context("psqn_generic and the C++ interface works") # parameters for the simulation set.seed(1) K <- 20L n <- 5L * K # # simulate the data # truth_limit <- runif(K, -1, 1) # dat <- replicate( # n, { # # sample the indices # n_samp <- sample.int(5L, 1L) + 1L # indices <- sort(sample.int(K, n_samp)) # # # sample the outcome, y, and return # list(y = rpois(1, exp(sum(truth_limit[indices]))), # indices = indices) # }, simplify = FALSE) # # # we need each variable to be present at least once # stopifnot(length(unique(unlist( # lapply(dat, `[`, "indices") # ))) == K) # otherwise we need to change the code # # saveRDS(dat, "GLM-generic-data.RDS") dat <- readRDS("GLM-generic-data.RDS") test_that("the R and C++ interface gives the same and correct result", { # test the R interface r_func <- function(i, par, comp_grad){ z <- dat[[i]] if(length(par) == 0L) return(z$indices) eta <- sum(par) exp_eta <- exp(eta) out <- -z$y * eta + exp_eta if(comp_grad) attr(out, "grad") <- rep(-z$y + exp_eta, length(z$indices)) out } R_res <- psqn_generic( par = numeric(K), fn = r_func, n_ele_func = length(dat), c1 = 1e-4, c2 = .1, trace = 0L, rel_eps = 1e-9, max_it = 1000L, env = environment()) expect_known_value(R_res[c("par", "value")], "psqn_generic-glm-res.RDS") idx_mask <- c(2L, 5L, 19L) R_res_mask <- psqn_generic( par = numeric(K), fn = r_func, n_ele_func = length(dat), c1 = 1e-4, c2 = .1, trace = 0L, rel_eps = 1e-9, max_it = 1000L, env = environment(), mask = idx_mask) expect_known_value(R_res_mask[c("par", "value")], "psqn_generic-glm-res-mask.RDS") # check the Hessian true_hess <- readRDS("psqn_generic-hess-res.RDS") expect_equal( as.matrix(psqn_generic_hess( R_res_mask$par, fn = r_func, n_ele_func = length(dat))), true_hess, check.attributes = FALSE) # check for an error message expect_error( R_res <- psqn_generic( par = numeric(K), fn = r_func, n_ele_func = length(dat), c1 = 1e-4, c2 = .1, trace = 0L, rel_eps = 1e-9, max_it = 1000L, env = environment(), pre_method = 3L), "there is no custom preconditioner") # check that the C++ version gives the same skip_if_not_installed("Matrix") skip_on_macOS() skip_on_cran() library(Rcpp) library(Matrix) reset_info <- compile_cpp_file("generic_example.cpp") on.exit(reset_compile_cpp_file(reset_info), add = TRUE) setwd(reset_info$old_wd) cpp_arg <- lapply(dat, function(x){ x$indices <- x$indices - 1L # C++ needs zero-based indices x }) ptr <- get_generic_ex_obj(cpp_arg, max_threads = 2L) Cpp_res <- optim_generic_ex( val = numeric(K), ptr = ptr, rel_eps = 1e-9, max_it = 1000L, n_threads = 1L, c1 = 1e-4, c2 = .1, trace = 0L, cg_tol = .5) expect_equal(Cpp_res, R_res) # the Hessian yields the same result hess_ress_sparse <- get_sparse_Hess_approx_generic(ptr) expect_known_value(hess_ress_sparse, "psqn_generic-glm-hess-res.RDS") hess_ress <- get_Hess_approx_generic(ptr) expect_equal(as.matrix(hess_ress_sparse), hess_ress, check.attributes = FALSE) # # check the true Hessian # truth <- numDeriv::jacobian(grad_generic_ex, ptr = ptr, n_threads = 1L, # R_res_mask$par) # saveRDS(truth, "psqn_generic-hess-res.RDS") true_hess <- readRDS("psqn_generic-hess-res.RDS") expect_equal( as.matrix(true_hess_sparse(ptr, R_res_mask$par)), true_hess, check.attributes = FALSE) # we get the same with more threads Cpp_res <- optim_generic_ex( val = numeric(K), ptr = ptr, rel_eps = 1e-9, max_it = 1000L, n_threads = 2L, c1 = 1e-4, c2 = .1, trace = 0L, cg_tol = .5) expect_equal(Cpp_res, R_res) set_masked(ptr, idx_mask) Cpp_res_mask <- optim_generic_ex( val = numeric(K), ptr = ptr, rel_eps = 1e-9, max_it = 1000L, n_threads = 2L, c1 = 1e-4, c2 = .1, trace = 0L, cg_tol = .5) expect_equal(Cpp_res_mask, R_res_mask) clear_masked(ptr) # the gradient tolerance works gr_tol <- 1e-5 Cpp_res <- optim_generic_ex( val = numeric(K), ptr = ptr, rel_eps = 1, max_it = 1000L, n_threads = 2L, c1 = 1e-4, c2 = .1, trace = 0L, cg_tol = .5, gr_tol = gr_tol) expect_lt(sqrt(sum(grad_generic_ex(Cpp_res$par, ptr, 1)^2)), gr_tol) # we the right result with other preconditioners for(i in 0:2){ Cpp_res <- optim_generic_ex( val = numeric(K), ptr = ptr, rel_eps = 1e-9, max_it = 1000L, n_threads = 2L, c1 = 1e-4, c2 = .1, trace = 0L, cg_tol = .5, pre_method = i) expect_equal(Cpp_res$value, R_res$value, info = i) expect_equal(Cpp_res$par, R_res$par, info = i, tolerance = 4 * sqrt(1e-9)) R_res_new <- psqn_generic( par = numeric(K), fn = r_func, n_ele_func = length(dat), c1 = 1e-4, c2 = .1, trace = 0L, rel_eps = 1e-9, max_it = 1000L, env = environment(), pre_method = i) expect_equal(R_res_new$value, R_res$value, info = i) expect_equal(R_res_new$par, R_res$par, info = i, tolerance = 4 * sqrt(1e-9)) } # test that we get the same when we do not use Kahan summation algorithm skip_on_cran() (function(){ reset_info <- compile_cpp_file("generic_example.cpp", "generic_example-Kahan.cpp", do_compile = FALSE) on.exit(reset_compile_cpp_file(reset_info), add = TRUE) old_lines <- readLines("generic_example-Kahan.cpp") tmp_file_con <- file("generic_example-Kahan.cpp") writeLines( c("#define PSQN_NO_USE_KAHAN", old_lines), tmp_file_con) close(tmp_file_con) sourceCpp("generic_example-Kahan.cpp") setwd(reset_info$old_wd) Cpp_res <- optim_generic_ex( val = numeric(K), ptr = ptr, rel_eps = 1e-9, max_it = 1000L, n_threads = 1L, c1 = 1e-4, c2 = .1, trace = 0L, cg_tol = .5) expect_equal(Cpp_res$value, R_res$value) # check for an error message expect_error( optim_generic_ex( val = numeric(K), ptr = ptr, rel_eps = 1e-9, max_it = 1000L, n_threads = 1L, c1 = 1e-4, c2 = .1, trace = 0L, cg_tol = .5, pre_method = 3L), "there is no custom preconditioner") })() })