Description
Here we test that the extrinsic function in cppcclib for the bi-variate normal distribution PDF works as expected, by comparing the function values to precomputed ones and derivative values to numeric derivatives. Contributor: Steve
Small Model of Type : GAMS
Category : GAMS Test library
Main file : cpplib03.gms
$title Test extrinsic functions in cppcclib (CPPLIB03,SEQ=654)
$onText
Here we test that the extrinsic function in cppcclib for the bi-variate
normal distribution PDF works as expected, by comparing the function
values to precomputed ones and derivative values to numeric
derivatives.
Contributor: Steve
$offText
$onDollar
$funcLibIn mvnLib cppcclib
function pdf2 'PDF of bivariate normal' / mvnLib.pdfBVN /;
* function cdf2 'CDF of bivariate normal' / mvnLib.cdfBVN /;
$if not set INFILE $set INFILE bvnFull
$macro f0 pdf2.value(data(T,'x'),data(T,'y'),data(T,'r'))
$macro f1(j) pdf2.grad (j:data(T,'x'),data(T,'y'),data(T,'r'));
$macro f1n(j) pdf2.gradn(j:data(T,'x'),data(T,'y'),data(T,'r'));
$macro f2(j1,j2) pdf2.hess (j1:j2:data(T,'x'),data(T,'y'),data(T,'r'));
$macro f2n(j1,j2) pdf2.hessn(j1:j2:data(T,'x'),data(T,'y'),data(T,'r'));
$include extrtest2a.inc
data(T, 'f_') = data(T,'pdf');
scalar
aeps0 'absolute error tolerance: function' / 1e-14 /
reps0 'relative error tolerance: function' / 1e-14 /
aeps1 'absolute error tolerance: grad' / 2e-4 /
reps1 'relative error tolerance: grad' / 2e-4 /
aeps2 'absolute error tolerance: hess' / 1e-4 /
reps2 'relative error tolerance: hess' / 1e-4 /
aepsr 'absolute error tolerance: hess xr' / 1e-2 /
repsr 'relative error tolerance: hess xr' / 1e-2 /
;
$include extrtest2b.inc