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Updated header. Added unitary test.

time-shift
Stéphane Adjemian (Charybdis) 2011-12-23 12:12:13 +01:00
parent 6bb3a1c736
commit fe1f536f0d
1 changed files with 25 additions and 4 deletions
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29
matlab/qmc_sequence.m
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@ -31,7 +31,7 @@
%! @item @var{d}x2 array of doubles
%! Lower and upper bounds of the hypercube (default is 0-1 in all dimensions). @var{t} must be equal to zero.
%! @item @var{d}x@var{d} array of doubles
%! Covariance matrix of the Gaussian variates (default is the identity matrix). @var{t} must be equal to one.
%! Lower cholesky of the covariance matrix of the Gaussian variates (default is the identity matrix). @var{t} must be equal to one.
%! @item scalar double
%! Radius of the hypershere (default is one). @var{t} must be equal to two.
%! @end table
@ -101,7 +101,6 @@
%@eof:2
%@test:3
%$ t = ones(3,1);
%$
%$ d = 2;
%$ n = 100;
@ -119,7 +118,6 @@
%@eof:3
%@test:4
%$ t = ones(3,1);
%$
%$ d = 2;
%$ n = 100;
@ -127,7 +125,7 @@
%$ radius = pi;
%$
%$ [draws, S] = qmc_sequence(d,s,2,n,radius);
%$
%$
%$ t(1) = dyn_assert(sqrt(draws(:,3)'*draws(:,3)),radius,1e-14);
%$ t(2) = dyn_assert(sqrt(draws(:,5)'*draws(:,5)),radius,1e-14);
%$ t(3) = dyn_assert(sqrt(draws(:,7)'*draws(:,7)),radius,1e-14);
@ -139,3 +137,26 @@
%$ t(9) = dyn_assert(sqrt(draws(:,29)'*draws(:,29)),radius,1e-14);
%$ T = all(t);
%@eof:4
%@test:5
%$
%$ d = 2;
%$ n = 100000;
%$ b = 100;
%$ s = int64(5);
%$
%$ covariance = [.4 -.1; -.1 .2];
%$ chol_covariance = transpose(chol(covariance));
%$
%$ draws = [];
%$
%$ for i=1:b
%$ [tmp, s] = qmc_sequence(d,s,1,n,chol_covariance);
%$ draws = [draws, tmp];
%$ end
%$
%$ COVARIANCE = draws*draws'/(b*n);
%$
%$ t(1) = dyn_assert(covariance,COVARIANCE,1e-6);
%$ T = all(t);
%@eof:5