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Commits (2)
Package: CLA
Version: 0.90-2
Date: 2018-02-08
Date: 2018-09-10
Title: Critical Line Algorithm in Pure R
Author: Yanhao Shi <syhelena@163.com>,
Martin Maechler <maechler@stat.math.ethz.ch>
......
......@@ -80,7 +80,9 @@ file.info("wtsn0.rds")$size # 27049
wtsn0.ref <- readRDS("wtsn0.rds")
## see on all platforms what we get
all.equal(target = wtsn0.ref, current = wts.non0, tol=0) # expect TRUE only on 64bit (Lnx)
all.equal(target = wtsn0.ref, current = wts.non0, tol=0)
# expect TRUE only on 64bit (Lnx, R's BLAS)
# 3.10416e-15 and 1.366427e-15 on other BLAS
stopifnot(all.equal(target = wtsn0.ref, current = wts.non0,
tol = 1e-13))
......@@ -134,17 +136,42 @@ if(all(non.0.assets == non.0.TARG)) { ## show differences:
cat("\n'non.0.assets' differing from non.0.TARG:\n")
cat("+1:\n"); dput(names(b64.n0)[non.0.assets - non.0.TARG == +1])
cat("-1:\n"); dput(names(b64.n0)[non.0.assets - non.0.TARG == -1])
## solaris :
## +1:
## c("AET", "BCR", "CI", "CL", "ED", "FE", "HAL", "MCD", "SII", "SYK")
## -1:
## c("AZO", "BAX", "CLX", "COST", "DGX", "DVN", "ESRX", "LMT", "MUR",
## "PEP", "RIG", "SYMC", "TYC", "UST")
## ATLAS :
## +1:
## c("AZO", "BRL", "CCE", "CLX", "INTU", "JNJ", "K", "LMT", "MUR",
## "PEP", "SSP", "TYC", "UST", "XTO")
## -1:
## c("AET", "BCR", "CI", "ED", "FE", "MCD", "NEM", "SII", "SYK", "WMT")
## MKL:
## +1:
## c("CLX", "INTU", "LH", "LLL", "LMT", "PBG", "SYMC", "TYC")
## -1:
## c("AMGN", "BCR", "BUD", "CL", "CTL", "ED", "HAL", "NEM", "XTO")
## OpenBLAS:
## +1:
## c("BAX", "COST", "HST", "JNJ", "MDT", "MUR", "NOC", "PDCO", "WAG")
## -1:
## c("BCR", "CI", "CTL", "ED", "EIX", "HAL", "MCD", "RAI", "SYK")
if(any(isB <- abs(non.0.assets - non.0.TARG) > 1)) {
cat("more different, showing differences:\n")
dput((non.0.assets - non.0.TARG)[isB])
}
## OpenBLAS (only!):
## c(XTO = -2L)
}
## They have the same names and only differ by +/- 1:
stopifnot(
identical(names(b64.n0), names(b32.n0))
## ______ ______
, if(b64) identical(non.0.assets, non.0.TARG)
, if(b64) identical(non.0.assets, non.0.TARG) # fails on ATLAS, MKL, OpenBLAS
else if(nonWindows) identical(non.0.assets, b32.n0)
else ## 32-bit Windows
TRUE ## for now
......
require(CLA)
b64 <- .Machine$sizeof.pointer == 8
cat(sprintf("%d bit platform type '%s'\n", if(b64) 64 else 32, .Platform$OS.type))
(nonWindows <- .Platform$OS.type != "windows")
arch <- Sys.info()[["machine"]]
.M <- .Machine; str(.M[grep("^sizeof", names(.M))]) ## differentiate long-double..
## Do we have 64bit but no-long-double ?
b64nLD <- (arch == "x86_64" && .M$sizeof.longdouble != 16)
if(b64nLD) arch <- paste0(arch, "--no-long-double")
arch
data(muS.sp500)## <<-- working from this data ---------------------
##--> ../man/findMu.Rd -- has this example
set.seed(2016)
iS <- sample.int(length(muS.sp500$mu), 17)
cov17 <- muS.sp500$covar[iS, iS]
CLsp.17 <- CLA(muS.sp500$mu[iS], covar=cov17, lB=0, uB = 1/2)
CLsp.17 # 16 turning points
tpS <- CLsp.17$MS_weights[,"Sig"]
str(s0 <- seq(0.0186, 0.0477, by = 0.0001))
mu.. <- findMu(s0, result=CLsp.17, covar=cov17)
str(mu..)
stopifnot(dim(mu..$weight) == c(17, length(s0)))
## and then plots
##--> ../man/findSig.Rd -- has this example
set.seed(2018)
iS <- sample.int(length(muS.sp500$mu), 21)
cov21 <- muS.sp500$covar[iS, iS]
CLsp.21 <- CLA(muS.sp500$mu[iS], covar=cov21, lB=0, uB = 1/2)
CLsp.21 # 14 turning points
tpM <- CLsp.21$MS_weights[,"Mu"]
str(m0 <- c(min(tpM),seq(0.00205, 0.00525, by = 0.00005), max(tpM)))
sig. <- findSig(m0, result=CLsp.21, covar=cov21)
str(sig.)
stopifnot(dim(sig.$weight) == c(21, length(m0)))
## and then plots