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