1 /* movstat/test_variance.c
2 *
3 * Copyright (C) 2018 Patrick Alken
4 *
5 * This program is free software; you can redistribute it and/or modify
6 * it under the terms of the GNU General Public License as published by
7 * the Free Software Foundation; either version 3 of the License, or (at
8 * your option) any later version.
9 *
10 * This program is distributed in the hope that it will be useful, but
11 * WITHOUT ANY WARRANTY; without even the implied warranty of
12 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
13 * General Public License for more details.
14 *
15 * You should have received a copy of the GNU General Public License
16 * along with this program; if not, write to the Free Software
17 * Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301, USA.
18 */
19
20 #include <gsl/gsl_math.h>
21 #include <gsl/gsl_vector.h>
22 #include <gsl/gsl_test.h>
23 #include <gsl/gsl_rng.h>
24 #include <gsl/gsl_movstat.h>
25
26 /* compute moving variance by explicitely constructing window and computing variance */
27 int
slow_movvar(const gsl_movstat_end_t etype,const gsl_vector * x,gsl_vector * y,const int H,const int J)28 slow_movvar(const gsl_movstat_end_t etype, const gsl_vector * x, gsl_vector * y,
29 const int H, const int J)
30 {
31 const size_t n = x->size;
32 const int K = H + J + 1;
33 double *window = malloc(K * sizeof(double));
34 size_t i;
35
36 for (i = 0; i < n; ++i)
37 {
38 size_t wsize = gsl_movstat_fill(etype, x, i, H, J, window);
39 double variance = (wsize > 1) ? gsl_stats_variance(window, 1, wsize) : 0.0;
40
41 gsl_vector_set(y, i, variance);
42 }
43
44 free(window);
45
46 return GSL_SUCCESS;
47 }
48
49 /* compute moving variance by explicitely constructing window and computing variance */
50 int
slow_movsd(const gsl_movstat_end_t etype,const gsl_vector * x,gsl_vector * y,const int H,const int J)51 slow_movsd(const gsl_movstat_end_t etype, const gsl_vector * x, gsl_vector * y,
52 const int H, const int J)
53 {
54 const size_t n = x->size;
55 const int K = H + J + 1;
56 double *window = malloc(K * sizeof(double));
57 size_t i;
58
59 for (i = 0; i < n; ++i)
60 {
61 size_t wsize = gsl_movstat_fill(etype, x, i, H, J, window);
62 double sd = (wsize > 1) ? gsl_stats_sd(window, 1, wsize) : 0.0;
63
64 gsl_vector_set(y, i, sd);
65 }
66
67 free(window);
68
69 return GSL_SUCCESS;
70 }
71
72 static double
func_var(const size_t n,double x[],void * params)73 func_var(const size_t n, double x[], void * params)
74 {
75 (void) params;
76 if (n > 1)
77 return gsl_stats_variance(x, 1, n);
78 else
79 return 0.0;
80 }
81
82 static double
func_sd(const size_t n,double x[],void * params)83 func_sd(const size_t n, double x[], void * params)
84 {
85 (void) params;
86 if (n > 1)
87 return gsl_stats_sd(x, 1, n);
88 else
89 return 0.0;
90 }
91
92 static void
test_variance_proc(const double tol,const size_t n,const size_t H,const size_t J,const gsl_movstat_end_t etype,gsl_rng * rng_p)93 test_variance_proc(const double tol, const size_t n, const size_t H, const size_t J,
94 const gsl_movstat_end_t etype, gsl_rng * rng_p)
95 {
96 gsl_movstat_workspace * w = gsl_movstat_alloc2(H, J);
97 gsl_vector * x = gsl_vector_alloc(n);
98 gsl_vector * y = gsl_vector_alloc(n);
99 gsl_vector * z = gsl_vector_alloc(n);
100 gsl_movstat_function F1, F2;
101 char buf[2048];
102
103 F1.function = func_var;
104 F1.params = NULL;
105
106 F2.function = func_sd;
107 F2.params = NULL;
108
109 random_vector(x, rng_p);
110
111 /* test variance */
112
113 /* y = variance(x) with slow brute force method */
114 slow_movvar(etype, x, y, H, J);
115
116 /* y = variance(x) with fast method */
117 gsl_movstat_variance(etype, x, z, w);
118
119 /* test y = z */
120 sprintf(buf, "n=%zu H=%zu J=%zu endtype=%u variance random", n, H, J, etype);
121 compare_vectors(tol, z, y, buf);
122
123 /* z = variance(x) in-place */
124 gsl_vector_memcpy(z, x);
125 gsl_movstat_variance(etype, z, z, w);
126
127 sprintf(buf, "n=%zu H=%zu J=%zu endtype=%u variance random in-place", n, H, J, etype);
128 compare_vectors(tol, z, y, buf);
129
130 /* z = variance(x) with user-defined function */
131 gsl_movstat_apply(etype, &F1, x, z, w);
132
133 sprintf(buf, "n=%zu H=%zu J=%zu endtype=%u variance user", n, H, J, etype);
134 compare_vectors(tol, z, y, buf);
135
136 /* test standard deviation */
137
138 /* y = stddev(x) with slow brute force method */
139 slow_movsd(etype, x, y, H, J);
140
141 /* y = stddev(x) with fast method */
142 gsl_movstat_sd(etype, x, z, w);
143
144 /* test y = z */
145 sprintf(buf, "n=%zu H=%zu J=%zu endtype=%u stddev random", n, H, J, etype);
146 compare_vectors(tol, z, y, buf);
147
148 /* z = stddev(x) in-place */
149 gsl_vector_memcpy(z, x);
150 gsl_movstat_sd(etype, z, z, w);
151
152 sprintf(buf, "n=%zu H=%zu J=%zu endtype=%u stddev random in-place", n, H, J, etype);
153 compare_vectors(tol, z, y, buf);
154
155 /* z = stddev(x) with user-defined function */
156 gsl_movstat_apply(etype, &F2, x, z, w);
157
158 sprintf(buf, "n=%zu H=%zu J=%zu endtype=%u stddev user", n, H, J, etype);
159 compare_vectors(tol, z, y, buf);
160
161 gsl_movstat_free(w);
162 gsl_vector_free(x);
163 gsl_vector_free(y);
164 gsl_vector_free(z);
165 }
166
167 static void
test_variance(gsl_rng * rng_p)168 test_variance(gsl_rng * rng_p)
169 {
170 const double eps = 1.0e-10;
171
172 test_variance_proc(eps, 1000, 0, 0, GSL_MOVSTAT_END_PADZERO, rng_p);
173 test_variance_proc(eps, 1000, 3, 3, GSL_MOVSTAT_END_PADZERO, rng_p);
174 test_variance_proc(eps, 1000, 0, 5, GSL_MOVSTAT_END_PADZERO, rng_p);
175 test_variance_proc(eps, 1000, 5, 0, GSL_MOVSTAT_END_PADZERO, rng_p);
176 test_variance_proc(eps, 2000, 10, 5, GSL_MOVSTAT_END_PADZERO, rng_p);
177 test_variance_proc(eps, 2000, 5, 10, GSL_MOVSTAT_END_PADZERO, rng_p);
178 test_variance_proc(eps, 20, 50, 50, GSL_MOVSTAT_END_PADZERO, rng_p);
179 test_variance_proc(eps, 20, 10, 50, GSL_MOVSTAT_END_PADZERO, rng_p);
180 test_variance_proc(eps, 20, 50, 10, GSL_MOVSTAT_END_PADZERO, rng_p);
181
182 test_variance_proc(eps, 1000, 0, 0, GSL_MOVSTAT_END_PADVALUE, rng_p);
183 test_variance_proc(eps, 1000, 3, 3, GSL_MOVSTAT_END_PADVALUE, rng_p);
184 test_variance_proc(eps, 1000, 1, 5, GSL_MOVSTAT_END_PADVALUE, rng_p);
185 test_variance_proc(eps, 1000, 5, 1, GSL_MOVSTAT_END_PADVALUE, rng_p);
186 test_variance_proc(eps, 2000, 10, 5, GSL_MOVSTAT_END_PADVALUE, rng_p);
187 test_variance_proc(eps, 2000, 5, 10, GSL_MOVSTAT_END_PADVALUE, rng_p);
188 test_variance_proc(eps, 20, 50, 50, GSL_MOVSTAT_END_PADVALUE, rng_p);
189 test_variance_proc(eps, 20, 10, 50, GSL_MOVSTAT_END_PADVALUE, rng_p);
190 test_variance_proc(eps, 20, 50, 10, GSL_MOVSTAT_END_PADVALUE, rng_p);
191
192 test_variance_proc(eps, 1000, 0, 0, GSL_MOVSTAT_END_TRUNCATE, rng_p);
193 test_variance_proc(eps, 1000, 3, 3, GSL_MOVSTAT_END_TRUNCATE, rng_p);
194 test_variance_proc(eps, 1000, 0, 5, GSL_MOVSTAT_END_TRUNCATE, rng_p);
195 test_variance_proc(eps, 1000, 5, 0, GSL_MOVSTAT_END_TRUNCATE, rng_p);
196 test_variance_proc(eps, 2000, 10, 5, GSL_MOVSTAT_END_TRUNCATE, rng_p);
197 test_variance_proc(eps, 2000, 5, 10, GSL_MOVSTAT_END_TRUNCATE, rng_p);
198 test_variance_proc(eps, 20, 50, 50, GSL_MOVSTAT_END_TRUNCATE, rng_p);
199 test_variance_proc(eps, 20, 10, 50, GSL_MOVSTAT_END_TRUNCATE, rng_p);
200 test_variance_proc(eps, 20, 50, 10, GSL_MOVSTAT_END_TRUNCATE, rng_p);
201 }
202