#![cfg(all(feature = "proptest-support", feature = "debug"))] #[test] // #[rustfmt::skip] fn cholesky_with_substitute() { // Make a tiny covariance matrix with a small covariance value. let m = na::Matrix2::new(1.0, f64::NAN, 1.0, 1e-32); // Show that the cholesky fails for our matrix. We then try again with a substitute. assert!(na::Cholesky::new(m).is_none()); // ...and show that we get some result this time around. assert!(na::Cholesky::new_with_substitute(m, 1e-8).is_some()); } macro_rules! gen_tests( ($module: ident, $scalar: ty) => { mod $module { use na::debug::RandomSDP; use na::dimension::{Const, Dyn}; use na::{DMatrix, DVector, Matrix4x3, Vector4}; use rand::random; use simba::scalar::ComplexField; #[allow(unused_imports)] use crate::core::helper::{RandScalar, RandComplex}; use crate::proptest::*; use proptest::{prop_assert, proptest}; proptest! { #[test] fn cholesky(n in PROPTEST_MATRIX_DIM) { let m = RandomSDP::new(Dyn(n), || random::<$scalar>().0).unwrap(); let l = m.clone().cholesky().unwrap().unpack(); prop_assert!(relative_eq!(m, &l * l.adjoint(), epsilon = 1.0e-7)); } #[test] fn cholesky_static(_n in PROPTEST_MATRIX_DIM) { let m = RandomSDP::new(Const::<4>, || random::<$scalar>().0).unwrap(); let chol = m.cholesky().unwrap(); let l = chol.unpack(); prop_assert!(relative_eq!(m, &l * l.adjoint(), epsilon = 1.0e-7)); } #[test] fn cholesky_solve(n in PROPTEST_MATRIX_DIM, nb in PROPTEST_MATRIX_DIM) { let m = RandomSDP::new(Dyn(n), || random::<$scalar>().0).unwrap(); let chol = m.clone().cholesky().unwrap(); let b1 = DVector::<$scalar>::new_random(n).map(|e| e.0); let b2 = DMatrix::<$scalar>::new_random(n, nb).map(|e| e.0); let sol1 = chol.solve(&b1); let sol2 = chol.solve(&b2); prop_assert!(relative_eq!(&m * &sol1, b1, epsilon = 1.0e-7)); prop_assert!(relative_eq!(&m * &sol2, b2, epsilon = 1.0e-7)); } #[test] fn cholesky_solve_static(_n in PROPTEST_MATRIX_DIM) { let m = RandomSDP::new(Const::<4>, || random::<$scalar>().0).unwrap(); let chol = m.clone().cholesky().unwrap(); let b1 = Vector4::<$scalar>::new_random().map(|e| e.0); let b2 = Matrix4x3::<$scalar>::new_random().map(|e| e.0); let sol1 = chol.solve(&b1); let sol2 = chol.solve(&b2); prop_assert!(relative_eq!(m * sol1, b1, epsilon = 1.0e-7)); prop_assert!(relative_eq!(m * sol2, b2, epsilon = 1.0e-7)); } #[test] fn cholesky_inverse(n in PROPTEST_MATRIX_DIM) { let m = RandomSDP::new(Dyn(n), || random::<$scalar>().0).unwrap(); let m1 = m.clone().cholesky().unwrap().inverse(); let id1 = &m * &m1; let id2 = &m1 * &m; prop_assert!(id1.is_identity(1.0e-7) && id2.is_identity(1.0e-7)); } #[test] fn cholesky_inverse_static(_n in PROPTEST_MATRIX_DIM) { let m = RandomSDP::new(Const::<4>, || random::<$scalar>().0).unwrap(); let m1 = m.clone().cholesky().unwrap().inverse(); let id1 = &m * &m1; let id2 = &m1 * &m; prop_assert!(id1.is_identity(1.0e-7) && id2.is_identity(1.0e-7)); } #[test] fn cholesky_determinant(n in PROPTEST_MATRIX_DIM) { let m = RandomSDP::new(Dyn(n), || random::<$scalar>().0).unwrap(); let lu_det = m.clone().lu().determinant(); assert_relative_eq!(lu_det.imaginary(), 0., epsilon = 1.0e-7); let chol_det = m.cholesky().unwrap().determinant(); prop_assert!(relative_eq!(lu_det.real(), chol_det, epsilon = 1.0e-7)); } #[test] fn cholesky_determinant_static(_n in PROPTEST_MATRIX_DIM) { let m = RandomSDP::new(Const::<4>, || random::<$scalar>().0).unwrap(); let lu_det = m.clone().lu().determinant(); assert_relative_eq!(lu_det.imaginary(), 0., epsilon = 1.0e-7); let chol_det = m.cholesky().unwrap().determinant(); prop_assert!(relative_eq!(lu_det.real(), chol_det, epsilon = 1.0e-7)); } #[test] fn cholesky_rank_one_update(_n in PROPTEST_MATRIX_DIM) { let mut m = RandomSDP::new(Const::<4>, || random::<$scalar>().0).unwrap(); let x = Vector4::<$scalar>::new_random().map(|e| e.0); // this is dirty but $scalar is not a scalar type (its a Rand) in this file let zero = random::<$scalar>().0 * 0.; let one = zero + 1.; let sigma = random::(); // needs to be a real let sigma_scalar = zero + sigma; // updates cholesky decomposition and reconstructs m updated let mut chol = m.clone().cholesky().unwrap(); chol.rank_one_update(&x, sigma); let m_chol_updated = chol.l() * chol.l().adjoint(); // updates m manually m.gerc(sigma_scalar, &x, &x, one); // m += sigma * x * x.adjoint() prop_assert!(relative_eq!(m, m_chol_updated, epsilon = 1.0e-7)); } #[test] fn cholesky_insert_column(n in PROPTEST_MATRIX_DIM) { let n = n.max(1).min(10); let j = random::() % n; let m_updated = RandomSDP::new(Dyn(n), || random::<$scalar>().0).unwrap(); // build m and col from m_updated let col = m_updated.column(j); let m = m_updated.clone().remove_column(j).remove_row(j); // remove column from cholesky decomposition and rebuild m let chol = m.clone().cholesky().unwrap().insert_column(j, col); let m_chol_updated = chol.l() * chol.l().adjoint(); prop_assert!(relative_eq!(m_updated, m_chol_updated, epsilon = 1.0e-7)); } #[test] fn cholesky_remove_column(n in PROPTEST_MATRIX_DIM) { let n = n.max(1).min(10); let j = random::() % n; let m = RandomSDP::new(Dyn(n), || random::<$scalar>().0).unwrap(); // remove column from cholesky decomposition and rebuild m let chol = m.clone().cholesky().unwrap().remove_column(j); let m_chol_updated = chol.l() * chol.l().adjoint(); // remove column from m let m_updated = m.remove_column(j).remove_row(j); prop_assert!(relative_eq!(m_updated, m_chol_updated, epsilon = 1.0e-7)); } } } } ); gen_tests!(complex, RandComplex); gen_tests!(f64, RandScalar);