//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void penaltyMatrix1DTest()
public virtual void penaltyMatrix1DTest()
{
int n = 10;
DoubleMatrix p0 = PenaltyMatrixGenerator.getPenaltyMatrix(n, 0); //zeroth order
AssertMatrix.assertEqualsMatrix(DoubleMatrix.identity(n), p0, 1e-15);
//constant
DoubleArray x = DoubleArray.filled(n, 2.0);
DoubleMatrix p = PenaltyMatrixGenerator.getPenaltyMatrix(n, 2);
double r = MA.getInnerProduct(x, MA.multiply(p, x));
assertEquals(0.0, r);
DoubleArray x2 = DoubleArray.of(n, i => i);
r = MA.getInnerProduct(x2, MA.multiply(p, x2));
assertEquals(0.0, r);
DoubleArray x3 = DoubleArray.of(n, i => 0.4 + 0.4 * i + i * i);
r = MA.getInnerProduct(x3, MA.multiply(p, x3));
//The second order diff is 2; for 2nd order difference use 8 values (n-2), so expect 8 * 2^2 = 32
assertEquals(32.0, r, 1e-11);
p = PenaltyMatrixGenerator.getPenaltyMatrix(n, 3);
r = MA.getInnerProduct(x3, MA.multiply(p, x3));
assertEquals(0.0, r, 1e-13);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void zeroOrderSinglePointTest()
public virtual void zeroOrderSinglePointTest()
{
double[] x = new double[] { 0.2 };
DoubleMatrix p1 = PenaltyMatrixGenerator.getPenaltyMatrix(x, 0);
AssertMatrix.assertEqualsMatrix(DoubleMatrix.identity(1), p1, 1e-15);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void test()
public virtual void test()
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final ParameterizedCurve curve = new ParameterizedCurve()
ParameterizedCurve curve = new ParameterizedCurveAnonymousInnerClass(this);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final DoublesVectorFunctionProvider pro = new DoublesVectorFunctionProvider()
DoublesVectorFunctionProvider pro = new DoublesVectorFunctionProviderAnonymousInnerClass(this, curve);
//a = -2, b = 1, c = 0.5
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.collect.array.DoubleArray parms = com.opengamma.strata.collect.array.DoubleArray.of(-2.0, 1.0, 0.5);
DoubleArray parms = DoubleArray.of(-2.0, 1.0, 0.5);
//sample the curve at x = -1, 0, and 1
VectorFunction f = pro.from(new double?[] { -1.0, 0.0, 1.0 });
DoubleArray y = f.apply(parms);
AssertMatrix.assertEqualsVectors(DoubleArray.of(-2.5, -2.0, -0.5), y, 1e-15);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final java.util.List<double> l = new java.util.ArrayList<>(3);
IList <double> l = new List <double>(3);
l.Add(0.0);
l.Add(2.0);
l.Add(4.0);
f = pro.from(l);
y = f.apply(parms);
AssertMatrix.assertEqualsVectors(DoubleArray.of(-2.0, 2.0, 10.0), y, 1e-15);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void test()
public virtual void test()
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final ParameterizedCurveVectorFunctionProvider pro = new ParameterizedCurveVectorFunctionProvider(s_PCurve);
ParameterizedCurveVectorFunctionProvider pro = new ParameterizedCurveVectorFunctionProvider(s_PCurve);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double[] points = new double[] {-1.0, 0.0, 1.0 };
double[] points = new double[] { -1.0, 0.0, 1.0 };
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final VectorFunction f = pro.from(points);
VectorFunction f = pro.from(points);
assertEquals(2, f.LengthOfDomain);
assertEquals(3, f.LengthOfRange);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.collect.array.DoubleArray x = com.opengamma.strata.collect.array.DoubleArray.of(0.5, 2.0);
DoubleArray x = DoubleArray.of(0.5, 2.0); //the parameters a & b
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.collect.array.DoubleArray y = f.apply(x);
DoubleArray y = f.apply(x);
assertEquals(0.5 * Math.Sinh(-2.0), y.get(0), 1e-14);
assertEquals(0.0, y.get(1), 1e-14);
assertEquals(0.5 * Math.Sinh(2.0), y.get(2), 1e-14);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.collect.array.DoubleMatrix jac = f.calculateJacobian(x);
DoubleMatrix jac = f.calculateJacobian(x);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.collect.array.DoubleMatrix fdJac = (new com.opengamma.strata.math.impl.differentiation.VectorFieldFirstOrderDifferentiator().differentiate(f)).apply(x);
DoubleMatrix fdJac = ((new VectorFieldFirstOrderDifferentiator()).differentiate(f)).apply(x);
AssertMatrix.assertEqualsMatrix(fdJac, jac, 1e-9);
}
/// <summary>
/// /check individual functions first
/// </summary>
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void functionsTest()
public virtual void functionsTest()
{
for (int i = 0; i < 3; i++)
{
DoubleArray y = F[i].apply(X[i]);
DoubleMatrix jac = F[i].calculateJacobian(X[i]);
AssertMatrix.assertEqualsVectors(Y_EXP[i], y, 1e-15);
AssertMatrix.assertEqualsMatrix(JAC_EXP[i], jac, 1e-15);
}
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void matrixTransposeMultipleMatrixTest()
public virtual void matrixTransposeMultipleMatrixTest()
{
DoubleMatrix a = DoubleMatrix.copyOf(new double[][]
{
new double[] { 1.0, 2.0, 3.0 },
new double[] { -3.0, 1.3, 7.0 }
});
DoubleMatrix aTa = ALGEBRA.matrixTransposeMultiplyMatrix(a);
DoubleMatrix aTaRef = (DoubleMatrix)ALGEBRA.multiply(ALGEBRA.getTranspose(a), a);
AssertMatrix.assertEqualsMatrix(aTaRef, aTa, 1e-15);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void conCatTest()
public virtual void conCatTest()
{
DoubleArray cx = X[0].concat(X[1]).concat(X[2]);
DoubleArray cyExp = Y_EXP[0].concat(Y_EXP[1]).concat(Y_EXP[2]);
ConcatenatedVectorFunction cf = new ConcatenatedVectorFunction(F);
DoubleArray cy = cf.apply(cx);
AssertMatrix.assertEqualsVectors(cyExp, cy, 1e-15);
DoubleMatrix cJac = cf.calculateJacobian(cx);
DoubleMatrix fdJac = DIFF.differentiate(cf).apply(cx);
AssertMatrix.assertEqualsMatrix(fdJac, cJac, 1e-10);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(dataProvider = "data") public void derivativeMatrix1DTest(double[] x, com.opengamma.strata.collect.array.DoubleArray y, com.opengamma.strata.collect.array.DoubleArray dydx, com.opengamma.strata.collect.array.DoubleArray d2ydx2)
public virtual void derivativeMatrix1DTest(double[] x, DoubleArray y, DoubleArray dydx, DoubleArray d2ydx2)
{
int n = x.Length;
DoubleMatrix d0 = PenaltyMatrixGenerator.getDerivativeMatrix(x, 0, true);
AssertMatrix.assertEqualsMatrix(DoubleMatrix.identity(n), d0, 1e-14);
DoubleMatrix d1 = PenaltyMatrixGenerator.getDerivativeMatrix(x, 1, true);
DoubleMatrix d2 = PenaltyMatrixGenerator.getDerivativeMatrix(x, 2, true);
DoubleArray d1y = (DoubleArray)MA.multiply(d1, y);
DoubleArray d2y = (DoubleArray)MA.multiply(d2, y);
AssertMatrix.assertEqualsVectors(dydx, d1y, 1e-13);
AssertMatrix.assertEqualsVectors(d2ydx2, d2y, 1e-13);
}
/// <summary>
/// create a quadratic function on a non-uniform 2D grid, then flatten this to a vector and check the first and
/// second order differentiation matrices and penalty matrices work in both dimensions
/// </summary>
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void penalty2DTest()
public virtual void penalty2DTest()
{
double[] x = new double[] { 0.0, 0.3, 0.7, 0.8, 1.2, 2.0 };
double[] y = new double[] { -20.0, -10.0, 0.0, 5.0, 15.0, 19.0, 20.0 };
int nx = x.Length;
int ny = y.Length;
DoubleMatrix p0 = PenaltyMatrixGenerator.getPenaltyMatrix(new double[][] { x, y }, 0, 0);
AssertMatrix.assertEqualsMatrix(DoubleMatrix.identity(nx * ny), p0, 1e-14);
p0 = PenaltyMatrixGenerator.getPenaltyMatrix(new double[][] { x, y }, 0, 1);
AssertMatrix.assertEqualsMatrix(DoubleMatrix.identity(nx * ny), p0, 1e-14);
DoubleMatrix diffX1DFirstOrder = PenaltyMatrixGenerator.getDerivativeMatrix(x, 1, true);
DoubleMatrix diffY1DFirstOrder = PenaltyMatrixGenerator.getDerivativeMatrix(y, 1, true);
DoubleMatrix diffX1DSecOrder = PenaltyMatrixGenerator.getDerivativeMatrix(x, 2, true);
DoubleMatrix diffY1DSecOrder = PenaltyMatrixGenerator.getDerivativeMatrix(y, 2, true);
DoubleMatrix diffX2DFirstOrder = PenaltyMatrixGenerator.getMatrixForFlattened(new int[] { nx, ny }, diffX1DFirstOrder, 0);
DoubleMatrix diffY2DFirstOrder = PenaltyMatrixGenerator.getMatrixForFlattened(new int[] { nx, ny }, diffY1DFirstOrder, 1);
DoubleMatrix diffX2DSecOrder = PenaltyMatrixGenerator.getMatrixForFlattened(new int[] { nx, ny }, diffX1DSecOrder, 0);
DoubleMatrix diffY2DSecOrder = PenaltyMatrixGenerator.getMatrixForFlattened(new int[] { nx, ny }, diffY1DSecOrder, 1);
DoubleArray z = DoubleArray.filled(nx * ny);
DoubleArray dzdx = DoubleArray.filled(nx * ny);
DoubleArray d2zdx2 = DoubleArray.filled(nx * ny);
DoubleArray dzdy = DoubleArray.filled(nx * ny);
DoubleArray d2zdy2 = DoubleArray.filled(nx * ny);
double dzdxSum = 0;
double d2zdx2Sum = 0;
double dzdySum = 0;
double d2zdy2Sum = 0;
for (int i = 0; i < nx; i++)
{
double xi = x[i];
for (int j = 0; j < ny; j++)
{
double yj = y[j];
int index = i * ny + j;
z = z.with(index, 0.3 + xi + 0.4 * xi * xi + 0.01 * yj - 1e-4 * yj * yj + 0.1 * xi * yj);
dzdx = dzdx.with(index, 1.0 + 0.8 * xi + 0.1 * yj);
d2zdx2 = d2zdx2.with(index, 0.8);
dzdy = dzdy.with(index, 0.01 - 2e-4 * yj + 0.1 * xi);
d2zdy2 = d2zdy2.with(index, -2e-4);
//The penalty matrix does not use end points, so don't include them here
if (i != 0 & i != (nx - 1))
{
dzdxSum += FunctionUtils.square(dzdx.get(index));
d2zdx2Sum += FunctionUtils.square(d2zdx2.get(index));
}
if (j != 0 & j != (ny - 1))
{
dzdySum += FunctionUtils.square(dzdy.get(index));
d2zdy2Sum += FunctionUtils.square(d2zdy2.get(index));
}
}
}
AssertMatrix.assertEqualsVectors(dzdx, (DoubleArray)MA.multiply(diffX2DFirstOrder, z), 1e-12);
AssertMatrix.assertEqualsVectors(dzdy, (DoubleArray)MA.multiply(diffY2DFirstOrder, z), 1e-12);
AssertMatrix.assertEqualsVectors(d2zdx2, (DoubleArray)MA.multiply(diffX2DSecOrder, z), 1e-12);
AssertMatrix.assertEqualsVectors(d2zdy2, (DoubleArray)MA.multiply(diffY2DSecOrder, z), 1e-12);
DoubleMatrix p1x = PenaltyMatrixGenerator.getPenaltyMatrix(new double[][] { x, y }, 1, 0);
DoubleMatrix p2x = PenaltyMatrixGenerator.getPenaltyMatrix(new double[][] { x, y }, 2, 0);
DoubleMatrix p1y = PenaltyMatrixGenerator.getPenaltyMatrix(new double[][] { x, y }, 1, 1);
DoubleMatrix p2y = PenaltyMatrixGenerator.getPenaltyMatrix(new double[][] { x, y }, 2, 1);
double r1x = MA.getInnerProduct(z, MA.multiply(p1x, z));
double r2x = MA.getInnerProduct(z, MA.multiply(p2x, z));
double r1y = MA.getInnerProduct(z, MA.multiply(p1y, z));
double r2y = MA.getInnerProduct(z, MA.multiply(p2y, z));
double xRange = x[nx - 1] - x[0];
double yRange = y[ny - 1] - y[0];
assertEquals("first order x", Math.Pow(xRange, 2) * dzdxSum, r1x, 1e-10);
assertEquals("second order x", Math.Pow(xRange, 4) * d2zdx2Sum, r2x, 1e-9);
assertEquals("first order y", Math.Pow(yRange, 2) * dzdySum, r1y, 1e-10);
assertEquals("second order y", Math.Pow(yRange, 4) * d2zdy2Sum, r2y, 1e-8);
double lambdaX = 0.7;
double lambdaY = Math.PI;
//second order in x and first order in y
DoubleMatrix p = PenaltyMatrixGenerator.getPenaltyMatrix(new double[][] { x, y }, new int[] { 2, 1 }, new double[] { lambdaX, lambdaY });
double r = MA.getInnerProduct(z, MA.multiply(p, z));
double expR = Math.Pow(xRange, 4) * d2zdx2Sum * lambdaX + Math.Pow(yRange, 2) * dzdySum * lambdaY;
assertEquals(expR, r, 1e-9);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void differenceMatrix1DTest()
public virtual void differenceMatrix1DTest()
{
int n = 7;
DoubleMatrix d0 = PenaltyMatrixGenerator.getDifferenceMatrix(n, 0); //zeroth order
AssertMatrix.assertEqualsMatrix(DoubleMatrix.identity(n), d0, 1e-15);
DoubleArray zeroVector = DoubleArray.filled(n);
DoubleMatrix d1 = PenaltyMatrixGenerator.getDifferenceMatrix(n, 1); //first order difference matrix
assertEquals(n, d1.rowCount());
assertEquals(n, d1.columnCount());
AssertMatrix.assertEqualsVectors(zeroVector, d1.row(0), 1e-15); //first row should be zero
DoubleArray x = DoubleArray.filled(n, 1.0);
DoubleArray d1x = (DoubleArray)MA.multiply(d1, x);
//a constant vector should have zero first order differences
AssertMatrix.assertEqualsVectors(zeroVector, d1x, 1e-14);
DoubleMatrix d2 = PenaltyMatrixGenerator.getDifferenceMatrix(n, 2); //second order difference matrix
assertEquals(n, d2.rowCount());
assertEquals(n, d2.columnCount());
AssertMatrix.assertEqualsVectors(zeroVector, d2.row(0), 1e-15); //first two rows should be zero
AssertMatrix.assertEqualsVectors(zeroVector, d2.row(1), 1e-15);
DoubleArray x2 = DoubleArray.of(n, i => i);
d1x = (DoubleArray)MA.multiply(d1, x2);
//first element of the diff vector is set to zero
DoubleArray ones = DoubleArray.filled(n, 1.0).with(0, 0);
//vector with differences of one
AssertMatrix.assertEqualsVectors(ones, d1x, 1e-14);
DoubleArray d2x = (DoubleArray)MA.multiply(d2, x2);
//a linear vector should have zero second order differences
AssertMatrix.assertEqualsVectors(zeroVector, d2x, 1e-14);
DoubleMatrix d3 = PenaltyMatrixGenerator.getDifferenceMatrix(n, 3); //third order difference matrix
assertEquals(n, d3.rowCount());
assertEquals(n, d3.columnCount());
AssertMatrix.assertEqualsVectors(zeroVector, d3.row(0), 1e-15); //first three rows should be zero
AssertMatrix.assertEqualsVectors(zeroVector, d3.row(1), 1e-15);
AssertMatrix.assertEqualsVectors(zeroVector, d3.row(2), 1e-15);
DoubleArray x3 = DoubleArray.of(n, i => 0.5 + i + 0.1 * i * i);
d1x = (DoubleArray)MA.multiply(d1, x3);
// expected first order diff, first element is zero
DoubleArray exp = DoubleArray.of(n, i => 0.9 + 0.2 * i).with(0, 0);
AssertMatrix.assertEqualsVectors(exp, d1x, 1e-14);
// expected second order diff, first two elements are zero
exp = DoubleArray.filled(n, 0.2).with(0, 0).with(1, 0);
d2x = (DoubleArray)MA.multiply(d2, x3);
AssertMatrix.assertEqualsVectors(exp, d2x, 1e-14);
DoubleArray d3x = (DoubleArray)MA.multiply(d3, x3);
//a quadratic vector should have zero third order differences
AssertMatrix.assertEqualsVectors(zeroVector, d3x, 1e-14);
}