RungeKuttaIntegrator1DTest.java

/**
 * Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
 * 
 * Please see distribution for license.
 */
package com.opengamma.strata.math.impl.integration;

import static org.testng.AssertJUnit.assertEquals;

import java.util.function.Function;

import org.testng.annotations.Test;

/**
 * Test.
 */
@Test
public class RungeKuttaIntegrator1DTest {

  private static final double ROOT_2PI = Math.sqrt(2.0 * java.lang.Math.PI);

  private static final Function<Double, Double> CUBE = new Function<Double, Double>() {

    @Override
    public Double apply(final Double x) {
      return x * x * x;
    }

  };

  private static final Function<Double, Double> TRIANGLE = new Function<Double, Double>() {

    @Override
    public Double apply(final Double x) {
      if (x > 1.0 || x < 0.0)
        return x - Math.floor(x);

      return x;

    }

  };

  private static final Function<Double, Double> MIX_NORM = new Function<Double, Double>() {
    private final double[] W = new double[] {0.2, 0.2, 0.2, 0.2, 0.2 };
    private final double[] MU = new double[] {0.0, -0.4, 0.5, 0.0, 0.01234583 };
    private final double[] SIGMA = new double[] {3.0, 0.1, 5.0, 0.001, 0.0001 };

    @SuppressWarnings("synthetic-access")
    @Override
    public Double apply(final Double x) {
      final int n = W.length;
      double res = 0.0;
      double expo;
      for (int i = 0; i < n; i++) {
        expo = (x - MU[i]) * (x - MU[i]) / SIGMA[i] / SIGMA[i];
        res += W[i] * Math.exp(-0.5 * expo) / ROOT_2PI / SIGMA[i];
      }
      return res;
    }
  };

  private static final Function<Double, Double> SIN_INV_X = new Function<Double, Double>() {
    @Override
    public Double apply(final Double x) {
      final double eps = 1e-127;
      if (Math.abs(x) < eps)
        return 0.0;
      return Math.sin(1.0 / x);

    }

  };

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNegativeAbsTol() {
    new RungeKuttaIntegrator1D(-1.0);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNegativeRelTol() {
    new RungeKuttaIntegrator1D(1e-7, -1.0);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testLessTahnOneStep() {
    new RungeKuttaIntegrator1D(0);
  }

  @Test
  public void test() {
    final double eps = 1e-9;
    final int minSteps = 10;
    final Integrator1D<Double, Double> integrator = new RungeKuttaIntegrator1D(eps, eps, minSteps);

    double lower = 0;
    double upper = 2.0;
    assertEquals(4.0, integrator.integrate(CUBE, lower, upper), eps);

    lower = 0.0;
    upper = 1.5;
    assertEquals(0.625, integrator.integrate(TRIANGLE, lower, upper), eps);

    lower = -30;
    upper = 30;
    assertEquals(1.0, integrator.integrate(MIX_NORM, lower, upper), eps);
  }

  @Test
  public void testCutoff() {

    final double eps = 1e-9;
    final int minSteps = 10;
    final Integrator1D<Double, Double> integrator = new RungeKuttaIntegrator1D(eps, eps, minSteps);
    final double lower = -1.0;
    final double upper = 1.0;
    assertEquals(0.0, integrator.integrate(SIN_INV_X, lower, upper), eps);

  }

}