/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.math.linearalgebra;
import static org.testng.AssertJUnit.assertEquals;
import org.testng.annotations.Test;
import org.testng.internal.junit.ArrayAsserts;
import com.opengamma.analytics.math.matrix.DoubleMatrix1D;
import com.opengamma.analytics.math.matrix.DoubleMatrix2D;
import com.opengamma.analytics.math.matrix.MatrixAlgebra;
import com.opengamma.analytics.math.matrix.OGMatrixAlgebra;
import com.opengamma.util.test.TestGroup;
/**
* Tests the Cholesky decomposition OpenGamma implementation.
*/
@Test(groups = TestGroup.UNIT)
public class CholeskyDecompositionOpenGammaTest {
private static final MatrixAlgebra ALGEBRA = new OGMatrixAlgebra();
private static final CholeskyDecompositionOpenGamma CDOG = new CholeskyDecompositionOpenGamma();
private static final Decomposition<CholeskyDecompositionResult> CDC = new CholeskyDecompositionCommons();
private static final DoubleMatrix2D A3 = new DoubleMatrix2D(new double[][] {new double[] {10.0, 2.0, -1.0}, new double[] {2.0, 5.0, -2.0}, new double[] {-1.0, -2.0, 15.0}});
private static final DoubleMatrix2D A5 = new DoubleMatrix2D(new double[][] {new double[] {10.0, 2.0, -1.0, 1.0, 1.0}, new double[] {2.0, 5.0, -2.0, 0.5, 0.5},
new double[] {-1.0, -2.0, 15.0, 1.0, 0.5}, new double[] {1.0, 0.5, 1.0, 10.0, -1.0}, new double[] {1.0, 0.5, 0.5, -1.0, 25.0}});
private static final double EPS = 1e-9;
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullObjectMatrix() {
CDOG.evaluate((DoubleMatrix2D) null);
}
@Test
/**
* Tests A = L L^T.
*/
public void recoverOrginal() {
final CholeskyDecompositionResult result = CDOG.evaluate(A3);
final DoubleMatrix2D a = (DoubleMatrix2D) ALGEBRA.multiply(result.getL(), result.getLT());
checkEquals(A3, a);
}
@Test
/**
* Tests solve Ax = b from A and b.
*/
public void solveVector() {
final CholeskyDecompositionResult result = CDOG.evaluate(A5);
double[] b = new double[] {1.0, 2.0, 3.0, 4.0, -1.0};
double[] x = result.solve(b);
DoubleMatrix1D ax = (DoubleMatrix1D) ALGEBRA.multiply(A5, new DoubleMatrix1D(x));
ArrayAsserts.assertArrayEquals("Cholesky decomposition OpenGamma - solve", b, ax.getData(), 1.0E-10);
}
@Test
/**
* Tests solve AX = B from A and B.
*/
public void solveMatrix() {
final CholeskyDecompositionResult result = CDOG.evaluate(A5);
double[][] b = new double[][] { {1.0, 2.0}, {2.0, 3.0}, {3.0, 4.0}, {4.0, -2.0}, {-1.0, -1.0}};
DoubleMatrix2D x = result.solve(new DoubleMatrix2D(b));
DoubleMatrix2D ax = (DoubleMatrix2D) ALGEBRA.multiply(A5, x);
ArrayAsserts.assertArrayEquals("Cholesky decomposition OpenGamma - solve", b[0], ax.getData()[0], 1.0E-10);
ArrayAsserts.assertArrayEquals("Cholesky decomposition OpenGamma - solve", b[1], ax.getData()[1], 1.0E-10);
}
@Test
/**
* Compare results with Common decomposition
*/
public void compareCommon() {
final CholeskyDecompositionResult resultOG = CDOG.evaluate(A3);
final CholeskyDecompositionResult resultC = CDC.evaluate(A3);
checkEquals(resultC.getL(), resultOG.getL());
checkEquals(ALGEBRA.getTranspose(resultC.getL()), resultOG.getLT());
assertEquals("Determinant", resultC.getDeterminant(), resultOG.getDeterminant(), 1.0E-10);
}
@Test(enabled = false)
/**
* Performance. For normal tests (enabled = false). Test the Common wrapper against the OpenGamma implementation.
*/
public void performance() {
long startTime, endTime;
int nbTest = 100000;
CholeskyDecompositionResult resultOG3 = CDOG.evaluate(A3);
CholeskyDecompositionResult resultC3 = CDC.evaluate(A3);
CholeskyDecompositionResult resultOG5 = CDOG.evaluate(A5);
CholeskyDecompositionResult resultC5 = CDC.evaluate(A5);
// ===== 3 x 3 =====
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
resultOG3 = CDOG.evaluate(A3);
}
endTime = System.currentTimeMillis();
System.out.println(nbTest + " Cholesky decomposition 3x3 (OpenGamma): " + (endTime - startTime) + " ms - " + resultOG3.getL());
// Performance note: Cholesky decomposition: 4-Nov-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 105 ms for 10000 decomposition 3x3.
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
resultC3 = CDC.evaluate(A3);
}
endTime = System.currentTimeMillis();
System.out.println(nbTest + " Cholesky decomposition 3x3 (Common wrapper): " + (endTime - startTime) + " ms - " + resultC3.getL());
// Performance note: Cholesky decomposition: 4-Nov-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 205 ms for 10000 decomposition 3x3.
// ===== 5 x 5 =====
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
resultOG5 = CDOG.evaluate(A5);
}
endTime = System.currentTimeMillis();
System.out.println(nbTest + " Cholesky decomposition 5x5 (OpenGamma): " + (endTime - startTime) + " ms - " + resultOG5.getL());
// Performance note: Cholesky decomposition: 4-Nov-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 105 ms for 10000 decomposition 5x5.
startTime = System.currentTimeMillis();
for (int looptest = 0; looptest < nbTest; looptest++) {
resultC5 = CDC.evaluate(A5);
}
endTime = System.currentTimeMillis();
System.out.println(nbTest + " Cholesky decomposition 5x5 (Common wrapper): " + (endTime - startTime) + " ms - " + resultC5.getL());
// Performance note: Cholesky decomposition: 4-Nov-11: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 205 ms for 10000 decomposition 5x5.
}
public void checkEquals(final DoubleMatrix2D x, final DoubleMatrix2D y) {
final int n = x.getNumberOfRows();
final int m = x.getNumberOfColumns();
assertEquals(n, y.getNumberOfRows());
assertEquals(m, y.getNumberOfColumns());
for (int i = 0; i < n; i++) {
for (int j = 0; j < m; j++) {
assertEquals(x.getEntry(i, j), y.getEntry(i, j), EPS);
}
}
}
}