add pure forecast case to test_robustlq

QuantEcon · Oct 23, 2017 · 245670c · 245670c
1 parent 776a8bf
commit 245670c
Showing 1 changed file with 21 additions and 3 deletions.
diff --git a/quantecon/tests/test_robustlq.py b/quantecon/tests/test_robustlq.py
@@ -1,8 +1,8 @@
 """
 Author: Chase Coleman
-Filename: test_lqcontrol
+Filename: test_robustlq
 
-Tests for lqcontrol.py file
+Tests for robustlq.py file
 
 """
 import sys
@@ -35,36 +35,54 @@ def setUp(self):
 
         R = -R
         Q = gamma / 2
+        Q_pf = 0.
 
         A = np.array([[1., 0., 0.],
                       [0., 1., 0.],
                       [0., 0., rho]])
         B = np.array([[0.],
                       [1.],
                       [0.]])
+        B_pf = np.zeros((3, 1))
+
         C = np.array([[0.],
                       [0.],
                       [sigma_d]])
 
-
+        # the *_pf endings refer to an example with pure forecasting
+        # (see p171 in Robustness)
         self.rblq_test = RBLQ(Q, R, A, B, C, beta, theta)
+        self.rblq_test_pf = RBLQ(Q_pf, R, A, B_pf, C, beta, theta)
         self.lq_test = LQ(Q, R, A, B, C, beta)
 
         self.Fr, self.Kr, self.Pr = self.rblq_test.robust_rule()
+        self.Fr_pf, self.Kr_pf, self.Pr_pf = self.rblq_test_pf.robust_rule()
 
     def tearDown(self):
         del self.rblq_test
+        del self.rblq_test_pf
+
+    def test_pure_forecasting(self):
+        self.assertTrue(self.rblq_test_pf.pure_forecasting)
 
     def test_robust_rule_vs_simple(self):
         rblq = self.rblq_test
+        rblq_pf = self.rblq_test_pf
         Fr, Kr, Pr = self.Fr, self.Kr, self.Pr
+        Fr_pf, Kr_pf, Pr_pf = self.Fr_pf, self.Kr_pf, self.Pr_pf
 
         Fs, Ks, Ps = rblq.robust_rule_simple(P_init=Pr, tol=1e-12)
+        Fs_pf, Ks_pf, Ps_pf = rblq_pf.robust_rule_simple(P_init=Pr_pf, tol=1e-12)
 
         assert_allclose(Fr, Fs, rtol=1e-4)
         assert_allclose(Kr, Ks, rtol=1e-4)
         assert_allclose(Pr, Ps, rtol=1e-4)
 
+        assert_allclose(Fr_pf, Fs_pf, rtol=1e-4)
+        assert_allclose(Kr_pf, Ks_pf, rtol=1e-4)
+        assert_allclose(Pr_pf, Ps_pf, rtol=1e-4)
+
+
     def test_f2k_and_k2f(self):
         rblq = self.rblq_test
         Fr, Kr, Pr = self.Fr, self.Kr, self.Pr