), | |
((np.inf, -np.inf), UNURANError, r"left >= right"), | |
# Also include nans in some of the domains. | |
((-np.inf, np.nan), ValueError, r"only non-nan values"), | |
((np.nan, np.inf), ValueError, r"only non-nan values") | |
] | |
# `nan` values present in domain. Some distributions don't support | |
# infinite tails, so don't mix the nan values with infinities. | |
nan_domains = [ | |
((0, np.nan), ValueError, r"only non-nan values"), | |
((np.nan, np.nan), ValueError, r"only non-nan values") | |
] | |
# all the methods should throw errors for nan, bad sized, and bad valued | |
# domains. | |
# type: ignore[operator] | |
def test_bad_domain(domain, err, msg, method, kwargs): | |
Method = getattr(stats.sampling, method) | |
with pytest.raises(err, match=msg): | |
Method(**kwargs, domain=domain) | |
def test_random_state(method, kwargs): | |
Method = getattr(stats.sampling, method) | |
# simple seed that works for any version of NumPy | |
seed = 123 | |
rng1 = Method(**kwargs, random_state=seed) | |
rng2 = Method(**kwargs, random_state=seed) | |
assert_equal(rng1.rvs(100), rng2.rvs(100)) | |
# global seed | |
np.random.seed(123) | |
rng1 = Method(**kwargs) | |
rvs1 = rng1.rvs(100) | |
np.random.seed(None) | |
rng2 = Method(**kwargs, random_state=123) | |
rvs2 = rng2.rvs(100) | |
assert_equal(rvs1, rvs2) | |
# Generator seed for new NumPy | |
# when a RandomState is given, it should take the bitgen_t | |
# member of the class and create a Generator instance. | |
seed1 = np.random.RandomState(np.random.MT19937(123)) | |
seed2 = np.random.Generator(np.random.MT19937(123)) | |
rng1 = Method(**kwargs, random_state=seed1) | |
rng2 = Method(**kwargs, random_state=seed2) | |
assert_equal(rng1.rvs(100), rng2.rvs(100)) | |
def test_set_random_state(): | |
rng1 = TransformedDensityRejection(StandardNormal(), random_state=123) | |
rng2 = TransformedDensityRejection(StandardNormal()) | |
rng2.set_random_state(123) | |
assert_equal(rng1.rvs(100), rng2.rvs(100)) | |
rng = TransformedDensityRejection(StandardNormal(), random_state=123) | |
rvs1 = rng.rvs(100) | |
rng.set_random_state(123) | |
rvs2 = rng.rvs(100) | |
assert_equal(rvs1, rvs2) | |
def test_threading_behaviour(): | |
# Test if the API is thread-safe. | |
# This verifies if the lock mechanism and the use of `PyErr_Occurred` | |
# is correct. | |
errors = {"err1": None, "err2": None} | |
class Distribution: | |
def __init__(self, pdf_msg): | |
self.pdf_msg = pdf_msg | |
def pdf(self, x): | |
if 49.9 < x < 50.0: | |
raise ValueError(self.pdf_msg) | |
return x | |
def dpdf(self, x): | |
return 1 | |
def func1(): | |
dist = Distribution('foo') | |
rng = TransformedDensityRejection(dist, domain=(10, 100), | |
random_state=12) | |
try: | |
rng.rvs(100000) | |
except ValueError as e: | |
errors['err1'] = e.args[0] | |
def func2(): | |
dist = Distribution('bar') | |
rng = TransformedDensityRejection(dist, domain=(10, 100), | |
random_state=2) | |
try: | |
rng.rvs(100000) | |
except ValueError as e: | |
errors['err2'] = e.args[0] | |
t1 = threading.Thread(target=func1) | |
t2 = threading.Thread(target=func2) | |
t1.start() | |
t2.start() | |
t1.join() | |
t2.join() | |
assert errors['err1'] == 'foo' | |
assert errors['err2'] == 'bar' | |
def test_pickle(method, kwargs): | |
Method = getattr(stats.sampling, method) | |
rng1 = Method(**kwargs, random_state=123) | |
obj = pickle.dumps(rng1) | |
rng2 = pickle.loads(obj) | |
assert_equal(rng1.rvs(100), rng2.rvs(100)) | |
def test_rvs_size(size): | |
# As the `rvs` method is present in the base class and shared between | |
# all the classes, we can just test with one of the methods. | |
rng = TransformedDensityRejection(StandardNormal()) | |
if size is None: | |
assert np.isscalar(rng.rvs(size)) | |
else: | |
if np.isscalar(size): | |
size = (size, ) | |
assert rng.rvs(size).shape == size | |
def test_with_scipy_distribution(): | |
# test if the setup works with SciPy's rv_frozen distributions | |
dist = stats.norm() | |
urng = np.random.default_rng(0) | |
rng = NumericalInverseHermite(dist, random_state=urng) | |
u = np.linspace(0, 1, num=100) | |
check_cont_samples(rng, dist, dist.stats()) | |
assert_allclose(dist.ppf(u), rng.ppf(u)) | |
# test if it works with `loc` and `scale` | |
dist = stats.norm(loc=10., scale=5.) | |
rng = NumericalInverseHermite(dist, random_state=urng) | |
check_cont_samples(rng, dist, dist.stats()) | |
assert_allclose(dist.ppf(u), rng.ppf(u)) | |
# check for discrete distributions | |
dist = stats.binom(10, 0.2) | |
rng = DiscreteAliasUrn(dist, random_state=urng) | |
domain = dist.support() | |
pv = dist.pmf(np.arange(domain[0], domain[1]+1)) | |
check_discr_samples(rng, pv, dist.stats()) | |
def check_cont_samples(rng, dist, mv_ex, rtol=1e-7, atol=1e-1): | |
rvs = rng.rvs(100000) | |
mv = rvs.mean(), rvs.var() | |
# test the moments only if the variance is finite | |
if np.isfinite(mv_ex[1]): | |
assert_allclose(mv, mv_ex, rtol=rtol, atol=atol) | |
# Cramer Von Mises test for goodness-of-fit | |
rvs = rng.rvs(500) | |
dist.cdf = np.vectorize(dist.cdf) | |
pval = cramervonmises(rvs, dist.cdf).pvalue | |
assert pval > 0.1 | |
def check_discr_samples(rng, pv, mv_ex, rtol=1e-3, atol=1e-1): | |
rvs = rng.rvs(100000) | |
# test if the first few moments match | |
mv = rvs.mean(), rvs.var() | |
assert_allclose(mv, mv_ex, rtol=rtol, atol=atol) | |
# normalize | |
pv = pv / pv.sum() | |
# chi-squared test for goodness-of-fit | |
obs_freqs = np.zeros_like(pv) | |
_, freqs = np.unique(rvs, return_counts=True) | |
freqs = freqs / freqs.sum() | |
obs_freqs[:freqs.size] = freqs | |
pval = chisquare(obs_freqs, pv).pvalue | |
assert pval > 0.1 | |
def test_warning_center_not_in_domain(): | |
# UNURAN will warn if the center provided or the one computed w/o the | |
# domain is outside of the domain | |
msg = "102 : center moved into domain of distribution" | |
with pytest.warns(RuntimeWarning, match=msg): | |
NumericalInversePolynomial(StandardNormal(), center=0, domain=(3, 5)) | |
with pytest.warns(RuntimeWarning, match=msg): | |
NumericalInversePolynomial(StandardNormal(), domain=(3, 5)) | |
def test_error_mode_not_in_domain(method): | |
# UNURAN raises an error if the mode is not in the domain | |
# the behavior is different compared to the case that center is not in the | |
# domain. mode is supposed to be the exact value, center can be an | |
# approximate value | |
Method = getattr(stats.sampling, method) | |
msg = "17 : mode not in domain" | |
with pytest.raises(UNURANError, match=msg): | |
Method(StandardNormal(), mode=0, domain=(3, 5)) | |
class TestQRVS: | |
def test_input_validation(self, method): | |
match = "`qmc_engine` must be an instance of..." | |
with pytest.raises(ValueError, match=match): | |
Method = getattr(stats.sampling, method) | |
gen = Method(StandardNormal()) | |
gen.qrvs(qmc_engine=0) | |
# issues with QMCEngines and old NumPy | |
Method = getattr(stats.sampling, method) | |
gen = Method(StandardNormal()) | |
match = "`d` must be consistent with dimension of `qmc_engine`." | |
with pytest.raises(ValueError, match=match): | |
gen.qrvs(d=3, qmc_engine=stats.qmc.Halton(2)) | |
qrngs = [None, stats.qmc.Sobol(1, seed=0), stats.qmc.Halton(3, seed=0)] | |
# `size=None` should not add anything to the shape, `size=1` should | |
sizes = [(None, tuple()), (1, (1,)), (4, (4,)), | |
((4,), (4,)), ((2, 4), (2, 4))] # type: ignore | |
# Neither `d=None` nor `d=1` should add anything to the shape | |
ds = [(None, tuple()), (1, tuple()), (3, (3,))] | |
def test_QRVS_shape_consistency(self, qrng, size_in, size_out, | |
d_in, d_out, method): | |
w32 = sys.platform == "win32" and platform.architecture()[0] == "32bit" | |
if w32 and method == "NumericalInversePolynomial": | |
pytest.xfail("NumericalInversePolynomial.qrvs fails for Win " | |
"32-bit") | |
dist = StandardNormal() | |
Method = getattr(stats.sampling, method) | |
gen = Method(dist) | |
# If d and qrng.d are inconsistent, an error is raised | |
if d_in is not None and qrng is not None and qrng.d != d_in: | |
match = "`d` must be consistent with dimension of `qmc_engine`." | |
with pytest.raises(ValueError, match=match): | |
gen.qrvs(size_in, d=d_in, qmc_engine=qrng) | |
return | |
# Sometimes d is really determined by qrng | |
if d_in is None and qrng is not None and qrng.d != 1: | |
d_out = (qrng.d,) | |
shape_expected = size_out + d_out | |
qrng2 = deepcopy(qrng) | |
qrvs = gen.qrvs(size=size_in, d=d_in, qmc_engine=qrng) | |
if size_in is not None: | |
assert qrvs.shape == shape_expected | |
if qrng2 is not None: | |
uniform = qrng2.random(np.prod(size_in) or 1) | |
qrvs2 = stats.norm.ppf(uniform).reshape(shape_expected) | |
assert_allclose(qrvs, qrvs2, atol=1e-12) | |
def test_QRVS_size_tuple(self, method): | |
# QMCEngine samples are always of shape (n, d). When `size` is a tuple, | |
# we set `n = prod(size)` in the call to qmc_engine.random, transform | |
# the sample, and reshape it to the final dimensions. When we reshape, | |
# we need to be careful, because the _columns_ of the sample returned | |
# by a QMCEngine are "independent"-ish, but the elements within the | |
# columns are not. We need to make sure that this doesn't get mixed up | |
# by reshaping: qrvs[..., i] should remain "independent"-ish of | |
# qrvs[..., i+1], but the elements within qrvs[..., i] should be | |
# transformed from the same low-discrepancy sequence. | |
dist = StandardNormal() | |
Method = getattr(stats.sampling, method) | |
gen = Method(dist) | |
size = (3, 4) | |
d = 5 | |
qrng = stats.qmc.Halton(d, seed=0) | |
qrng2 = stats.qmc.Halton(d, seed=0) | |
uniform = qrng2.random(np.prod(size)) | |
qrvs = gen.qrvs(size=size, d=d, qmc_engine=qrng) | |
qrvs2 = stats.norm.ppf(uniform) | |
for i in range(d): | |
sample = qrvs[..., i] | |
sample2 = qrvs2[:, i].reshape(size) | |
assert_allclose(sample, sample2, atol=1e-12) | |
class TestTransformedDensityRejection: | |
# Simple Custom Distribution | |
class dist0: | |
def pdf(self, x): | |
return 3/4 * (1-x*x) | |
def dpdf(self, x): | |
return 3/4 * (-2*x) | |
def cdf(self, x): | |
return 3/4 * (x - x**3/3 + 2/3) | |
def support(self): | |
return -1, 1 | |
# Standard Normal Distribution | |
class dist1: | |
def pdf(self, x): | |
return stats.norm._pdf(x / 0.1) | |
def dpdf(self, x): | |
return -x / 0.01 * stats.norm._pdf(x / 0.1) | |
def cdf(self, x): | |
return stats.norm._cdf(x / 0.1) | |
# pdf with piecewise linear function as transformed density | |
# with T = -1/sqrt with shift. Taken from UNU.RAN test suite | |
# (from file t_tdr_ps.c) | |
class dist2: | |
def __init__(self, shift): | |
self.shift = shift | |
def pdf(self, x): | |
x -= self.shift | |
y = 1. / (abs(x) + 1.) | |
return 0.5 * y * y | |
def dpdf(self, x): | |
x -= self.shift | |
y = 1. / (abs(x) + 1.) | |
y = y * y * y | |
return y if (x < 0.) else -y | |
def cdf(self, x): | |
x -= self.shift | |
if x <= 0.: | |
return 0.5 / (1. - x) | |
else: | |
return 1. - 0.5 / (1. + x) | |
dists = [dist0(), dist1(), dist2(0.), dist2(10000.)] | |
# exact mean and variance of the distributions in the list dists | |
mv0 = [0., 4./15.] | |
mv1 = [0., 0.01] | |
mv2 = [0., np.inf] | |
mv3 = [10000., np.inf] | |
mvs = [mv0, mv1, mv2, mv3] | |
def test_basic(self, dist, mv_ex): | |
with suppress_warnings() as sup: | |
# filter the warnings thrown by UNU.RAN | |
sup.filter(RuntimeWarning) | |
rng = TransformedDensityRejection(dist, random_state=42) | |
check_cont_samples(rng, dist, mv_ex) | |
# PDF 0 everywhere => bad construction points | |
bad_pdfs = [(lambda x: 0, UNURANError, r"50 : bad construction points.")] | |
bad_pdfs += bad_pdfs_common # type: ignore[arg-type] | |
def test_bad_pdf(self, pdf, err, msg): | |
class dist: | |
pass | |
dist.pdf = pdf | |
dist.dpdf = lambda x: 1 # an arbitrary dPDF | |
with pytest.raises(err, match=msg): | |
TransformedDensityRejection(dist) | |
def test_bad_dpdf(self, dpdf, err, msg): | |
class dist: | |
pass | |
dist.pdf = lambda x: x | |
dist.dpdf = dpdf | |
with pytest.raises(err, match=msg): | |
TransformedDensityRejection(dist, domain=(1, 10)) | |
# test domains with inf + nan in them. need to write a custom test for | |
# this because not all methods support infinite tails. | |
def test_inf_nan_domains(self, domain, err, msg): | |
with pytest.raises(err, match=msg): | |
TransformedDensityRejection(StandardNormal(), domain=domain) | |
def test_bad_construction_points_scalar(self, construction_points): | |
with pytest.raises(ValueError, match=r"`construction_points` must be " | |
r"a positive integer."): | |
TransformedDensityRejection( | |
StandardNormal(), construction_points=construction_points | |
) | |
def test_bad_construction_points_array(self): | |
# empty array | |
construction_points = [] | |
with pytest.raises(ValueError, match=r"`construction_points` must " | |
r"either be a " | |
r"scalar or a non-empty array."): | |
TransformedDensityRejection( | |
StandardNormal(), construction_points=construction_points | |
) | |
# construction_points not monotonically increasing | |
construction_points = [1, 1, 1, 1, 1, 1] | |
with pytest.warns(RuntimeWarning, match=r"33 : starting points not " | |
r"strictly monotonically " | |
r"increasing"): | |
TransformedDensityRejection( | |
StandardNormal(), construction_points=construction_points | |
) | |
# construction_points containing nans | |
construction_points = [np.nan, np.nan, np.nan] | |
with pytest.raises(UNURANError, match=r"50 : bad construction " | |
r"points."): | |
TransformedDensityRejection( | |
StandardNormal(), construction_points=construction_points | |
) | |
# construction_points out of domain | |
construction_points = [-10, 10] | |
with pytest.warns(RuntimeWarning, match=r"50 : starting point out of " | |
r"domain"): | |
TransformedDensityRejection( | |
StandardNormal(), domain=(-3, 3), | |
construction_points=construction_points | |
) | |
def test_bad_c(self, c): | |
msg = r"`c` must either be -0.5 or 0." | |
with pytest.raises(ValueError, match=msg): | |
TransformedDensityRejection(StandardNormal(), c=-1.) | |
u = [np.linspace(0, 1, num=1000), [], [[]], [np.nan], | |
[-np.inf, np.nan, np.inf], 0, | |
[[np.nan, 0.5, 0.1], [0.2, 0.4, np.inf], [-2, 3, 4]]] | |
def test_ppf_hat(self, u): | |
# Increase the `max_squeeze_hat_ratio` so the ppf_hat is more | |
# accurate. | |
rng = TransformedDensityRejection(StandardNormal(), | |
max_squeeze_hat_ratio=0.9999) | |
# Older versions of NumPy throw RuntimeWarnings for comparisons | |
# with nan. | |
with suppress_warnings() as sup: | |
sup.filter(RuntimeWarning, "invalid value encountered in greater") | |
sup.filter(RuntimeWarning, "invalid value encountered in " | |
"greater_equal") | |
sup.filter(RuntimeWarning, "invalid value encountered in less") | |
sup.filter(RuntimeWarning, "invalid value encountered in " | |
"less_equal") | |
res = rng.ppf_hat(u) | |
expected = stats.norm.ppf(u) | |
assert_allclose(res, expected, rtol=1e-3, atol=1e-5) | |
assert res.shape == expected.shape | |
def test_bad_dist(self): | |
# Empty distribution | |
class dist: | |
... | |
msg = r"`pdf` required but not found." | |
with pytest.raises(ValueError, match=msg): | |
TransformedDensityRejection(dist) | |
# dPDF not present in dist | |
class dist: | |
pdf = lambda x: 1-x*x # noqa: E731 | |
msg = r"`dpdf` required but not found." | |
with pytest.raises(ValueError, match=msg): | |
TransformedDensityRejection(dist) | |
class TestDiscreteAliasUrn: | |
# DAU fails on these probably because of large domains and small | |
# computation errors in PMF. Mean/SD match but chi-squared test fails. | |
basic_fail_dists = { | |
'nchypergeom_fisher', # numerical errors on tails | |
'nchypergeom_wallenius', # numerical errors on tails | |
'randint' # fails on 32-bit ubuntu | |
} | |
def test_basic(self, distname, params): | |
if distname in self.basic_fail_dists: | |
msg = ("DAU fails on these probably because of large domains " | |
"and small computation errors in PMF.") | |
pytest.skip(msg) | |
if not isinstance(distname, str): | |
dist = distname | |
else: | |
dist = getattr(stats, distname) | |
dist = dist(*params) | |
domain = dist.support() | |
if not np.isfinite(domain[1] - domain[0]): | |
# DAU only works with finite domain. So, skip the distributions | |
# with infinite tails. | |
pytest.skip("DAU only works with a finite domain.") | |
k = np.arange(domain[0], domain[1]+1) | |
pv = dist.pmf(k) | |
mv_ex = dist.stats('mv') | |
rng = DiscreteAliasUrn(dist, random_state=42) | |
check_discr_samples(rng, pv, mv_ex) | |
# Can't use bad_pmf_common here as we evaluate PMF early on to avoid | |
# unhelpful errors from UNU.RAN. | |
bad_pmf = [ | |
# inf returned | |
(lambda x: np.inf, ValueError, | |
r"must contain only finite / non-nan values"), | |
# nan returned | |
(lambda x: np.nan, ValueError, | |
r"must contain only finite / non-nan values"), | |
# all zeros | |
(lambda x: 0.0, ValueError, | |
r"must contain at least one non-zero value"), | |
# Undefined name inside the function | |
(lambda x: foo, NameError, # type: ignore[name-defined] # noqa: F821 | |
r"name 'foo' is not defined"), | |
# Returning wrong type. | |
(lambda x: [], ValueError, | |
r"setting an array element with a sequence."), | |
# probabilities < 0 | |
(lambda x: -x, UNURANError, | |
r"50 : probability < 0"), | |
# signature of PMF wrong | |
(lambda: 1.0, TypeError, | |
r"takes 0 positional arguments but 1 was given") | |
] | |
def test_bad_pmf(self, pmf, err, msg): | |
class dist: | |
pass | |
dist.pmf = pmf | |
with pytest.raises(err, match=msg): | |
DiscreteAliasUrn(dist, domain=(1, 10)) | |
def test_sampling_with_pv(self, pv): | |
pv = np.asarray(pv, dtype=np.float64) | |
rng = DiscreteAliasUrn(pv, random_state=123) | |
rng.rvs(100_000) | |
pv = pv / pv.sum() | |
variates = np.arange(0, len(pv)) | |
# test if the first few moments match | |
m_expected = np.average(variates, weights=pv) | |
v_expected = np.average((variates - m_expected) ** 2, weights=pv) | |
mv_expected = m_expected, v_expected | |
check_discr_samples(rng, pv, mv_expected) | |
def test_bad_pv(self, pv, msg): | |
with pytest.raises(ValueError, match=msg): | |
DiscreteAliasUrn(pv) | |
# DAU doesn't support infinite tails. So, it should throw an error when | |
# inf is present in the domain. | |
inf_domain = [(-np.inf, np.inf), (np.inf, np.inf), (-np.inf, -np.inf), | |
(0, np.inf), (-np.inf, 0)] | |
def test_inf_domain(self, domain): | |
with pytest.raises(ValueError, match=r"must be finite"): | |
DiscreteAliasUrn(stats.binom(10, 0.2), domain=domain) | |
def test_bad_urn_factor(self): | |
with pytest.warns(RuntimeWarning, match=r"relative urn size < 1."): | |
DiscreteAliasUrn([0.5, 0.5], urn_factor=-1) | |
def test_bad_args(self): | |
msg = (r"`domain` must be provided when the " | |
r"probability vector is not available.") | |
class dist: | |
def pmf(self, x): | |
return x | |
with pytest.raises(ValueError, match=msg): | |
DiscreteAliasUrn(dist) | |
def test_gh19359(self): | |
pv = special.softmax(np.ones((1533,))) | |
rng = DiscreteAliasUrn(pv, random_state=42) | |
# check the correctness | |
check_discr_samples(rng, pv, (1532 / 2, (1532**2 - 1) / 12), | |
rtol=5e-3) | |
class TestNumericalInversePolynomial: | |
# Simple Custom Distribution | |
class dist0: | |
def pdf(self, x): | |
return 3/4 * (1-x*x) | |
def cdf(self, x): | |
return 3/4 * (x - x**3/3 + 2/3) | |
def support(self): | |
return -1, 1 | |
# Standard Normal Distribution | |
class dist1: | |
def pdf(self, x): | |
return stats.norm._pdf(x / 0.1) | |
def cdf(self, x): | |
return stats.norm._cdf(x / 0.1) | |
# Sin 2 distribution | |
# / 0.05 + 0.45*(1 +sin(2 Pi x)) if |x| <= 1 | |
# f(x) = < | |
# \ 0 otherwise | |
# Taken from UNU.RAN test suite (from file t_pinv.c) | |
class dist2: | |
def pdf(self, x): | |
return 0.05 + 0.45 * (1 + np.sin(2*np.pi*x)) | |
def cdf(self, x): | |
return (0.05*(x + 1) + | |
0.9*(1. + 2.*np.pi*(1 + x) - np.cos(2.*np.pi*x)) / | |
(4.*np.pi)) | |
def support(self): | |
return -1, 1 | |
# Sin 10 distribution | |
# / 0.05 + 0.45*(1 +sin(2 Pi x)) if |x| <= 5 | |
# f(x) = < | |
# \ 0 otherwise | |
# Taken from UNU.RAN test suite (from file t_pinv.c) | |
class dist3: | |
def pdf(self, x): | |
return 0.2 * (0.05 + 0.45 * (1 + np.sin(2*np.pi*x))) | |
def cdf(self, x): | |
return x/10. + 0.5 + 0.09/(2*np.pi) * (np.cos(10*np.pi) - | |
np.cos(2*np.pi*x)) | |
def support(self): | |
return -5, 5 | |
dists = [dist0(), dist1(), dist2(), dist3()] | |
# exact mean and variance of the distributions in the list dists | |
mv0 = [0., 4./15.] | |
mv1 = [0., 0.01] | |
mv2 = [-0.45/np.pi, 2/3*0.5 - 0.45**2/np.pi**2] | |
mv3 = [-0.45/np.pi, 0.2 * 250/3 * 0.5 - 0.45**2/np.pi**2] | |
mvs = [mv0, mv1, mv2, mv3] | |
def test_basic(self, dist, mv_ex): | |
rng = NumericalInversePolynomial(dist, random_state=42) | |
check_cont_samples(rng, dist, mv_ex) | |
def test_basic_all_scipy_dists(self, distname, params): | |
very_slow_dists = ['anglit', 'gausshyper', 'kappa4', | |
'ksone', 'kstwo', 'levy_l', | |
'levy_stable', 'studentized_range', | |
'trapezoid', 'triang', 'vonmises'] | |
# for these distributions, some assertions fail due to minor | |
# numerical differences. They can be avoided either by changing | |
# the seed or by increasing the u_resolution. | |
fail_dists = ['chi2', 'fatiguelife', 'gibrat', | |
'halfgennorm', 'lognorm', 'ncf', | |
'ncx2', 'pareto', 't'] | |
# for these distributions, skip the check for agreement between sample | |
# moments and true moments. We cannot expect them to pass due to the | |
# high variance of sample moments. | |
skip_sample_moment_check = ['rel_breitwigner'] | |
if distname in very_slow_dists: | |
pytest.skip(f"PINV too slow for {distname}") | |
if distname in fail_dists: | |
pytest.skip(f"PINV fails for {distname}") | |
dist = (getattr(stats, distname) | |
if isinstance(distname, str) | |
else distname) | |
dist = dist(*params) | |
with suppress_warnings() as sup: | |
sup.filter(RuntimeWarning) | |
rng = NumericalInversePolynomial(dist, random_state=42) | |
if distname in skip_sample_moment_check: | |
return | |
check_cont_samples(rng, dist, [dist.mean(), dist.var()]) | |
def test_bad_pdf(self, pdf, err, msg): | |
class dist: | |
pass | |
dist.pdf = pdf | |
with pytest.raises(err, match=msg): | |
NumericalInversePolynomial(dist, domain=[0, 5]) | |
def test_bad_logpdf(self, logpdf, err, msg): | |
class dist: | |
pass | |
dist.logpdf = logpdf | |
with pytest.raises(err, match=msg): | |
NumericalInversePolynomial(dist, domain=[0, 5]) | |
# test domains with inf + nan in them. need to write a custom test for | |
# this because not all methods support infinite tails. | |
def test_inf_nan_domains(self, domain, err, msg): | |
with pytest.raises(err, match=msg): | |
NumericalInversePolynomial(StandardNormal(), domain=domain) | |
u = [ | |
# test if quantile 0 and 1 return -inf and inf respectively and check | |
# the correctness of the PPF for equidistant points between 0 and 1. | |
np.linspace(0, 1, num=10000), | |
# test the PPF method for empty arrays | |
[], [[]], | |
# test if nans and infs return nan result. | |
[np.nan], [-np.inf, np.nan, np.inf], | |
# test if a scalar is returned for a scalar input. | |
0, | |
# test for arrays with nans, values greater than 1 and less than 0, | |
# and some valid values. | |
[[np.nan, 0.5, 0.1], [0.2, 0.4, np.inf], [-2, 3, 4]] | |
] | |
def test_ppf(self, u): | |
dist = StandardNormal() | |
rng = NumericalInversePolynomial(dist, u_resolution=1e-14) | |
# Older versions of NumPy throw RuntimeWarnings for comparisons | |
# with nan. | |
with suppress_warnings() as sup: | |
sup.filter(RuntimeWarning, "invalid value encountered in greater") | |
sup.filter(RuntimeWarning, "invalid value encountered in " | |
"greater_equal") | |
sup.filter(RuntimeWarning, "invalid value encountered in less") | |
sup.filter(RuntimeWarning, "invalid value encountered in " | |
"less_equal") | |
res = rng.ppf(u) | |
expected = stats.norm.ppf(u) | |
assert_allclose(res, expected, rtol=1e-11, atol=1e-11) | |
assert res.shape == expected.shape | |
x = [np.linspace(-10, 10, num=10000), [], [[]], [np.nan], | |
[-np.inf, np.nan, np.inf], 0, | |
[[np.nan, 0.5, 0.1], [0.2, 0.4, np.inf], [-np.inf, 3, 4]]] | |
def test_cdf(self, x): | |
dist = StandardNormal() | |
rng = NumericalInversePolynomial(dist, u_resolution=1e-14) | |
# Older versions of NumPy throw RuntimeWarnings for comparisons | |
# with nan. | |
with suppress_warnings() as sup: | |
sup.filter(RuntimeWarning, "invalid value encountered in greater") | |
sup.filter(RuntimeWarning, "invalid value encountered in " | |
"greater_equal") | |
sup.filter(RuntimeWarning, "invalid value encountered in less") | |
sup.filter(RuntimeWarning, "invalid value encountered in " | |
"less_equal") | |
res = rng.cdf(x) | |
expected = stats.norm.cdf(x) | |
assert_allclose(res, expected, rtol=1e-11, atol=1e-11) | |
assert res.shape == expected.shape | |
def test_u_error(self): | |
dist = StandardNormal() | |
rng = NumericalInversePolynomial(dist, u_resolution=1e-10) | |
max_error, mae = rng.u_error() | |
assert max_error < 1e-10 | |
assert mae <= max_error | |
rng = NumericalInversePolynomial(dist, u_resolution=1e-14) | |
max_error, mae = rng.u_error() | |
assert max_error < 1e-14 | |
assert mae <= max_error | |
bad_orders = [1, 4.5, 20, np.inf, np.nan] | |
bad_u_resolution = [1e-20, 1e-1, np.inf, np.nan] | |
def test_bad_orders(self, order): | |
dist = StandardNormal() | |
msg = r"`order` must be an integer in the range \[3, 17\]." | |
with pytest.raises(ValueError, match=msg): | |
NumericalInversePolynomial(dist, order=order) | |
def test_bad_u_resolution(self, u_resolution): | |
msg = r"`u_resolution` must be between 1e-15 and 1e-5." | |
with pytest.raises(ValueError, match=msg): | |
NumericalInversePolynomial(StandardNormal(), | |
u_resolution=u_resolution) | |
def test_bad_args(self): | |
class BadDist: | |
def cdf(self, x): | |
return stats.norm._cdf(x) | |
dist = BadDist() | |
msg = r"Either of the methods `pdf` or `logpdf` must be specified" | |
with pytest.raises(ValueError, match=msg): | |
rng = NumericalInversePolynomial(dist) | |
dist = StandardNormal() | |
rng = NumericalInversePolynomial(dist) | |
msg = r"`sample_size` must be greater than or equal to 1000." | |
with pytest.raises(ValueError, match=msg): | |
rng.u_error(10) | |
class Distribution: | |
def pdf(self, x): | |
return np.exp(-0.5 * x*x) | |
dist = Distribution() | |
rng = NumericalInversePolynomial(dist) | |
msg = r"Exact CDF required but not found." | |
with pytest.raises(ValueError, match=msg): | |
rng.u_error() | |
def test_logpdf_pdf_consistency(self): | |
# 1. check that PINV works with pdf and logpdf only | |
# 2. check that generated ppf is the same (up to a small tolerance) | |
class MyDist: | |
pass | |
# create generator from dist with only pdf | |
dist_pdf = MyDist() | |
dist_pdf.pdf = lambda x: math.exp(-x*x/2) | |
rng1 = NumericalInversePolynomial(dist_pdf) | |
# create dist with only logpdf | |
dist_logpdf = MyDist() | |
dist_logpdf.logpdf = lambda x: -x*x/2 | |
rng2 = NumericalInversePolynomial(dist_logpdf) | |
q = np.linspace(1e-5, 1-1e-5, num=100) | |
assert_allclose(rng1.ppf(q), rng2.ppf(q)) | |
class TestNumericalInverseHermite: | |
# / (1 +sin(2 Pi x))/2 if |x| <= 1 | |
# f(x) = < | |
# \ 0 otherwise | |
# Taken from UNU.RAN test suite (from file t_hinv.c) | |
class dist0: | |
def pdf(self, x): | |
return 0.5*(1. + np.sin(2.*np.pi*x)) | |
def dpdf(self, x): | |
return np.pi*np.cos(2.*np.pi*x) | |
def cdf(self, x): | |
return (1. + 2.*np.pi*(1 + x) - np.cos(2.*np.pi*x)) / (4.*np.pi) | |
def support(self): | |
return -1, 1 | |
# / Max(sin(2 Pi x)),0)Pi/2 if -1 < x <0.5 | |
# f(x) = < | |
# \ 0 otherwise | |
# Taken from UNU.RAN test suite (from file t_hinv.c) | |
class dist1: | |
def pdf(self, x): | |
if (x <= -0.5): | |
return np.sin((2. * np.pi) * x) * 0.5 * np.pi | |
if (x < 0.): | |
return 0. | |
if (x <= 0.5): | |
return np.sin((2. * np.pi) * x) * 0.5 * np.pi | |
def dpdf(self, x): | |
if (x <= -0.5): | |
return np.cos((2. * np.pi) * x) * np.pi * np.pi | |
if (x < 0.): | |
return 0. | |
if (x <= 0.5): | |
return np.cos((2. * np.pi) * x) * np.pi * np.pi | |
def cdf(self, x): | |
if (x <= -0.5): | |
return 0.25 * (1 - np.cos((2. * np.pi) * x)) | |
if (x < 0.): | |
return 0.5 | |
if (x <= 0.5): | |
return 0.75 - 0.25 * np.cos((2. * np.pi) * x) | |
def support(self): | |
return -1, 0.5 | |
dists = [dist0(), dist1()] | |
# exact mean and variance of the distributions in the list dists | |
mv0 = [-1/(2*np.pi), 1/3 - 1/(4*np.pi*np.pi)] | |
mv1 = [-1/4, 3/8-1/(2*np.pi*np.pi) - 1/16] | |
mvs = [mv0, mv1] | |
def test_basic(self, dist, mv_ex, order): | |
rng = NumericalInverseHermite(dist, order=order, random_state=42) | |
check_cont_samples(rng, dist, mv_ex) | |
# test domains with inf + nan in them. need to write a custom test for | |
# this because not all methods support infinite tails. | |
def test_inf_nan_domains(self, domain, err, msg): | |
with pytest.raises(err, match=msg): | |
NumericalInverseHermite(StandardNormal(), domain=domain) | |
def basic_test_all_scipy_dists(self, distname, shapes): | |
slow_dists = {'ksone', 'kstwo', 'levy_stable', 'skewnorm'} | |
fail_dists = {'beta', 'gausshyper', 'geninvgauss', 'ncf', 'nct', | |
'norminvgauss', 'genhyperbolic', 'studentized_range', | |
'vonmises', 'kappa4', 'invgauss', 'wald'} | |
if distname in slow_dists: | |
pytest.skip("Distribution is too slow") | |
if distname in fail_dists: | |
# specific reasons documented in gh-13319 | |
# https://github.com/scipy/scipy/pull/13319#discussion_r626188955 | |
pytest.xfail("Fails - usually due to inaccurate CDF/PDF") | |
np.random.seed(0) | |
dist = getattr(stats, distname)(*shapes) | |
fni = NumericalInverseHermite(dist) | |
x = np.random.rand(10) | |
p_tol = np.max(np.abs(dist.ppf(x)-fni.ppf(x))/np.abs(dist.ppf(x))) | |
u_tol = np.max(np.abs(dist.cdf(fni.ppf(x)) - x)) | |
assert p_tol < 1e-8 | |
assert u_tol < 1e-12 | |
def test_basic_all_scipy_dists(self, distname, shapes): | |
# if distname == "truncnorm": | |
# pytest.skip("Tested separately") | |
self.basic_test_all_scipy_dists(distname, shapes) | |
def test_basic_truncnorm_gh17155(self): | |
self.basic_test_all_scipy_dists("truncnorm", (0.1, 2)) | |
def test_input_validation(self): | |
match = r"`order` must be either 1, 3, or 5." | |
with pytest.raises(ValueError, match=match): | |
NumericalInverseHermite(StandardNormal(), order=2) | |
match = "`cdf` required but not found" | |
with pytest.raises(ValueError, match=match): | |
NumericalInverseHermite("norm") | |
match = "could not convert string to float" | |
with pytest.raises(ValueError, match=match): | |
NumericalInverseHermite(StandardNormal(), | |
u_resolution='ekki') | |
rngs = [None, 0, np.random.RandomState(0)] | |
rngs.append(np.random.default_rng(0)) # type: ignore | |
sizes = [(None, tuple()), (8, (8,)), ((4, 5, 6), (4, 5, 6))] | |
def test_RVS(self, rng, size_in, size_out): | |
dist = StandardNormal() | |
fni = NumericalInverseHermite(dist) | |
rng2 = deepcopy(rng) | |
rvs = fni.rvs(size=size_in, random_state=rng) | |
if size_in is not None: | |
assert rvs.shape == size_out | |
if rng2 is not None: | |
rng2 = check_random_state(rng2) | |
uniform = rng2.uniform(size=size_in) | |
rvs2 = stats.norm.ppf(uniform) | |
assert_allclose(rvs, rvs2) | |
def test_inaccurate_CDF(self): | |
# CDF function with inaccurate tail cannot be inverted; see gh-13319 | |
# https://github.com/scipy/scipy/pull/13319#discussion_r626188955 | |
shapes = (2.3098496451481823, 0.6268795430096368) | |
match = ("98 : one or more intervals very short; possibly due to " | |
"numerical problems with a pole or very flat tail") | |
# fails with default tol | |
with pytest.warns(RuntimeWarning, match=match): | |
NumericalInverseHermite(stats.beta(*shapes)) | |
# no error with coarser tol | |
NumericalInverseHermite(stats.beta(*shapes), u_resolution=1e-8) | |
def test_custom_distribution(self): | |
dist1 = StandardNormal() | |
fni1 = NumericalInverseHermite(dist1) | |
dist2 = stats.norm() | |
fni2 = NumericalInverseHermite(dist2) | |
assert_allclose(fni1.rvs(random_state=0), fni2.rvs(random_state=0)) | |
u = [ | |
# check the correctness of the PPF for equidistant points between | |
# 0.02 and 0.98. | |
np.linspace(0., 1., num=10000), | |
# test the PPF method for empty arrays | |
[], [[]], | |
# test if nans and infs return nan result. | |
[np.nan], [-np.inf, np.nan, np.inf], | |
# test if a scalar is returned for a scalar input. | |
0, | |
# test for arrays with nans, values greater than 1 and less than 0, | |
# and some valid values. | |
[[np.nan, 0.5, 0.1], [0.2, 0.4, np.inf], [-2, 3, 4]] | |
] | |
def test_ppf(self, u): | |
dist = StandardNormal() | |
rng = NumericalInverseHermite(dist, u_resolution=1e-12) | |
# Older versions of NumPy throw RuntimeWarnings for comparisons | |
# with nan. | |
with suppress_warnings() as sup: | |
sup.filter(RuntimeWarning, "invalid value encountered in greater") | |
sup.filter(RuntimeWarning, "invalid value encountered in " | |
"greater_equal") | |
sup.filter(RuntimeWarning, "invalid value encountered in less") | |
sup.filter(RuntimeWarning, "invalid value encountered in " | |
"less_equal") | |
res = rng.ppf(u) | |
expected = stats.norm.ppf(u) | |
assert_allclose(res, expected, rtol=1e-9, atol=3e-10) | |
assert res.shape == expected.shape | |
def test_u_error(self): | |
dist = StandardNormal() | |
rng = NumericalInverseHermite(dist, u_resolution=1e-10) | |
max_error, mae = rng.u_error() | |
assert max_error < 1e-10 | |
assert mae <= max_error | |
with suppress_warnings() as sup: | |
# ignore warning about u-resolution being too small. | |
sup.filter(RuntimeWarning) | |
rng = NumericalInverseHermite(dist, u_resolution=1e-14) | |
max_error, mae = rng.u_error() | |
assert max_error < 1e-14 | |
assert mae <= max_error | |
class TestDiscreteGuideTable: | |
basic_fail_dists = { | |
'nchypergeom_fisher', # numerical errors on tails | |
'nchypergeom_wallenius', # numerical errors on tails | |
'randint' # fails on 32-bit ubuntu | |
} | |
def test_guide_factor_gt3_raises_warning(self): | |
pv = [0.1, 0.3, 0.6] | |
urng = np.random.default_rng() | |
with pytest.warns(RuntimeWarning): | |
DiscreteGuideTable(pv, random_state=urng, guide_factor=7) | |
def test_guide_factor_zero_raises_warning(self): | |
pv = [0.1, 0.3, 0.6] | |
urng = np.random.default_rng() | |
with pytest.warns(RuntimeWarning): | |
DiscreteGuideTable(pv, random_state=urng, guide_factor=0) | |
def test_negative_guide_factor_raises_warning(self): | |
# This occurs from the UNU.RAN wrapper automatically. | |
# however it already gives a useful warning | |
# Here we just test that a warning is raised. | |
pv = [0.1, 0.3, 0.6] | |
urng = np.random.default_rng() | |
with pytest.warns(RuntimeWarning): | |
DiscreteGuideTable(pv, random_state=urng, guide_factor=-1) | |
def test_basic(self, distname, params): | |
if distname in self.basic_fail_dists: | |
msg = ("DGT fails on these probably because of large domains " | |
"and small computation errors in PMF.") | |
pytest.skip(msg) | |
if not isinstance(distname, str): | |
dist = distname | |
else: | |
dist = getattr(stats, distname) | |
dist = dist(*params) | |
domain = dist.support() | |
if not np.isfinite(domain[1] - domain[0]): | |
# DGT only works with finite domain. So, skip the distributions | |
# with infinite tails. | |
pytest.skip("DGT only works with a finite domain.") | |
k = np.arange(domain[0], domain[1]+1) | |
pv = dist.pmf(k) | |
mv_ex = dist.stats('mv') | |
rng = DiscreteGuideTable(dist, random_state=42) | |
check_discr_samples(rng, pv, mv_ex) | |
u = [ | |
# the correctness of the PPF for equidistant points between 0 and 1. | |
np.linspace(0, 1, num=10000), | |
# test the PPF method for empty arrays | |
[], [[]], | |
# test if nans and infs return nan result. | |
[np.nan], [-np.inf, np.nan, np.inf], | |
# test if a scalar is returned for a scalar input. | |
0, | |
# test for arrays with nans, values greater than 1 and less than 0, | |
# and some valid values. | |
[[np.nan, 0.5, 0.1], [0.2, 0.4, np.inf], [-2, 3, 4]] | |
] | |
def test_ppf(self, u): | |
n, p = 4, 0.1 | |
dist = stats.binom(n, p) | |
rng = DiscreteGuideTable(dist, random_state=42) | |
# Older versions of NumPy throw RuntimeWarnings for comparisons | |
# with nan. | |
with suppress_warnings() as sup: | |
sup.filter(RuntimeWarning, "invalid value encountered in greater") | |
sup.filter(RuntimeWarning, "invalid value encountered in " | |
"greater_equal") | |
sup.filter(RuntimeWarning, "invalid value encountered in less") | |
sup.filter(RuntimeWarning, "invalid value encountered in " | |
"less_equal") | |
res = rng.ppf(u) | |
expected = stats.binom.ppf(u, n, p) | |
assert_equal(res.shape, expected.shape) | |
assert_equal(res, expected) | |
def test_bad_pv(self, pv, msg): | |
with pytest.raises(ValueError, match=msg): | |
DiscreteGuideTable(pv) | |
# DGT doesn't support infinite tails. So, it should throw an error when | |
# inf is present in the domain. | |
inf_domain = [(-np.inf, np.inf), (np.inf, np.inf), (-np.inf, -np.inf), | |
(0, np.inf), (-np.inf, 0)] | |
def test_inf_domain(self, domain): | |
with pytest.raises(ValueError, match=r"must be finite"): | |
DiscreteGuideTable(stats.binom(10, 0.2), domain=domain) | |
class TestSimpleRatioUniforms: | |
# pdf with piecewise linear function as transformed density | |
# with T = -1/sqrt with shift. Taken from UNU.RAN test suite | |
# (from file t_srou.c) | |
class dist: | |
def __init__(self, shift): | |
self.shift = shift | |
self.mode = shift | |
def pdf(self, x): | |
x -= self.shift | |
y = 1. / (abs(x) + 1.) | |
return 0.5 * y * y | |
def cdf(self, x): | |
x -= self.shift | |
if x <= 0.: | |
return 0.5 / (1. - x) | |
else: | |
return 1. - 0.5 / (1. + x) | |
dists = [dist(0.), dist(10000.)] | |
# exact mean and variance of the distributions in the list dists | |
mv1 = [0., np.inf] | |
mv2 = [10000., np.inf] | |
mvs = [mv1, mv2] | |
def test_basic(self, dist, mv_ex): | |
rng = SimpleRatioUniforms(dist, mode=dist.mode, random_state=42) | |
check_cont_samples(rng, dist, mv_ex) | |
rng = SimpleRatioUniforms(dist, mode=dist.mode, | |
cdf_at_mode=dist.cdf(dist.mode), | |
random_state=42) | |
check_cont_samples(rng, dist, mv_ex) | |
# test domains with inf + nan in them. need to write a custom test for | |
# this because not all methods support infinite tails. | |
def test_inf_nan_domains(self, domain, err, msg): | |
with pytest.raises(err, match=msg): | |
SimpleRatioUniforms(StandardNormal(), domain=domain) | |
def test_bad_args(self): | |
# pdf_area < 0 | |
with pytest.raises(ValueError, match=r"`pdf_area` must be > 0"): | |
SimpleRatioUniforms(StandardNormal(), mode=0, pdf_area=-1) | |
class TestRatioUniforms: | |
""" Tests for rvs_ratio_uniforms. | |
""" | |
def test_rv_generation(self): | |
# use KS test to check distribution of rvs | |
# normal distribution | |
f = stats.norm.pdf | |
v = np.sqrt(f(np.sqrt(2))) * np.sqrt(2) | |
u = np.sqrt(f(0)) | |
gen = RatioUniforms(f, umax=u, vmin=-v, vmax=v, random_state=12345) | |
assert_equal(stats.kstest(gen.rvs(2500), 'norm')[1] > 0.25, True) | |
# exponential distribution | |
gen = RatioUniforms(lambda x: np.exp(-x), umax=1, | |
vmin=0, vmax=2*np.exp(-1), random_state=12345) | |
assert_equal(stats.kstest(gen.rvs(1000), 'expon')[1] > 0.25, True) | |
def test_shape(self): | |
# test shape of return value depending on size parameter | |
f = stats.norm.pdf | |
v = np.sqrt(f(np.sqrt(2))) * np.sqrt(2) | |
u = np.sqrt(f(0)) | |
gen1 = RatioUniforms(f, umax=u, vmin=-v, vmax=v, random_state=1234) | |
gen2 = RatioUniforms(f, umax=u, vmin=-v, vmax=v, random_state=1234) | |
gen3 = RatioUniforms(f, umax=u, vmin=-v, vmax=v, random_state=1234) | |
r1, r2, r3 = gen1.rvs(3), gen2.rvs((3,)), gen3.rvs((3, 1)) | |
assert_equal(r1, r2) | |
assert_equal(r2, r3.flatten()) | |
assert_equal(r1.shape, (3,)) | |
assert_equal(r3.shape, (3, 1)) | |
gen4 = RatioUniforms(f, umax=u, vmin=-v, vmax=v, random_state=12) | |
gen5 = RatioUniforms(f, umax=u, vmin=-v, vmax=v, random_state=12) | |
r4, r5 = gen4.rvs(size=(3, 3, 3)), gen5.rvs(size=27) | |
assert_equal(r4.flatten(), r5) | |
assert_equal(r4.shape, (3, 3, 3)) | |
gen6 = RatioUniforms(f, umax=u, vmin=-v, vmax=v, random_state=1234) | |
gen7 = RatioUniforms(f, umax=u, vmin=-v, vmax=v, random_state=1234) | |
gen8 = RatioUniforms(f, umax=u, vmin=-v, vmax=v, random_state=1234) | |
r6, r7, r8 = gen6.rvs(), gen7.rvs(1), gen8.rvs((1,)) | |
assert_equal(r6, r7) | |
assert_equal(r7, r8) | |
def test_random_state(self): | |
f = stats.norm.pdf | |
v = np.sqrt(f(np.sqrt(2))) * np.sqrt(2) | |
umax = np.sqrt(f(0)) | |
gen1 = RatioUniforms(f, umax=umax, vmin=-v, vmax=v, random_state=1234) | |
r1 = gen1.rvs(10) | |
np.random.seed(1234) | |
gen2 = RatioUniforms(f, umax=umax, vmin=-v, vmax=v) | |
r2 = gen2.rvs(10) | |
assert_equal(r1, r2) | |
def test_exceptions(self): | |
f = stats.norm.pdf | |
# need vmin < vmax | |
with assert_raises(ValueError, match="vmin must be smaller than vmax"): | |
RatioUniforms(pdf=f, umax=1, vmin=3, vmax=1) | |
with assert_raises(ValueError, match="vmin must be smaller than vmax"): | |
RatioUniforms(pdf=f, umax=1, vmin=1, vmax=1) | |
# need umax > 0 | |
with assert_raises(ValueError, match="umax must be positive"): | |
RatioUniforms(pdf=f, umax=-1, vmin=1, vmax=3) | |
with assert_raises(ValueError, match="umax must be positive"): | |
RatioUniforms(pdf=f, umax=0, vmin=1, vmax=3) | |