public void VarianceGammaTimesGaussianIntegralTest()
{
double logZ, mu, vu;
GaussianFromMeanAndVarianceOp.LaplacianTimesGaussianMoments(-100, 1, out logZ, out mu, out vu);
Console.WriteLine(logZ);
//GaussianFromMeanAndVarianceOp.VarianceGammaTimesGaussianMoments5(1, 1000, 1, out mu, out vu);
Console.WriteLine(mu);
Console.WriteLine(vu);
double[][] vgmoments = GaussianFromMeanAndVarianceOp.NormalVGMomentRatios(10, 1, -6, 1);
for (int i = 0; i < 10; i++)
{
double f = MMath.NormalCdfMomentRatio(i, -6) * MMath.Gamma(i + 1);
Console.WriteLine("R({0}) = {1}, Zp = {2}", i, f, vgmoments[0][i]);
}
// true values computed by tex/factors/matlab/test_variance_gamma2.m
double scale = 2 * System.Math.Exp(-Gaussian.GetLogProb(2 / System.Math.Sqrt(3), 0, 1));
Assert.True(MMath.AbsDiff(0.117700554409044, GaussianFromMeanAndVarianceOp.VarianceGammaTimesGaussianIntegral(1, 2, 3) / scale, 1e-20) < 1e-5);
Assert.True(MMath.AbsDiff(0.112933034747473, GaussianFromMeanAndVarianceOp.VarianceGammaTimesGaussianIntegral(2, 2, 3) / scale, 1e-20) < 1e-5);
Assert.True(MMath.AbsDiff(0.117331854901251, GaussianFromMeanAndVarianceOp.VarianceGammaTimesGaussianIntegral(1.1, 2, 3) / scale, 1e-20) < 1e-5);
Assert.True(MMath.AbsDiff(0.115563913123152, GaussianFromMeanAndVarianceOp.VarianceGammaTimesGaussianIntegral(1.5, 2, 3) / scale, 1e-20) < 2e-5);
scale = 2 * System.Math.Exp(-Gaussian.GetLogProb(20 / System.Math.Sqrt(0.3), 0, 1));
Assert.True(MMath.AbsDiff(1.197359429038085e-009, GaussianFromMeanAndVarianceOp.VarianceGammaTimesGaussianIntegral(1, 20, 0.3) / scale, 1e-20) < 1e-5);
Assert.True(MMath.AbsDiff(1.239267009054433e-008, GaussianFromMeanAndVarianceOp.VarianceGammaTimesGaussianIntegral(2, 20, 0.3) / scale, 1e-20) < 1e-5);
Assert.True(MMath.AbsDiff(1.586340098271600e-009, GaussianFromMeanAndVarianceOp.VarianceGammaTimesGaussianIntegral(1.1, 20, 0.3) / scale, 1e-20) < 1e-4);
Assert.True(MMath.AbsDiff(4.319412089896069e-009, GaussianFromMeanAndVarianceOp.VarianceGammaTimesGaussianIntegral(1.5, 20, 0.3) / scale, 1e-20) < 1e-4);
scale = 2 * System.Math.Exp(-Gaussian.GetLogProb(40 / System.Math.Sqrt(0.3), 0, 1));
scale = 2 * System.Math.Exp(40 - 0.3 / 2);
Assert.True(MMath.AbsDiff(2.467941724509690e-018, GaussianFromMeanAndVarianceOp.VarianceGammaTimesGaussianIntegral(1, 40, 0.3) / scale, 1e-20) < 1e-5);
Assert.True(MMath.AbsDiff(5.022261409377230e-017, GaussianFromMeanAndVarianceOp.VarianceGammaTimesGaussianIntegral(2, 40, 0.3) / scale, 1e-20) < 1e-5);
Assert.True(MMath.AbsDiff(3.502361147666615e-018, GaussianFromMeanAndVarianceOp.VarianceGammaTimesGaussianIntegral(1.1, 40, 0.3) / scale, 1e-20) < 1e-4);
Assert.True(MMath.AbsDiff(1.252310352551344e-017, GaussianFromMeanAndVarianceOp.VarianceGammaTimesGaussianIntegral(1.5, 40, 0.3) / scale, 1e-20) < 1e-4);
Assert.True(GaussianFromMeanAndVarianceOp.VarianceGammaTimesGaussianIntegral(1.138, 33.4, 0.187) > 0);
Assert.True(GaussianFromMeanAndVarianceOp.VarianceGammaTimesGaussianIntegral(1.138, -33.4, 0.187) > 0);
Assert.True(GaussianFromMeanAndVarianceOp.VarianceGammaTimesGaussianIntegral(1.138, 58.25, 0.187) > 0);
Assert.True(GaussianFromMeanAndVarianceOp.VarianceGammaTimesGaussianIntegral(1.138, 50, 0.187) > 0);
Assert.True(GaussianFromMeanAndVarianceOp.VarianceGammaTimesGaussianIntegral(1.138, 100, 0.187) > 0);
}
