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alkaline-ml / statsmodels   python

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Version: 0.11.1 

/ tools / tests / test_rootfinding.py

# -*- coding: utf-8 -*-
"""

Created on Sat Mar 23 13:34:19 2013

Author: Josef Perktold
"""

import numpy as np
from statsmodels.tools.rootfinding import brentq_expanding

from numpy.testing import (assert_allclose, assert_equal, assert_raises,
                           assert_array_less)

def func(x, a):
    f = (x - a)**3
    return f

def func_nan(x, a, b):
    x = np.atleast_1d(x)
    f = (x - 1.*a)**3
    f[x < b] = np.nan
    return f



def funcn(x, a):
    f = -(x - a)**3
    return f


def test_brentq_expanding():
    cases = [
        (0, {}),
        (50, {}),
        (-50, {}),
        (500000, dict(low=10000)),
        (-50000, dict(upp=-1000)),
        (500000, dict(low=300000, upp=700000)),
        (-50000, dict(low= -70000, upp=-1000))
        ]

    funcs = [(func, None),
             (func, True),
             (funcn, None),
             (funcn, False)]

    for f, inc in funcs:
        for a, kwds in cases:
            kw = {'increasing':inc}
            kw.update(kwds)
            res = brentq_expanding(f, args=(a,), **kwds)
            #print '%10d'%a, ['dec', 'inc'][f is func], res - a
            assert_allclose(res, a, rtol=1e-5)

    # wrong sign for start bounds
    # does not raise yet during development TODO: activate this
    # it kind of works in some cases, but not correctly or in a useful way
    #assert_raises(ValueError, brentq_expanding, func, args=(-500,), start_upp=-1000)
    #assert_raises(ValueError, brentq_expanding, func, args=(500,), start_low=1000)

    # low upp given, but does not bound root, leave brentq exception
    # ValueError: f(a) and f(b) must have different signs
    assert_raises(ValueError, brentq_expanding, funcn, args=(-50000,), low= -40000, upp=-10000)

    # max_it too low to find root bounds
    # ValueError: f(a) and f(b) must have different signs
    assert_raises(ValueError, brentq_expanding, func, args=(-50000,), max_it=2)

    # maxiter_bq too low
    # RuntimeError: Failed to converge after 3 iterations.
    assert_raises(RuntimeError, brentq_expanding, func, args=(-50000,), maxiter_bq=3)

    # cannot determine whether increasing, all 4 low trial points return nan
    assert_raises(ValueError, brentq_expanding, func_nan, args=(-20, 0.6))

    # test for full_output
    a = 500
    val, info = brentq_expanding(func, args=(a,), full_output=True)
    assert_allclose(val, a, rtol=1e-5)
    info1 = {'iterations': 63, 'start_bounds': (-1, 1),
             'brentq_bounds': (100, 1000), 'flag': 'converged',
             'function_calls': 64, 'iterations_expand': 3, 'converged': True}

    # adjustments for scipy 0.8.0 with changed convergence criteria
    assert_array_less(info.__dict__['iterations'], 70)
    assert_array_less(info.__dict__['function_calls'], 70)
    for k in info1:
        if k in ['iterations', 'function_calls']:
            continue
        assert_equal(info1[k], info.__dict__[k])

    assert_allclose(info.root, a, rtol=1e-5)