import numpy as np import numpy.testing as npt import pytest from retry import retry from caimira.monte_carlo import sampleable @retry(tries=10) @pytest.mark.parametrize( "mean, std",[ [1., 0.5], ] ) def test_normal(mean, std): # Test that the sample has approximately the right mean, # std deviation and distribution function. sample_size = 2000000 samples = sampleable.Normal(mean, std).generate_samples(sample_size) histogram, bins = np.histogram(samples,bins=100, density=True) selected_bins,selected_histogram = zip(*[(b,h) for b,h in zip( (bins[1:]+bins[:-1])/2,histogram) if b>=0.25 and b<=1.75]) exact_dist = 1/(np.sqrt(2*np.pi)*std) * np.exp( -((np.array(selected_bins)-mean)/std)**2/2) assert len(samples) == sample_size npt.assert_allclose([samples.mean(), samples.std()], [mean, std], rtol=0.01) npt.assert_allclose(selected_histogram, exact_dist, rtol=0.02) @pytest.mark.parametrize( "mean_gaussian, std_gaussian",[ [-0.6872121723362303, 0.10498338229297108], ] ) def test_lognormal(mean_gaussian, std_gaussian): # Test that the sample has approximately the right mean, # std deviation and distribution function. sample_size = 2000000 samples = sampleable.LogNormal(mean_gaussian, std_gaussian ).generate_samples(sample_size) histogram, bins = np.histogram(samples,bins=50, density=True) selected_bins,selected_histogram = zip(*[(b,h) for b,h in zip( (bins[1:]+bins[:-1])/2,histogram) if b>=0.4 and b<=0.6]) selected_bins = np.array(selected_bins) exact_dist = ( 1/(selected_bins*np.sqrt(2*np.pi)*std_gaussian) * np.exp(-((np.log(selected_bins)-mean_gaussian)/std_gaussian)**2/2) ) exact_mean = np.exp(mean_gaussian + std_gaussian**2/2) exact_std = np.sqrt( (np.exp(std_gaussian**2)-1) * np.exp(2*mean_gaussian + std_gaussian**2) ) assert len(samples) == sample_size npt.assert_allclose([samples.mean(), samples.std()], [exact_mean, exact_std], rtol=0.01) npt.assert_allclose(selected_histogram, exact_dist, rtol=0.03) @pytest.mark.parametrize( "use_kernel", [False, True], ) def test_custom(use_kernel): # Test that the sample has approximately the right distribution # function, with both Custom and CustomKernel method. The latter # is less accurate for smooth functions. # the distribution function is an inverted parabola, with maximum 0.15, # which is 0 at the bounds (0,10) (normalized) norm = 500/3. function = lambda x: (-(5 - x)**2 + 25)/norm max_function = 0.15 sample_size = 2000000 if use_kernel: variable = np.linspace(0.1,9.9,100) frequencies = function(variable) samples = sampleable.CustomKernel(variable, frequencies, kernel_bandwidth=0.1 ).generate_samples(sample_size) else: samples = sampleable.Custom((0, 10), function, max_function ).generate_samples(sample_size) histogram, bins = np.histogram(samples, bins=100, density=True) selected_bins,selected_histogram = zip(*[(b,h) for b,h in zip( (bins[1:]+bins[:-1])/2,histogram) if b>=1 and b<=9]) correct_dist = function(np.array(selected_bins)) assert len(samples) == sample_size npt.assert_allclose(selected_histogram, correct_dist, rtol=0.05) def test_logcustomkernel(): # Test that the sample has approximately the right distribution # function, for the LogCustomKernel. # the distribution function is an inverted parabola vs. the log of # the variable (normalized) norm = 500/3. function = lambda x: (-(5 - x)**2 + 25)/norm sample_size = 2000000 log_variable = np.linspace(0.1,9.9,100) frequencies = function(log_variable) samples = sampleable.LogCustomKernel(log_variable, frequencies, kernel_bandwidth=0.1 ).generate_samples(sample_size) histogram, bins = np.histogram(np.log10(samples), bins=100, density=True) selected_bins,selected_histogram = zip(*[(b,h) for b,h in zip( (bins[1:]+bins[:-1])/2,histogram) if b>=1 and b<=9]) correct_dist = function(np.array(selected_bins)) assert len(samples) == sample_size npt.assert_allclose(selected_histogram, correct_dist, rtol=0.05)