library(testthat) Sys.setenv('OMP_THREAD_LIMIT'=2) library(rlibkriging) ##library(rlibkriging, lib.loc="bindings/R/Rlibs") ##library(testthat) #kernel="gauss" for (kernel in c("exp","matern3_2","matern5_2","gauss")) { context(paste0("Check LogLikelihood for kernel ",kernel)) f = function(x) 1-1/2*(sin(12*x)/(1+x)+2*cos(7*x)*x^5+0.7) plot(f) n <- 5 set.seed(123) X <- as.matrix(runif(n)) y = f(X) points(X,y) k = DiceKriging::km(design=X,response=y,covtype = kernel,control = list(trace=F),nugget=0, nugget.estim=TRUE) alpha0 = k@covariance@sd2/(k@covariance@sd2+k@covariance@nugget) ll_theta = function(theta) DiceKriging::logLikFun(c(theta,alpha0),k) plot(Vectorize(ll_theta),ylab="LL",xlab="theta",xlim=c(0.01,1)) for (x in seq(0.01,1,,21)){ envx = new.env() llx = DiceKriging::logLikFun(c(x,alpha0),k,envx) gllx = DiceKriging::logLikGrad(c(x,alpha0),k,envx)[1,] arrows(x,llx,x+.1,llx+.1*gllx) } ##library(rlibkriging) r <- NuggetKriging(y, X, kernel, parameters=list(nugget=0,is_nugget_estim=TRUE)) ll2_theta = function(theta) logLikelihoodFun(r,c(theta,alpha0))$logLikelihood # second arg is alpha=1 for nugget=0 # plot(Vectorize(ll2),col='red'), add=T) for (x in seq(0.01,1,,21)){ envx = new.env() ll2x = logLikelihoodFun(r,c(x,alpha0))$logLikelihood gll2x = logLikelihoodFun(r,c(x,alpha0),return_grad = T)$logLikelihoodGrad[,1] arrows(x,ll2x,x+.1,ll2x+.1*gll2x,col='red') } theta0 = k@covariance@range.val ll_alpha = function(alpha) DiceKriging::logLikFun(c(theta0,alpha),k) plot(Vectorize(ll_alpha),ylab="LL",xlab="alpha",xlim=c(0.01,1)) for (x in seq(0.01,1,,21)){ envx = new.env() llx = DiceKriging::logLikFun(c(theta0,x),k,envx) gllx = DiceKriging::logLikGrad(c(theta0,x),k,envx)[2,] arrows(x,llx,x+.1,llx+.1*gllx) } ll2_alpha = function(alpha) logLikelihoodFun(r,c(theta0,alpha))$logLikelihood #plot(Vectorize(ll2_alpha),col='red',add=T) for (x in seq(0.01,1,,21)){ envx = new.env() ll2x = logLikelihoodFun(r,c(theta0,x))$logLikelihood gll2x = logLikelihoodFun(r,c(theta0,x),return_grad = T)$logLikelihoodGrad[,2] arrows(x,ll2x,x+.1,ll2x+.1*gll2x,col='red') } precision <- 1e-8 # the following tests should work with it, since the computations are analytical x=.25 xenv=new.env() test_that(desc="logLik is the same that DiceKriging one /alpha", expect_equal( logLikelihoodFun(r,c(theta0,x))$logLikelihood[1] , DiceKriging::logLikFun(c(theta0,x),k,xenv) ,tolerance = precision)) test_that(desc="logLik Grad is just good /alpha", expect_equal( logLikelihoodFun(r,c(theta0,x),return_grad=T)$logLikelihoodGrad[,2] , -(logLikelihoodFun(r,c(theta0,x-1e-5))$logLikelihood[1]-logLikelihoodFun(r,c(theta0,x))$logLikelihood[1])/1e-5, ,tolerance= 1e-5)) test_that(desc="logLik Grad is the same that DiceKriging one /alpha", expect_equal( logLikelihoodFun(r,c(theta0,x),return_grad=T)$logLikelihoodGrad[,2] , DiceKriging::logLikGrad(c(theta0,x),k,xenv)[2,] ,tolerance= precision)) xenv=new.env() test_that(desc="logLik is the same that DiceKriging one /theta", expect_equal( logLikelihoodFun(r,c(x,alpha0))$logLikelihood[1] , DiceKriging::logLikFun(c(x,alpha0),k,xenv) ,tolerance = precision)) test_that(desc="logLik Grad is just good /theta", expect_equal( logLikelihoodFun(r,c(x,alpha0),return_grad=T)$logLikelihoodGrad[,1] , (logLikelihoodFun(r,c(x+1e-5,alpha0))$logLikelihood[1]-logLikelihoodFun(r,c(x,alpha0))$logLikelihood[1])/1e-5 ,tolerance= 1e-3)) test_that(desc="logLik Grad is the same that DiceKriging one /theta", expect_equal( logLikelihoodFun(r,c(x,alpha0),return_grad=T)$logLikelihoodGrad[,1] , DiceKriging::logLikGrad(c(x,alpha0),k,xenv)[1,] ,tolerance= precision)) } ########################## 2D for (kernel in c("matern3_2","matern5_2","gauss","exp")) { context(paste0("Check LogLikelihood for kernel ",kernel)) f <- function(X) apply(X, 1, function(x) prod(sin((x-.5)^2))) n <- 100 set.seed(123) X <- cbind(runif(n),runif(n),runif(n)) y <- f(X) k = DiceKriging::km(design=X,response=y,covtype = kernel,control = list(trace=F),nugget=0, nugget.estim=TRUE) ##library(rlibkriging) r <- NuggetKriging(y, X, kernel, parameters=list(nugget=0,is_nugget_estim=TRUE)) precision <- 1e-8 # the following tests should work with it, since the computations are analytical #x = c(.2,.5,.7,0.01) #x=c(.5,.5,.5,.9999995) x = c(r$theta(),r$sigma2()/(r$sigma2()+r$nugget())) #x = c(k@covariance@range.val,k@covariance@sd2/(k@covariance@sd2+k@covariance@nugget)) xenv=new.env() test_that(desc="logLik is the same that DiceKriging one", expect_equal( logLikelihoodFun(r,x)$logLikelihood[1] , DiceKriging::logLikFun(x,k,xenv) ,tolerance = precision)) test_that(desc="logLik Grad is the same that DiceKriging one", expect_equal( logLikelihoodFun(r,x,return_grad=T)$logLikelihoodGrad[1,] , t(DiceKriging::logLikGrad(x,k,xenv))[1,] ,tolerance= precision)) eps=0.000001 test_that(desc="logLik Grad is just good", expect_equal( -logLikelihoodFun(r,x,return_grad=T)$logLikelihoodGrad[1,] , c( # finite-diff grad (logLikelihoodFun(r,x-c(eps,0,0,0))$logLikelihood[1]-logLikelihoodFun(r,x)$logLikelihood[1])/eps, (logLikelihoodFun(r,x-c(0,eps,0,0))$logLikelihood[1]-logLikelihoodFun(r,x)$logLikelihood[1])/eps, (logLikelihoodFun(r,x-c(0,0,eps,0))$logLikelihood[1]-logLikelihoodFun(r,x)$logLikelihood[1])/eps, (logLikelihoodFun(r,x-c(0,0,0,eps))$logLikelihood[1]-logLikelihoodFun(r,x)$logLikelihood[1])/eps ) ,tolerance= 1e-2)) }