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/* movstat/test_mad.c
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*
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* Copyright (C) 2018 Patrick Alken
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*
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* This program is free software; you can redistribute it and/or modify
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* it under the terms of the GNU General Public License as published by
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* the Free Software Foundation; either version 3 of the License, or (at
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* your option) any later version.
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*
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* This program is distributed in the hope that it will be useful, but
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* WITHOUT ANY WARRANTY; without even the implied warranty of
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* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
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* General Public License for more details.
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*
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* You should have received a copy of the GNU General Public License
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* along with this program; if not, write to the Free Software
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* Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301, USA.
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*/
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#include <gsl/gsl_math.h>
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#include <gsl/gsl_vector.h>
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#include <gsl/gsl_test.h>
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#include <gsl/gsl_movstat.h>
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#include <gsl/gsl_statistics.h>
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/* compute filtered data by explicitely constructing window and finding MAD */
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int
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slow_movmad(const gsl_movstat_end_t etype, const gsl_vector * x, gsl_vector * y,
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const int H, const int J)
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{
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const size_t n = x->size;
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const int K = H + J + 1;
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double *window = malloc(K * sizeof(double));
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size_t i;
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for (i = 0; i < n; ++i)
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{
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size_t wsize = gsl_movstat_fill(etype, x, i, H, J, window);
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double median = gsl_stats_median(window, 1, wsize);
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double mad;
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size_t j;
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for (j = 0; j < wsize; ++j)
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window[j] = fabs(window[j] - median);
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mad = gsl_stats_median(window, 1, wsize);
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gsl_vector_set(y, i, mad);
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}
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free(window);
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return GSL_SUCCESS;
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}
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static double
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func_mad(const size_t n, double x[], void * params)
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{
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double *work = malloc(n * sizeof(double));
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double mad;
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(void) params;
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mad = gsl_stats_mad0(x, 1, n, work);
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free(work);
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return mad;
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}
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static void
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test_mad_proc(const double tol, const size_t n, const size_t H, const size_t J,
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const gsl_movstat_end_t etype, gsl_rng *rng_p)
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{
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const double scale = 1.482602218505602;
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gsl_movstat_workspace *w;
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gsl_vector *x = gsl_vector_alloc(n);
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gsl_vector *y = gsl_vector_alloc(n);
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gsl_vector *z = gsl_vector_alloc(n);
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gsl_vector *med1 = gsl_vector_alloc(n);
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gsl_vector *med2 = gsl_vector_alloc(n);
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gsl_movstat_function F;
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char buf[2048];
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F.function = func_mad;
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F.params = NULL;
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if (H == J)
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w = gsl_movstat_alloc(2*H + 1);
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else
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w = gsl_movstat_alloc2(H, J);
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/* test moving MAD with random input */
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random_vector(x, rng_p);
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/* y = MAD(x) with slow brute force algorithm */
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slow_movmad(etype, x, y, H, J);
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/* z = MAD(x) */
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gsl_movstat_mad0(etype, x, med1, z, w);
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/* med2 = median(x) */
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gsl_movstat_median(etype, x, med2, w);
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/* test y = z */
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sprintf(buf, "n=%zu H=%zu J=%zu endtype=%u MAD0 random", n, H, J, etype);
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compare_vectors(tol, z, y, buf);
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/* test med1 = med2 */
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sprintf(buf, "n=%zu H=%zu J=%zu endtype=%u MAD0 random median test", n, H, J, etype);
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compare_vectors(tol, med1, med2, buf);
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/* z = MAD(x) in-place */
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gsl_vector_memcpy(z, x);
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gsl_movstat_mad0(etype, z, med1, z, w);
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sprintf(buf, "n=%zu H=%zu J=%zu endtype=%u MAD0 random in-place", n, H, J, etype);
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compare_vectors(tol, z, y, buf);
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/* z = MAD(x) with user-defined function */
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gsl_movstat_apply(etype, &F, x, z, w);
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sprintf(buf, "n=%zu H=%zu J=%zu endtype=%u MAD0 user", n, H, J, etype);
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compare_vectors(tol, z, y, buf);
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/* test scaled MAD function */
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/* z = MAD(x) */
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gsl_movstat_mad(etype, x, med1, z, w);
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sprintf(buf, "n=%zu H=%zu J=%zu endtype=%u MAD random", n, H, J, etype);
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gsl_vector_scale(y, scale);
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compare_vectors(tol, z, y, buf);
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gsl_vector_free(x);
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gsl_vector_free(y);
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gsl_vector_free(z);
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gsl_vector_free(med1);
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gsl_vector_free(med2);
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gsl_movstat_free(w);
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}
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static void
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test_mad(gsl_rng * rng_p)
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{
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test_mad_proc(GSL_DBL_EPSILON, 100, 0, 0, GSL_MOVSTAT_END_PADZERO, rng_p);
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test_mad_proc(GSL_DBL_EPSILON, 1000, 1, 1, GSL_MOVSTAT_END_PADZERO, rng_p);
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test_mad_proc(GSL_DBL_EPSILON, 5000, 8, 8, GSL_MOVSTAT_END_PADZERO, rng_p);
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test_mad_proc(GSL_DBL_EPSILON, 5000, 0, 5, GSL_MOVSTAT_END_PADZERO, rng_p);
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test_mad_proc(GSL_DBL_EPSILON, 5000, 5, 0, GSL_MOVSTAT_END_PADZERO, rng_p);
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test_mad_proc(GSL_DBL_EPSILON, 5000, 15, 10, GSL_MOVSTAT_END_PADZERO, rng_p);
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test_mad_proc(GSL_DBL_EPSILON, 5000, 10, 15, GSL_MOVSTAT_END_PADZERO, rng_p);
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test_mad_proc(GSL_DBL_EPSILON, 50, 100, 150, GSL_MOVSTAT_END_PADZERO, rng_p);
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test_mad_proc(GSL_DBL_EPSILON, 50, 150, 100, GSL_MOVSTAT_END_PADZERO, rng_p);
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test_mad_proc(GSL_DBL_EPSILON, 50, 100, 100, GSL_MOVSTAT_END_PADZERO, rng_p);
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test_mad_proc(GSL_DBL_EPSILON, 100, 0, 0, GSL_MOVSTAT_END_PADVALUE, rng_p);
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test_mad_proc(GSL_DBL_EPSILON, 1000, 1, 1, GSL_MOVSTAT_END_PADVALUE, rng_p);
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test_mad_proc(GSL_DBL_EPSILON, 5000, 8, 8, GSL_MOVSTAT_END_PADVALUE, rng_p);
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test_mad_proc(GSL_DBL_EPSILON, 5000, 0, 5, GSL_MOVSTAT_END_PADVALUE, rng_p);
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test_mad_proc(GSL_DBL_EPSILON, 5000, 5, 0, GSL_MOVSTAT_END_PADVALUE, rng_p);
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test_mad_proc(GSL_DBL_EPSILON, 5000, 15, 10, GSL_MOVSTAT_END_PADVALUE, rng_p);
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test_mad_proc(GSL_DBL_EPSILON, 5000, 10, 15, GSL_MOVSTAT_END_PADVALUE, rng_p);
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test_mad_proc(GSL_DBL_EPSILON, 50, 100, 150, GSL_MOVSTAT_END_PADVALUE, rng_p);
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test_mad_proc(GSL_DBL_EPSILON, 50, 150, 100, GSL_MOVSTAT_END_PADVALUE, rng_p);
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test_mad_proc(GSL_DBL_EPSILON, 50, 100, 100, GSL_MOVSTAT_END_PADVALUE, rng_p);
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test_mad_proc(GSL_DBL_EPSILON, 100, 0, 0, GSL_MOVSTAT_END_TRUNCATE, rng_p);
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test_mad_proc(GSL_DBL_EPSILON, 1000, 1, 1, GSL_MOVSTAT_END_TRUNCATE, rng_p);
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test_mad_proc(GSL_DBL_EPSILON, 5000, 8, 8, GSL_MOVSTAT_END_TRUNCATE, rng_p);
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test_mad_proc(GSL_DBL_EPSILON, 5000, 0, 5, GSL_MOVSTAT_END_TRUNCATE, rng_p);
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test_mad_proc(GSL_DBL_EPSILON, 5000, 5, 0, GSL_MOVSTAT_END_TRUNCATE, rng_p);
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test_mad_proc(GSL_DBL_EPSILON, 5000, 15, 10, GSL_MOVSTAT_END_TRUNCATE, rng_p);
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test_mad_proc(GSL_DBL_EPSILON, 5000, 10, 15, GSL_MOVSTAT_END_TRUNCATE, rng_p);
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test_mad_proc(GSL_DBL_EPSILON, 50, 100, 150, GSL_MOVSTAT_END_TRUNCATE, rng_p);
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test_mad_proc(GSL_DBL_EPSILON, 50, 150, 100, GSL_MOVSTAT_END_TRUNCATE, rng_p);
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test_mad_proc(GSL_DBL_EPSILON, 50, 100, 100, GSL_MOVSTAT_END_TRUNCATE, rng_p);
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}
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