trueskill/UnitTests/Numerics/GaussianDistributionTests.cs

using System;
using Moserware.Numerics;
using NUnit.Framework;

namespace UnitTests.Numerics
{
    [TestFixture]
    public class GaussianDistributionTests
    {
        private const double ErrorTolerance = 0.000001;

        [Test]
        public void MultiplicationTests()
        {
            // I verified this against the formula at http://www.tina-vision.net/tina-knoppix/tina-memo/2003-003.pdf
            var standardNormal = new GaussianDistribution(0, 1);
            var shiftedGaussian = new GaussianDistribution(2, 3);

            var product = standardNormal * shiftedGaussian;

            Assert.AreEqual(0.2, product.Mean, ErrorTolerance);
            Assert.AreEqual(3.0 / Math.Sqrt(10), product.StandardDeviation, ErrorTolerance);

            var m4s5 = new GaussianDistribution(4, 5);
            var m6s7 = new GaussianDistribution(6, 7);

            var product2 = m4s5 * m6s7;
            Func<double, double> square = x => x*x;

            var expectedMean = (4 * square(7) + 6 * square(5)) / (square(5) + square(7));
            Assert.AreEqual(expectedMean, product2.Mean, ErrorTolerance);

            var expectedSigma = Math.Sqrt(((square(5) * square(7)) / (square(5) + square(7))));
            Assert.AreEqual(expectedSigma, product2.StandardDeviation, ErrorTolerance);
        }

        [Test]
        public void DivisionTests()
        {
            // Since the multiplication was worked out by hand, we use the same numbers but work backwards
            var product = new GaussianDistribution(0.2, 3.0 / Math.Sqrt(10));
            var standardNormal = new GaussianDistribution(0, 1);

            var productDividedByStandardNormal = product / standardNormal;
            Assert.AreEqual(2.0, productDividedByStandardNormal.Mean, ErrorTolerance);
            Assert.AreEqual(3.0, productDividedByStandardNormal.StandardDeviation, ErrorTolerance);

            Func<double, double> square = x => x * x;
            var product2 = new GaussianDistribution((4 * square(7) + 6 * square(5)) / (square(5) + square(7)), Math.Sqrt(((square(5) * square(7)) / (square(5) + square(7)))));
            var m4s5 = new GaussianDistribution(4,5);
            var product2DividedByM4S5 = product2 / m4s5;
            Assert.AreEqual(6.0, product2DividedByM4S5.Mean, ErrorTolerance);
            Assert.AreEqual(7.0, product2DividedByM4S5.StandardDeviation, ErrorTolerance);
        }

        [Test]
        public void LogProductNormalizationTests()
        {
            var m4s5 = new GaussianDistribution(4, 5);
            var m6s7 = new GaussianDistribution(6, 7);

            var product2 = m4s5 * m6s7;
            var normConstant = 1.0 / (Math.Sqrt(2 * Math.PI) * product2.StandardDeviation);
            var lpn = GaussianDistribution.LogProductNormalization(m4s5, m6s7);

        }
    }
}