import os from collections import Counter import pytest import numpy as np from numpy.testing import (assert_allclose, assert_almost_equal, assert_equal, assert_array_almost_equal, assert_array_equal) from scipy.stats import shapiro from scipy.stats._sobol import _test_find_index from scipy.stats import qmc from scipy.stats._qmc import (van_der_corput, n_primes, primes_from_2_to, update_discrepancy, QMCEngine) from scipy._lib._pep440 import Version class TestUtils: def test_scale(self): # 1d scalar space = [[0], [1], [0.5]] out = [[-2], [6], [2]] scaled_space = qmc.scale(space, l_bounds=-2, u_bounds=6) assert_allclose(scaled_space, out) # 2d space space = [[0, 0], [1, 1], [0.5, 0.5]] bounds = np.array([[-2, 0], [6, 5]]) out = [[-2, 0], [6, 5], [2, 2.5]] scaled_space = qmc.scale(space, l_bounds=bounds[0], u_bounds=bounds[1]) assert_allclose(scaled_space, out) scaled_back_space = qmc.scale(scaled_space, l_bounds=bounds[0], u_bounds=bounds[1], reverse=True) assert_allclose(scaled_back_space, space) # broadcast space = [[0, 0, 0], [1, 1, 1], [0.5, 0.5, 0.5]] l_bounds, u_bounds = 0, [6, 5, 3] out = [[0, 0, 0], [6, 5, 3], [3, 2.5, 1.5]] scaled_space = qmc.scale(space, l_bounds=l_bounds, u_bounds=u_bounds) assert_allclose(scaled_space, out) def test_scale_random(self): np.random.seed(0) sample = np.random.rand(30, 10) a = -np.random.rand(10) * 10 b = np.random.rand(10) * 10 scaled = qmc.scale(sample, a, b, reverse=False) unscaled = qmc.scale(scaled, a, b, reverse=True) assert_allclose(unscaled, sample) def test_scale_errors(self): with pytest.raises(ValueError, match=r"Sample is not a 2D array"): space = [0, 1, 0.5] qmc.scale(space, l_bounds=-2, u_bounds=6) with pytest.raises(ValueError, match=r"Bounds are not consistent" r" a < b"): space = [[0, 0], [1, 1], [0.5, 0.5]] bounds = np.array([[-2, 6], [6, 5]]) qmc.scale(space, l_bounds=bounds[0], u_bounds=bounds[1]) with pytest.raises(ValueError, match=r"shape mismatch: objects cannot " r"be broadcast to a " r"single shape"): space = [[0, 0], [1, 1], [0.5, 0.5]] l_bounds, u_bounds = [-2, 0, 2], [6, 5] qmc.scale(space, l_bounds=l_bounds, u_bounds=u_bounds) with pytest.raises(ValueError, match=r"Sample dimension is different " r"than bounds dimension"): space = [[0, 0], [1, 1], [0.5, 0.5]] bounds = np.array([[-2, 0, 2], [6, 5, 5]]) qmc.scale(space, l_bounds=bounds[0], u_bounds=bounds[1]) with pytest.raises(ValueError, match=r"Sample is not in unit " r"hypercube"): space = [[0, 0], [1, 1.5], [0.5, 0.5]] bounds = np.array([[-2, 0], [6, 5]]) qmc.scale(space, l_bounds=bounds[0], u_bounds=bounds[1]) with pytest.raises(ValueError, match=r"Sample is out of bounds"): out = [[-2, 0], [6, 5], [8, 2.5]] bounds = np.array([[-2, 0], [6, 5]]) qmc.scale(out, l_bounds=bounds[0], u_bounds=bounds[1], reverse=True) def test_discrepancy(self): space_1 = np.array([[1, 3], [2, 6], [3, 2], [4, 5], [5, 1], [6, 4]]) space_1 = (2.0 * space_1 - 1.0) / (2.0 * 6.0) space_2 = np.array([[1, 5], [2, 4], [3, 3], [4, 2], [5, 1], [6, 6]]) space_2 = (2.0 * space_2 - 1.0) / (2.0 * 6.0) # From Fang et al. Design and modeling for computer experiments, 2006 assert_allclose(qmc.discrepancy(space_1), 0.0081, atol=1e-4) assert_allclose(qmc.discrepancy(space_2), 0.0105, atol=1e-4) # From Zhou Y.-D. et al. Mixture discrepancy for quasi-random point # sets. Journal of Complexity, 29 (3-4), pp. 283-301, 2013. # Example 4 on Page 298 sample = np.array([[2, 1, 1, 2, 2, 2], [1, 2, 2, 2, 2, 2], [2, 1, 1, 1, 1, 1], [1, 1, 1, 1, 2, 2], [1, 2, 2, 2, 1, 1], [2, 2, 2, 2, 1, 1], [2, 2, 2, 1, 2, 2]]) sample = (2.0 * sample - 1.0) / (2.0 * 2.0) assert_allclose(qmc.discrepancy(sample, method='MD'), 2.5000, atol=1e-4) assert_allclose(qmc.discrepancy(sample, method='WD'), 1.3680, atol=1e-4) assert_allclose(qmc.discrepancy(sample, method='CD'), 0.3172, atol=1e-4) # From Tim P. et al. Minimizing the L2 and Linf star discrepancies # of a single point in the unit hypercube. JCAM, 2005 # Table 1 on Page 283 for dim in [2, 4, 8, 16, 32, 64]: ref = np.sqrt(3**(-dim)) assert_allclose(qmc.discrepancy(np.array([[1]*dim]), method='L2-star'), ref) def test_discrepancy_errors(self): sample = np.array([[1, 3], [2, 6], [3, 2], [4, 5], [5, 1], [6, 4]]) with pytest.raises( ValueError, match=r"Sample is not in unit hypercube" ): qmc.discrepancy(sample) with pytest.raises(ValueError, match=r"Sample is not a 2D array"): qmc.discrepancy([1, 3]) sample = [[0, 0], [1, 1], [0.5, 0.5]] with pytest.raises(ValueError, match=r"'toto' is not a valid ..."): qmc.discrepancy(sample, method="toto") def test_discrepancy_parallel(self, monkeypatch): sample = np.array([[2, 1, 1, 2, 2, 2], [1, 2, 2, 2, 2, 2], [2, 1, 1, 1, 1, 1], [1, 1, 1, 1, 2, 2], [1, 2, 2, 2, 1, 1], [2, 2, 2, 2, 1, 1], [2, 2, 2, 1, 2, 2]]) sample = (2.0 * sample - 1.0) / (2.0 * 2.0) assert_allclose(qmc.discrepancy(sample, method='MD', workers=8), 2.5000, atol=1e-4) assert_allclose(qmc.discrepancy(sample, method='WD', workers=8), 1.3680, atol=1e-4) assert_allclose(qmc.discrepancy(sample, method='CD', workers=8), 0.3172, atol=1e-4) # From Tim P. et al. Minimizing the L2 and Linf star discrepancies # of a single point in the unit hypercube. JCAM, 2005 # Table 1 on Page 283 for dim in [2, 4, 8, 16, 32, 64]: ref = np.sqrt(3 ** (-dim)) assert_allclose(qmc.discrepancy(np.array([[1] * dim]), method='L2-star', workers=-1), ref) monkeypatch.setattr(os, 'cpu_count', lambda: None) with pytest.raises(NotImplementedError, match="Cannot determine the"): qmc.discrepancy(sample, workers=-1) with pytest.raises(ValueError, match="Invalid number of workers..."): qmc.discrepancy(sample, workers=-2) @pytest.mark.skipif(Version(np.__version__) < Version('1.17'), reason='default_rng not available for numpy, < 1.17') def test_update_discrepancy(self): # From Fang et al. Design and modeling for computer experiments, 2006 space_1 = np.array([[1, 3], [2, 6], [3, 2], [4, 5], [5, 1], [6, 4]]) space_1 = (2.0 * space_1 - 1.0) / (2.0 * 6.0) disc_init = qmc.discrepancy(space_1[:-1], iterative=True) disc_iter = update_discrepancy(space_1[-1], space_1[:-1], disc_init) assert_allclose(disc_iter, 0.0081, atol=1e-4) # n QMCEngine: seed = np.random.RandomState(123456) if self.can_scramble: return self.qmce(scramble=scramble, seed=seed, **kwargs) else: if scramble: pytest.skip() else: return self.qmce(seed=seed, **kwargs) def reference(self, scramble: bool) -> np.ndarray: return self.scramble_nd if scramble else self.unscramble_nd @pytest.mark.parametrize("scramble", scramble, ids=ids) def test_0dim(self, scramble): engine = self.engine(d=0, scramble=scramble) sample = engine.random(4) assert_array_equal(np.empty((4, 0)), sample) @pytest.mark.parametrize("scramble", scramble, ids=ids) def test_0sample(self, scramble): engine = self.engine(d=2, scramble=scramble) sample = engine.random(0) assert_array_equal(np.empty((0, 2)), sample) @pytest.mark.parametrize("scramble", scramble, ids=ids) def test_1sample(self, scramble): engine = self.engine(d=2, scramble=scramble) sample = engine.random(1) assert (1, 2) == sample.shape @pytest.mark.parametrize("scramble", scramble, ids=ids) def test_bounds(self, scramble): engine = self.engine(d=100, scramble=scramble) sample = engine.random(512) assert np.all(sample >= 0) assert np.all(sample <= 1) @pytest.mark.parametrize("scramble", scramble, ids=ids) def test_sample(self, scramble): ref_sample = self.reference(scramble=scramble) engine = self.engine(d=2, scramble=scramble) sample = engine.random(n=len(ref_sample)) assert_almost_equal(sample, ref_sample, decimal=1) assert engine.num_generated == len(ref_sample) @pytest.mark.parametrize("scramble", scramble, ids=ids) def test_continuing(self, scramble): engine = self.engine(d=2, scramble=scramble) ref_sample = engine.random(n=8) engine = self.engine(d=2, scramble=scramble) n_half = len(ref_sample) // 2 _ = engine.random(n=n_half) sample = engine.random(n=n_half) assert_almost_equal(sample, ref_sample[n_half:], decimal=1) @pytest.mark.parametrize("scramble", scramble, ids=ids) def test_reset(self, scramble): engine = self.engine(d=2, scramble=scramble) ref_sample = engine.random(n=8) engine.reset() assert engine.num_generated == 0 sample = engine.random(n=8) assert_allclose(sample, ref_sample) @pytest.mark.parametrize("scramble", scramble, ids=ids) def test_fast_forward(self, scramble): engine = self.engine(d=2, scramble=scramble) ref_sample = engine.random(n=8) engine = self.engine(d=2, scramble=scramble) engine.fast_forward(4) sample = engine.random(n=4) assert_almost_equal(sample, ref_sample[4:], decimal=1) # alternate fast forwarding with sampling engine.reset() even_draws = [] for i in range(8): if i % 2 == 0: even_draws.append(engine.random()) else: engine.fast_forward(1) assert_almost_equal( ref_sample[[i for i in range(8) if i % 2 == 0]], np.concatenate(even_draws), decimal=5 ) @pytest.mark.parametrize("scramble", [True]) def test_distribution(self, scramble): d = 50 engine = self.engine(d=d, scramble=scramble) sample = engine.random(1024) assert_array_almost_equal( np.mean(sample, axis=0), np.repeat(0.5, d), decimal=2 ) assert_array_almost_equal( np.percentile(sample, 25, axis=0), np.repeat(0.25, d), decimal=2 ) assert_array_almost_equal( np.percentile(sample, 75, axis=0), np.repeat(0.75, d), decimal=2 ) class TestHalton(QMCEngineTests): qmce = qmc.Halton can_scramble = True # theoretical values known from Van der Corput unscramble_nd = np.array([[0, 0], [1 / 2, 1 / 3], [1 / 4, 2 / 3], [3 / 4, 1 / 9], [1 / 8, 4 / 9], [5 / 8, 7 / 9], [3 / 8, 2 / 9], [7 / 8, 5 / 9]]) # theoretical values unknown: convergence properties checked scramble_nd = np.array([[0.34229571, 0.89178423], [0.84229571, 0.07696942], [0.21729571, 0.41030275], [0.71729571, 0.74363609], [0.46729571, 0.18808053], [0.96729571, 0.52141386], [0.06104571, 0.8547472], [0.56104571, 0.29919164]]) class TestLHS(QMCEngineTests): qmce = qmc.LatinHypercube can_scramble = False def test_continuing(self, *args): pytest.skip("Not applicable: not a sequence.") def test_fast_forward(self, *args): pytest.skip("Not applicable: not a sequence.") def test_sample(self, *args): pytest.skip("Not applicable: the value of reference sample is" " implementation dependent.") def test_sample_stratified(self): d, n = 4, 20 expected1d = (np.arange(n) + 0.5) / n expected = np.broadcast_to(expected1d, (d, n)).T engine = self.engine(d=d, scramble=False, centered=True) sample = engine.random(n=n) sorted_sample = np.sort(sample, axis=0) assert_equal(sorted_sample, expected) assert np.any(sample != expected) engine = self.engine(d=d, scramble=False, centered=False) sample = engine.random(n=n) sorted_sample = np.sort(sample, axis=0) assert_allclose(sorted_sample, expected, atol=0.5 / n) assert np.any(sample - expected > 0.5 / n) class TestSobol(QMCEngineTests): qmce = qmc.Sobol can_scramble = True # theoretical values from Joe Kuo2010 unscramble_nd = np.array([[0., 0.], [0.5, 0.5], [0.75, 0.25], [0.25, 0.75], [0.375, 0.375], [0.875, 0.875], [0.625, 0.125], [0.125, 0.625]]) # theoretical values unknown: convergence properties checked scramble_nd = np.array([[0.50860737, 0.29320504], [0.07116939, 0.89594537], [0.49354145, 0.11524881], [0.93097717, 0.70244044], [0.87266153, 0.23887917], [0.31021884, 0.57600391], [0.13687253, 0.42054182], [0.69931293, 0.77336788]]) def test_warning(self): with pytest.warns(UserWarning, match=r"The balance properties of " r"Sobol' points"): seed = np.random.RandomState(12345) engine = qmc.Sobol(1, seed=seed) engine.random(10) def test_random_base2(self): seed = np.random.RandomState(12345) engine = qmc.Sobol(2, scramble=False, seed=seed) sample = engine.random_base2(2) assert_array_equal(self.unscramble_nd[:4], sample) # resampling still having N=2**n sample = engine.random_base2(2) assert_array_equal(self.unscramble_nd[4:8], sample) # resampling again but leading to N!=2**n with pytest.raises(ValueError, match=r"The balance properties of " r"Sobol' points"): engine.random_base2(2) def test_raise(self): seed = np.random.RandomState(12345) with pytest.raises(ValueError, match=r"Maximum supported " r"dimensionality"): qmc.Sobol(qmc.Sobol.MAXDIM + 1, seed=seed) def test_high_dim(self): seed = np.random.RandomState(12345) engine = qmc.Sobol(1111, scramble=False, seed=seed) count1 = Counter(engine.random().flatten().tolist()) count2 = Counter(engine.random().flatten().tolist()) assert_equal(count1, Counter({0.0: 1111})) assert_equal(count2, Counter({0.5: 1111})) class TestMultinomialQMC: def test_validations(self): # negative Ps p = np.array([0.12, 0.26, -0.05, 0.35, 0.22]) with pytest.raises(ValueError, match=r"Elements of pvals must " r"be non-negative."): qmc.MultinomialQMC(p) # sum of P too large p = np.array([0.12, 0.26, 0.1, 0.35, 0.22]) message = r"Elements of pvals must sum to 1." with pytest.raises(ValueError, match=message): qmc.MultinomialQMC(p) p = np.array([0.12, 0.26, 0.05, 0.35, 0.22]) seed = np.random.RandomState(12345) message = r"Dimension of `engine` must be 1." with pytest.raises(ValueError, match=message): qmc.MultinomialQMC(p, engine=qmc.Sobol(d=2, seed=seed)) message = r"`engine` must be an instance of..." with pytest.raises(ValueError, match=message): qmc.MultinomialQMC(p, engine=np.random.RandomState) @pytest.mark.filterwarnings('ignore::UserWarning') def test_MultinomialBasicDraw(self): seed = np.random.RandomState(12345) p = np.array([0.12, 0.26, 0.05, 0.35, 0.22]) expected = np.array([12, 25, 6, 35, 22]) engine = qmc.MultinomialQMC(p, seed=seed) assert_array_equal(engine.random(100), expected) def test_MultinomialDistribution(self): seed = np.random.RandomState(12345) p = np.array([0.12, 0.26, 0.05, 0.35, 0.22]) engine = qmc.MultinomialQMC(p, seed=seed) draws = engine.random(8192) assert_array_almost_equal(draws / np.sum(draws), p, decimal=4) def test_FindIndex(self): p_cumulative = np.array([0.1, 0.4, 0.45, 0.6, 0.75, 0.9, 0.99, 1.0]) size = len(p_cumulative) assert_equal(_test_find_index(p_cumulative, size, 0.0), 0) assert_equal(_test_find_index(p_cumulative, size, 0.4), 2) assert_equal(_test_find_index(p_cumulative, size, 0.44999), 2) assert_equal(_test_find_index(p_cumulative, size, 0.45001), 3) assert_equal(_test_find_index(p_cumulative, size, 1.0), size - 1) @pytest.mark.filterwarnings('ignore::UserWarning') def test_other_engine(self): # same as test_MultinomialBasicDraw with different engine seed = np.random.RandomState(12345) p = np.array([0.12, 0.26, 0.05, 0.35, 0.22]) expected = np.array([12, 25, 6, 35, 22]) base_engine = qmc.Sobol(1, scramble=True, seed=seed) engine = qmc.MultinomialQMC(p, engine=base_engine, seed=seed) assert_array_equal(engine.random(100), expected) def test_reset(self): p = np.array([0.12, 0.26, 0.05, 0.35, 0.22]) seed = np.random.RandomState(12345) engine = qmc.MultinomialQMC(p, seed=seed) samples = engine.random(2) engine.reset() samples_reset = engine.random(2) assert_array_equal(samples, samples_reset) def _wrapper_mv_qmc(*args, **kwargs): d = kwargs.pop("d") return qmc.MultivariateNormalQMC(mean=np.zeros(d), **kwargs) class TestMultivariateNormalQMCEngine(QMCEngineTests): qmce = _wrapper_mv_qmc can_scramble = False def test_sample(self, *args): pytest.skip("Not applicable: the value of reference sample is" " implementation dependent.") def test_bounds(self, *args): pytest.skip("Not applicable: normal is not bounded.") class TestNormalQMC: def test_NormalQMC(self): # d = 1 seed = np.random.RandomState(123456) engine = qmc.MultivariateNormalQMC(mean=np.zeros(1), seed=seed) samples = engine.random() assert_equal(samples.shape, (1, 1)) samples = engine.random(n=5) assert_equal(samples.shape, (5, 1)) # d = 2 engine = qmc.MultivariateNormalQMC(mean=np.zeros(2), seed=seed) samples = engine.random() assert_equal(samples.shape, (1, 2)) samples = engine.random(n=5) assert_equal(samples.shape, (5, 2)) def test_NormalQMCInvTransform(self): # d = 1 seed = np.random.RandomState(123456) engine = qmc.MultivariateNormalQMC( mean=np.zeros(1), inv_transform=True, seed=seed) samples = engine.random() assert_equal(samples.shape, (1, 1)) samples = engine.random(n=5) assert_equal(samples.shape, (5, 1)) # d = 2 engine = qmc.MultivariateNormalQMC( mean=np.zeros(2), inv_transform=True, seed=seed) samples = engine.random() assert_equal(samples.shape, (1, 2)) samples = engine.random(n=5) assert_equal(samples.shape, (5, 2)) def test_other_engine(self): seed = np.random.RandomState(123456) base_engine = qmc.Sobol(d=2, scramble=False, seed=seed) engine = qmc.MultivariateNormalQMC(mean=np.zeros(2), engine=base_engine, inv_transform=True, seed=seed) samples = engine.random() assert_equal(samples.shape, (1, 2)) def test_NormalQMCSeeded(self): # test even dimension seed = np.random.RandomState(12345) engine = qmc.MultivariateNormalQMC( mean=np.zeros(2), inv_transform=False, seed=seed) samples = engine.random(n=2) samples_expected = np.array( [[-0.943472, 0.405116], [-0.63099602, -1.32950772]] ) assert_array_almost_equal(samples, samples_expected) # test odd dimension seed = np.random.RandomState(12345) engine = qmc.MultivariateNormalQMC( mean=np.zeros(3), inv_transform=False, seed=seed) samples = engine.random(n=2) samples_expected = np.array( [ [-0.943472, 0.405116, 0.268828], [1.83169884, -1.40473647, 0.24334828], ] ) assert_array_almost_equal(samples, samples_expected) def test_NormalQMCSeededInvTransform(self): # test even dimension seed = np.random.RandomState(12345) engine = qmc.MultivariateNormalQMC( mean=np.zeros(2), seed=seed, inv_transform=True) samples = engine.random(n=2) samples_expected = np.array( [[0.228309, -0.162516], [-0.41622922, 0.46622792]] ) assert_array_almost_equal(samples, samples_expected) # test odd dimension seed = np.random.RandomState(12345) engine = qmc.MultivariateNormalQMC( mean=np.zeros(3), seed=seed, inv_transform=True) samples = engine.random(n=2) samples_expected = np.array( [ [0.228309, -0.162516, 0.167352], [-1.40525266, 1.37652443, -0.8519666], ] ) assert_array_almost_equal(samples, samples_expected) def test_NormalQMCShapiro(self): seed = np.random.RandomState(12345) engine = qmc.MultivariateNormalQMC(mean=np.zeros(2), seed=seed) samples = engine.random(n=256) assert all(np.abs(samples.mean(axis=0)) < 1e-2) assert all(np.abs(samples.std(axis=0) - 1) < 1e-2) # perform Shapiro-Wilk test for normality for i in (0, 1): _, pval = shapiro(samples[:, i]) assert pval > 0.9 # make sure samples are uncorrelated cov = np.cov(samples.transpose()) assert np.abs(cov[0, 1]) < 1e-2 def test_NormalQMCShapiroInvTransform(self): seed = np.random.RandomState(12345) engine = qmc.MultivariateNormalQMC( mean=np.zeros(2), seed=seed, inv_transform=True) samples = engine.random(n=256) assert all(np.abs(samples.mean(axis=0)) < 1e-2) assert all(np.abs(samples.std(axis=0) - 1) < 1e-2) # perform Shapiro-Wilk test for normality for i in (0, 1): _, pval = shapiro(samples[:, i]) assert pval > 0.9 # make sure samples are uncorrelated cov = np.cov(samples.transpose()) assert np.abs(cov[0, 1]) < 1e-2 class TestMultivariateNormalQMC: def test_validations(self): seed = np.random.RandomState() message = r"Dimension of `engine` must be consistent" with pytest.raises(ValueError, match=message): qmc.MultivariateNormalQMC([0], engine=qmc.Sobol(d=2, seed=seed), seed=seed) message = r"`engine` must be an instance of..." with pytest.raises(ValueError, match=message): qmc.MultivariateNormalQMC([0, 0], engine=np.random.RandomState, seed=seed) message = r"Covariance matrix not PSD." with pytest.raises(ValueError, match=message): qmc.MultivariateNormalQMC([0, 0], [[1, 2], [2, 1]], seed=seed) message = r"Covariance matrix is not symmetric." with pytest.raises(ValueError, match=message): qmc.MultivariateNormalQMC([0, 0], [[1, 0], [2, 1]], seed=seed) message = r"Dimension mismatch between mean and covariance." with pytest.raises(ValueError, match=message): qmc.MultivariateNormalQMC([0], [[1, 0], [0, 1]], seed=seed) def test_MultivariateNormalQMCNonPD(self): # try with non-pd but psd cov; should work seed = np.random.RandomState(123456) engine = qmc.MultivariateNormalQMC( [0, 0, 0], [[1, 0, 1], [0, 1, 1], [1, 1, 2]], seed=seed ) assert engine._corr_matrix is not None def test_MultivariateNormalQMC(self): # d = 1 scalar seed = np.random.RandomState(123456) engine = qmc.MultivariateNormalQMC(mean=0, cov=5, seed=seed) samples = engine.random() assert_equal(samples.shape, (1, 1)) samples = engine.random(n=5) assert_equal(samples.shape, (5, 1)) # d = 2 list engine = qmc.MultivariateNormalQMC(mean=[0, 1], cov=[[1, 0], [0, 1]], seed=seed) samples = engine.random() assert_equal(samples.shape, (1, 2)) samples = engine.random(n=5) assert_equal(samples.shape, (5, 2)) # d = 3 np.array mean = np.array([0, 1, 2]) cov = np.array([[1, 0, 0], [0, 1, 0], [0, 0, 1]]) engine = qmc.MultivariateNormalQMC(mean, cov, seed=seed) samples = engine.random() assert_equal(samples.shape, (1, 3)) samples = engine.random(n=5) assert_equal(samples.shape, (5, 3)) def test_MultivariateNormalQMCInvTransform(self): # d = 1 scalar seed = np.random.RandomState(123456) engine = qmc.MultivariateNormalQMC(mean=0, cov=5, inv_transform=True, seed=seed) samples = engine.random() assert_equal(samples.shape, (1, 1)) samples = engine.random(n=5) assert_equal(samples.shape, (5, 1)) # d = 2 list engine = qmc.MultivariateNormalQMC( mean=[0, 1], cov=[[1, 0], [0, 1]], inv_transform=True, seed=seed ) samples = engine.random() assert_equal(samples.shape, (1, 2)) samples = engine.random(n=5) assert_equal(samples.shape, (5, 2)) # d = 3 np.array mean = np.array([0, 1, 2]) cov = np.array([[1, 0, 0], [0, 1, 0], [0, 0, 1]]) engine = qmc.MultivariateNormalQMC(mean, cov, inv_transform=True, seed=seed) samples = engine.random() assert_equal(samples.shape, (1, 3)) samples = engine.random(n=5) assert_equal(samples.shape, (5, 3)) def test_MultivariateNormalQMCSeeded(self): # test even dimension seed = np.random.RandomState(12345) np.random.seed(54321) a = np.random.randn(2, 2) A = a @ a.transpose() + np.diag(np.random.rand(2)) engine = qmc.MultivariateNormalQMC(np.array([0, 0]), A, inv_transform=False, seed=seed) samples = engine.random(n=2) samples_expected = np.array( [[-1.010703, -0.324223], [-0.67595995, -2.27437872]] ) assert_array_almost_equal(samples, samples_expected) # test odd dimension seed = np.random.RandomState(12345) np.random.seed(54321) a = np.random.randn(3, 3) A = a @ a.transpose() + np.diag(np.random.rand(3)) engine = qmc.MultivariateNormalQMC(np.array([0, 0, 0]), A, inv_transform=False, seed=seed) samples = engine.random(n=2) samples_expected = np.array( [ [-1.056834, 2.493251, 0.114556], [2.05178452, -6.35744194, 0.67944512], ] ) assert_array_almost_equal(samples, samples_expected) def test_MultivariateNormalQMCSeededInvTransform(self): # test even dimension seed = np.random.RandomState(12345) np.random.seed(54321) a = np.random.randn(2, 2) A = a @ a.transpose() + np.diag(np.random.rand(2)) engine = qmc.MultivariateNormalQMC( np.array([0, 0]), A, seed=seed, inv_transform=True ) samples = engine.random(n=2) samples_expected = np.array( [[0.244578, -0.004441], [-0.44588916, 0.22657776]] ) assert_array_almost_equal(samples, samples_expected) # test odd dimension seed = np.random.RandomState(12345) np.random.seed(54321) a = np.random.randn(3, 3) A = a @ a.transpose() + np.diag(np.random.rand(3)) engine = qmc.MultivariateNormalQMC( np.array([0, 0, 0]), A, seed=seed, inv_transform=True ) samples = engine.random(n=2) samples_expected = np.array( [ [0.255741, -0.761559, 0.234236], [-1.5740992, 5.61057598, -1.28218525], ] ) assert_array_almost_equal(samples, samples_expected) def test_MultivariateNormalQMCShapiro(self): # test the standard case seed = np.random.RandomState(12345) engine = qmc.MultivariateNormalQMC( mean=[0, 0], cov=[[1, 0], [0, 1]], seed=seed ) samples = engine.random(n=256) assert all(np.abs(samples.mean(axis=0)) < 1e-2) assert all(np.abs(samples.std(axis=0) - 1) < 1e-2) # perform Shapiro-Wilk test for normality for i in (0, 1): _, pval = shapiro(samples[:, i]) assert pval > 0.9 # make sure samples are uncorrelated cov = np.cov(samples.transpose()) assert np.abs(cov[0, 1]) < 1e-2 # test the correlated, non-zero mean case seed = np.random.RandomState(12345) engine = qmc.MultivariateNormalQMC( mean=[1.0, 2.0], cov=[[1.5, 0.5], [0.5, 1.5]], seed=seed ) samples = engine.random(n=256) assert all(np.abs(samples.mean(axis=0) - [1, 2]) < 1e-2) assert all(np.abs(samples.std(axis=0) - np.sqrt(1.5)) < 1e-2) # perform Shapiro-Wilk test for normality for i in (0, 1): _, pval = shapiro(samples[:, i]) assert pval > 0.9 # check covariance cov = np.cov(samples.transpose()) assert np.abs(cov[0, 1] - 0.5) < 1e-2 def test_MultivariateNormalQMCShapiroInvTransform(self): # test the standard case seed = np.random.RandomState(12345) engine = qmc.MultivariateNormalQMC( mean=[0, 0], cov=[[1, 0], [0, 1]], seed=seed, inv_transform=True ) samples = engine.random(n=256) assert all(np.abs(samples.mean(axis=0)) < 1e-2) assert all(np.abs(samples.std(axis=0) - 1) < 1e-2) # perform Shapiro-Wilk test for normality for i in (0, 1): _, pval = shapiro(samples[:, i]) assert pval > 0.9 # make sure samples are uncorrelated cov = np.cov(samples.transpose()) assert np.abs(cov[0, 1]) < 1e-2 # test the correlated, non-zero mean case seed = np.random.RandomState(12345) engine = qmc.MultivariateNormalQMC( mean=[1.0, 2.0], cov=[[1.5, 0.5], [0.5, 1.5]], seed=seed, inv_transform=True, ) samples = engine.random(n=256) assert all(np.abs(samples.mean(axis=0) - [1, 2]) < 1e-2) assert all(np.abs(samples.std(axis=0) - np.sqrt(1.5)) < 1e-2) # perform Shapiro-Wilk test for normality for i in (0, 1): _, pval = shapiro(samples[:, i]) assert pval > 0.9 # check covariance cov = np.cov(samples.transpose()) assert np.abs(cov[0, 1] - 0.5) < 1e-2 def test_MultivariateNormalQMCDegenerate(self): # X, Y iid standard Normal and Z = X + Y, random vector (X, Y, Z) seed = np.random.RandomState(12345) engine = qmc.MultivariateNormalQMC( mean=[0.0, 0.0, 0.0], cov=[[1.0, 0.0, 1.0], [0.0, 1.0, 1.0], [1.0, 1.0, 2.0]], seed=seed, ) samples = engine.random(n=512) assert all(np.abs(samples.mean(axis=0)) < 1e-2) assert np.abs(np.std(samples[:, 0]) - 1) < 1e-2 assert np.abs(np.std(samples[:, 1]) - 1) < 1e-2 assert np.abs(np.std(samples[:, 2]) - np.sqrt(2)) < 1e-2 for i in (0, 1, 2): _, pval = shapiro(samples[:, i]) assert pval > 0.8 cov = np.cov(samples.transpose()) assert np.abs(cov[0, 1]) < 1e-2 assert np.abs(cov[0, 2] - 1) < 1e-2 # check to see if X + Y = Z almost exactly assert all(np.abs(samples[:, 0] + samples[:, 1] - samples[:, 2]) < 1e-5)