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3f98d52 | 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 | import numpy as np
from remedi.optimization import solve_regret, regret_components, softmin, finite_minimax
def test_factorized_comparator_scan_matches_dense_covariance():
rng = np.random.default_rng(1)
b = rng.normal(size=(7,3)); d = rng.uniform(size=7)
p = rng.dirichlet(np.ones(7)); mean = rng.normal(size=7)
c = b@b.T+np.diag(d)
expected = []
for e in np.eye(7):
z = p-e
expected.append(z@mean+1.2*np.sqrt(z@c@z))
np.testing.assert_allclose(regret_components(p,mean,b,d,1.2), expected, atol=1e-10)
def test_zero_radius_has_analytic_gibbs_solution():
mean = np.array([1.,2.,.5]); prior = np.array([.2,.3,.5])
result = solve_regret(mean,np.zeros((3,1)),np.ones(3),beta=0,tau=.2,prior=prior)
np.testing.assert_allclose(result.probabilities,softmin(mean,.2,prior))
def test_common_loss_offsets_and_common_error_factors_cancel():
mean = np.array([.2,.3,.8]); b = np.array([[.1],[.2],[.4]]); d = np.full(3,.01)
a = solve_regret(mean,b,d,tau=.1)
c = solve_regret(mean+123,np.column_stack([b,np.full(3,7.)]),d,tau=.1)
np.testing.assert_allclose(a.probabilities,c.probabilities,atol=2e-4)
def test_constraint_generation_matches_full_program():
rng = np.random.default_rng(8)
mean=rng.normal(size=10); b=rng.normal(size=(10,3))*.2; d=np.full(10,.02)
full=solve_regret(mean,b,d,tau=.2,constraint_generation=False)
active=solve_regret(mean,b,d,tau=.2)
np.testing.assert_allclose(full.probabilities,active.probabilities,atol=3e-4)
assert active.constraint_violation <= 1e-6
def test_conditional_bound_contains_sampled_loss_vectors():
rng=np.random.default_rng(3); mean=rng.normal(size=5); b=rng.normal(size=(5,2)); d=np.full(5,.05)
result=solve_regret(mean,b,d,beta=1.5,tau=.1)
factor=np.column_stack([b,np.diag(np.sqrt(d))])
for _ in range(30):
u=rng.normal(size=7);u=u/np.linalg.norm(u)*rng.uniform(0,1.5)
loss=mean+factor@u
assert result.probabilities@loss-loss.min() <= result.worst_regret+1e-6
def test_finite_scenario_minimax_is_offset_invariant():
losses=np.array([[0.,3.,2.],[3.,0.,2.]])
a=finite_minimax(losses,tau=.1)
b=finite_minimax(losses+np.array([[100.],[-20.]]),tau=.1)
np.testing.assert_allclose(a,b,atol=1e-5)
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