/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.math.matrix;
import static org.testng.AssertJUnit.assertEquals;
import org.testng.annotations.Test;
import com.opengamma.analytics.math.linearalgebra.TridiagonalMatrix;
import com.opengamma.analytics.math.statistics.distribution.NormalDistribution;
import com.opengamma.analytics.math.statistics.distribution.ProbabilityDistribution;
/**
*
*/
public class OGMatrixAlgebraTest {
private static ProbabilityDistribution<Double> RANDOM = new NormalDistribution(0, 1);
private static final MatrixAlgebra ALGEBRA = MatrixAlgebraFactory.getMatrixAlgebra("OG");
private static final DoubleMatrix2D A = new DoubleMatrix2D(new double[][] { {1., 2., 3. }, {-1., 1., 0. }, {-2., 1., -2. } });
private static final DoubleMatrix2D B = new DoubleMatrix2D(new double[][] { {1, 1 }, {2, -2 }, {3, 1 } });
private static final DoubleMatrix2D C = new DoubleMatrix2D(new double[][] { {14, 0 }, {1, -3 }, {-6, -6 } });
private static final DoubleMatrix1D D = new DoubleMatrix1D(new double[] {1, 1, 1 });
private static final DoubleMatrix1D E = new DoubleMatrix1D(new double[] {-1, 2, 3 });
private static final DoubleMatrix1D F = new DoubleMatrix1D(new double[] {2, -2, 1 });
@Test(expectedExceptions = IllegalArgumentException.class)
public void testMatrixSizeMismatch() {
ALGEBRA.multiply(B, A);
}
@Test
public void testDotProduct() {
double res = ALGEBRA.getInnerProduct(E, F);
assertEquals(-3.0, res, 1e-15);
res = ALGEBRA.getNorm2(E);
assertEquals(Math.sqrt(14.0), res, 1e-15);
}
@Test
public void testOuterProduct() {
final DoubleMatrix2D res = ALGEBRA.getOuterProduct(E, F);
final int rows = res.getNumberOfRows();
final int cols = res.getNumberOfColumns();
int i, j;
for (i = 0; i < rows; i++) {
for (j = 0; j < cols; j++) {
assertEquals(res.getEntry(i, j), E.getEntry(i) * F.getEntry(j), 1e-15);
}
}
}
@Test
public void testMultiply() {
final DoubleMatrix2D c = (DoubleMatrix2D) ALGEBRA.multiply(A, B);
final int rows = c.getNumberOfRows();
final int cols = c.getNumberOfColumns();
int i, j;
for (i = 0; i < rows; i++) {
for (j = 0; j < cols; j++) {
assertEquals(c.getEntry(i, j), C.getEntry(i, j), 1e-15);
}
}
final DoubleMatrix1D d = (DoubleMatrix1D) ALGEBRA.multiply(A, D);
assertEquals(6, d.getEntry(0), 1e-15);
assertEquals(0, d.getEntry(1), 1e-15);
assertEquals(-3, d.getEntry(2), 1e-15);
}
@Test
public void testTridiagonalMultiply() {
final int n = 37;
double[] l = new double[n - 1];
double[] c = new double[n];
double[] u = new double[n - 1];
double[] x = new double[n];
for (int ii = 0; ii < n; ii++) {
c[ii] = RANDOM.nextRandom();
x[ii] = RANDOM.nextRandom();
if (ii < n - 1) {
l[ii] = RANDOM.nextRandom();
u[ii] = RANDOM.nextRandom();
}
}
final TridiagonalMatrix m = new TridiagonalMatrix(c, u, l);
final DoubleMatrix1D xVec = new DoubleMatrix1D(x);
DoubleMatrix1D y1 = (DoubleMatrix1D) ALGEBRA.multiply(m, xVec);
DoubleMatrix2D full = m.toDoubleMatrix2D();
DoubleMatrix1D y2 = (DoubleMatrix1D) ALGEBRA.multiply(full, xVec);
for (int i = 0; i < n; i++) {
assertEquals(y1.getEntry(i), y2.getEntry(i), 1e-12);
}
}
@Test
public void testTranspose() {
final DoubleMatrix2D a = new DoubleMatrix2D(new double[][] { {1, 2 }, {3, 4 }, {5, 6 } });
assertEquals(3, a.getNumberOfRows());
assertEquals(2, a.getNumberOfColumns());
DoubleMatrix2D aT = ALGEBRA.getTranspose(a);
assertEquals(2, aT.getNumberOfRows());
assertEquals(3, aT.getNumberOfColumns());
}
}