test: add tests for PIDEProblem

test/PIDEProblem.jl

@@ -0,0 +1,205 @@
+using HighDimPDE 
+
+@testset "PIDEs" begin
+    for d in [1, 10]
+        x0 = fill(8.0f0, d) # initial points
+        tspan = (0.0f0, 5.0f0)
+
+        μ_f(X, p, t) = zero(X) #Vector d x 1
+        σ_f(X, p, t) = Diagonal(ones(Float32, d)) |> Matrix
+        g(X) = sum(X .^ 2)   # terminal condition
+        f_nonlinear(y, z, v_y, v_z, ∇v_y, ∇v_z, p, t) = 0.0f0 .* v_y
+
+        prob = PIDEProblem(μ_f, σ_f, x0, tspan, g, f_nonlinear)
+
+        @test prob.f == f_nonlinear
+        @test prob.g == g
+        @test prob.μ == μ_f
+        @test prob.σ == σ_f
+        @test prob.x == x0
+        @test prob.u0 == g(x0)
+        @test prob.p == nothing
+        @test prob.tspan == tspan
+
+        @testset "With neumann_bc" begin
+            neumann_bc = [-1 * fill(5.0f-1, d), fill(5.0f-1, d)]
+            prob = PIDEProblem(μ_f, σ_f, x0, tspan, g, f_nonlinear; neumann_bc)
+
+            @test prob.f == f_nonlinear
+            @test prob.g == g
+            @test prob.μ == μ_f
+            @test prob.σ == σ_f
+            @test prob.x == x0
+            @test prob.u0 == g(x0)
+            @test prob.p == nothing
+            @test prob.tspan == tspan
+            @test prob.neumann_bc == neumann_bc
+        end
+
+        @testset "With x0_sample" begin
+            x0_sample = UniformSampling(fill(-5.0f-1, d), fill(5.0f-1, d))
+
+            prob = PIDEProblem(μ_f, σ_f, x0, tspan, g, f_nonlinear; x0_sample)
+
+            @test prob.f == f_nonlinear
+            @test prob.g == g
+            @test prob.μ == μ_f
+            @test prob.σ == σ_f
+            @test prob.x == x0
+            @test prob.u0 == g(x0)
+            @test prob.p == nothing
+            @test prob.tspan == tspan
+            @test prob.x0_sample == x0_sample
+        end
+
+        @testset "With x0_sample and neumann_bc" begin
+            x0_sample = UniformSampling(fill(-5.0f-1, d), fill(5.0f-1, d))
+            neumann_bc = [-1 * fill(5.0f-1, d), fill(5.0f-1, d)]
+
+            prob = PIDEProblem(μ_f, σ_f, x0, tspan, g, f_nonlinear; x0_sample, neumann_bc)
+
+            @test prob.f == f_nonlinear
+            @test prob.g == g
+            @test prob.μ == μ_f
+            @test prob.σ == σ_f
+            @test prob.x == x0
+            @test prob.u0 == g(x0)
+            @test prob.p == nothing
+            @test prob.tspan == tspan
+            @test prob.x0_sample == x0_sample
+            @test prob.neumann_bc == neumann_bc
+        end
+    end
+end
+
+@testset "Semilinear Parabolic PDEs" begin
+    for d in [1, 10]
+        x0 = fill(8.0f0, d) # initial points
+        tspan = (0.0f0, 5.0f0)
+
+        μ_f(X, p, t) = zero(X) #Vector d x 1
+        σ_f(X, p, t) = Diagonal(ones(Float32, d)) |> Matrix
+        g(X) = sum(X .^ 2)   # terminal condition
+        f_semilinear(X, u, σᵀ∇u, p, t) = Float32(0.0)
+
+        prob = PIDEProblem(μ_f, σ_f, x0, tspan, g, f_semilinear)
+
+        @test prob.f == f_semilinear
+        @test prob.g == g
+        @test prob.μ == μ_f
+        @test prob.σ == σ_f
+        @test prob.x == x0
+        @test prob.u0 == g(x0)
+        @test prob.p == nothing
+        @test prob.tspan == tspan
+    end
+end
+
+@testset "Obstacle PDEs : Optimal Stopping Problems" begin
+    for d in [1, 10]
+        r = 0.05
+        beta = 0.2
+        T = 3.0
+        u0 = fill(90.0, d)
+        delta = 0.1
+        mu(du, u, p, t) = du .= (r - delta) * u
+        sigma(du, u, p, t) = du .= beta * u
+        tspan = (0.0, T)
+        N = 9
+        dt = T / (N)
+        K = 100.00
+        function payoff(x, t)
+            return exp(-r * t) * (max(maximum(x) - K, 0))
+        end
+
+        prob = PIDEProblem(mu, sigma, u0, tspan; payoff = payoff)
+
+        @test prob.f == nothing
+        @test prob.g == nothing
+        @test prob.μ == mu
+        @test prob.σ == sigma
+        @test prob.x == u0
+        @test prob.u0 == payoff(x0, 0.0)
+        @test prob.p == nothing
+        @test prob.tspan == tspan
+        @test prob.kwargs.payoff == payoff
+    end
+end
+
+@testset "Kolmogorov PDEs" begin
+    for d in [1, 10]
+        xspan = d == 1 ? (-6.0, 6.0) : [(-6.0, 6.0) for _ in 1:d]
+        tspan = (0.0, 1.0)
+        σ(u, p, t) = 0.5 * u
+        μ(u, p, t) = 0.5 * 0.25 * u
+
+        function g(x)
+            1.77 .* x .- 0.015 .* x .^ 3
+        end
+
+        prob = PIDEProblem(μ, σ, nothing, tspan, g; xspan)
+
+        @test prob.f == nothing
+        @test prob.g == g
+        @test prob.μ == μ
+        @test prob.σ == σ
+
+        if d == 1
+            @test prob.u0 == g([xspan[1]])
+            @test prob.x == [xspan[1]]
+        else
+            @test prob.u0 == g(first.(xspan))
+            @test prob.x == first.(xspan)
+        end
+        @test prob.p == nothing
+        @test prob.tspan == tspan
+        @test prob.kwargs.xspan == xspan
+    end
+end
+
+@testset "Kolmogorov PDEs - Parametric Family" begin
+    for d in [1, 10]
+        γ_mu_prototype = nothing
+        γ_sigma_prototype = zeros(d, d, 1)
+        γ_phi_prototype = nothing
+
+        tspan = (0.00, 1.00)
+        xspan = d == 1 ? (0.00, 3.00) : [(0.00, 3.00) for _ in 1:d]
+
+        function g(x, p_phi)
+            x .^ 2
+        end
+
+        sigma(dx, x, p_sigma, t) = dx .= p_sigma[:, :, 1]
+        mu(dx, x, p_mu, t) = dx .= 0.00
+
+        p_domain = (p_sigma = (0.00, 2.00), p_mu = nothing, p_phi = nothing)
+        p_prototype = (p_sigma = γ_sigma_prototype,
+            p_mu = γ_mu_prototype,
+            p_phi = γ_phi_prototype)
+
+        prob = PIDEProblem(mu, sigma, nothing, tspan, g;
+            xspan,
+            p_domain = p_domain,
+            p_prototype = p_prototype)
+
+        @test prob.f == nothing
+        @test prob.g == g
+        @test prob.μ == mu
+        @test prob.σ == sigma
+
+        if d == 1
+            @test prob.u0 == g([xspan[1]], p_prototype.p_phi)
+            @test prob.x == [xspan[1]]
+        else
+            @test prob.u0 == g(first.(xspan), p_prototype.p_phi)
+            @test prob.x == first.(xspan)
+        end
+
+        @test prob.p == nothing
+        @test prob.tspan == tspan
+        @test prob.kwargs.xspan == xspan
+        @test prob.kwargs.p_domain == p_domain
+        @test prob.kwargs.p_prototype == p_prototype
+    end
+end

test/runtests.jl

@@ -1,6 +1,7 @@
 using SafeTestsets, Test
 @testset "HighDimPDE" begin
     @time @safetestset "Quality Assurance" include("qa.jl")
+    @time @safetestset "PIDEProblem" include("PIDEProblem.jl")
     @time @safetestset "reflect" include("reflect.jl")
     @time @safetestset "reflect" include("reflect.jl")
     @time @safetestset "MLP" include("MLP.jl")