//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(expectedExceptions = IllegalArgumentException.class) public void twoPointsTest()
public virtual void twoPointsTest()
{
double[] x = new double[] { 0.2, 0.5 };
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @SuppressWarnings("unused") com.opengamma.strata.collect.array.DoubleMatrix d1 = PenaltyMatrixGenerator.getDerivativeMatrix(x, 1, true);
DoubleMatrix d1 = PenaltyMatrixGenerator.getDerivativeMatrix(x, 1, true);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(expectedExceptions = IllegalArgumentException.class) public void negRangeTest()
public virtual void negRangeTest()
{
double[] x = new double[] { 0.0, -2.0 };
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @SuppressWarnings("unused") com.opengamma.strata.collect.array.DoubleMatrix p1 = PenaltyMatrixGenerator.getPenaltyMatrix(x, 1);
DoubleMatrix p1 = PenaltyMatrixGenerator.getPenaltyMatrix(x, 1);
}
//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 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);
}
/// <summary>
/// The penalty matrix is scaled such that the result of x^T*P*x is insensitive to the scale of x
/// </summary>
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void penaltyMatrixScaleTest()
public virtual void penaltyMatrixScaleTest()
{
double[] x = new double[] { 0.0, 0.3, 0.7, 0.8, 1.2, 2.0 };
double scale = 5.0; //scale the x-axis by a factor of 5
int n = x.Length;
double[] xScaled = new double[n];
DoubleArray y = DoubleArray.of(n, i => 0.3 + x[i] + Math.Sin(x[i]));
for (int i = 0; i < n; i++)
{
xScaled[i] = x[i] * scale;
}
//first order
DoubleMatrix p1 = PenaltyMatrixGenerator.getPenaltyMatrix(x, 1);
DoubleMatrix p1s = PenaltyMatrixGenerator.getPenaltyMatrix(xScaled, 1);
double r = MA.getInnerProduct(y, MA.multiply(p1, y));
double rs = MA.getInnerProduct(y, MA.multiply(p1s, y));
assertEquals(r, rs, 1e-10);
//second order
DoubleMatrix p2 = PenaltyMatrixGenerator.getPenaltyMatrix(x, 2);
DoubleMatrix p2s = PenaltyMatrixGenerator.getPenaltyMatrix(xScaled, 2);
r = MA.getInnerProduct(y, MA.multiply(p2, y));
rs = MA.getInnerProduct(y, MA.multiply(p2s, y));
assertEquals(r, rs, 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);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void penaltyMatrix3DTest()
public virtual void penaltyMatrix3DTest()
{
int n1 = 5;
int n2 = 13;
int n3 = 4;
//constant
DoubleArray x = DoubleArray.filled(n1 * n2 * n3, 2.0);
DoubleMatrix p = PenaltyMatrixGenerator.getPenaltyMatrix(new int[] { n1, n2, n3 }, 1, 0);
double r = MA.getInnerProduct(x, MA.multiply(p, x));
assertEquals(0.0, r);
p = PenaltyMatrixGenerator.getPenaltyMatrix(new int[] { n1, n2, n3 }, 1, 1);
r = MA.getInnerProduct(x, MA.multiply(p, x));
assertEquals(0.0, r);
p = PenaltyMatrixGenerator.getPenaltyMatrix(new int[] { n1, n2, n3 }, 1, 2);
r = MA.getInnerProduct(x, MA.multiply(p, x));
assertEquals(0.0, r);
double[] data = x.toArray();
for (int i = 0; i < n1; i++)
{
for (int j = 0; j < n2; j++)
{
for (int k = 0; k < n3; k++)
{
data[i * n2 * n3 + j * n3 + k] = 0.4 + i - k + j * j - 3.0 * i * k + 4 * i * j;
}
}
}
DoubleArray x2 = DoubleArray.copyOf(data);
p = PenaltyMatrixGenerator.getPenaltyMatrix(new int[] { n1, n2, n3 }, 2, 0);
r = MA.getInnerProduct(x2, MA.multiply(p, x2));
assertEquals(0.0, r, 1e-11);
p = PenaltyMatrixGenerator.getPenaltyMatrix(new int[] { n1, n2, n3 }, 3, 1);
r = MA.getInnerProduct(x2, MA.multiply(p, x2));
assertEquals(0.0, r, 3e-10);
p = PenaltyMatrixGenerator.getPenaltyMatrix(new int[] { n1, n2, n3 }, 2, 2);
r = MA.getInnerProduct(x2, MA.multiply(p, x2));
assertEquals(0.0, r, 5e-11);
p = PenaltyMatrixGenerator.getPenaltyMatrix(new int[] { n1, n2, n3 }, 2, 1);
r = MA.getInnerProduct(x2, MA.multiply(p, x2));
//4*11*5*4
assertEquals(880, r, 1e-9);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(dataProvider = "data") public void penaltyMatrix1DTest(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 penaltyMatrix1DTest(double[] x, DoubleArray y, DoubleArray dydx, DoubleArray d2ydx2)
{
int n = x.Length;
double expected = 0.0;
for (int i = 0; i < n; i++)
{
if (i > 0 && i < (n - 1))
{ // we not not use the end points
expected += FunctionUtils.square(d2ydx2.get(i));
}
}
double scale = Math.Pow(2.0, 4); //((2.0-0.0)^2^2)
expected *= scale;
DoubleMatrix p2 = PenaltyMatrixGenerator.getPenaltyMatrix(x, 2);
double r = MA.getInnerProduct(y, MA.multiply(p2, y));
assertEquals(expected, r, 1e-11);
}
/// <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);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void penaltyMatrix2DTest()
public virtual void penaltyMatrix2DTest()
{
int n1 = 8;
int n2 = 13;
//constant
DoubleArray x = DoubleArray.filled(n1 * n2, 2.0);
DoubleMatrix p = PenaltyMatrixGenerator.getPenaltyMatrix(new int[] { n1, n2 }, 1, 0);
double r = MA.getInnerProduct(x, MA.multiply(p, x));
assertEquals(0.0, r);
//viewed as an x-y grid, this is flat in the x direction
//JAVA TO C# CONVERTER NOTE: The following call to the 'RectangularArrays' helper class reproduces the rectangular array initialization that is automatic in Java:
//ORIGINAL LINE: double[][] data = new double[n1][n2];
double[][] data = RectangularArrays.ReturnRectangularDoubleArray(n1, n2);
for (int i = 0; i < n1; i++)
{
for (int j = 0; j < n2; j++)
{
data[i][j] = 0.4 + j;
}
}
x = PenaltyMatrixGenerator.flattenMatrix(DoubleMatrix.copyOf(data));
r = MA.getInnerProduct(x, MA.multiply(p, x));
assertEquals(0.0, r);
p = PenaltyMatrixGenerator.getPenaltyMatrix(new int[] { n1, n2 }, 1, 1);
r = MA.getInnerProduct(x, MA.multiply(p, x));
//8*12
assertEquals(96, r, 1e-12);
double[] xArray = x.toArray();
for (int i = 0; i < n1; i++)
{
for (int j = 0; j < n2; j++)
{
xArray[i * n2 + j] = 0.4 + j - 0.5 * i * i + 3 * i * j;
}
}
DoubleArray x2 = DoubleArray.copyOf(xArray);
p = PenaltyMatrixGenerator.getPenaltyMatrix(new int[] { n1, n2 }, 2, 0);
r = MA.getInnerProduct(x2, MA.multiply(p, x2));
//6*13
assertEquals(78, r, 1e-11);
p = PenaltyMatrixGenerator.getPenaltyMatrix(new int[] { n1, n2 }, 3, 0);
r = MA.getInnerProduct(x2, MA.multiply(p, x2));
assertEquals(0, r, 2e-10);
p = PenaltyMatrixGenerator.getPenaltyMatrix(new int[] { n1, n2 }, 2, 1);
r = MA.getInnerProduct(x2, MA.multiply(p, x2));
assertEquals(0, r, 2e-10);
p = PenaltyMatrixGenerator.getPenaltyMatrix(new int[] { n1, n2 }, 1, 1);
r = MA.getInnerProduct(x2, MA.multiply(p, x2));
assertEquals(17232, r, 2e-10);
p = PenaltyMatrixGenerator.getPenaltyMatrix(new int[] { n1, n2 }, new int[] { 2, 1 }, new double[] { 1 / 78.0, 1.0 / 17232.0 });
r = MA.getInnerProduct(x2, MA.multiply(p, x2));
assertEquals(2.0, r, 2e-10);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(expectedExceptions = IllegalArgumentException.class) public void penaltyMatrixDiffOrderTooHighTest()
public virtual void penaltyMatrixDiffOrderTooHighTest()
{
PenaltyMatrixGenerator.getPenaltyMatrix(6, 10);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(expectedExceptions = IllegalArgumentException.class) public void diffOrderTooHighTest()
public virtual void diffOrderTooHighTest()
{
PenaltyMatrixGenerator.getDifferenceMatrix(6, 6);
}
