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[statespace] tests mote thorough and numerically stable

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This commit is contained in:
mzwiessele 2016-04-07 08:45:10 +01:00
parent bfd0ee0db2
commit 754106e471
1 changed files with 12 additions and 13 deletions
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25
GPy/testing/gpy_kernels_state_space_tests.py
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@ -28,23 +28,22 @@ class StateSpaceKernelsTests(np.testing.TestCase):
kalman_filter_type=kalman_filter_type,
use_cython=use_cython)
m1.likelihood[:] = Y.var()/10.
if check_gradients:
self.assertTrue(m1.checkgrad())
if 1:#optimize:
m1.optimize(optimizer='lbfgsb',max_iters=2)
m1.optimize(optimizer='lbfgsb', max_iters=1)
if compare_with_GP and (predict_X is None):
predict_X = X
self.assertTrue(compare_with_GP)
if compare_with_GP:
np.random.seed(254856)
m2 = GPy.models.GPRegression(X,Y, gp_kernel)
#m2.randomize()
m2.optimize(max_iters=optimize_max_iters)
m1[:] = m2[:]
m2[:] = m1[:]
if (predict_X is not None):
x_pred_reg_1 = m1.predict(predict_X)
@ -53,12 +52,12 @@ class StateSpaceKernelsTests(np.testing.TestCase):
x_pred_reg_2 = m2.predict(predict_X)
x_quant_reg_2 = m2.predict_quantiles(predict_X)
np.testing.assert_array_almost_equal(x_pred_reg_1[0], x_pred_reg_2[0], 3)
np.testing.assert_array_almost_equal(x_pred_reg_1[1], x_pred_reg_2[1], 3)
np.testing.assert_array_almost_equal(x_quant_reg_1[0], x_quant_reg_2[0], 3)
np.testing.assert_array_almost_equal(x_quant_reg_1[1], x_quant_reg_2[1], 3)
np.testing.assert_almost_equal(m1.log_likelihood(), m2.log_likelihood(), 3)
np.testing.assert_array_almost_equal(m1.gradient, m2.gradient, 2)
np.testing.assert_array_almost_equal(x_pred_reg_1[0], x_pred_reg_2[0], mean_compare_decimal)
np.testing.assert_array_almost_equal(x_pred_reg_1[1], x_pred_reg_2[1], var_compare_decimal)
np.testing.assert_array_almost_equal(x_quant_reg_1[0], x_quant_reg_2[0], mean_compare_decimal)
np.testing.assert_array_almost_equal(x_quant_reg_1[1], x_quant_reg_2[1], mean_compare_decimal)
np.testing.assert_array_almost_equal(m1.gradient, m2.gradient, var_compare_decimal)
np.testing.assert_almost_equal(m1.log_likelihood(), m2.log_likelihood(), var_compare_decimal)
def test_Matern32_kernel(self,):
@ -103,7 +102,7 @@ class StateSpaceKernelsTests(np.testing.TestCase):
predict_X=X,
gp_kernel=gp_kernel,
optimize_max_iters=1000,
mean_compare_decimal=2, var_compare_decimal=2)
mean_compare_decimal=2, var_compare_decimal=1)
def test_periodic_kernel(self,):
np.random.seed(322) # seed the random number generator
@ -172,7 +171,7 @@ class StateSpaceKernelsTests(np.testing.TestCase):
self.run_for_model(X, Y, ss_kernel, check_gradients=True,
predict_X=X,
gp_kernel=gp_kernel,
mean_compare_decimal=5, var_compare_decimal=5)
mean_compare_decimal=4, var_compare_decimal=4)
def test_exponential_kernel(self,):
np.random.seed(12345) # seed the random number generator