### Windows CRAN needs too much time if (.Platform$OS.type != "unix") quit() library("mvtnorm") set.seed(29) chk <- function(...) stopifnot(isTRUE(all.equal(..., check.attributes = FALSE, tol = 1e-4))) ### N samples with N different covariance matrices N <- 10 J <- 4 prm <- runif(N * J * (J + 1) / 2) + 1 m <- matrix(rnorm(N * J), nrow = J) Z <- matrix(rnorm(N * J), ncol = N) w <- matrix(runif((J - 1) * 100), nrow = J - 1) thischeck <- expression({ lt <- ltMatrices(matrix(prm[1: (N * J * (J + c(-1, 1)[dg + 1L]) / 2)], ncol = N), diag = dg) lt <- ltMatrices(lt, diag = dg, byrow = br) d <- Mult(lt, m) Y <- solve(lt, Z) + m lower <- Y - 2 upper <- Y + 2 l3 <- lpmvnorm(lower = lower, upper = upper, mean = m, invchol = lt, logLik = FALSE, w = w) l4 <- lpmvnorm(lower = lower, upper = upper, mean = m, chol = solve(lt), logLik = FALSE, w = w) chk(l3, l4) l3d <- lpmvnorm(lower = lower, upper = upper, invcholmean = d, invchol = lt, logLik = FALSE, w = w) l4d <- lpmvnorm(lower = lower, upper = upper, invcholmean = d, chol = solve(lt), logLik = FALSE, w = w) chk(l3, l3d) chk(l4, l4d) ### check scores if (require("numDeriv", quietly = TRUE)) { f <- function(L) { L <- ltMatrices(L, diag = dg, byrow = br) lpmvnorm(lower = lower, upper = upper, mean = m, invchol = L, w = w) } s0 <- grad(f, unclass(lt)) s1 <- slpmvnorm(lower = lower, upper = upper, mean = m, invchol = lt, w = w) chk(Lower_tri(ltMatrices(matrix(s0, ncol = N), diag = dg, byrow = br), diag = dg), Lower_tri(s1$invchol, diag = dg)) f <- function(L) { L <- ltMatrices(L, diag = dg, byrow = br) lpmvnorm(lower = lower, upper = upper, invcholmean = d, invchol = L, w = w) } s0 <- grad(f, unclass(lt)) s1 <- slpmvnorm(lower = lower, upper = upper, invcholmean = d, invchol = lt, w = w) chk(Lower_tri(ltMatrices(matrix(s0, ncol = N), diag = dg, byrow = br), diag = dg), Lower_tri(s1$invchol, diag = dg)) f <- function(L) { L <- ltMatrices(L, diag = dg, byrow = br) lpmvnorm(lower = lower, upper = upper, mean = m, chol = L, w = w) } s0 <- grad(f, unclass(lt)) s1 <- slpmvnorm(lower = lower, upper = upper, mean = m, chol = lt, w = w) chk(Lower_tri(ltMatrices(matrix(s0, ncol = N), diag = dg, byrow = br), diag = dg), Lower_tri(s1$chol, diag = dg)) f <- function(L) { L <- ltMatrices(L, diag = dg, byrow = br) lpmvnorm(lower = lower, upper = upper, invcholmean = d, chol = L, w = w) } s0 <- grad(f, unclass(lt)) s1 <- slpmvnorm(lower = lower, upper = upper, invcholmean = d, chol = lt, w = w) chk(Lower_tri(ltMatrices(matrix(s0, ncol = N), diag = dg, byrow = br), diag = dg), Lower_tri(s1$chol, diag = dg)) f <- function(lwr) lpmvnorm(lower = lwr, upper = upper, mean = m, invchol = lt, w = w) s0 <- grad(f, lower) s1 <- slpmvnorm(lower = lower, upper = upper, mean = m, invchol = lt, w = w) chk(matrix(s0, ncol = N), s1$lower) f <- function(upr) lpmvnorm(lower = lower, upper = upr, mean = m, invchol = lt, w = w) s0 <- grad(f, upper) s1 <- slpmvnorm(lower = lower, upper = upper, mean = m, invchol = lt, w = w) chk(matrix(s0, ncol = N), s1$upper) f <- function(m) lpmvnorm(lower = lower, upper = upper, mean = m, invchol = lt, w = w) s0 <- grad(f, m) s1 <- slpmvnorm(lower = lower, upper = upper, mean = m, invchol = lt, w = w) chk(matrix(s0, ncol = N), s1$mean) f <- function(d) lpmvnorm(lower = lower, upper = upper, invcholmean = d, invchol = lt, w = w) s0 <- grad(f, d) s1 <- slpmvnorm(lower = lower, upper = upper, invcholmean = d, invchol = lt, w = w) chk(matrix(s0, ncol = N), s1$invcholmean) } }) dg <- TRUE br <- FALSE eval(thischeck) dg <- FALSE br <- FALSE eval(thischeck) dg <- FALSE br <- TRUE eval(thischeck) dg <- FALSE br <- FALSE eval(thischeck)