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math/test/test_autodiff.cpp
Matt Pulver 7748f2ea19 Feedback from boostorg/math/#176
2019-02-03 20:45:35 -05:00

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// Copyright Matthew Pulver 2018 - 2019.
// Distributed under the Boost Software License, Version 1.0.
// (See accompanying file LICENSE_1_0.txt or copy at
// https://www.boost.org/LICENSE_1_0.txt)
#include <boost/math/differentiation/autodiff.hpp>
#include <boost/fusion/include/algorithm.hpp>
#include <boost/fusion/include/vector.hpp>
#include <boost/math/special_functions/factorials.hpp>
#include <boost/math/special_functions/fpclassify.hpp> // isnan
#include <boost/math/special_functions/round.hpp> // iround
#include <boost/math/special_functions/trunc.hpp> // itrunc
#include <boost/multiprecision/cpp_bin_float.hpp>
#include <boost/multiprecision/cpp_dec_float.hpp>
#define BOOST_TEST_MODULE test_autodiff
#include <boost/test/included/unit_test.hpp>
#include <iostream>
boost::fusion::vector<float,double,long double,boost::multiprecision::cpp_bin_float_50> bin_float_types;
//boost::fusion::vector<float,double,long double> bin_float_types; // Add cpp_bin_float_50 for boost 1.70
// cpp_dec_float_50 cannot be used with close_at_tolerance
//boost::fusion::vector<boost::multiprecision::cpp_dec_float_50>
boost::fusion::vector<> multiprecision_float_types;
using namespace boost::math::differentiation;
template<typename W,typename X,typename Y,typename Z>
promote<W,X,Y,Z> mixed_partials_f(const W& w, const X& x, const Y& y, const Z& z)
{
return exp(w*sin(x*log(y)/z) + sqrt(w*z/(x*y))) + w*w/tan(z);
}
// Equations and function/variable names are from
// https://en.wikipedia.org/wiki/Greeks_(finance)#Formulas_for_European_option_Greeks
//
// Standard normal probability density function
template<typename T>
T phi(const T& x)
{
return boost::math::constants::one_div_root_two_pi<T>()*exp(-0.5*x*x);
}
// Standard normal cumulative distribution function
template<typename T>
T Phi(const T& x)
{
return 0.5*erfc(-boost::math::constants::one_div_root_two<T>()*x);
}
enum CP { call, put };
// Assume zero annual dividend yield (q=0).
template<typename Price,typename Sigma,typename Tau,typename Rate>
promote<Price,Sigma,Tau,Rate>
black_scholes_option_price(CP cp, double K, const Price& S, const Sigma& sigma, const Tau& tau, const Rate& r)
{
const auto d1 = (log(S/K) + (r+sigma*sigma/2)*tau) / (sigma*sqrt(tau));
const auto d2 = (log(S/K) + (r-sigma*sigma/2)*tau) / (sigma*sqrt(tau));
static_assert(std::is_same<decltype(S*Phi(d1) - exp(-r*tau)*K*Phi(d2)),
decltype(exp(-r*tau)*K*Phi(-d2) - S*Phi(-d1))>::value, "decltype(call) != decltype(put)");
if (cp == call)
return S*Phi(d1) - exp(-r*tau)*K*Phi(d2);
else
return exp(-r*tau)*K*Phi(-d2) - S*Phi(-d1);
}
template<typename T>
T uncast_return(const T& x)
{
if (x == 0)
return 0;
else
return 1;
}
BOOST_AUTO_TEST_SUITE(test_autodiff)
struct constructors_test
{
template<typename T>
void operator()(const T&) const
{
constexpr int m = 3;
constexpr int n = 4;
// Verify value-initialized instance has all 0 entries.
const autodiff_fvar<T,m> empty1 = autodiff_fvar<T,m>();
for (int i=0 ; i<=m ; ++i)
BOOST_REQUIRE(empty1.derivative(i) == 0.0);
const auto empty2 = autodiff_fvar<T,m,n>();
for (int i=0 ; i<=m ; ++i)
for (int j=0 ; j<=n ; ++j)
BOOST_REQUIRE(empty2.derivative(i,j) == 0.0);
// Single variable
constexpr float cx = 10.0;
const auto x = make_fvar<T,m>(cx);
for (int i=0 ; i<=m ; ++i)
if (i==0)
BOOST_REQUIRE(x.derivative(i) == cx);
else if (i==1)
BOOST_REQUIRE(x.derivative(i) == 1.0);
else
BOOST_REQUIRE(x.derivative(i) == 0.0);
const autodiff_fvar<T,n> xn = x;
for (int i=0 ; i<=n ; ++i)
if (i==0)
BOOST_REQUIRE(xn.derivative(i) == cx);
else if (i==1)
BOOST_REQUIRE(xn.derivative(i) == 1.0);
else
BOOST_REQUIRE(xn.derivative(i) == 0.0);
// Second independent variable
constexpr float cy = 100.0;
const auto y = make_fvar<T,m,n>(cy);
for (int i=0 ; i<=m ; ++i)
for (int j=0 ; j<=n ; ++j)
if (i==0 && j==0)
BOOST_REQUIRE(y.derivative(i,j) == cy);
else if (i==0 && j==1)
BOOST_REQUIRE(y.derivative(i,j) == 1.0);
else
BOOST_REQUIRE(y.derivative(i,j) == 0.0);
}
};
BOOST_AUTO_TEST_CASE(constructors)
{
boost::fusion::for_each(bin_float_types, constructors_test());
boost::fusion::for_each(multiprecision_float_types, constructors_test());
}
struct implicit_constructors_test
{
template<typename T>
void operator()(const T&) const
{
constexpr int m = 3;
const autodiff_fvar<T,m> x = 3;
const autodiff_fvar<T,m> one = uncast_return(x);
const autodiff_fvar<T,m> two_and_a_half = 2.5;
BOOST_REQUIRE(static_cast<T>(x) == 3.0);
BOOST_REQUIRE(static_cast<T>(one) == 1.0);
BOOST_REQUIRE(static_cast<T>(two_and_a_half) == 2.5);
}
};
BOOST_AUTO_TEST_CASE(implicit_constructors)
{
boost::fusion::for_each(bin_float_types, implicit_constructors_test());
boost::fusion::for_each(multiprecision_float_types, implicit_constructors_test());
}
struct assignment_test
{
template<typename T>
void operator()(const T&) const
{
constexpr int m = 3;
constexpr int n = 4;
constexpr float cx = 10.0;
constexpr float cy = 10.0;
autodiff_fvar<T,m,n> empty; // Uninitialized variable<> may have non-zero values.
// Single variable
auto x = make_fvar<T,m>(cx);
empty = static_cast<decltype(empty)>(x); // Test static_cast of single-variable to double-variable type.
for (int i=0 ; i<=m ; ++i)
for (int j=0 ; j<=n ; ++j)
if (i==0 && j==0)
BOOST_REQUIRE(empty.derivative(i,j) == cx);
else if (i==1 && j==0)
BOOST_REQUIRE(empty.derivative(i,j) == 1.0);
else
BOOST_REQUIRE(empty.derivative(i,j) == 0.0);
auto y = make_fvar<T,m,n>(cy);
empty = y; // default assignment operator
for (int i=0 ; i<=m ; ++i)
for (int j=0 ; j<=n ; ++j)
if (i==0 && j==0)
BOOST_REQUIRE(empty.derivative(i,j) == cy);
else if (i==0 && j==1)
BOOST_REQUIRE(empty.derivative(i,j) == 1.0);
else
BOOST_REQUIRE(empty.derivative(i,j) == 0.0);
empty = cx; // set a constant
for (int i=0 ; i<=m ; ++i)
for (int j=0 ; j<=n ; ++j)
if (i==0 && j==0)
BOOST_REQUIRE(empty.derivative(i,j) == cx);
else
BOOST_REQUIRE(empty.derivative(i,j) == 0.0);
}
};
BOOST_AUTO_TEST_CASE(assignment)
{
boost::fusion::for_each(bin_float_types, assignment_test());
boost::fusion::for_each(multiprecision_float_types, assignment_test());
}
struct addition_assignment_test
{
template<typename T>
void operator()(const T&) const
{
constexpr int m = 3;
constexpr int n = 4;
constexpr float cx = 10.0;
auto sum = autodiff_fvar<T,m,n>(); // zero-initialized
// Single variable
const auto x = make_fvar<T,m>(cx);
sum += x;
for (int i=0 ; i<=m ; ++i)
for (int j=0 ; j<=n ; ++j)
if (i==0 && j==0)
BOOST_REQUIRE(sum.derivative(i,j) == cx);
else if (i==1 && j==0)
BOOST_REQUIRE(sum.derivative(i,j) == 1.0);
else
BOOST_REQUIRE(sum.derivative(i,j) == 0.0);
// Arithmetic constant
constexpr float cy = 11.0;
sum = 0;
sum += cy;
for (int i=0 ; i<=m ; ++i)
for (int j=0 ; j<=n ; ++j)
if (i==0 && j==0)
BOOST_REQUIRE(sum.derivative(i,j) == cy);
else
BOOST_REQUIRE(sum.derivative(i,j) == 0.0);
}
};
BOOST_AUTO_TEST_CASE(addition_assignment)
{
boost::fusion::for_each(bin_float_types, addition_assignment_test());
boost::fusion::for_each(multiprecision_float_types, addition_assignment_test());
}
struct subtraction_assignment_test
{
template<typename T>
void operator()(const T&) const
{
constexpr int m = 3;
constexpr int n = 4;
constexpr float cx = 10.0;
auto sum = autodiff_fvar<T,m,n>(); // zero-initialized
// Single variable
const auto x = make_fvar<T,m>(cx);
sum -= x;
for (int i=0 ; i<=m ; ++i)
for (int j=0 ; j<=n ; ++j)
if (i==0 && j==0)
BOOST_REQUIRE(sum.derivative(i,j) == -cx);
else if (i==1 && j==0)
BOOST_REQUIRE(sum.derivative(i,j) == -1.0);
else
BOOST_REQUIRE(sum.derivative(i,j) == 0.0);
// Arithmetic constant
constexpr float cy = 11.0;
sum = 0;
sum -= cy;
for (int i=0 ; i<=m ; ++i)
for (int j=0 ; j<=n ; ++j)
if (i==0 && j==0)
BOOST_REQUIRE(sum.derivative(i,j) == -cy);
else
BOOST_REQUIRE(sum.derivative(i,j) == 0.0);
}
};
BOOST_AUTO_TEST_CASE(subtraction_assignment)
{
boost::fusion::for_each(bin_float_types, subtraction_assignment_test());
boost::fusion::for_each(multiprecision_float_types, subtraction_assignment_test());
}
// Try explicit bracing based on feedback. Doesn't add very much except 26 extra lines.
struct multiplication_assignment_test
{
template<typename T>
void operator()(const T&) const
{
constexpr int m = 3;
constexpr int n = 4;
constexpr float cx = 10.0;
auto product = autodiff_fvar<T,m,n>(1); // unit constant
// Single variable
auto x = make_fvar<T,m>(cx);
product *= x;
for (int i=0 ; i<=m ; ++i)
{
for (int j=0 ; j<=n ; ++j)
{
if (i==0 && j==0)
{
BOOST_REQUIRE(product.derivative(i,j) == cx);
}
else if (i==1 && j==0)
{
BOOST_REQUIRE(product.derivative(i,j) == 1.0);
}
else
{
BOOST_REQUIRE(product.derivative(i,j) == 0.0);
}
}
}
// Arithmetic constant
constexpr float cy = 11.0;
product = 1;
product *= cy;
for (int i=0 ; i<=m ; ++i)
{
for (int j=0 ; j<=n ; ++j)
{
if (i==0 && j==0)
{
BOOST_REQUIRE(product.derivative(i,j) == cy);
}
else
{
BOOST_REQUIRE(product.derivative(i,j) == 0.0);
}
}
}
// 0 * inf = nan
x = make_fvar<T,m>(0.0);
x *= std::numeric_limits<T>::infinity();
//std::cout << "x = " << x << std::endl;
for (int i=0 ; i<=m ; ++i)
{
if (i==0)
{
BOOST_REQUIRE(boost::math::isnan(static_cast<T>(x))); // Correct
//BOOST_REQUIRE(x.derivative(i) == 0.0); // Wrong. See multiply_assign_by_root_type().
}
else if (i==1)
{
BOOST_REQUIRE(boost::math::isinf(x.derivative(i)));
}
else
{
BOOST_REQUIRE(x.derivative(i) == 0.0);
}
}
}
};
BOOST_AUTO_TEST_CASE(multiplication_assignment)
{
boost::fusion::for_each(bin_float_types, multiplication_assignment_test());
boost::fusion::for_each(multiprecision_float_types, multiplication_assignment_test());
}
struct division_assignment_test
{
template<typename T>
void operator()(const T&) const
{
constexpr int m = 3;
constexpr int n = 4;
constexpr float cx = 16.0;
auto quotient = autodiff_fvar<T,m,n>(1); // unit constant
// Single variable
const auto x = make_fvar<T,m>(cx);
quotient /= x;
BOOST_REQUIRE(quotient.derivative(0,0) == 1/cx);
BOOST_REQUIRE(quotient.derivative(1,0) == -1/std::pow(cx,2));
BOOST_REQUIRE(quotient.derivative(2,0) == 2/std::pow(cx,3));
BOOST_REQUIRE(quotient.derivative(3,0) == -6/std::pow(cx,4));
for (int i=0 ; i<=m ; ++i)
for (int j=1 ; j<=n ; ++j)
BOOST_REQUIRE(quotient.derivative(i,j) == 0.0);
// Arithmetic constant
constexpr float cy = 32.0;
quotient = 1;
quotient /= cy;
for (int i=0 ; i<=m ; ++i)
for (int j=0 ; j<=n ; ++j)
if (i==0 && j==0)
BOOST_REQUIRE(quotient.derivative(i,j) == 1/cy);
else
BOOST_REQUIRE(quotient.derivative(i,j) == 0.0);
}
};
BOOST_AUTO_TEST_CASE(division_assignment)
{
boost::fusion::for_each(bin_float_types, division_assignment_test());
boost::fusion::for_each(multiprecision_float_types, division_assignment_test());
}
struct unary_signs_test
{
template<typename T>
void operator()(const T&) const
{
constexpr int m = 3;
constexpr int n = 4;
constexpr float cx = 16.0;
autodiff_fvar<T,m,n> lhs;
// Single variable
const auto x = make_fvar<T,m>(cx);
lhs = static_cast<decltype(lhs)>(-x);
for (int i=0 ; i<=m ; ++i)
for (int j=0 ; j<=n ; ++j)
if (i==0 && j==0)
BOOST_REQUIRE(lhs.derivative(i,j) == -cx);
else if (i==1 && j==0)
BOOST_REQUIRE(lhs.derivative(i,j) == -1.0);
else
BOOST_REQUIRE(lhs.derivative(i,j) == 0.0);
lhs = static_cast<decltype(lhs)>(+x);
for (int i=0 ; i<=m ; ++i)
for (int j=0 ; j<=n ; ++j)
if (i==0 && j==0)
BOOST_REQUIRE(lhs.derivative(i,j) == cx);
else if (i==1 && j==0)
BOOST_REQUIRE(lhs.derivative(i,j) == 1.0);
else
BOOST_REQUIRE(lhs.derivative(i,j) == 0.0);
}
};
BOOST_AUTO_TEST_CASE(unary_signs)
{
boost::fusion::for_each(bin_float_types, unary_signs_test());
boost::fusion::for_each(multiprecision_float_types, unary_signs_test());
}
// TODO 3 tests for 3 operator+() definitions.
struct cast_double_test
{
template<typename T>
void operator()(const T&) const
{
constexpr float ca = 13.0;
constexpr int i = 12;
constexpr int m = 3;
const auto x = make_fvar<T,m>(ca);
BOOST_REQUIRE(i < x);
BOOST_REQUIRE(i*x == i*ca);
}
};
BOOST_AUTO_TEST_CASE(cast_double)
{
boost::fusion::for_each(bin_float_types, cast_double_test());
boost::fusion::for_each(multiprecision_float_types, cast_double_test());
}
struct int_double_casting_test
{
template<typename T>
void operator()(const T&) const
{
constexpr float ca = 3.0;
const auto x0 = make_fvar<T,0>(ca);
BOOST_REQUIRE(static_cast<T>(x0) == ca);
const auto x1 = make_fvar<T,1>(ca);
BOOST_REQUIRE(static_cast<T>(x1) == ca);
const auto x2 = make_fvar<T,2>(ca);
BOOST_REQUIRE(static_cast<T>(x2) == ca);
}
};
BOOST_AUTO_TEST_CASE(int_double_casting)
{
boost::fusion::for_each(bin_float_types, int_double_casting_test());
boost::fusion::for_each(multiprecision_float_types, int_double_casting_test());
}
struct scalar_addition_test
{
template<typename T>
void operator()(const T&) const
{
constexpr float ca = 3.0;
constexpr float cb = 4.0;
const auto sum0 = autodiff_fvar<T,0>(ca) + autodiff_fvar<T,0>(cb);
BOOST_REQUIRE(ca+cb == static_cast<T>(sum0));
const auto sum1 = autodiff_fvar<T,0>(ca) + cb;
BOOST_REQUIRE(ca+cb == static_cast<T>(sum1));
const auto sum2 = ca + autodiff_fvar<T,0>(cb);
BOOST_REQUIRE(ca+cb == static_cast<T>(sum2));
}
};
BOOST_AUTO_TEST_CASE(scalar_addition)
{
boost::fusion::for_each(bin_float_types, scalar_addition_test());
boost::fusion::for_each(multiprecision_float_types, scalar_addition_test());
}
struct power8_test
{
template<typename T>
void operator()(const T&) const
{
constexpr int n = 8;
constexpr float ca = 3.0;
auto x = make_fvar<T,n>(ca);
// Test operator*=()
x *= x;
x *= x;
x *= x;
const T power_factorial = boost::math::factorial<T>(n);
for (int i=0 ; i<=n ; ++i)
BOOST_CHECK(static_cast<T>(x.derivative(i)) == static_cast<T>(power_factorial/boost::math::factorial<T>(n-i)*std::pow(ca,n-i)));
x = make_fvar<T,n>(ca);
// Test operator*()
x = x*x*x*x * x*x*x*x;
for (int i=0 ; i<=n ; ++i)
BOOST_REQUIRE(x.derivative(i) == power_factorial/boost::math::factorial<T>(n-i)*std::pow(ca,n-i));
}
};
BOOST_AUTO_TEST_CASE(power8)
{
boost::fusion::for_each(bin_float_types, power8_test());
boost::fusion::for_each(multiprecision_float_types, power8_test());
}
struct dim1_multiplication_test
{
template<typename T>
void operator()(const T&) const
{
constexpr int m = 2;
constexpr int n = 3;
constexpr float cy = 4.0;
auto y0 = make_fvar<T,m>(cy);
auto y = make_fvar<T,n>(cy);
y *= y0;
BOOST_REQUIRE(y.derivative(0) == cy*cy);
BOOST_REQUIRE(y.derivative(1) == 2*cy);
BOOST_REQUIRE(y.derivative(2) == 2.0);
BOOST_REQUIRE(y.derivative(3) == 0.0);
y = y * cy;
BOOST_REQUIRE(y.derivative(0) == cy*cy*cy);
BOOST_REQUIRE(y.derivative(1) == 2*cy*cy);
BOOST_REQUIRE(y.derivative(2) == 2.0*cy);
BOOST_REQUIRE(y.derivative(3) == 0.0);
}
};
BOOST_AUTO_TEST_CASE(dim1_multiplication)
{
boost::fusion::for_each(bin_float_types, dim1_multiplication_test());
boost::fusion::for_each(multiprecision_float_types, dim1_multiplication_test());
}
struct dim1and2_multiplication_test
{
template<typename T>
void operator()(const T&) const
{
constexpr int m = 2;
constexpr int n = 3;
constexpr float cx = 3.0;
constexpr float cy = 4.0;
auto x = make_fvar<T,m>(cx);
auto y = make_fvar<T,m,n>(cy);
y *= x;
BOOST_REQUIRE(y.derivative(0,0) == cx*cy);
BOOST_REQUIRE(y.derivative(0,1) == cx);
BOOST_REQUIRE(y.derivative(1,0) == cy);
BOOST_REQUIRE(y.derivative(1,1) == 1.0);
for (int i=1 ; i<m ; ++i)
for (int j=1 ; j<n ; ++j)
if (i==1 && j==1)
BOOST_REQUIRE(y.derivative(i,j) == 1.0);
else
BOOST_REQUIRE(y.derivative(i,j) == 0.0);
}
};
BOOST_AUTO_TEST_CASE(dim1and2_multiplication)
{
boost::fusion::for_each(bin_float_types, dim1and2_multiplication_test());
boost::fusion::for_each(multiprecision_float_types, dim1and2_multiplication_test());
}
struct dim2_addition_test
{
template<typename T>
void operator()(const T&) const
{
constexpr int m = 2;
constexpr int n = 3;
constexpr float cx = 3.0;
const auto x = make_fvar<T,m>(cx);
BOOST_REQUIRE(x.derivative(0) == cx);
BOOST_REQUIRE(x.derivative(1) == 1.0);
BOOST_REQUIRE(x.derivative(2) == 0.0);
constexpr float cy = 4.0;
const auto y = make_fvar<T,m,n>(cy);
BOOST_REQUIRE(static_cast<T>(y.derivative(0)) == cy);
BOOST_REQUIRE(static_cast<T>(y.derivative(1)) == 0.0); // partial of y w.r.t. x.
BOOST_REQUIRE(y.derivative(0,0) == cy);
BOOST_REQUIRE(y.derivative(0,1) == 1.0);
BOOST_REQUIRE(y.derivative(1,0) == 0.0);
BOOST_REQUIRE(y.derivative(1,1) == 0.0);
//const auto z = x + y; // ambiguous operator when root_type=cpp_bin_float_50
const auto z = x + y;
BOOST_REQUIRE(z.derivative(0,0) == cx + cy);
BOOST_REQUIRE(z.derivative(0,1) == 1.0);
BOOST_REQUIRE(z.derivative(1,0) == 1.0);
BOOST_REQUIRE(z.derivative(1,1) == 0.0);
// The following 4 are unnecessarily more expensive than the previous 4.
BOOST_REQUIRE(z.derivative(0).derivative(0) == cx + cy);
BOOST_REQUIRE(z.derivative(0).derivative(1) == 1.0);
BOOST_REQUIRE(z.derivative(1).derivative(0) == 1.0);
BOOST_REQUIRE(z.derivative(1).derivative(1) == 0.0);
}
};
BOOST_AUTO_TEST_CASE(dim2_addition)
{
boost::fusion::for_each(bin_float_types, dim2_addition_test());
boost::fusion::for_each(multiprecision_float_types, dim2_addition_test());
}
struct dim2_multiplication_test
{
template<typename T>
void operator()(const T&) const
{
constexpr int m = 3;
constexpr int n = 4;
constexpr float cx = 6.0;
const auto x = make_fvar<T,m>(cx);
constexpr float cy = 5.0;
const auto y = make_fvar<T,0,n>(cy);
const auto z = x*x * y*y*y;
BOOST_REQUIRE(z.derivative(0,0) == cx*cx * cy*cy*cy); // x^2 * y^3
BOOST_REQUIRE(z.derivative(0,1) == cx*cx * 3*cy*cy); // x^2 * 3y^2
BOOST_REQUIRE(z.derivative(0,2) == cx*cx * 6*cy); // x^2 * 6y
BOOST_REQUIRE(z.derivative(0,3) == cx*cx * 6); // x^2 * 6
BOOST_REQUIRE(z.derivative(0,4) == 0.0); // x^2 * 0
BOOST_REQUIRE(z.derivative(1,0) == 2*cx * cy*cy*cy); // 2x * y^3
BOOST_REQUIRE(z.derivative(1,1) == 2*cx * 3*cy*cy); // 2x * 3y^2
BOOST_REQUIRE(z.derivative(1,2) == 2*cx * 6*cy); // 2x * 6y
BOOST_REQUIRE(z.derivative(1,3) == 2*cx * 6); // 2x * 6
BOOST_REQUIRE(z.derivative(1,4) == 0.0); // 2x * 0
BOOST_REQUIRE(z.derivative(2,0) == 2 * cy*cy*cy); // 2 * y^3
BOOST_REQUIRE(z.derivative(2,1) == 2 * 3*cy*cy); // 2 * 3y^2
BOOST_REQUIRE(z.derivative(2,2) == 2 * 6*cy); // 2 * 6y
BOOST_REQUIRE(z.derivative(2,3) == 2 * 6); // 2 * 6
BOOST_REQUIRE(z.derivative(2,4) == 0.0); // 2 * 0
BOOST_REQUIRE(z.derivative(3,0) == 0.0); // 0 * y^3
BOOST_REQUIRE(z.derivative(3,1) == 0.0); // 0 * 3y^2
BOOST_REQUIRE(z.derivative(3,2) == 0.0); // 0 * 6y
BOOST_REQUIRE(z.derivative(3,3) == 0.0); // 0 * 6
BOOST_REQUIRE(z.derivative(3,4) == 0.0); // 0 * 0
}
};
BOOST_AUTO_TEST_CASE(dim2_multiplication)
{
boost::fusion::for_each(bin_float_types, dim2_multiplication_test());
boost::fusion::for_each(multiprecision_float_types, dim2_multiplication_test());
}
struct dim2_multiplication_and_subtraction_test
{
template<typename T>
void operator()(const T&) const
{
constexpr int m = 3;
constexpr int n = 4;
constexpr float cx = 6.0;
const auto x = make_fvar<T,m>(cx);
constexpr float cy = 5.0;
const auto y = make_fvar<T,0,n>(cy);
const auto z = x*x - y*y;
BOOST_REQUIRE(z.derivative(0,0) == cx*cx - cy*cy);
BOOST_REQUIRE(z.derivative(0,1) == -2*cy);
BOOST_REQUIRE(z.derivative(0,2) == -2.0);
BOOST_REQUIRE(z.derivative(0,3) == 0.0);
BOOST_REQUIRE(z.derivative(0,4) == 0.0);
BOOST_REQUIRE(z.derivative(1,0) == 2*cx);
BOOST_REQUIRE(z.derivative(2,0) == 2.0);
for (int i=1 ; i<=m ; ++i)
for (int j=1 ; j<=n ; ++j)
BOOST_REQUIRE(z.derivative(i,j) == 0.0);
}
};
BOOST_AUTO_TEST_CASE(dim2_multiplication_and_subtraction)
{
boost::fusion::for_each(bin_float_types, dim2_multiplication_and_subtraction_test());
boost::fusion::for_each(multiprecision_float_types, dim2_multiplication_and_subtraction_test());
}
struct inverse_test
{
template<typename T>
void operator()(const T&) const
{
constexpr int m = 3;
constexpr float cx = 4.0;
const auto x = make_fvar<T,m>(cx);
const auto xinv = x.inverse();
BOOST_REQUIRE(xinv.derivative(0) == 1/cx);
BOOST_REQUIRE(xinv.derivative(1) == -1/std::pow(cx,2));
BOOST_REQUIRE(xinv.derivative(2) == 2/std::pow(cx,3));
BOOST_REQUIRE(xinv.derivative(3) == -6/std::pow(cx,4));
}
};
BOOST_AUTO_TEST_CASE(inverse)
{
boost::fusion::for_each(bin_float_types, inverse_test());
boost::fusion::for_each(multiprecision_float_types, inverse_test());
}
struct division_test
{
template<typename T>
void operator()(const T&) const
{
constexpr int m = 3;
constexpr int n = 4;
constexpr float cx = 16.0;
auto x = make_fvar<T,m>(cx);
constexpr float cy = 4.0;
auto y = make_fvar<T,1,n>(cy);
auto z = x*x / (y*y);
BOOST_REQUIRE(z.derivative(0,0) == cx*cx / (cy*cy)); // x^2 * y^-2
BOOST_REQUIRE(z.derivative(0,1) == cx*cx * (-2)*std::pow(cy,-3));
BOOST_REQUIRE(z.derivative(0,2) == cx*cx * (6)*std::pow(cy,-4));
BOOST_REQUIRE(z.derivative(0,3) == cx*cx * (-24)*std::pow(cy,-5));
BOOST_REQUIRE(z.derivative(0,4) == cx*cx * (120)*std::pow(cy,-6));
BOOST_REQUIRE(z.derivative(1,0) == 2*cx / (cy*cy));
BOOST_REQUIRE(z.derivative(1,1) == 2*cx * (-2)*std::pow(cy,-3));
BOOST_REQUIRE(z.derivative(1,2) == 2*cx * (6)*std::pow(cy,-4));
BOOST_REQUIRE(z.derivative(1,3) == 2*cx * (-24)*std::pow(cy,-5));
BOOST_REQUIRE(z.derivative(1,4) == 2*cx * (120)*std::pow(cy,-6));
BOOST_REQUIRE(z.derivative(2,0) == 2 / (cy*cy));
BOOST_REQUIRE(z.derivative(2,1) == 2 * (-2)*std::pow(cy,-3));
BOOST_REQUIRE(z.derivative(2,2) == 2 * (6)*std::pow(cy,-4));
BOOST_REQUIRE(z.derivative(2,3) == 2 * (-24)*std::pow(cy,-5));
BOOST_REQUIRE(z.derivative(2,4) == 2 * (120)*std::pow(cy,-6));
for (int j=0 ; j<=n ; ++j)
BOOST_REQUIRE(z.derivative(3,j) == 0.0);
auto x1 = make_fvar<T,m>(cx);
auto z1 = x1/cy;
BOOST_REQUIRE(z1.derivative(0) == cx/cy);
BOOST_REQUIRE(z1.derivative(1) == 1/cy);
BOOST_REQUIRE(z1.derivative(2) == 0.0);
BOOST_REQUIRE(z1.derivative(3) == 0.0);
auto y2 = make_fvar<T,m,n>(cy);
auto z2 = cx/y2;
BOOST_REQUIRE(z2.derivative(0,0) == cx/cy);
BOOST_REQUIRE(z2.derivative(0,1) == -cx/std::pow(cy,2));
BOOST_REQUIRE(z2.derivative(0,2) == 2*cx/std::pow(cy,3));
BOOST_REQUIRE(z2.derivative(0,3) == -6*cx/std::pow(cy,4));
BOOST_REQUIRE(z2.derivative(0,4) == 24*cx/std::pow(cy,5));
for (int i=1 ; i<=m ; ++i)
for (int j=0 ; j<=n ; ++j)
BOOST_REQUIRE(z2.derivative(i,j) == 0.0);
const auto z3 = y / x;
BOOST_REQUIRE(z3.derivative(0,0) == cy / cx);
BOOST_REQUIRE(z3.derivative(0,1) == 1 / cx);
BOOST_REQUIRE(z3.derivative(1,0) == -cy / std::pow(cx,2));
BOOST_REQUIRE(z3.derivative(1,1) == -1 / std::pow(cx,2));
BOOST_REQUIRE(z3.derivative(2,0) == 2*cy / std::pow(cx,3));
BOOST_REQUIRE(z3.derivative(2,1) == 2 / std::pow(cx,3));
BOOST_REQUIRE(z3.derivative(3,0) == -6*cy / std::pow(cx,4));
BOOST_REQUIRE(z3.derivative(3,1) == -6 / std::pow(cx,4));
for (int i=0 ; i<=m ; ++i)
for (int j=2 ; j<=n ; ++j)
BOOST_REQUIRE(z3.derivative(i,j) == 0.0);
}
};
BOOST_AUTO_TEST_CASE(division)
{
boost::fusion::for_each(bin_float_types, division_test());
boost::fusion::for_each(multiprecision_float_types, division_test());
}
struct equality_test
{
template<typename T>
void operator()(const T&) const
{
constexpr int m = 3;
constexpr int n = 4;
constexpr float cx = 10.0;
constexpr float cy = 10.0;
const auto x = make_fvar<T,m>(cx);
const auto y = make_fvar<T,0,n>(cy);
BOOST_REQUIRE((x == y));
BOOST_REQUIRE((x == cy));
BOOST_REQUIRE((cx == y));
BOOST_REQUIRE((cy == x));
BOOST_REQUIRE((y == cx));
}
};
BOOST_AUTO_TEST_CASE(equality)
{
boost::fusion::for_each(bin_float_types, equality_test());
boost::fusion::for_each(multiprecision_float_types, equality_test());
}
struct inequality_test
{
template<typename T>
void operator()(const T&) const
{
constexpr int m = 3;
constexpr int n = 4;
constexpr float cx = 10.0;
constexpr float cy = 11.0;
const auto x = make_fvar<T,m>(cx);
const auto y = make_fvar<T,0,n>(cy);
BOOST_REQUIRE((x != y));
BOOST_REQUIRE((x != cy));
BOOST_REQUIRE((cx != y));
BOOST_REQUIRE((cy != x));
BOOST_REQUIRE((y != cx));
}
};
BOOST_AUTO_TEST_CASE(inequality)
{
boost::fusion::for_each(bin_float_types, inequality_test());
boost::fusion::for_each(multiprecision_float_types, inequality_test());
}
struct less_than_or_equal_to_test
{
template<typename T>
void operator()(const T&) const
{
constexpr int m = 3;
constexpr int n = 4;
constexpr float cx = 10.0;
constexpr float cy = 11.0;
const auto x = make_fvar<T,m>(cx);
const auto y = make_fvar<T,0,n>(cy);
BOOST_REQUIRE((x <= y));
BOOST_REQUIRE((x <= y-1));
BOOST_REQUIRE((x < y));
BOOST_REQUIRE((x <= cy));
BOOST_REQUIRE((x <= cy-1));
BOOST_REQUIRE((x < cy));
BOOST_REQUIRE((cx <= y));
BOOST_REQUIRE((cx <= y-1));
BOOST_REQUIRE((cx < y));
}
};
BOOST_AUTO_TEST_CASE(less_than_or_equal_to)
{
boost::fusion::for_each(bin_float_types, less_than_or_equal_to_test());
boost::fusion::for_each(multiprecision_float_types, less_than_or_equal_to_test());
}
struct greater_than_or_equal_to_test
{
template<typename T>
void operator()(const T&) const
{
constexpr int m = 3;
constexpr int n = 4;
constexpr float cx = 11.0;
constexpr float cy = 10.0;
const auto x = make_fvar<T,m>(cx);
const auto y = make_fvar<T,0,n>(cy);
BOOST_REQUIRE((x >= y));
BOOST_REQUIRE((x >= y+1));
BOOST_REQUIRE((x > y));
BOOST_REQUIRE((x >= cy));
BOOST_REQUIRE((x >= cy+1));
BOOST_REQUIRE((x > cy));
BOOST_REQUIRE((cx >= y));
BOOST_REQUIRE((cx >= y+1));
BOOST_REQUIRE((cx > y));
}
};
BOOST_AUTO_TEST_CASE(greater_than_or_equal_to)
{
boost::fusion::for_each(bin_float_types, greater_than_or_equal_to_test());
boost::fusion::for_each(multiprecision_float_types, greater_than_or_equal_to_test());
}
struct abs_test_test
{
template<typename T>
void operator()(const T&) const
{
constexpr int m = 3;
constexpr float cx = 11.0;
const auto x = make_fvar<T,m>(cx);
auto a = abs(x);
BOOST_REQUIRE(a.derivative(0) == std::abs(cx));
BOOST_REQUIRE(a.derivative(1) == 1.0);
BOOST_REQUIRE(a.derivative(2) == 0.0);
BOOST_REQUIRE(a.derivative(3) == 0.0);
a = abs(-x);
BOOST_REQUIRE(a.derivative(0) == std::abs(cx));
BOOST_REQUIRE(a.derivative(1) == 1.0); // abs(-x) = abs(x)
BOOST_REQUIRE(a.derivative(2) == 0.0);
BOOST_REQUIRE(a.derivative(3) == 0.0);
const auto xneg = make_fvar<T,m>(-cx);
a = abs(xneg);
BOOST_REQUIRE(a.derivative(0) == std::abs(cx));
BOOST_REQUIRE(a.derivative(1) == -1.0);
BOOST_REQUIRE(a.derivative(2) == 0.0);
BOOST_REQUIRE(a.derivative(3) == 0.0);
const auto zero = make_fvar<T,m>(0);
a = abs(zero);
for (int i=0 ; i<=m ; ++i)
BOOST_REQUIRE(a.derivative(i) == 0.0);
}
};
BOOST_AUTO_TEST_CASE(abs_test)
{
boost::fusion::for_each(bin_float_types, abs_test_test());
boost::fusion::for_each(multiprecision_float_types, abs_test_test());
}
struct ceil_and_floor_test
{
template<typename T>
void operator()(const T&) const
{
constexpr int m = 3;
float tests[] { -1.5, 0.0, 1.5 };
for (unsigned t=0 ; t<sizeof(tests)/sizeof(*tests) ; ++t)
{
const auto x = make_fvar<T,m>(tests[t]);
auto c = ceil(x);
auto f = floor(x);
BOOST_REQUIRE(c.derivative(0) == std::ceil(tests[t]));
BOOST_REQUIRE(f.derivative(0) == std::floor(tests[t]));
for (int i=1 ; i<=m ; ++i)
{
BOOST_REQUIRE(c.derivative(i) == 0.0);
BOOST_REQUIRE(f.derivative(i) == 0.0);
}
}
}
};
BOOST_AUTO_TEST_CASE(ceil_and_floor)
{
boost::fusion::for_each(bin_float_types, ceil_and_floor_test());
boost::fusion::for_each(multiprecision_float_types, ceil_and_floor_test());
}
struct one_over_one_plus_x_squared_test
{
template<typename T>
void operator()(const T&) const
{
constexpr int m = 4;
constexpr float cx = 1.0;
auto f = make_fvar<T,m>(cx);
//f = ((f *= f) += 1).inverse(); // Microsoft Visual C++ version 14.0: fatal error C1001: An internal error has occurred in the compiler. on call to order_sum() in inverse_apply().
f = 1 / ((f *= f) += 1);
BOOST_REQUIRE(f.derivative(0) == 0.5);
BOOST_REQUIRE(f.derivative(1) == -0.5);
BOOST_REQUIRE(f.derivative(2) == 0.5);
BOOST_REQUIRE(f.derivative(3) == 0.0);
BOOST_REQUIRE(f.derivative(4) == -3.0);
}
};
BOOST_AUTO_TEST_CASE(one_over_one_plus_x_squared)
{
boost::fusion::for_each(bin_float_types, one_over_one_plus_x_squared_test());
boost::fusion::for_each(multiprecision_float_types, one_over_one_plus_x_squared_test());
}
struct exp_test_test
{
template<typename T>
void operator()(const T&) const
{
using std::exp;
constexpr int m = 4;
const T cx = 2.0;
const auto x = make_fvar<T,m>(cx);
auto y = exp(x);
for (int i=0 ; i<=m ; ++i)
{
//std::cout.precision(100);
//std::cout << "y.derivative("<<i<<") = " << y.derivative(i) << ", std::exp(cx) = " << std::exp(cx) << std::endl;
BOOST_REQUIRE(y.derivative(i) == exp(cx));
}
}
};
BOOST_AUTO_TEST_CASE(exp_test)
{
boost::fusion::for_each(bin_float_types, exp_test_test());
boost::fusion::for_each(multiprecision_float_types, exp_test_test());
}
struct pow_test_test
{
template<typename T>
void operator()(const T&) const
{
const T eps = 201*std::numeric_limits<T>::epsilon(); // percent
using std::exp;
using std::log;
using std::pow;
constexpr int m = 5;
constexpr int n = 4;
const T cx = 2.0;
const T cy = 3.0;
const auto x = make_fvar<T,m>(cx);
const auto y = make_fvar<T,m,n>(cy);
auto z0 = pow(x,cy);
BOOST_REQUIRE(z0.derivative(0) == pow(cx,cy));
BOOST_REQUIRE(z0.derivative(1) == cy*pow(cx,cy-1));
BOOST_REQUIRE(z0.derivative(2) == cy*(cy-1)*pow(cx,cy-2));
BOOST_REQUIRE(z0.derivative(3) == cy*(cy-1)*(cy-2)*pow(cx,cy-3));
BOOST_REQUIRE(z0.derivative(4) == 0.0);
BOOST_REQUIRE(z0.derivative(5) == 0.0);
auto z1 = pow(cx,y);
BOOST_REQUIRE_CLOSE(z1.derivative(0,0), pow(cx,cy), eps);
for (int j=1 ; j<=n ; ++j)
BOOST_REQUIRE_CLOSE(z1.derivative(0,j), pow(log(cx),j)*exp(cy*log(cx)), eps);
for (int i=1 ; i<=m ; ++i)
for (int j=0 ; j<=n ; ++j)
BOOST_REQUIRE(z1.derivative(i,j) == 0.0);
auto z2 = pow(x,y);
for (int j=0 ; j<=n ; ++j)
BOOST_REQUIRE_CLOSE(z2.derivative(0,j), pow(cx,cy)*pow(log(cx),j), eps);
for (int j=0 ; j<=n ; ++j)
BOOST_REQUIRE_CLOSE(z2.derivative(1,j), pow(cx,cy-1)*pow(log(cx),j-1)*(cy*log(cx)+j), eps);
BOOST_REQUIRE_CLOSE(z2.derivative(2,0), pow(cx,cy-2)*cy*(cy-1), eps);
BOOST_REQUIRE_CLOSE(z2.derivative(2,1), pow(cx,cy-2)*(cy*(cy-1)*log(cx)+2*cy-1), eps);
for (int j=2 ; j<=n ; ++j)
BOOST_REQUIRE_CLOSE(z2.derivative(2,j), pow(cx,cy-2)*pow(log(cx),j-2)*(j*(2*cy-1)*log(cx)+(j-1)*j+(cy-1)*cy*pow(log(cx),2)), eps);
BOOST_REQUIRE_CLOSE(z2.derivative(2,4), pow(cx,cy-2)*pow(log(cx),2)*(4*(2*cy-1)*log(cx)+(4-1)*4+(cy-1)*cy*pow(log(cx),2)), eps);
}
};
BOOST_AUTO_TEST_CASE(pow_test)
{
boost::fusion::for_each(bin_float_types, pow_test_test());
}
struct sqrt_test_test
{
template<typename T>
void operator()(const T&) const
{
using std::sqrt;
using std::pow;
constexpr int m = 5;
constexpr float cx = 4.0;
auto x = make_fvar<T,m>(cx);
auto y = sqrt(x);
BOOST_REQUIRE(y.derivative(0) == sqrt(cx));
BOOST_REQUIRE(y.derivative(1) == 0.5*pow(cx,-0.5));
BOOST_REQUIRE(y.derivative(2) == -0.5*0.5*pow(cx,-1.5));
BOOST_REQUIRE(y.derivative(3) == 0.5*0.5*1.5*pow(cx,-2.5));
BOOST_REQUIRE(y.derivative(4) == -0.5*0.5*1.5*2.5*pow(cx,-3.5));
BOOST_REQUIRE(y.derivative(5) == 0.5*0.5*1.5*2.5*3.5*pow(cx,-4.5));
x = make_fvar<T,m>(0);
y = sqrt(x);
//std::cout << "sqrt(0) = " << y << std::endl; // (0,inf,-inf,inf,-inf,inf)
BOOST_REQUIRE(y.derivative(0) == 0.0);
for (int i=1; i<=m ; ++i)
BOOST_REQUIRE(y.derivative(i) == (i&1?1:-1)*std::numeric_limits<T>::infinity());
}
};
BOOST_AUTO_TEST_CASE(sqrt_test)
{
boost::fusion::for_each(bin_float_types, sqrt_test_test());
boost::fusion::for_each(multiprecision_float_types, sqrt_test_test());
}
struct log_test_test
{
template<typename T>
void operator()(const T&) const
{
using std::log;
using std::pow;
constexpr int m = 5;
const T cx = 2.0;
auto x = make_fvar<T,m>(cx);
auto y = log(x);
BOOST_REQUIRE(y.derivative(0) == log(cx));
BOOST_REQUIRE(y.derivative(1) == 1/cx);
BOOST_REQUIRE(y.derivative(2) == -1/pow(cx,2));
BOOST_REQUIRE(y.derivative(3) == 2/pow(cx,3));
BOOST_REQUIRE(y.derivative(4) == -6/pow(cx,4));
BOOST_REQUIRE(y.derivative(5) == 24/pow(cx,5));
x = make_fvar<T,m>(0);
y = log(x);
//std::cout << "log(0) = " << y << std::endl; // log(0) = depth(1)(-inf,inf,-inf,inf,-inf,inf)
for (int i=0; i<=m ; ++i)
BOOST_REQUIRE(y.derivative(i) == (i&1?1:-1)*std::numeric_limits<T>::infinity());
}
};
BOOST_AUTO_TEST_CASE(log_test)
{
boost::fusion::for_each(bin_float_types, log_test_test());
boost::fusion::for_each(multiprecision_float_types, log_test_test());
}
struct ylogx_test
{
template<typename T>
void operator()(const T&) const
{
using std::log;
using std::pow;
const T eps = 100*std::numeric_limits<T>::epsilon(); // percent
constexpr int m = 5;
constexpr int n = 4;
const T cx = 2.0;
const T cy = 3.0;
const auto x = make_fvar<T,m>(cx);
const auto y = make_fvar<T,m,n>(cy);
auto z = y*log(x);
BOOST_REQUIRE(z.derivative(0,0) == cy*log(cx));
BOOST_REQUIRE(z.derivative(0,1) == log(cx));
BOOST_REQUIRE(z.derivative(0,2) == 0.0);
BOOST_REQUIRE(z.derivative(0,3) == 0.0);
BOOST_REQUIRE(z.derivative(0,4) == 0.0);
for (size_t i=1 ; i<=m ; ++i)
BOOST_REQUIRE_CLOSE(z.derivative(i,0), pow(-1,i-1)*boost::math::factorial<T>(i-1)*cy/pow(cx,i), eps);
for (size_t i=1 ; i<=m ; ++i)
BOOST_REQUIRE_CLOSE(z.derivative(i,1), pow(-1,i-1)*boost::math::factorial<T>(i-1)/pow(cx,i), eps);
for (size_t i=1 ; i<=m ; ++i)
for (size_t j=2 ; j<=n ; ++j)
BOOST_REQUIRE(z.derivative(i,j) == 0.0);
auto z1 = exp(z);
// RHS is confirmed by
// https://www.wolframalpha.com/input/?i=D%5Bx%5Ey,%7Bx,2%7D,%7By,4%7D%5D+%2F.+%7Bx-%3E2.0,+y-%3E3.0%7D
BOOST_REQUIRE_CLOSE(z1.derivative(2,4),
pow(cx,cy-2)*pow(log(cx),2)*(4*(2*cy-1)*log(cx)+(4-1)*4+(cy-1)*cy*pow(log(cx),2)), eps);
}
};
BOOST_AUTO_TEST_CASE(ylogx)
{
boost::fusion::for_each(bin_float_types, ylogx_test());
}
struct frexp_test_test
{
template<typename T>
void operator()(const T&) const
{
using std::frexp;
using std::exp2;
constexpr int m = 3;
const T cx = 3.5;
const auto x = make_fvar<T,m>(cx);
int exp, testexp;
auto y = frexp(x,&exp);
BOOST_REQUIRE(y.derivative(0) == frexp(cx,&testexp));
BOOST_REQUIRE(exp == testexp);
BOOST_REQUIRE(y.derivative(1) == exp2(-exp));
BOOST_REQUIRE(y.derivative(2) == 0.0);
BOOST_REQUIRE(y.derivative(3) == 0.0);
}
};
BOOST_AUTO_TEST_CASE(frexp_test)
{
boost::fusion::for_each(bin_float_types, frexp_test_test());
boost::fusion::for_each(multiprecision_float_types, frexp_test_test());
}
struct ldexp_test_test
{
template<typename T>
void operator()(const T&) const
{
using std::ldexp;
using std::exp2;
constexpr int m = 3;
const T cx = 3.5;
const auto x = make_fvar<T,m>(cx);
constexpr int exp = 3;
auto y = ldexp(x,exp);
BOOST_REQUIRE(y.derivative(0) == ldexp(cx,exp));
BOOST_REQUIRE(y.derivative(1) == exp2(exp));
BOOST_REQUIRE(y.derivative(2) == 0.0);
BOOST_REQUIRE(y.derivative(3) == 0.0);
}
};
BOOST_AUTO_TEST_CASE(ldexp_test)
{
boost::fusion::for_each(bin_float_types, ldexp_test_test());
boost::fusion::for_each(multiprecision_float_types, ldexp_test_test());
}
struct cos_and_sin_test
{
template<typename T>
void operator()(const T&) const
{
using std::cos;
using std::sin;
const T eps = 100*std::numeric_limits<T>::epsilon(); // percent
constexpr int m = 5;
const T cx = boost::math::constants::third_pi<T>();
const auto x = make_fvar<T,m>(cx);
auto cos5 = cos(x);
BOOST_REQUIRE(cos5.derivative(0) == cos(cx));
BOOST_REQUIRE_CLOSE(cos5.derivative(1), -sin(cx), eps);
BOOST_REQUIRE_CLOSE(cos5.derivative(2), -cos(cx), eps);
BOOST_REQUIRE_CLOSE(cos5.derivative(3), sin(cx), eps);
BOOST_REQUIRE_CLOSE(cos5.derivative(4), cos(cx), eps);
BOOST_REQUIRE_CLOSE(cos5.derivative(5), -sin(cx), eps);
auto sin5 = sin(x);
BOOST_REQUIRE(sin5.derivative(0) == sin(cx));
BOOST_REQUIRE_CLOSE(sin5.derivative(1), cos(cx), eps);
BOOST_REQUIRE_CLOSE(sin5.derivative(2), -sin(cx), eps);
BOOST_REQUIRE_CLOSE(sin5.derivative(3), -cos(cx), eps);
BOOST_REQUIRE_CLOSE(sin5.derivative(4), sin(cx), eps);
BOOST_REQUIRE_CLOSE(sin5.derivative(5), cos(cx), eps);
// Test Order = 0 for codecov
auto cos0 = cos(make_fvar<T,0>(cx));
BOOST_REQUIRE(cos0.derivative(0) == cos(cx));
auto sin0 = sin(make_fvar<T,0>(cx));
BOOST_REQUIRE(sin0.derivative(0) == sin(cx));
}
};
BOOST_AUTO_TEST_CASE(cos_and_sin)
{
boost::fusion::for_each(bin_float_types, cos_and_sin_test());
}
struct acos_test_test
{
template<typename T>
void operator()(const T&) const
{
const T eps = 300*std::numeric_limits<T>::epsilon(); // percent
using std::acos;
using std::pow;
using std::sqrt;
constexpr int m = 5;
const T cx = 0.5;
auto x = make_fvar<T,m>(cx);
auto y = acos(x);
BOOST_REQUIRE(y.derivative(0) == acos(cx));
BOOST_REQUIRE_CLOSE(y.derivative(1), -1/sqrt(1-cx*cx), eps);
BOOST_REQUIRE_CLOSE(y.derivative(2), -cx/pow(1-cx*cx,1.5), eps);
BOOST_REQUIRE_CLOSE(y.derivative(3), -(2*cx*cx+1)/pow(1-cx*cx,2.5), eps);
BOOST_REQUIRE_CLOSE(y.derivative(4), -3*cx*(2*cx*cx+3)/pow(1-cx*cx,3.5), eps);
BOOST_REQUIRE_CLOSE(y.derivative(5), -(24*(cx*cx+3)*cx*cx+9)/pow(1-cx*cx,4.5), eps);
}
};
BOOST_AUTO_TEST_CASE(acos_test)
{
boost::fusion::for_each(bin_float_types, acos_test_test());
}
struct asin_test_test
{
template<typename T>
void operator()(const T&) const
{
const T eps = 300*std::numeric_limits<T>::epsilon(); // percent
using std::asin;
using std::pow;
using std::sqrt;
constexpr int m = 5;
const T cx = 0.5;
auto x = make_fvar<T,m>(cx);
auto y = asin(x);
BOOST_REQUIRE(y.derivative(0) == asin(cx));
BOOST_REQUIRE_CLOSE(y.derivative(1), 1/sqrt(1-cx*cx), eps);
BOOST_REQUIRE_CLOSE(y.derivative(2), cx/pow(1-cx*cx,1.5), eps);
BOOST_REQUIRE_CLOSE(y.derivative(3), (2*cx*cx+1)/pow(1-cx*cx,2.5), eps);
BOOST_REQUIRE_CLOSE(y.derivative(4), 3*cx*(2*cx*cx+3)/pow(1-cx*cx,3.5), eps);
BOOST_REQUIRE_CLOSE(y.derivative(5), (24*(cx*cx+3)*cx*cx+9)/pow(1-cx*cx,4.5), eps);
}
};
BOOST_AUTO_TEST_CASE(asin_test)
{
boost::fusion::for_each(bin_float_types, asin_test_test());
}
struct asin_infinity_test
{
template<typename T>
void operator()(const T&) const
{
const T eps = 100*std::numeric_limits<T>::epsilon(); // percent
constexpr int m = 5;
auto x = make_fvar<T,m>(1);
auto y = asin(x);
//std::cout << "asin(1) = " << y << std::endl; // depth(1)(1.5707963267949,inf,inf,-nan,-nan,-nan)
BOOST_REQUIRE_CLOSE(y.derivative(0), boost::math::constants::half_pi<T>(), eps); // MacOS is not exact
BOOST_REQUIRE(y.derivative(1) == std::numeric_limits<T>::infinity());
}
};
BOOST_AUTO_TEST_CASE(asin_infinity)
{
boost::fusion::for_each(bin_float_types, asin_infinity_test());
boost::fusion::for_each(multiprecision_float_types, asin_infinity_test());
}
struct asin_derivative_test
{
template<typename T>
void operator()(const T&) const
{
const T eps = 300*std::numeric_limits<T>::epsilon(); // percent
using std::pow;
using std::sqrt;
constexpr int m = 4;
const T cx = 0.5;
auto x = make_fvar<T,m>(cx);
auto y = 1-x*x;
BOOST_REQUIRE(y.derivative(0) == 1-cx*cx);
BOOST_REQUIRE(y.derivative(1) == -2*cx);
BOOST_REQUIRE(y.derivative(2) == -2);
BOOST_REQUIRE(y.derivative(3) == 0);
BOOST_REQUIRE(y.derivative(4) == 0);
y = sqrt(y);
BOOST_REQUIRE(y.derivative(0) == sqrt(1-cx*cx));
BOOST_REQUIRE_CLOSE(y.derivative(1), -cx/sqrt(1-cx*cx), eps);
BOOST_REQUIRE_CLOSE(y.derivative(2), -1/pow(1-cx*cx,1.5), eps);
BOOST_REQUIRE_CLOSE(y.derivative(3), -3*cx/pow(1-cx*cx,2.5), eps);
BOOST_REQUIRE_CLOSE(y.derivative(4), -(12*cx*cx+3)/pow(1-cx*cx,3.5), eps);
y = y.inverse(); // asin'(x) = 1 / sqrt(1-x*x).
BOOST_REQUIRE_CLOSE(y.derivative(0), 1/sqrt(1-cx*cx), eps);
BOOST_REQUIRE_CLOSE(y.derivative(1), cx/pow(1-cx*cx,1.5), eps);
BOOST_REQUIRE_CLOSE(y.derivative(2), (2*cx*cx+1)/pow(1-cx*cx,2.5), eps);
BOOST_REQUIRE_CLOSE(y.derivative(3), 3*cx*(2*cx*cx+3)/pow(1-cx*cx,3.5), eps);
BOOST_REQUIRE_CLOSE(y.derivative(4), (24*(cx*cx+3)*cx*cx+9)/pow(1-cx*cx,4.5), eps);
}
};
BOOST_AUTO_TEST_CASE(asin_derivative)
{
boost::fusion::for_each(bin_float_types, asin_derivative_test());
}
struct tan_test_test
{
template<typename T>
void operator()(const T&) const
{
const T eps = 800*std::numeric_limits<T>::epsilon(); // percent
using std::sqrt;
constexpr int m = 5;
const T cx = boost::math::constants::third_pi<T>();
const T root_three = boost::math::constants::root_three<T>();
const auto x = make_fvar<T,m>(cx);
auto y = tan(x);
BOOST_REQUIRE_CLOSE(y.derivative(0), root_three, eps);
BOOST_REQUIRE_CLOSE(y.derivative(1), 4.0, eps);
BOOST_REQUIRE_CLOSE(y.derivative(2), 8*root_three, eps);
BOOST_REQUIRE_CLOSE(y.derivative(3), 80.0, eps);
BOOST_REQUIRE_CLOSE(y.derivative(4), 352*root_three, eps);
BOOST_REQUIRE_CLOSE(y.derivative(5), 5824.0, eps);
}
};
BOOST_AUTO_TEST_CASE(tan_test)
{
boost::fusion::for_each(bin_float_types, tan_test_test());
}
struct atan_test_test
{
template<typename T>
void operator()(const T&) const
{
constexpr int m = 5;
constexpr float cx = 1.0;
const auto x = make_fvar<T,m>(cx);
auto y = atan(x);
BOOST_REQUIRE(y.derivative(0) == boost::math::constants::pi<T>()/4);
BOOST_REQUIRE(y.derivative(1) == 0.5);
BOOST_REQUIRE(y.derivative(2) == -0.5);
BOOST_REQUIRE(y.derivative(3) == 0.5);
BOOST_REQUIRE(y.derivative(4) == 0.0);
BOOST_REQUIRE(y.derivative(5) == -3.0);
}
};
BOOST_AUTO_TEST_CASE(atan_test)
{
boost::fusion::for_each(bin_float_types, atan_test_test());
boost::fusion::for_each(multiprecision_float_types, atan_test_test());
}
struct fmod_test_test
{
template<typename T>
void operator()(const T&) const
{
constexpr int m = 3;
constexpr float cx = 3.25;
const T cy = 0.5;
auto x = make_fvar<T,m>(cx);
auto y = fmod(x,cy);
BOOST_REQUIRE(y.derivative(0) == 0.25);
BOOST_REQUIRE(y.derivative(1) == 1.0);
BOOST_REQUIRE(y.derivative(2) == 0.0);
BOOST_REQUIRE(y.derivative(3) == 0.0);
}
};
BOOST_AUTO_TEST_CASE(fmod_test)
{
boost::fusion::for_each(bin_float_types, fmod_test_test());
boost::fusion::for_each(multiprecision_float_types, fmod_test_test());
}
struct round_and_trunc_test
{
template<typename T>
void operator()(const T&) const
{
using std::round;
using std::trunc;
constexpr int m = 3;
constexpr float cx = 3.25;
auto x = make_fvar<T,m>(cx);
auto y = round(x);
BOOST_REQUIRE(y.derivative(0) == round(cx));
BOOST_REQUIRE(y.derivative(1) == 0.0);
BOOST_REQUIRE(y.derivative(2) == 0.0);
BOOST_REQUIRE(y.derivative(3) == 0.0);
y = trunc(x);
BOOST_REQUIRE(y.derivative(0) == trunc(cx));
BOOST_REQUIRE(y.derivative(1) == 0.0);
BOOST_REQUIRE(y.derivative(2) == 0.0);
BOOST_REQUIRE(y.derivative(3) == 0.0);
}
};
BOOST_AUTO_TEST_CASE(round_and_trunc)
{
boost::fusion::for_each(bin_float_types, round_and_trunc_test());
boost::fusion::for_each(multiprecision_float_types, round_and_trunc_test());
}
struct iround_and_itrunc_test
{
template<typename T>
void operator()(const T&) const
{
using namespace boost::math;
constexpr int m = 3;
constexpr float cx = 3.25;
auto x = make_fvar<T,m>(cx);
int y = iround(x);
BOOST_REQUIRE(y == iround(cx));
y = itrunc(x);
BOOST_REQUIRE(y == itrunc(cx));
}
};
BOOST_AUTO_TEST_CASE(iround_and_itrunc)
{
boost::fusion::for_each(bin_float_types, iround_and_itrunc_test());
boost::fusion::for_each(multiprecision_float_types, iround_and_itrunc_test());
}
struct lround_llround_truncl_test
{
template<typename T>
void operator()(const T&) const
{
using std::lround;
using std::llround;
//using std::truncl; // truncl not supported by cpp_dec_float<>.
constexpr int m = 3;
constexpr float cx = 3.25;
auto x = make_fvar<T,m>(cx);
long yl = lround(x);
BOOST_REQUIRE(yl == lround(cx));
long long yll = llround(x);
BOOST_REQUIRE(yll == llround(cx));
//long double yld = truncl(x);
//BOOST_REQUIRE(yld == truncl(cx));
}
};
BOOST_AUTO_TEST_CASE(lround_llround_truncl)
{
boost::fusion::for_each(bin_float_types, lround_llround_truncl_test());
boost::fusion::for_each(multiprecision_float_types, lround_llround_truncl_test());
}
struct mixed_partials_test
{
template<typename T>
void operator()(const T&) const
{
const T eps = 20000e2*std::numeric_limits<T>::epsilon(); // percent
// Derivatives calculated from symbolic differentiation by Mathematica for comparison.
const char* const answers[] = 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constexpr int Nw=3;
constexpr int Nx=2;
constexpr int Ny=4;
constexpr int Nz=3;
const auto w = make_fvar<T,Nw>(11);
const auto x = make_fvar<T,0,Nx>(12);
const auto y = make_fvar<T,0,0,Ny>(13);
const auto z = make_fvar<T,0,0,0,Nz>(14);
const auto v = mixed_partials_f(w,x,y,z); // auto = autodiff_fvar<double,Nw,Nx,Ny,Nz>
int ia=0;
for (int iw=0 ; iw<=Nw ; ++iw)
for (int ix=0 ; ix<=Nx ; ++ix)
for (int iy=0 ; iy<=Ny ; ++iy)
for (int iz=0 ; iz<=Nz ; ++iz)
{
const T answer = boost::lexical_cast<T>(answers[ia++]);
BOOST_REQUIRE_CLOSE(v.derivative(iw,ix,iy,iz), answer, eps);
}
}
};
BOOST_AUTO_TEST_CASE(mixed_partials)
{
boost::fusion::for_each(bin_float_types, mixed_partials_test());
}
struct multiprecision_test
{
template<typename T>
void operator()(const T&) const
{
constexpr double tolerance = 100e-98; // percent
using cpp_dec_float_100 = boost::multiprecision::cpp_dec_float_100;
// Calculated from Mathematica symbolic differentiation. See example/multiprecision.nb for script.
const cpp_dec_float_100 answer("1976.31960074779771777988187529041872090812118921875499076582535951111845769110560421820940516423255314");
constexpr int Nw=3;
constexpr int Nx=2;
constexpr int Ny=4;
constexpr int Nz=3;
const auto w = make_fvar<cpp_dec_float_100,Nw>(11);
const auto x = make_fvar<cpp_dec_float_100,0,Nx>(12);
const auto y = make_fvar<cpp_dec_float_100,0,0,Ny>(13);
const auto z = make_fvar<cpp_dec_float_100,0,0,0,Nz>(14);
const auto v = mixed_partials_f(w,x,y,z); // auto = autodiff_fvar<cpp_dec_float_100,Nw,Nx,Ny,Nz>
// BOOST_REQUIRE_CLOSE(v.derivative(Nw,Nx,Ny,Nz), answer, tolerance); Doesn't compile on travis-ci trusty.
using std::fabs;
const cpp_dec_float_100 relative_error = fabs(v.derivative(Nw,Nx,Ny,Nz)/answer-1);
BOOST_REQUIRE(100*relative_error.convert_to<T>() < tolerance);
}
};
BOOST_AUTO_TEST_CASE(multiprecision)
{
multiprecision_test()(boost::multiprecision::cpp_dec_float_100());
}
struct black_scholes_test
{
template<typename T>
void operator()(const T&) const
{
//const T eps = 2725*std::numeric_limits<T>::epsilon(); // percent
const T eps = 2600e2*std::numeric_limits<T>::epsilon(); // percent - requied by OSX
const double K = 100.0; // Strike price
const auto S = make_fvar<T,3>(105); // Stock price.
const auto sigma = make_fvar<T,0,3>(5); // Volatility.
const auto tau = make_fvar<T,0,0,1>(T(30.0)/365); // Time to expiration in years. (30 days).
const auto r = make_fvar<T,0,0,0,1>(T(1.25)/100); // Interest rate.
const auto call_price = black_scholes_option_price(call, K, S, sigma, tau, r);
const auto put_price = black_scholes_option_price(put, K, S, sigma, tau, r);
// Compare automatically calculated greeks by autodiff with formulas for greeks.
// https://en.wikipedia.org/wiki/Greeks_(finance)#Formulas_for_European_option_Greeks
const T d1 = static_cast<T>((log(S/K) + (r+sigma*sigma/2)*tau) / (sigma*sqrt(tau)));
const T d2 = static_cast<T>((log(S/K) + (r-sigma*sigma/2)*tau) / (sigma*sqrt(tau)));
const T Phi_pd1 = Phi(d1);
// intermediate cpp_dec_float calculation can't go to template function as it can't be implicitly cast back to T.
const T Phi_nd1 = Phi(static_cast<T>(-d1));
const T Phi_pd2 = Phi(d2);
const T Phi_nd2 = Phi(static_cast<T>(-d2));
//const T formula_call_delta = +Phi(+d1);
const T formula_call_delta = +Phi_pd1;
//const T formula_put_delta = -Phi(-d1);
const T formula_put_delta = -Phi_nd1;
const T formula_vega = static_cast<T>(S*phi(d1)*sqrt(tau));
//const T formula_call_theta = static_cast<T>(-S*phi(d1)*sigma/(2*sqrt(tau))-r*K*exp(-r*tau)*Phi(+d2));
const T formula_call_theta = static_cast<T>(-S*phi(d1)*sigma/(2*sqrt(tau))-r*K*exp(-r*tau)*Phi_pd2);
//const T formula_put_theta = static_cast<T>(-S*phi(d1)*sigma/(2*sqrt(tau))+r*K*exp(-r*tau)*Phi(-d2));
const T formula_put_theta = static_cast<T>(-S*phi(d1)*sigma/(2*sqrt(tau))+r*K*exp(-r*tau)*Phi_nd2);
//const T formula_call_rho = static_cast<T>(+K*tau*exp(-r*tau)*Phi(+d2));
const T formula_call_rho = static_cast<T>(+K*tau*exp(-r*tau)*Phi_pd2);
//const T formula_put_rho = static_cast<T>(-K*tau*exp(-r*tau)*Phi(-d2));
const T formula_put_rho = static_cast<T>(-K*tau*exp(-r*tau)*Phi_nd2);
const T formula_gamma = static_cast<T>(phi(d1)/(S*sigma*sqrt(tau)));
const T formula_vanna = static_cast<T>(-phi(d1)*d2/sigma);
const T formula_charm = static_cast<T>(phi(d1)*(d2*sigma*sqrt(tau)-2*r*tau)/(2*tau*sigma*sqrt(tau)));
const T formula_vomma = static_cast<T>(S*phi(d1)*sqrt(tau)*d1*d2/sigma);
const T formula_veta = static_cast<T>(-S*phi(d1)*sqrt(tau)*(r*d1/(sigma*sqrt(tau))-(1+d1*d2)/(2*tau)));
const T formula_speed = static_cast<T>(-phi(d1)*(d1/(sigma*sqrt(tau))+1)/(S*S*sigma*sqrt(tau)));
const T formula_zomma = static_cast<T>(phi(d1)*(d1*d2-1)/(S*sigma*sigma*sqrt(tau)));
const T formula_color =
static_cast<T>(-phi(d1)/(2*S*tau*sigma*sqrt(tau))*(1+(2*r*tau-d2*sigma*sqrt(tau))*d1/(sigma*sqrt(tau))));
const T formula_ultima = -formula_vega*static_cast<T>((d1*d2*(1-d1*d2)+d1*d1+d2*d2)/(sigma*sigma));
BOOST_REQUIRE_CLOSE( call_price.derivative(1,0,0,0), formula_call_delta, eps);
BOOST_REQUIRE_CLOSE( call_price.derivative(0,1,0,0), formula_vega, eps);
BOOST_REQUIRE_CLOSE(-call_price.derivative(0,0,1,0), formula_call_theta, eps); // minus sign from tau = T-time
BOOST_REQUIRE_CLOSE( call_price.derivative(0,0,0,1), formula_call_rho, eps);
BOOST_REQUIRE_CLOSE( put_price.derivative(1,0,0,0), formula_put_delta, eps);
BOOST_REQUIRE_CLOSE( put_price.derivative(0,1,0,0), formula_vega, eps);
BOOST_REQUIRE_CLOSE( -put_price.derivative(0,0,1,0), formula_put_theta, eps);
BOOST_REQUIRE_CLOSE( put_price.derivative(0,0,0,1), formula_put_rho, eps);
BOOST_REQUIRE_CLOSE( call_price.derivative(2,0,0,0), formula_gamma, eps);
BOOST_REQUIRE_CLOSE( put_price.derivative(2,0,0,0), formula_gamma, eps);
BOOST_REQUIRE_CLOSE( call_price.derivative(1,1,0,0), formula_vanna, eps);
BOOST_REQUIRE_CLOSE( put_price.derivative(1,1,0,0), formula_vanna, eps);
BOOST_REQUIRE_CLOSE(-call_price.derivative(1,0,1,0), formula_charm, eps);
BOOST_REQUIRE_CLOSE( -put_price.derivative(1,0,1,0), formula_charm, eps);
BOOST_REQUIRE_CLOSE( call_price.derivative(0,2,0,0), formula_vomma, eps);
BOOST_REQUIRE_CLOSE( put_price.derivative(0,2,0,0), formula_vomma, eps);
BOOST_REQUIRE_CLOSE( call_price.derivative(0,1,1,0), formula_veta, eps);
BOOST_REQUIRE_CLOSE( put_price.derivative(0,1,1,0), formula_veta, eps);
BOOST_REQUIRE_CLOSE( call_price.derivative(3,0,0,0), formula_speed, eps);
BOOST_REQUIRE_CLOSE( put_price.derivative(3,0,0,0), formula_speed, eps);
BOOST_REQUIRE_CLOSE( call_price.derivative(2,1,0,0), formula_zomma, eps);
BOOST_REQUIRE_CLOSE( put_price.derivative(2,1,0,0), formula_zomma, eps);
BOOST_REQUIRE_CLOSE( call_price.derivative(2,0,1,0), formula_color, eps);
BOOST_REQUIRE_CLOSE( put_price.derivative(2,0,1,0), formula_color, eps);
BOOST_REQUIRE_CLOSE( call_price.derivative(0,3,0,0), formula_ultima, eps);
BOOST_REQUIRE_CLOSE( put_price.derivative(0,3,0,0), formula_ultima, eps);
}
};
BOOST_AUTO_TEST_CASE(black_scholes)
{
boost::fusion::for_each(bin_float_types, black_scholes_test());
}
BOOST_AUTO_TEST_SUITE_END()
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