library(testthat) Sys.setenv('OMP_THREAD_LIMIT'=2) library(rlibkriging) kernel_type = function(kernel) { if (kernel=="matern3_2") return("matern_3_2") if (kernel=="matern5_2") return("matern_5_2") stop(paste0("Cannot use ",kernel)) } kernel_type_num = function(kernel) { if (kernel=="matern3_2") return(2) if (kernel=="matern5_2") return(3) stop(paste0("Cannot use ",kernel)) } for (kernel in c("matern5_2","matern3_2")) { context(paste0("Check Marginal Posterior 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 = RobustGaSP::rgasp(design=X,response=y,kernel_type=kernel_type(kernel)) lmp = function(theta) { #cat("theta: ",theta,"\n") lml = RobustGaSP::log_marginal_lik(param=log(1/theta),nugget=k@nugget,nugget_est=k@nugget.est, R0=k@R0,X=k@X,zero_mean=k@zero_mean,output=k@output,kernel_type=kernel_type_num(kernel),alpha=k@alpha) #cat(" lml: ",lml,"\n") larp = RobustGaSP::log_approx_ref_prior(param=log(1/theta),nugget=k@nugget,nugget_est=k@nugget.est, CL=k@CL,a=0.2,b=1/(length(y))^{1/dim(as.matrix(X))[2]}*(0.2+dim(as.matrix(X))[2])) #cat(" larp: ",larp,"\n") return(lml+larp) } plot(Vectorize(lmp),ylab="LMP",xlab="theta",xlim=c(0.01,2),ylim=c(-5,5)) abline(v=1/k@beta_hat) lmp_deriv = function(theta) { #cat("theta: ",theta,"\n") lml_d = RobustGaSP::log_marginal_lik_deriv(param=log(1/theta),nugget=k@nugget,nugget_est=k@nugget.est, R0=k@R0,X=k@X,zero_mean=k@zero_mean,output=k@output,kernel_type=kernel_type_num(kernel),alpha=k@alpha) #cat(" lml_d: ",lml_d,"\n") larp_d = RobustGaSP::log_approx_ref_prior_deriv(param=log(1/theta),nugget=k@nugget,nugget_est=k@nugget.est, CL=k@CL,a=0.2,b=1/(length(y))^{1/dim(as.matrix(X))[2]}*(0.2+dim(as.matrix(X))[2])) #cat(" larp_d: ",larp_d,"\n") return((lml_d + larp_d)* 1/theta * (-1/theta)) } for (x in seq(0.01,2,,11)){ arrows(x,lmp(x),x+.1,lmp(x)+.1*lmp_deriv(x)) } #library(rlibkriging) r <- Kriging(y, X, kernel, objective="LMP") ## Should be equal: #lmp(1.0); lmp_deriv(1.0); #logMargPostFun(r,1.0,return_grad = T) #lmp(0.1); lmp_deriv(0.1); #logMargPostFun(r,0.1,return_grad = T) #ll2 = function(theta) logMargPostFun(r,theta)$logMargPost # plot(Vectorize(ll2),col='red',add=T,xlim=c(0.01,2)) # FIXME fails with "error: chol(): decomposition failed" for (x in seq(0.01,2,,11)){ ll2x = logMargPostFun(r,x)$logMargPost gll2x = logMargPostFun(r,x,return_grad = T)$logMargPostGrad arrows(x,ll2x,x+.1,ll2x+.1*gll2x,col='red') } precision <- 1e-8 # the following tests should work with it, since the computations are analytical x=.5 test_that(desc="logMargPost is the same that RobustGaSP one", expect_equal(logMargPostFun(r,x)$logMargPost[1],lmp(x),tolerance = precision)) test_that(desc="logMargPost Grad is the same that RobustGaSP one", expect_equal(logMargPostFun(r,x,return_grad = T)$logMargPostGrad[1],lmp_deriv(x),tolerance= precision)) }