/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.math.linearalgebra;
import static org.testng.AssertJUnit.assertEquals;
import static org.testng.AssertJUnit.assertTrue;
import org.testng.annotations.Test;
import com.opengamma.analytics.math.matrix.DoubleMatrix2D;
import com.opengamma.analytics.math.matrix.DoubleMatrixUtils;
import com.opengamma.analytics.math.matrix.MatrixAlgebra;
/**
*
*/
public abstract class SVDecompositionCalculationTestCase {
private static final double EPS = 1e-10;
private static final DoubleMatrix2D A = new DoubleMatrix2D(new double[][] {new double[] {1, 2, 3}, new double[] {-3.4, -1, 4}, new double[] {1, 6, 1}});
protected abstract Decomposition<SVDecompositionResult> getSVD();
protected abstract MatrixAlgebra getAlgebra();
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullObjectMatrix() {
getSVD().evaluate((DoubleMatrix2D) null);
}
@Test
public void testRecoverOrginal() {
final MatrixAlgebra algebra = getAlgebra();
final DecompositionResult result = getSVD().evaluate(A);
assertTrue(result instanceof SVDecompositionResult);
final SVDecompositionResult svd_result = (SVDecompositionResult) result;
final DoubleMatrix2D u = svd_result.getU();
final double[] sv = svd_result.getSingularValues();
final DoubleMatrix2D w = DoubleMatrixUtils.getTwoDimensionalDiagonalMatrix(sv);
final DoubleMatrix2D vt = svd_result.getVT();
final DoubleMatrix2D a = (DoubleMatrix2D) algebra.multiply(algebra.multiply(u, w), vt);
checkEquals(A, a);
}
@Test
public void testInvert() {
final MatrixAlgebra algebra = getAlgebra();
final SVDecompositionResult result = getSVD().evaluate(A);
final DoubleMatrix2D ut = result.getUT();
final DoubleMatrix2D v = result.getV();
final double[] sv = result.getSingularValues();
final int n = sv.length;
final double[] svinv = new double[n];
for (int i = 0; i < n; i++) {
if (sv[i] == 0.0) {
svinv[i] = 0.0;
} else {
svinv[i] = 1.0 / sv[i];
}
}
final DoubleMatrix2D winv = DoubleMatrixUtils.getTwoDimensionalDiagonalMatrix(svinv);
final DoubleMatrix2D ainv = (DoubleMatrix2D) algebra.multiply(algebra.multiply(v, winv), ut);
final DoubleMatrix2D identity = (DoubleMatrix2D) algebra.multiply(A, ainv);
checkIdentity(identity);
}
private void checkEquals(final DoubleMatrix2D x, final DoubleMatrix2D y) {
final int n = x.getNumberOfRows();
final int m = x.getNumberOfColumns();
assertEquals(n, y.getNumberOfRows());
assertEquals(m, y.getNumberOfColumns());
for (int i = 0; i < n; i++) {
for (int j = 0; j < m; j++) {
assertEquals(x.getEntry(i, j), y.getEntry(i, j), EPS);
}
}
}
private void checkIdentity(final DoubleMatrix2D x) {
final int n = x.getNumberOfRows();
assertEquals(x.getNumberOfColumns(), n);
for (int i = 0; i < n; i++) {
for (int j = 0; j < n; j++) {
if (i == j) {
assertEquals(1.0, x.getEntry(i, i), EPS);
} else {
assertEquals(0.0, x.getEntry(i, j), EPS);
}
}
}
}
}