import os from collections import Counter from itertools import combinations, product import pytest import numpy as np from numpy.testing import assert_allclose, assert_equal, assert_array_equal from scipy.spatial import distance 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, _l1_norm, _perturb_discrepancy, _lloyd_centroidal_voronoi_tessellation ) # noqa 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): rng = np.random.default_rng(317589836511269190194010915937762468165) sample = rng.random((30, 10)) a = -rng.random(10) * 10 b = rng.random(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"): 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"'l_bounds' and 'u_bounds'" r" must be broadcastable"): 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"'l_bounds' and 'u_bounds'" r" must be broadcastable"): 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) 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.default_rng(170382760648021597650530316304495310428) 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_allclose(sample, ref_sample, atol=1e-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_allclose(sample, ref_sample[n_half:], atol=1e-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_allclose(sample, ref_sample[4:], atol=1e-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_allclose( ref_sample[[i for i in range(8) if i % 2 == 0]], np.concatenate(even_draws), atol=1e-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_allclose( np.mean(sample, axis=0), np.repeat(0.5, d), atol=1e-2 ) assert_allclose( np.percentile(sample, 25, axis=0), np.repeat(0.25, d), atol=1e-2 ) assert_allclose( np.percentile(sample, 75, axis=0), np.repeat(0.75, d), atol=1e-2 ) def test_raises_optimizer(self): message = r"'toto' is not a valid optimization method" with pytest.raises(ValueError, match=message): self.engine(d=1, scramble=False, optimization="toto") @pytest.mark.parametrize( "optimization,metric", [ ("random-CD", qmc.discrepancy), ("lloyd", lambda sample: -_l1_norm(sample))] ) def test_optimizers(self, optimization, metric): engine = self.engine(d=2, scramble=False) sample_ref = engine.random(n=64) metric_ref = metric(sample_ref) optimal_ = self.engine(d=2, scramble=False, optimization=optimization) sample_ = optimal_.random(n=64) metric_ = metric(sample_) assert metric_ < metric_ref 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([[0.50246036, 0.09937553], [0.00246036, 0.43270887], [0.75246036, 0.7660422], [0.25246036, 0.32159776], [0.62746036, 0.65493109], [0.12746036, 0.98826442], [0.87746036, 0.21048664], [0.37746036, 0.54381998]]) def test_workers(self): ref_sample = self.reference(scramble=True) engine = self.engine(d=2, scramble=True) sample = engine.random(n=len(ref_sample), workers=8) assert_allclose(sample, ref_sample, atol=1e-3) # worker + integers engine.reset() ref_sample = engine.integers(10) engine.reset() sample = engine.integers(10, workers=8) assert_equal(sample, ref_sample) 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.") @pytest.mark.parametrize("strength", [1, 2]) @pytest.mark.parametrize("scramble", [False, True]) @pytest.mark.parametrize("optimization", [None, "random-CD"]) def test_sample_stratified(self, optimization, scramble, strength): seed = np.random.default_rng(37511836202578819870665127532742111260) p = 5 n = p**2 d = 6 engine = qmc.LatinHypercube(d=d, scramble=scramble, strength=strength, optimization=optimization, seed=seed) sample = engine.random(n=n) assert sample.shape == (n, d) assert engine.num_generated == n # centering stratifies samples in the middle of equal segments: # * inter-sample distance is constant in 1D sub-projections # * after ordering, columns are equal expected1d = (np.arange(n) + 0.5) / n expected = np.broadcast_to(expected1d, (d, n)).T assert np.any(sample != expected) sorted_sample = np.sort(sample, axis=0) tol = 0.5 / n if scramble else 0 assert_allclose(sorted_sample, expected, atol=tol) assert np.any(sample - expected > tol) if strength == 2 and optimization is None: unique_elements = np.arange(p) desired = set(product(unique_elements, unique_elements)) for i, j in combinations(range(engine.d), 2): samples_2d = sample[:, [i, j]] res = (samples_2d * p).astype(int) res_set = set((tuple(row) for row in res)) assert_equal(res_set, desired) def test_raises(self): message = r"not a valid strength" with pytest.raises(ValueError, match=message): qmc.LatinHypercube(1, strength=3) message = r"n is not the square of a prime number" with pytest.raises(ValueError, match=message): engine = qmc.LatinHypercube(d=2, strength=2) engine.random(16) message = r"n is not the square of a prime number" with pytest.raises(ValueError, match=message): engine = qmc.LatinHypercube(d=2, strength=2) engine.random(5) # because int(sqrt(5)) would result in 2 message = r"n is too small for d" with pytest.raises(ValueError, match=message): engine = qmc.LatinHypercube(d=5, strength=2) engine.random(9) message = r"'centered' is deprecated" with pytest.warns(UserWarning, match=message): qmc.LatinHypercube(1, centered=True) 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([[0.25331921, 0.41371179], [0.8654213, 0.9821167], [0.70097554, 0.03664616], [0.18027647, 0.60895735], [0.10521339, 0.21897069], [0.53019685, 0.66619033], [0.91122276, 0.34580743], [0.45337471, 0.78912079]]) def test_warning(self): with pytest.warns(UserWarning, match=r"The balance properties of " r"Sobol' points"): engine = qmc.Sobol(1) engine.random(10) def test_random_base2(self): engine = qmc.Sobol(2, scramble=False) 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): with pytest.raises(ValueError, match=r"Maximum supported " r"dimensionality"): qmc.Sobol(qmc.Sobol.MAXDIM + 1) with pytest.raises(ValueError, match=r"Maximum supported " r"'bits' is 64"): qmc.Sobol(1, bits=65) def test_high_dim(self): engine = qmc.Sobol(1111, scramble=False) 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})) @pytest.mark.parametrize("bits", [2, 3]) def test_bits(self, bits): engine = qmc.Sobol(2, scramble=False, bits=bits) ns = 2**bits sample = engine.random(ns) assert_array_equal(self.unscramble_nd[:ns], sample) with pytest.raises(ValueError, match="increasing `bits`"): engine.random() def test_64bits(self): engine = qmc.Sobol(2, scramble=False, bits=64) sample = engine.random(8) assert_array_equal(self.unscramble_nd, sample) class TestPoisson(QMCEngineTests): qmce = qmc.PoissonDisk can_scramble = False def test_bounds(self, *args): pytest.skip("Too costly in memory.") def test_fast_forward(self, *args): pytest.skip("Not applicable: recursive process.") def test_sample(self, *args): pytest.skip("Not applicable: the value of reference sample is" " implementation dependent.") def test_continuing(self, *args): # can continue a sampling, but will not preserve the same order # because candidates are lost, so we will not select the same center radius = 0.05 ns = 6 engine = self.engine(d=2, radius=radius, scramble=False) sample_init = engine.random(n=ns) assert len(sample_init) <= ns assert l2_norm(sample_init) >= radius sample_continued = engine.random(n=ns) assert len(sample_continued) <= ns assert l2_norm(sample_continued) >= radius sample = np.concatenate([sample_init, sample_continued], axis=0) assert len(sample) <= ns * 2 assert l2_norm(sample) >= radius def test_mindist(self): rng = np.random.default_rng(132074951149370773672162394161442690287) ns = 50 low, high = 0.08, 0.2 radii = (high - low) * rng.random(5) + low dimensions = [1, 3, 4] hypersphere_methods = ["volume", "surface"] gen = product(dimensions, radii, hypersphere_methods) for d, radius, hypersphere in gen: engine = self.qmce( d=d, radius=radius, hypersphere=hypersphere, seed=rng ) sample = engine.random(ns) assert len(sample) <= ns assert l2_norm(sample) >= radius def test_fill_space(self): radius = 0.2 engine = self.qmce(d=2, radius=radius) sample = engine.fill_space() # circle packing problem is np complex assert l2_norm(sample) >= radius def test_raises(self): message = r"'toto' is not a valid hypersphere sampling" with pytest.raises(ValueError, match=message): qmc.PoissonDisk(1, hypersphere="toto") 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, n_trials=10) # 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, n_trials=10) p = np.array([0.12, 0.26, 0.05, 0.35, 0.22]) message = r"Dimension of `engine` must be 1." with pytest.raises(ValueError, match=message): qmc.MultinomialQMC(p, n_trials=10, engine=qmc.Sobol(d=2)) message = r"`engine` must be an instance of..." with pytest.raises(ValueError, match=message): qmc.MultinomialQMC(p, n_trials=10, engine=np.random.default_rng()) @pytest.mark.filterwarnings('ignore::UserWarning') def test_MultinomialBasicDraw(self): seed = np.random.default_rng(6955663962957011631562466584467607969) p = np.array([0.12, 0.26, 0.05, 0.35, 0.22]) expected = np.array([[13, 24, 6, 35, 22]]) engine = qmc.MultinomialQMC(p, n_trials=100, seed=seed) assert_array_equal(engine.random(1), expected) def test_MultinomialDistribution(self): seed = np.random.default_rng(77797854505813727292048130876699859000) p = np.array([0.12, 0.26, 0.05, 0.35, 0.22]) engine = qmc.MultinomialQMC(p, n_trials=8192, seed=seed) draws = engine.random(1) assert_allclose(draws / np.sum(draws), np.atleast_2d(p), atol=1e-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.default_rng(283753519042773243071753037669078065412) p = np.array([0.12, 0.26, 0.05, 0.35, 0.22]) expected = np.array([[12, 25, 5, 36, 22]]) base_engine = qmc.Sobol(1, scramble=True, seed=seed) engine = qmc.MultinomialQMC(p, n_trials=100, engine=base_engine, seed=seed) assert_array_equal(engine.random(1), expected) class TestNormalQMC: def test_NormalQMC(self): # d = 1 engine = qmc.MultivariateNormalQMC(mean=np.zeros(1)) 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)) 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 engine = qmc.MultivariateNormalQMC( mean=np.zeros(1), inv_transform=True) 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) samples = engine.random() assert_equal(samples.shape, (1, 2)) samples = engine.random(n=5) assert_equal(samples.shape, (5, 2)) def test_NormalQMCSeeded(self): # test even dimension seed = np.random.default_rng(274600237797326520096085022671371676017) engine = qmc.MultivariateNormalQMC( mean=np.zeros(2), inv_transform=False, seed=seed) samples = engine.random(n=2) samples_expected = np.array([[0.446961, -1.243236], [-0.230754, 0.21354]]) assert_allclose(samples, samples_expected, atol=1e-4) # test odd dimension seed = np.random.default_rng(274600237797326520096085022671371676017) engine = qmc.MultivariateNormalQMC( mean=np.zeros(3), inv_transform=False, seed=seed) samples = engine.random(n=2) samples_expected = np.array([[0.446961, -1.243236, 0.324827], [-0.997875, 0.399134, 1.032234]]) assert_allclose(samples, samples_expected, atol=1e-4) # same test with another engine seed = np.random.default_rng(274600237797326520096085022671371676017) base_engine = qmc.Sobol(4, scramble=True, seed=seed) engine = qmc.MultivariateNormalQMC( mean=np.zeros(3), inv_transform=False, engine=base_engine, seed=seed ) samples = engine.random(n=2) samples_expected = np.array([[0.446961, -1.243236, 0.324827], [-0.997875, 0.399134, 1.032234]]) assert_allclose(samples, samples_expected, atol=1e-4) def test_NormalQMCSeededInvTransform(self): # test even dimension seed = np.random.default_rng(288527772707286126646493545351112463929) engine = qmc.MultivariateNormalQMC( mean=np.zeros(2), seed=seed, inv_transform=True) samples = engine.random(n=2) samples_expected = np.array([[-0.804472, 0.384649], [0.396424, -0.117676]]) assert_allclose(samples, samples_expected, atol=1e-4) # test odd dimension seed = np.random.default_rng(288527772707286126646493545351112463929) engine = qmc.MultivariateNormalQMC( mean=np.zeros(3), seed=seed, inv_transform=True) samples = engine.random(n=2) samples_expected = np.array([[-0.804472, 0.384649, 1.583568], [0.165333, -2.266828, -1.655572]]) assert_allclose(samples, samples_expected, atol=1e-4) def test_other_engine(self): for d in (0, 1, 2): base_engine = qmc.Sobol(d=d, scramble=False) engine = qmc.MultivariateNormalQMC(mean=np.zeros(d), engine=base_engine, inv_transform=True) samples = engine.random() assert_equal(samples.shape, (1, d)) def test_NormalQMCShapiro(self): rng = np.random.default_rng(13242) engine = qmc.MultivariateNormalQMC(mean=np.zeros(2), seed=rng) 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): rng = np.random.default_rng(3234455) engine = qmc.MultivariateNormalQMC( mean=np.zeros(2), inv_transform=True, seed=rng) 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): message = r"Dimension of `engine` must be consistent" with pytest.raises(ValueError, match=message): qmc.MultivariateNormalQMC([0], engine=qmc.Sobol(d=2)) message = r"Dimension of `engine` must be consistent" with pytest.raises(ValueError, match=message): qmc.MultivariateNormalQMC([0, 0, 0], engine=qmc.Sobol(d=4)) message = r"`engine` must be an instance of..." with pytest.raises(ValueError, match=message): qmc.MultivariateNormalQMC([0, 0], engine=np.random.default_rng()) message = r"Covariance matrix not PSD." with pytest.raises(ValueError, match=message): qmc.MultivariateNormalQMC([0, 0], [[1, 2], [2, 1]]) message = r"Covariance matrix is not symmetric." with pytest.raises(ValueError, match=message): qmc.MultivariateNormalQMC([0, 0], [[1, 0], [2, 1]]) message = r"Dimension mismatch between mean and covariance." with pytest.raises(ValueError, match=message): qmc.MultivariateNormalQMC([0], [[1, 0], [0, 1]]) def test_MultivariateNormalQMCNonPD(self): # try with non-pd but psd cov; should work engine = qmc.MultivariateNormalQMC( [0, 0, 0], [[1, 0, 1], [0, 1, 1], [1, 1, 2]], ) assert engine._corr_matrix is not None def test_MultivariateNormalQMC(self): # d = 1 scalar engine = qmc.MultivariateNormalQMC(mean=0, cov=5) 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]]) 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) 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 engine = qmc.MultivariateNormalQMC(mean=0, cov=5, inv_transform=True) 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, ) 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) 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 rng = np.random.default_rng(180182791534511062935571481899241825000) a = rng.standard_normal((2, 2)) A = a @ a.transpose() + np.diag(rng.random(2)) engine = qmc.MultivariateNormalQMC(np.array([0, 0]), A, inv_transform=False, seed=rng) samples = engine.random(n=2) samples_expected = np.array([[0.479575, 0.934723], [1.712571, 0.172699]]) assert_allclose(samples, samples_expected, atol=1e-4) # test odd dimension rng = np.random.default_rng(180182791534511062935571481899241825000) a = rng.standard_normal((3, 3)) A = a @ a.transpose() + np.diag(rng.random(3)) engine = qmc.MultivariateNormalQMC(np.array([0, 0, 0]), A, inv_transform=False, seed=rng) samples = engine.random(n=2) samples_expected = np.array([[2.463393, 2.252826, -0.886809], [1.252468, 0.029449, -1.126328]]) assert_allclose(samples, samples_expected, atol=1e-4) def test_MultivariateNormalQMCSeededInvTransform(self): # test even dimension rng = np.random.default_rng(224125808928297329711992996940871155974) a = rng.standard_normal((2, 2)) A = a @ a.transpose() + np.diag(rng.random(2)) engine = qmc.MultivariateNormalQMC( np.array([0, 0]), A, seed=rng, inv_transform=True ) samples = engine.random(n=2) samples_expected = np.array([[-3.095968, -0.566545], [0.603154, 0.222434]]) assert_allclose(samples, samples_expected, atol=1e-4) # test odd dimension rng = np.random.default_rng(224125808928297329711992996940871155974) a = rng.standard_normal((3, 3)) A = a @ a.transpose() + np.diag(rng.random(3)) engine = qmc.MultivariateNormalQMC( np.array([0, 0, 0]), A, seed=rng, inv_transform=True ) samples = engine.random(n=2) samples_expected = np.array([[1.427248, -0.338187, -1.560687], [-0.357026, 1.662937, -0.29769]]) assert_allclose(samples, samples_expected, atol=1e-4) def test_MultivariateNormalQMCShapiro(self): # test the standard case seed = np.random.default_rng(188960007281846377164494575845971645056) 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 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.default_rng(200089821034563288698994840831440331329) 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 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.default_rng(163206374175814483578698216542904486209) 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) class TestLloyd: def test_lloyd(self): # quite sensible seed as it can go up before going further down rng = np.random.RandomState(1809831) sample = rng.uniform(0, 1, size=(128, 2)) base_l1 = _l1_norm(sample) base_l2 = l2_norm(sample) for _ in range(4): sample_lloyd = _lloyd_centroidal_voronoi_tessellation( sample, maxiter=1, ) curr_l1 = _l1_norm(sample_lloyd) curr_l2 = l2_norm(sample_lloyd) # higher is better for the distance measures assert base_l1 < curr_l1 assert base_l2 < curr_l2 base_l1 = curr_l1 base_l2 = curr_l2 sample = sample_lloyd def test_lloyd_non_mutating(self): """ Verify that the input samples are not mutated in place and that they do not share memory with the output. """ sample_orig = np.array([[0.1, 0.1], [0.1, 0.2], [0.2, 0.1], [0.2, 0.2]]) sample_copy = sample_orig.copy() new_sample = _lloyd_centroidal_voronoi_tessellation( sample=sample_orig ) assert_allclose(sample_orig, sample_copy) assert not np.may_share_memory(sample_orig, new_sample) def test_lloyd_errors(self): with pytest.raises(ValueError, match=r"`sample` is not a 2D array"): sample = [0, 1, 0.5] _lloyd_centroidal_voronoi_tessellation(sample) msg = r"`sample` dimension is not >= 2" with pytest.raises(ValueError, match=msg): sample = [[0], [0.4], [1]] _lloyd_centroidal_voronoi_tessellation(sample) msg = r"`sample` is not in unit hypercube" with pytest.raises(ValueError, match=msg): sample = [[-1.1, 0], [0.1, 0.4], [1, 2]] _lloyd_centroidal_voronoi_tessellation(sample) # mindist def l2_norm(sample): return distance.pdist(sample).min()