test: add tests for NNParamKolmogorov

test/NNParamKolmogorov.jl

@@ -0,0 +1,63 @@
+using Test, Flux
+using StochasticDiffEq
+using LinearAlgebra
+using HighDimPDE
+using Random
+Random.seed!(100)
+
+d = 1
+m = Chain(Dense(3, 16, tanh), Dense(16, 16, tanh), Dense(16, 5, tanh), Dense(5, 1))
+ensemblealg = EnsembleThreads()
+γ_mu_prototype = nothing
+γ_sigma_prototype = zeros(d, d, 1)
+γ_phi_prototype = nothing
+
+sdealg = EM()
+tspan = (0.00, 1.00)
+trajectories = 10000
+function phi(x, y_phi)
+    x .^ 2
+end
+sigma(dx, x, γ_sigma, t) = dx .= γ_sigma[:, :, 1]
+mu(dx, x, γ_mu, t) = dx .= 0.00
+
+xspan = (0.00, 3.00)
+
+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)
+dps = (p_sigma = 0.01, p_mu = nothing, p_phi = nothing)
+
+dt = 0.01
+dx = 0.01
+opt = Flux.ADAM(1e-2)
+
+prob = PIDEProblem(phi,
+    mu,
+    sigma,
+    tspan,
+    xspan;
+    p_domain = p_domain,
+    p_prototype = p_prototype)
+
+sol = solve(prob, HighDimPDE.NNParamKolmogorov(m, opt), sdealg, verbose = true, dt = 0.01,
+    abstol = 1e-10, dx = 0.01, trajectories = trajectories, maxiters = 1000,
+    use_gpu = false, dps = dps)
+
+x_test = rand(xspan[1]:dx:xspan[2], d, 1, 1000)
+t_test = rand(tspan[1]:dt:tspan[2], 1, 1000)
+γ_sigma_test = rand(0.3:(dps.p_sigma):0.5, d, d, 1, 1000)
+
+function analytical(x, t, y)
+    return x .^ 2 .+ t .* (y .* y)
+end
+
+preds = map((i) -> sol.ufuns(x_test[:, :, i],
+        t_test[:, i],
+        γ_sigma_test[:, :, :, i],
+        nothing,
+        nothing),
+    1:1000)
+y_test = map((i) -> analytical(x_test[:, :, i], t_test[:, i], γ_sigma_test[:, :, :, i]),
+    1:1000)
+
+@test Flux.mse(reduce(hcat, preds), reduce(hcat, y_test)) < 0.1

test/runtests.jl

@@ -7,4 +7,5 @@ using SafeTestsets, Test
     @time @safetestset "Deep Splitting" include("DeepSplitting.jl")
     @time @safetestset "MC Sample" include("MCSample.jl")
     @time @safetestset "NNKolmogorov" include("NNKolmogorov.jl")
+    @time @safetestset "NNKolmogorov" include("NNParamKolmogorov.jl")
 end