Description

Test the centropy function, comparing the true derivatives
with those computed numerically.  This test is just for rough
correctness (to be sure we haven't gotten any signs wrong, etc.) so
keep the inputs in an easy range where no overflow is possible:
  x,y in [1e0,1e100]
  d   in [0,1e-8]

Small Model of Type : GAMS

Category : GAMS Test library

Main file : fncentr4.gms   includes :   fnset_xy.inc [html]  fntest_xy.inc [html]

$title 'Test correctness of centropy intrinsic' (FNCENTR4,SEQ=360)

$onText

Test the centropy function, comparing the true derivatives
with those computed numerically.  This test is just for rough
correctness (to be sure we haven't gotten any signs wrong, etc.) so
keep the inputs in an easy range where no overflow is possible:
  x,y in [1e0,1e100]
  d   in [0,1e-8]

$offText

$include fnset_xy.inc

set T / 1 * 4000 /;
set TT(T);

parameter pdata(T);
option seed = 2008;
pdata(T) = uniform(0,100);
data(T,'x') = 10**pdata(T);
pdata(T) = uniform(0,100);
data(T,'y') = 10**pdata(T);
pdata(T) = uniform(-20,-6);
TT(T) = pdata(T) < -8;
data(TT,'d') = 10**pdata(TT);

aeps = 1e-4;
reps = 1e-5;
relToInput = 0;

* compute the derivative values using finite differences
* FYI: CMEX uses centered differences for gradn and hessn where possible:
* grad(x) = (f(x+h) - f(x-h)) / 2h
* hess(x) = grad(x+h) - grad(x-h) / 2h
* setting FDDelta decreases h from the default of 1e-5
option FDDelta = 1e-3;

loop {T,
  data(T,  'f_')  = centropy.value(    data(T,'y'),data(T,'x'),data(T,'d'));
  data(T, 'fy_')  = centropy.gradn(1:  data(T,'y'),data(T,'x'),data(T,'d'));
  data(T, 'fx_')  = centropy.gradn(2:  data(T,'y'),data(T,'x'),data(T,'d'));
  data(T,'fyy_')  = centropy.hessn(1:1:data(T,'y'),data(T,'x'),data(T,'d'));
  data(T,'fyx_')  = centropy.hessn(1:2:data(T,'y'),data(T,'x'),data(T,'d'));
  data(T,'fxy_')  = centropy.hessn(2:1:data(T,'y'),data(T,'x'),data(T,'d'));
  data(T,'fxx_')  = centropy.hessn(2:2:data(T,'y'),data(T,'x'),data(T,'d'));
  data(T, 'rc')   = 0;
  data(T, 'ec')   = 0;
};

loop {T,
  data(T,  'f')  = centropy.value(   data(T,'y'),data(T,'x'),data(T,'d'));
  data(T, 'fy')  = centropy.grad(1:  data(T,'y'),data(T,'x'),data(T,'d'));
  data(T, 'fx')  = centropy.grad(2:  data(T,'y'),data(T,'x'),data(T,'d'));
  data(T,'fyy')  = centropy.hess(1:1:data(T,'y'),data(T,'x'),data(T,'d'));
  data(T,'fyx')  = centropy.hess(1:2:data(T,'y'),data(T,'x'),data(T,'d'));
  data(T,'fxy')  = centropy.hess(2:1:data(T,'y'),data(T,'x'),data(T,'d'));
  data(T,'fxx')  = centropy.hess(2:2:data(T,'y'),data(T,'x'),data(T,'d'));
  data(T, 'rc')  = mathlastrc;
  data(T, 'ec')  = mathlastec;
};

display relToInput;
$include fntest_xy.inc