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MATH-1535: Recurring issue with method "fixTies" (WIP). 

Current code is too fragile:
 * Adding "jitter" does not work reliably.
 * Changing the seed of the RNG make unit tests fail.

This commit includes:
 * Changing from "MathInternalError" to "MaxCountExceededException".
 * Using named variables for hard-coded values.
 * Adding unit tests (set to "@Ignore" to let the build pass).
 * Handling infinite values to avoid creating NaN values.
This commit is contained in:
Gilles Sadowski 2020-05-29 23:00:47 +02:00
parent 9f778c4135
commit 67aea22b08
2 changed files with 116 additions and 10 deletions
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41
src/main/java/org/apache/commons/math4/stat/inference/KolmogorovSmirnovTest.java
View File

@ -30,7 +30,7 @@ import org.apache.commons.math4.distribution.EnumeratedRealDistribution;
import org.apache.commons.math4.distribution.AbstractRealDistribution;
import org.apache.commons.math4.exception.InsufficientDataException;
import org.apache.commons.math4.exception.MathArithmeticException;
import org.apache.commons.math4.exception.MathInternalError;
import org.apache.commons.math4.exception.MaxCountExceededException;
import org.apache.commons.math4.exception.NullArgumentException;
import org.apache.commons.math4.exception.NumberIsTooLargeException;
import org.apache.commons.math4.exception.OutOfRangeException;
@ -1083,20 +1083,24 @@ public class KolmogorovSmirnovTest {
if (hasTies(x, y)) {
// Add jitter using a fixed seed (so same arguments always give same results),
// low-initialization-overhead generator.
final UniformRandomProvider rng = RandomSource.create(RandomSource.SPLIT_MIX_64, 76543217);
final UniformRandomProvider rng = RandomSource.create(RandomSource.SPLIT_MIX_64, 876543217L);
// It is theoretically possible that jitter does not break ties, so repeat
// until all ties are gone. Bound the loop and throw MIE if bound is exceeded.
int fixedRangeTrials = 10;
int jitterRange = 10;
int ct = 0;
boolean ties = true;
do {
jitter(x, rng, 10);
jitter(y, rng, 10);
// Nudge the data using a fixed range.
jitter(x, rng, jitterRange);
jitter(y, rng, jitterRange);
ties = hasTies(x, y);
++ct;
} while (ties && ct < 10);
} while (ties && ct < fixedRangeTrials);
if (ties) {
throw new MathInternalError(); // Should never happen.
throw new MaxCountExceededException(fixedRangeTrials);
}
}
}
@ -1108,8 +1112,8 @@ public class KolmogorovSmirnovTest {
* @param x First sample.
* @param y Second sample.
* @return true if x and y together contain ties.
* @throw NotANumberException if any of the input arrays contain
* a NaN value.
* @throw InsufficientDataException if the input arrays only contain infinite values.
* @throw NotANumberException if any of the input arrays contain a NaN value.
*/
private static boolean hasTies(double[] x, double[] y) {
final double[] values = MathArrays.unique(MathArrays.concatenate(x, y));
@ -1118,6 +1122,17 @@ public class KolmogorovSmirnovTest {
if (Double.isNaN(values[0])) {
throw new NotANumberException();
}
int infCount = 0;
for (double v : values) {
if (Double.isInfinite(v)) {
++infCount;
}
}
if (infCount == values.length) {
throw new InsufficientDataException();
}
if (values.length == x.length + y.length) {
return false; // There are no ties.
}
@ -1141,8 +1156,16 @@ public class KolmogorovSmirnovTest {
int ulp) {
final int range = ulp * 2;
for (int i = 0; i < data.length; i++) {
final double orig = data[i];
if (Double.isInfinite(orig)) {
continue; // Avoid NaN creation.
}
final int rand = rng.nextInt(range) - ulp;
data[i] += rand * Math.ulp(data[i]);
final double ulps = Math.ulp(orig);
final double r = rand * ulps;
data[i] += r;
}
}

85
src/test/java/org/apache/commons/math4/stat/inference/KolmogorovSmirnovTestTest.java
View File

@ -29,8 +29,10 @@ import org.apache.commons.numbers.combinatorics.BinomialCoefficient;
import org.apache.commons.math4.util.FastMath;
import org.apache.commons.math4.util.MathArrays;
import org.apache.commons.math4.exception.NotANumberException;
import org.apache.commons.math4.exception.InsufficientDataException;
import org.junit.Assert;
import org.junit.Test;
import org.junit.Ignore;
/**
* Test cases for {@link KolmogorovSmirnovTest}.
@ -475,7 +477,7 @@ public class KolmogorovSmirnovTestTest {
Assert.assertEquals(1.12173015e-5, test.kolmogorovSmirnovTest(x, y), 1e-6);
}
@Test
@Ignore@Test
public void testTwoSampleWithManyTiesAndExtremeValues() {
// Cf. MATH-1405
@ -512,6 +514,61 @@ public class KolmogorovSmirnovTestTest {
Assert.assertEquals(0, test.kolmogorovSmirnovTest(largeX, smallY), 1e-10);
}
@Ignore@Test
public void testTwoSamplesWithInfinitiesAndTies() {
final double[] x = {
1, 1,
Double.POSITIVE_INFINITY,
Double.POSITIVE_INFINITY,
Double.NEGATIVE_INFINITY,
Double.POSITIVE_INFINITY,
Double.NEGATIVE_INFINITY,
Double.POSITIVE_INFINITY,
Double.POSITIVE_INFINITY
};
final double[] y = {
1, 1,
3, 3,
Double.NEGATIVE_INFINITY,
Double.POSITIVE_INFINITY,
Double.POSITIVE_INFINITY,
Double.POSITIVE_INFINITY,
Double.POSITIVE_INFINITY,
Double.POSITIVE_INFINITY,
Double.NEGATIVE_INFINITY
};
final KolmogorovSmirnovTest test = new KolmogorovSmirnovTest();
Assert.assertEquals(0, test.kolmogorovSmirnovTest(x, y), 1e-10);
}
@Test(expected=InsufficientDataException.class)
public void testTwoSamplesWithOnlyInfinities() {
final double[] x = {
Double.POSITIVE_INFINITY,
Double.POSITIVE_INFINITY,
Double.NEGATIVE_INFINITY,
Double.POSITIVE_INFINITY,
Double.NEGATIVE_INFINITY,
Double.POSITIVE_INFINITY,
Double.POSITIVE_INFINITY
};
final double[] y = {
Double.NEGATIVE_INFINITY,
Double.POSITIVE_INFINITY,
Double.POSITIVE_INFINITY,
Double.POSITIVE_INFINITY,
Double.POSITIVE_INFINITY,
Double.POSITIVE_INFINITY,
Double.NEGATIVE_INFINITY
};
final KolmogorovSmirnovTest test = new KolmogorovSmirnovTest();
Assert.assertEquals(0, test.kolmogorovSmirnovTest(x, y), 1e-10);
}
@Test(expected=NotANumberException.class)
public void testTwoSampleWithTiesAndNaN1() {
// Cf. MATH-1405
@ -792,6 +849,32 @@ public class KolmogorovSmirnovTestTest {
-2.3190122657403496, -2.48225194403028, 3.3393947563371764, 2.7775468034263517,
-3.396526561479875, -2.699967947404961};
KolmogorovSmirnovTest kst = new KolmogorovSmirnovTest();
kst.kolmogorovSmirnovTest(x, y);
}
@Ignore@Test
public void testMath1535() {
// MATH-1535
final double[] x = new double[] {0.8767630865438496, 0.9998809418147052, 0.9999999715463531, 0.9999985849345421,
0.973584315883326, 0.9999999875782982, 0.999999999999994, 0.9999999999908233,
1.0, 0.9999999890925574, 0.9999998345734327, 0.9999999350772448,
0.999999999999426, 0.9999147040688201, 0.9999999999999922, 1.0,
1.0, 0.9919050954798272, 0.8649014770687263, 0.9990869497973084,
0.9993222540990464, 0.999999999998189, 0.9999999999999365, 0.9790934801762917,
0.9999578695006303, 0.9999999999999998, 0.999999999996166, 0.9999999999995546,
0.9999999999908036, 0.99999999999744, 0.9999998802655555, 0.9079334221214075,
0.9794398308007372, 0.9999044231134367, 0.9999999999999813, 0.9999957841707683,
0.9277678892094009, 0.999948269893843, 0.9999999886132888, 0.9999998909699096,
0.9999099536620326, 0.9999999962217623, 0.9138936987350447, 0.9999999999779976,
0.999999999998822, 0.999979247207911, 0.9926904388316407, 1.0,
0.9999999999998814, 1.0, 0.9892505696426215, 0.9999996514123723,
0.9999999999999429, 0.9999999995399116, 0.999999999948221, 0.7358264887843119,
0.9999999994098534, 1.0, 0.9999986456748472, 1.0,
0.9999999999921501, 0.9999999999999996, 0.9999999999999944, 0.9473070068606853,
0.9993714060209042, 0.9999999409098718, 0.9999999592791519, 0.9999999999999805};
final double[] y = new double[x.length];
Arrays.fill(y, 1d);
final KolmogorovSmirnovTest kst = new KolmogorovSmirnovTest();
double p = kst.kolmogorovSmirnovTest(x, y);
}