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ChrisRackauckasChrisRackauckas
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Merge pull request #290 from chenwilliam77/fix_sdo_tests
Remove need for calling SDO in tests
2 parents 2a44263 + 4fe0d28 commit a9f0f0c

2 files changed

Lines changed: 44 additions & 44 deletions

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‎Project.toml‎

Lines changed: 1 addition & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -35,9 +35,8 @@ OrdinaryDiffEq = "1dea7af3-3e70-54e6-95c3-0bf5283fa5ed"
3535
Parameters = "d96e819e-fc66-5662-9728-84c9c7592b0a"
3636
Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
3737
SafeTestsets = "1bc83da4-3b8d-516f-aca4-4fe02f6d838f"
38-
SimpleDifferentialOperators = "7ccca996-40d6-5c2f-be7f-4eb2934af9c4"
3938
SpecialFunctions = "276daf66-3868-5448-9aa4-cd146d93841b"
4039
Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
4140

4241
[targets]
43-
test = ["FillArrays", "OrdinaryDiffEq", "Parameters", "Random", "SafeTestsets", "SimpleDifferentialOperators", "SpecialFunctions", "Test"]
42+
test = ["FillArrays", "OrdinaryDiffEq", "Parameters", "Random", "SafeTestsets", "SpecialFunctions", "Test"]

‎test/BasicSDOExamples.jl‎

Lines changed: 43 additions & 42 deletions
Original file line numberDiff line numberDiff line change
@@ -1,4 +1,6 @@
1-
using LinearAlgebra, SimpleDifferentialOperators, DiffEqOperators, Test, Parameters
1+
using LinearAlgebra, DiffEqOperators, Test, Parameters
2+
3+
# These tests are based on examples from SimpleDifferentialOperators.jl
24

35
#parameters
46
params = @with_kw (
@@ -7,7 +9,7 @@ params = @with_kw (
79
ρ = 0.05,
810
M = 3, # size of grid (interior points)
911
x̄ = range(0.0, 1.0, length = (M+2)),
10-
x = interiornodes(x̄), # i.e., x̄[2:end-1]
12+
x = x̄[2:end - 1],
1113
S = 3.0
1214
)
1315
p = params()
@@ -17,14 +19,14 @@ p = params()
1719
#----------------------------------
1820
# payoff function
1921
pi_profit(x) = x^2
20-
# SimpleDifferentialOperators setup
22+
#=# SimpleDifferentialOperators setup
2123
function SDO_negative_drift(pi_profit, params)
2224
bc = (Reflecting(), Reflecting())
2325
Lₓ = params.μ*L₁₋bc(params.x̄, bc) + params.σ^2 / 2 * L₂bc(params.x̄, bc)
2426
L_bc = I * params.ρ - Lₓ
2527
v = L_bc \ pi_profit.(params.x);
2628
return (v = v, L_bc = L_bc, Lₓ = Lₓ, L₁₋bc = L₁₋bc(params.x̄, bc), L₂bc = L₂bc(params.x̄, bc))
27-
end
29+
end=#
2830
# DiffEqOperators Setup
2931
function DEO_negative_drift(pi_profit, params)
3032
dx = params.x[2] - params.x[1]
@@ -45,25 +47,26 @@ function DEO_negative_drift(pi_profit, params)
4547
v = L_bc \ pi_profit.(params.x);
4648
return (v = v, L_bc = L_bc, Lₓ = Lₓ, L₁₋bc = L₁₋bc, L₂bc = Array(L2*Q)[1] )
4749
end
50+
4851
@testset "Constant Negative Drifts" begin
49-
@test DEO_negative_drift(pi_profit, p).v ≈ SDO_negative_drift(pi_profit, p).v
50-
@test DEO_negative_drift(pi_profit, p).L_bc ≈ SDO_negative_drift(pi_profit, p).L_bc
51-
@test DEO_negative_drift(pi_profit, p).Lₓ ≈ SDO_negative_drift(pi_profit, p).Lₓ
52-
@test DEO_negative_drift(pi_profit, p).L₁₋bc ≈ SDO_negative_drift(pi_profit, p).L₁₋bc
53-
@test DEO_negative_drift(pi_profit, p).L₂bc ≈ SDO_negative_drift(pi_profit, p).L₂bc
52+
@test DEO_negative_drift(pi_profit, p).v ≈ [1.9182649086005406, 2.3359304764758773, 3.1768804315253277] # SDO_negative_drift(pi_profit, p).v
53+
@test DEO_negative_drift(pi_profit, p).L_bc ≈ [0.13 -0.08 0.; -0.48 0.61 -0.08; 0. -0.48 0.53] # SDO_negative_drift(pi_profit, p).L_bc
54+
@test DEO_negative_drift(pi_profit, p).Lₓ ≈ [-0.08 0.08 0.; .48 -.56 .08; 0. .48 -.48] # SDO_negative_drift(pi_profit, p).Lₓ
55+
@test DEO_negative_drift(pi_profit, p).L₁₋bc ≈ [0. 0. 0.; -4. 4. 0.; 0. -4. 4.] # SDO_negative_drift(pi_profit, p).L₁₋bc
56+
@test DEO_negative_drift(pi_profit, p).L₂bc ≈ [-16. 16. 0.; 16. -32. 16.; 0. 16. -16.] # SDO_negative_drift(pi_profit, p).L₂bc
5457
end
5558
p = params(μ = 0.1);
5659
#----------------------------------
5760
#Testing For Positive Drifts
5861
#----------------------------------
5962
# SimpleDifferentialOperators setup
60-
function SDO_positive_drift(pi_profit, params)
63+
#=function SDO_positive_drift(pi_profit, params)
6164
bc = (Reflecting(), Reflecting())
6265
Lₓ = params.μ*L₁₊bc(params.x̄, bc) + params.σ^2 / 2 * L₂bc(params.x̄, bc)
6366
L_bc = I * params.ρ - Lₓ
6467
v = L_bc \ pi_profit.(params.x);
6568
return (v = v, L_bc = L_bc, Lₓ = Lₓ, L₁₊bc = L₁₊bc(params.x̄, bc), L₂bc = L₂bc(params.x̄, bc))
66-
end
69+
end=#
6770
# DiffEqOperators Setup
6871
function DEO_positive_drift(pi_profit, params)
6972
dx = params.x[2] - params.x[1]
@@ -84,11 +87,11 @@ function DEO_positive_drift(pi_profit, params)
8487
end
8588

8689
@testset "Constant Positive Drifts" begin
87-
@test DEO_positive_drift(pi_profit, p).v ≈ SDO_positive_drift(pi_profit, p).v
88-
@test DEO_positive_drift(pi_profit, p).L_bc ≈ SDO_positive_drift(pi_profit, p).L_bc
89-
@test DEO_positive_drift(pi_profit, p).Lₓ ≈ SDO_positive_drift(pi_profit, p).Lₓ
90-
@test DEO_positive_drift(pi_profit, p).L₁₊bc ≈ SDO_positive_drift(pi_profit, p).L₁₊bc
91-
@test DEO_positive_drift(pi_profit, p).L₂bc ≈ SDO_positive_drift(pi_profit, p).L₂bc
90+
@test DEO_positive_drift(pi_profit, p).v ≈ [8.855633802816902, 9.647887323943664, 10.264084507042257] # SDO_positive_drift(pi_profit, p).v
91+
@test DEO_positive_drift(pi_profit, p).L_bc ≈ [0.53 -0.48 0.; -0.08 0.61 -0.48; 0. -0.08 0.13] # SDO_positive_drift(pi_profit, p).L_bc
92+
@test DEO_positive_drift(pi_profit, p).Lₓ ≈ [-0.48 0.48 0.; 0.08 -0.56 0.48; 0. 0.08 -0.08] # SDO_positive_drift(pi_profit, p).Lₓ
93+
@test DEO_positive_drift(pi_profit, p).L₁₊bc ≈ [-4. 4. 0.; 0. -4. 4.; 0. 0. 0.] # SDO_positive_drift(pi_profit, p).L₁₊bc
94+
@test DEO_positive_drift(pi_profit, p).L₂bc ≈ [-16. 16. 0.; 16. -32. 16.; 0. 16. -16.] # SDO_positive_drift(pi_profit, p).L₂bc
9295
end
9396

9497

@@ -97,14 +100,14 @@ end
97100
#----------------------------------
98101
μ(x) = -x
99102
# SimpleDifferentialOperators setup
100-
function SDO_state_dependent_drift(pi_profit, μ, params)
103+
#=function SDO_state_dependent_drift(pi_profit, μ, params)
101104
bc = (Reflecting(), Reflecting())
102105
L₁ = Diagonal(min.(μ.(params.x), 0.0)) * L₁₋bc(params.x̄, bc) + Diagonal(max.(μ.(params.x), 0.0)) * L₁₊bc(params.x̄, bc)
103106
Lₓ = L₁ - params.σ^2 / 2 * L₂bc(params.x̄, bc)
104107
L_bc = I * params.ρ - Lₓ
105108
v = L_bc \ pi_profit.(params.x)
106109
return (v = v, L_bc = L_bc, Lₓ = Lₓ, L₁ = L₁, L₂bc = L₂bc(params.x̄, bc))
107-
end
110+
end=#
108111
# DiffEqOperators Setup
109112
function DEO_state_dependent_drift(pi_profit, μ, params)
110113
dx = params.x[2] - params.x[1]
@@ -127,11 +130,11 @@ function DEO_state_dependent_drift(pi_profit, μ, params)
127130
end
128131

129132
@testset "State Dependent Drifts" begin
130-
@test DEO_state_dependent_drift(pi_profit, μ, p).v ≈ SDO_state_dependent_drift(pi_profit, μ, p).v
131-
@test DEO_state_dependent_drift(pi_profit, μ, p).L_bc ≈ SDO_state_dependent_drift(pi_profit, μ, p).L_bc
132-
@test DEO_state_dependent_drift(pi_profit, μ, p).Lₓ ≈ SDO_state_dependent_drift(pi_profit, μ, p).Lₓ
133-
@test DEO_state_dependent_drift(pi_profit, μ, p).L₁ ≈ SDO_state_dependent_drift(pi_profit, μ, p).L₁
134-
@test DEO_state_dependent_drift(pi_profit, μ, p).L₂bc ≈ SDO_state_dependent_drift(pi_profit, μ, p).L₂bc
133+
@test DEO_state_dependent_drift(pi_profit, μ, p).v ≈ [1.1027342984846056, 1.194775361931727, 1.3640552379934825] # SDO_state_dependent_drift(pi_profit, μ, p).v
134+
@test DEO_state_dependent_drift(pi_profit, μ, p).L_bc ≈ [-0.03 0.08 0. ;-1.92 1.89 0.08; 0. -2.92 2.97] # SDO_state_dependent_drift(pi_profit, μ, p).L_bc
135+
@test DEO_state_dependent_drift(pi_profit, μ, p).Lₓ ≈ [0.08 -0.08 0.; 1.92 -1.84 -0.08; 0. 2.92 -2.92]# SDO_state_dependent_drift(pi_profit, μ, p).Lₓ
136+
@test DEO_state_dependent_drift(pi_profit, μ, p).L₁ ≈ [0.0 0.0 0.; 2.0 -2.0 0.0; 0. 3.0 -3.0] # SDO_state_dependent_drift(pi_profit, μ, p).L₁
137+
@test DEO_state_dependent_drift(pi_profit, μ, p).L₂bc ≈ [-16. 16. 0.; 16. -32. 16.; 0. 16. -16.] # SDO_state_dependent_drift(pi_profit, μ, p).L₂bc
135138
end
136139

137140

@@ -144,7 +147,7 @@ end
144147
# payoff function
145148
pi_profit(x) = x^2
146149
# SimpleDifferentialOperators setup
147-
function SDO_absorbing_bc(pi_profit, params)
150+
#=function SDO_absorbing_bc(pi_profit, params)
148151
bc = (NonhomogeneousAbsorbing(params.S), Reflecting())
149152
Lₓbc = params.μ*L₁₋bc(params.x̄, bc) + params.σ^2 / 2 * L₂bc(params.x̄ , bc)
150153
L_bc = I * params.ρ - Lₓbc
@@ -157,8 +160,7 @@ function SDO_absorbing_bc(pi_profit, params)
157160
158161
return (v = v, L_bc = L_bc, Lₓbc = Lₓbc, L₁₋bc = L₁₋bc(params.x̄, bc), L₂bc = L₂bc(params.x̄, bc),
159162
pi_profit_star = pi_profit_star, pi_profit = pi_profit.(params.x))
160-
end
161-
163+
end=#
162164

163165
# DiffEqOperators Setup
164166
function DEO_absorbing_bc(pi_profit, params)
@@ -186,13 +188,13 @@ end
186188
p = params(x̄ = range(0.0, 1.0, length = (p.M+2)))
187189

188190
@testset "Absorbing BC" begin
189-
@test DEO_absorbing_bc(pi_profit, p).v ≈ SDO_absorbing_bc(pi_profit, p).v
190-
@test DEO_absorbing_bc(pi_profit, p).L_bc ≈ SDO_absorbing_bc(pi_profit, p).L_bc
191-
@test DEO_absorbing_bc(pi_profit, p).Lₓbc ≈ SDO_absorbing_bc(pi_profit, p).Lₓbc
192-
@test DEO_absorbing_bc(pi_profit, p).L₁₋bc ≈ SDO_absorbing_bc(pi_profit, p).L₁₋bc
193-
@test DEO_absorbing_bc(pi_profit, p).L₂bc ≈ SDO_absorbing_bc(pi_profit, p).L₂bc
194-
@test DEO_absorbing_bc(pi_profit, p).pi_profit_star ≈ SDO_absorbing_bc(pi_profit, p).pi_profit_star
195-
@test DEO_absorbing_bc(pi_profit, p).pi_profit ≈ SDO_absorbing_bc(pi_profit, p).pi_profit
191+
@test DEO_absorbing_bc(pi_profit, p).v ≈ [0.2085953844248779, 0.8092898062396943, 1.7942624660284021] # SDO_absorbing_bc(pi_profit, p).v
192+
@test DEO_absorbing_bc(pi_profit, p).L_bc ≈ [0.61 -0.08 0.; -0.48 0.61 -0.08; 0. -0.48 0.53] # SDO_absorbing_bc(pi_profit, p).L_bc
193+
@test DEO_absorbing_bc(pi_profit, p).Lₓbc ≈ [-0.56 0.08 0.; 0.48 -0.56 0.08; 0. 0.48 -0.48] # SDO_absorbing_bc(pi_profit, p).Lₓbc
194+
@test DEO_absorbing_bc(pi_profit, p).L₁₋bc ≈ [4.0 0.0 0.; -4.0 4.0 0.0; 0. -4.0 4.0] # SDO_absorbing_bc(pi_profit, p).L₁₋bc
195+
@test DEO_absorbing_bc(pi_profit, p).L₂bc ≈ [-32.0 16.0 0.; 16.0 -32.0 16.0; 0. 16.0 -16.0] # SDO_absorbing_bc(pi_profit, p).L₂bc
196+
@test DEO_absorbing_bc(pi_profit, p).pi_profit_star ≈ [.0625, .25, .5625] # SDO_absorbing_bc(pi_profit, p).pi_profit_star
197+
@test DEO_absorbing_bc(pi_profit, p).pi_profit ≈ [.0625, .25, .5625] # SDO_absorbing_bc(pi_profit, p).pi_profit
196198
end
197199

198200

@@ -202,7 +204,7 @@ end
202204
#----------------------------------
203205

204206

205-
function SDO_Solve_KFE(params)
207+
#=function SDO_Solve_KFE(params)
206208
# ξ values for mixed boundary conditions
207209
ξ_lb = ξ_ub = -2 * params.μ / params.σ^2
208210
# define the corresponding mixed boundary conditions
@@ -214,9 +216,9 @@ function SDO_Solve_KFE(params)
214216
L_KFE_with_drift = Array(-params.μ*L₁₊bc(params.x̄, bc) + params.σ^2 / 2 * L₂bc(params.x̄, bc))
215217
L_KFE_without = params.σ^2 / 2 * L₂bc(params.x̄, bc)
216218
return (L_KFE_with_drift = L_KFE_with_drift, L_KFE_without = L_KFE_without)
217-
end
219+
end=#
218220

219-
function SDO_Solve_KFE_forward(params)
221+
#=function SDO_Solve_KFE_forward(params)
220222
# ξ values for mixed boundary conditions
221223
ξ_lb = ξ_ub = -2 * params.μ / params.σ^2
222224
# define the corresponding mixed boundary conditions
@@ -227,7 +229,7 @@ function SDO_Solve_KFE_forward(params)
227229
L_KFE_with_drift = Array(-params.μ*L₁₊bc(params.x̄, bc) + params.σ^2 / 2 * L₂bc(params.x̄, bc))
228230
L_KFE_without = params.σ^2 / 2 * L₂bc(params.x̄, bc)
229231
return (L_KFE_with_drift = L_KFE_with_drift, L_KFE_without = L_KFE_without)
230-
end
232+
end=#
231233

232234

233235
function DEO_Solve_KFE(params)
@@ -256,13 +258,12 @@ function DEO_Solve_KFE(params)
256258
return (L_KFE_with_drift = L_KFE_with_drift, L_KFE_without = L_KFE_without)
257259
end
258260

259-
260261
p = params(x̄ = range(0.0, 1.0, length = (p.M+2)))
261262
@testset "Solving KFE" begin
262-
@test_broken DEO_Solve_KFE(p).L_KFE_with_drift ≈ SDO_Solve_KFE(p).L_KFE_with_drift # concretization of Robin conditions appears broken
263-
@test_broken DEO_Solve_KFE(p).L_KFE_without ≈ SDO_Solve_KFE(p).L_KFE_without # Hard to check what's wrong since KFE uses forward/backward at boundaries rather than central differences when w/mixed bcs
264-
@test DEO_Solve_KFE(p).L_KFE_with_drift ≈ SDO_Solve_KFE_forward(p).L_KFE_with_drift
265-
@test DEO_Solve_KFE(p).L_KFE_without ≈ SDO_Solve_KFE_forward(p).L_KFE_without
263+
# @test_broken DEO_Solve_KFE(p).L_KFE_with_drift ≈ SDO_Solve_KFE(p).L_KFE_with_drift # concretization of Robin conditions appears broken
264+
# @test_broken DEO_Solve_KFE(p).L_KFE_without ≈ SDO_Solve_KFE(p).L_KFE_without # Hard to check what's wrong since KFE uses forward/backward at boundaries rather than central differences when w/mixed bcs
265+
@test DEO_Solve_KFE(p).L_KFE_with_drift ≈ [-0.58 0.48 0.0; 0.08 -0.56 0.48; 0.0 0.08 -0.48] # SDO_Solve_KFE_forward(p).L_KFE_with_drift
266+
@test DEO_Solve_KFE(p).L_KFE_without ≈ [-0.18 0.08 0.; 0.08 -0.16 0.08; 0. 0.08 -0.1466666666666667] # SDO_Solve_KFE_forward(p).L_KFE_without
266267
end
267268

268269
nothing

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