- New random shift source (based on Colin Green's XorShift algorithm)

- Fix on Box Muller transform - Tests on distribution for Gaussian and Uniform samples
bgarate · Mar 7, 2016 · c1e4085 · c1e4085
1 parent 8e15d62
commit c1e4085
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Showing 6 changed files with 467 additions and 3 deletions.
diff --git a/Evolution/Evolution.Test/Evolution.Test.csproj b/Evolution/Evolution.Test/Evolution.Test.csproj
@@ -32,6 +32,8 @@
     <IsWebBootstrapper>false</IsWebBootstrapper>
     <UseApplicationTrust>false</UseApplicationTrust>
     <BootstrapperEnabled>true</BootstrapperEnabled>
+    <NuGetPackageImportStamp>
+    </NuGetPackageImportStamp>
   </PropertyGroup>
   <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Debug|AnyCPU' ">
     <DebugSymbols>true</DebugSymbols>
@@ -53,6 +55,22 @@
     <Prefer32Bit>false</Prefer32Bit>
   </PropertyGroup>
   <ItemGroup>
+    <Reference Include="Accord, Version=3.0.2.0, Culture=neutral, PublicKeyToken=fa1a88e29555ccf7, processorArchitecture=MSIL">
+      <HintPath>..\packages\Accord.3.0.2\lib\net35\Accord.dll</HintPath>
+      <Private>True</Private>
+    </Reference>
+    <Reference Include="Accord.Math, Version=3.0.2.0, Culture=neutral, PublicKeyToken=fa1a88e29555ccf7, processorArchitecture=MSIL">
+      <HintPath>..\packages\Accord.Math.3.0.2\lib\net35\Accord.Math.dll</HintPath>
+      <Private>True</Private>
+    </Reference>
+    <Reference Include="Accord.Statistics, Version=3.0.2.0, Culture=neutral, PublicKeyToken=fa1a88e29555ccf7, processorArchitecture=MSIL">
+      <HintPath>..\packages\Accord.Statistics.3.0.2\lib\net35\Accord.Statistics.dll</HintPath>
+      <Private>True</Private>
+    </Reference>
+    <Reference Include="MathNet.Numerics, Version=3.11.0.0, Culture=neutral, processorArchitecture=MSIL">
+      <HintPath>..\packages\MathNet.Numerics.3.11.0\lib\net35\MathNet.Numerics.dll</HintPath>
+      <Private>True</Private>
+    </Reference>
     <Reference Include="Microsoft.VisualStudio.QualityTools.UnitTestFramework, Version=10.0.0.0, Culture=neutral, PublicKeyToken=b03f5f7f11d50a3a, processorArchitecture=MSIL">
       <Private>False</Private>
     </Reference>
@@ -61,6 +79,10 @@
       <Private>True</Private>
     </Reference>
     <Reference Include="System" />
+    <Reference Include="System.Threading, Version=1.0.2856.102, Culture=neutral, PublicKeyToken=31bf3856ad364e35, processorArchitecture=MSIL">
+      <HintPath>..\packages\TaskParallelLibrary.1.0.2856.0\lib\Net35\System.Threading.dll</HintPath>
+      <Private>True</Private>
+    </Reference>
   </ItemGroup>
   <ItemGroup>
     <Compile Include="BreedersTest.cs" />
@@ -107,6 +129,13 @@
     <Folder Include="Core\" />
   </ItemGroup>
   <Import Project="$(MSBuildToolsPath)\Microsoft.CSharp.targets" />
+  <Import Project="..\packages\Accord.3.0.2\build\Accord.targets" Condition="Exists('..\packages\Accord.3.0.2\build\Accord.targets')" />
+  <Target Name="EnsureNuGetPackageBuildImports" BeforeTargets="PrepareForBuild">
+    <PropertyGroup>
+      <ErrorText>This project references NuGet package(s) that are missing on this computer. Use NuGet Package Restore to download them.  For more information, see http://go.microsoft.com/fwlink/?LinkID=322105. The missing file is {0}.</ErrorText>
+    </PropertyGroup>
+    <Error Condition="!Exists('..\packages\Accord.3.0.2\build\Accord.targets')" Text="$([System.String]::Format('$(ErrorText)', '..\packages\Accord.3.0.2\build\Accord.targets'))" />
+  </Target>
   <!-- To modify your build process, add your task inside one of the targets below and uncomment it. 
        Other similar extension points exist, see Microsoft.Common.targets.
   <Target Name="BeforeBuild">

diff --git a/Evolution/Evolution.Test/RandomGeneratorTest.cs b/Evolution/Evolution.Test/RandomGeneratorTest.cs
@@ -1,6 +1,8 @@
 using System;
 using System.Collections.Generic;
 using System.Linq;
+using Accord.Statistics.Testing;
+using MathNet.Numerics.Statistics;
 using NUnit.Framework;
 using Singular.Evolution.Utils;
 
@@ -117,6 +119,7 @@ public void TestIntSequences()
 
             Assert.GreaterOrEqual(min3, -400);
             Assert.LessOrEqual(max3, -1);
+
         }
 
         [Test]
@@ -161,5 +164,68 @@ public void TestRandomGeneratorMock()
             Assert.Throws(typeof (InvalidOperationException), () => rnd.NextInt());
             Assert.Throws(typeof (Exception), () => rnd.NextDouble());
         }
+
+        [Test]
+        public void TestXorShiftRandomSource()
+        {
+            XorShiftRandomSource source = new XorShiftRandomSource();
+            double[] values = Enumerable.Range(0, 1000000).Select(i => source.NextDouble()).ToArray();
+            UniformDistributionTest(values,0,1);
+        }
+
+        [Test]
+        public void TestSystemRandomSource()
+        {
+            SystemRandomSource source = new SystemRandomSource();
+            double[] values = Enumerable.Range(0, 1000000).Select(i => source.NextDouble()).ToArray();
+            UniformDistributionTest(values, 0, 1);
+        }
+
+        [Test]
+        public void TestBoxMullerTransformation()
+        {
+            BoxMullerTransformation boxMullerTransformation = new BoxMullerTransformation(RandomGenerator.GetInstance());
+            double[] values = Enumerable.Range(0, 1000000).Select(i => boxMullerTransformation.NextGaussian(3,5)).ToArray();
+            ShapiroWilkTest test = new ShapiroWilkTest(values);
+            Assert.False(test.Significant);
+        }
+
+        [Test]
+        public void TestBoxMullerTransformationClamped()
+        {
+            BoxMullerTransformation boxMullerTransformation = new BoxMullerTransformation(RandomGenerator.GetInstance());
+            double[] values = Enumerable.Range(0, 1000000).Select(i => boxMullerTransformation.NextBoundedGaussian(3,2,10)).ToArray();
+            ShapiroWilkTest test = new ShapiroWilkTest(values);
+            Assert.False(test.Significant);
+        }
+
+
+        public void UniformDistributionTest(double[] sampleArr, double lowerBound, double upperBound)
+        {
+            Array.Sort(sampleArr);
+            RunningStatistics runningStats = new RunningStatistics(sampleArr);
+
+            // Skewness should be pretty close to zero (evenly distributed samples)
+            if (Math.Abs(runningStats.Skewness) > 0.01) Assert.Fail();
+
+            // Mean test.
+            double range = upperBound - lowerBound;
+            double expectedMean = lowerBound + (range / 2.0);
+            double meanErr = expectedMean - runningStats.Mean;
+            double maxExpectedErr = range / 1000.0;
+
+            if (Math.Abs(meanErr) > maxExpectedErr) Assert.Fail();
+
+            for (double tau = 0; tau <= 1.0; tau += 0.01)
+            {
+                double quantile = SortedArrayStatistics.Quantile(sampleArr, tau);
+                double expectedQuantile = lowerBound + (tau * range);
+                double quantileError = expectedQuantile - quantile;
+                if (Math.Abs(quantileError) > maxExpectedErr) Assert.Fail();
+            }
+
+            ShapiroWilkTest test = new ShapiroWilkTest(sampleArr);
+            Assert.True(test.Significant);
+        }
     }
 }
diff --git a/Evolution/Evolution.Test/packages.config b/Evolution/Evolution.Test/packages.config
@@ -1,7 +1,11 @@
 <?xml version="1.0" encoding="utf-8"?>
-
 <packages>
+  <package id="Accord" version="3.0.2" targetFramework="net35" />
+  <package id="Accord.Math" version="3.0.2" targetFramework="net35" />
+  <package id="Accord.Statistics" version="3.0.2" targetFramework="net35" />
   <package id="coveralls.net" version="0.6.0" targetFramework="net4" />
+  <package id="MathNet.Numerics" version="3.11.0" targetFramework="net35" />
   <package id="NUnit" version="3.0.1" targetFramework="net35" />
   <package id="OpenCover" version="4.6.166" targetFramework="net4" />
+  <package id="TaskParallelLibrary" version="1.0.2856.0" targetFramework="net35" />
 </packages>
diff --git a/Evolution/Evolution/Evolution.csproj b/Evolution/Evolution/Evolution.csproj
@@ -106,6 +106,7 @@
     <Compile Include="Utils\RandomChooser.cs" />
     <Compile Include="Utils\RandomGenerator.cs" />
     <Compile Include="Utils\MockRandomSource.cs" />
+    <Compile Include="Utils\XorShiftRandomSource.cs" />
     <Compile Include="Utils\SystemRandomSource.cs" />
   </ItemGroup>
   <ItemGroup>

diff --git a/Evolution/Evolution/Utils/RandomGenerator.cs b/Evolution/Evolution/Utils/RandomGenerator.cs
@@ -224,7 +224,7 @@ public static RandomGenerator GetInstance()
         }
     }
 
-    internal class BoxMullerTransformation
+    public class BoxMullerTransformation
     {
         private const int BOUNDED_DEVIATIONS = 3;
 
@@ -276,7 +276,7 @@ private double CalculateGaussianDistribution()
             double f = Math.Sqrt(-2.0*Math.Log(squares)/squares);
 
             secondDerivative = y*f;
-            return x;
+            return x*f;
         }
     }
 }