Added tests for Matern52

Cargo.toml

@@ -12,6 +12,5 @@ ndarray = { version = "0.14", features = ["approx"] }
 [dev-dependencies]
 approx = "0.4"
 intel-mkl-src = "0.5"
-rand = "0.7"
-rand_xoshiro = "0.4"
+rand = "0.8"
 time = "0.2"

src/kernel/matern52.rs

@@ -4,7 +4,7 @@ use super::Kernel;
 
 pub struct Matern52 {
     var: f64,
-    _l_scale: f64,
+    l_scale: f64,
     lambda: f64,
 }
 
@@ -12,15 +12,23 @@ impl Matern52 {
     pub fn new(var: f64, l_scale: f64) -> Self {
         Matern52 {
             var,
-            _l_scale: l_scale,
+            l_scale,
             lambda: 5.0f64.sqrt() / l_scale,
         }
     }
 }
 
 impl Kernel for Matern52 {
-    fn k_mat(&self, _ts1: &[f64], _ts2: Option<&[f64]>) -> Array2<f64> {
-        unimplemented!();
+    fn k_mat(&self, ts1: &[f64], ts2: Option<&[f64]>) -> Array2<f64> {
+        let ts2 = ts2.unwrap_or(ts1);
+
+        let sqrt5 = 5.0f64.sqrt();
+
+        let r = super::distance(ts1, ts2) / self.l_scale;
+        let r2 = r.mapv(|v| (-sqrt5 * v).exp());
+        let r3 = r.mapv(|v| v.powi(2));
+
+        r2 * (1.0 + sqrt5 * r + (5.0 / 3.0) * r3) * self.var
     }
 
     fn k_diag(&self, ts: &[f64]) -> Array1<f64> {
@@ -59,6 +67,10 @@ impl Kernel for Matern52 {
         ]
     }
 
+    fn noise_effect(&self) -> Array2<f64> {
+        array![[0.0], [0.0], [1.0]]
+    }
+
     fn transition(&self, t0: f64, t1: f64) -> Array2<f64> {
         let d = t1 - t0;
         let a = self.lambda;
@@ -102,3 +114,77 @@ impl Kernel for Matern52 {
         self.var * array![[x11, x12, x13], [x12, x22, x23], [x13, x23, x33]]
     }
 }
+
+#[cfg(test)]
+mod tests {
+    extern crate intel_mkl_src;
+
+    use approx::assert_abs_diff_eq;
+    use rand::{distributions::Standard, thread_rng, Rng};
+
+    use super::*;
+
+    #[test]
+    fn test_kernel_matrix() {
+        let kernel = Matern52::new(0.2, 5.0);
+
+        let ts = [1.26, 1.46, 2.67];
+
+        assert_abs_diff_eq!(
+            kernel.k_mat(&ts, None),
+            array![
+                [0.2, 0.19973384192198906, 0.18769647349199411],
+                [0.19973384192198906, 0.2, 0.19077859940208852],
+                [0.18769647349199411, 0.19077859940208852, 0.2]
+            ]
+        );
+    }
+
+    #[test]
+    fn test_kernel_diag() {
+        let kernel = Matern52::new(0.2, 5.0);
+
+        let ts: Vec<_> = thread_rng()
+            .sample_iter::<f64, _>(Standard)
+            .take(10)
+            .map(|x| x * 10.0)
+            .collect();
+
+        assert_eq!(kernel.k_mat(&ts, None).diag(), kernel.k_diag(&ts));
+    }
+
+    #[test]
+    fn test_kernel_order() {
+        let kernel = Matern52::new(0.2, 5.0);
+
+        let m = kernel.order();
+
+        assert_eq!(kernel.state_mean(0.0).shape(), &[m]);
+        assert_eq!(kernel.state_cov(0.0).shape(), &[m, m]);
+        assert_eq!(kernel.measurement_vector().shape(), &[m]);
+        assert_eq!(kernel.feedback().shape(), &[m, m]);
+        assert_eq!(kernel.noise_effect().shape()[0], m);
+        assert_eq!(kernel.transition(0.0, 1.0).shape(), &[m, m]);
+        assert_eq!(kernel.noise_cov(0.0, 1.0).shape(), &[m, m]);
+    }
+
+    #[test]
+    fn test_ssm_variance() {
+        let kernel = Matern52::new(0.2, 5.0);
+
+        let ts: Vec<_> = thread_rng()
+            .sample_iter::<f64, _>(Standard)
+            .take(10)
+            .map(|x| x * 10.0)
+            .collect();
+
+        let h = kernel.measurement_vector();
+
+        let vars = ts
+            .iter()
+            .map(|t| h.dot(&kernel.state_cov(*t)).dot(&h))
+            .collect::<Vec<_>>();
+
+        assert_abs_diff_eq!(Array::from(vars), kernel.k_diag(&ts));
+    }
+}