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Update RNG tests to use mixmax RNG - declare stan::rng_t in Math library instead #3071

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Update RNG tests to use mixmax RNG - declare stan::rng_t in Math library instead #3071

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0379951
Update RNG tests to use mixmax RNG
andrjohns May 17, 2024
2142224
Use boost mixmax specifically
andrjohns May 17, 2024
2d8935f
Missed declaration
andrjohns May 17, 2024
c30d18d
Update wishart rng seed
andrjohns May 17, 2024
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2 changes: 1 addition & 1 deletion test/unit/math/fwd/prob/categorical_test.cpp
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@@ -1,6 +1,6 @@
#include <stan/math/fwd.hpp>
#include <gtest/gtest.h>
#include <boost/random/mersenne_twister.hpp>
#include <boost/random/mixmax.hpp>
#include <boost/math/distributions.hpp>
#include <vector>

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2 changes: 1 addition & 1 deletion test/unit/math/fwd/prob/dirichlet_test.cpp
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@@ -1,6 +1,6 @@
#include <stan/math/fwd.hpp>
#include <gtest/gtest.h>
#include <boost/random/mersenne_twister.hpp>
#include <boost/random/mixmax.hpp>
#include <boost/math/distributions.hpp>

TEST(ProbDistributions, fvar_double) {
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2 changes: 1 addition & 1 deletion test/unit/math/fwd/prob/inv_wishart_test.cpp
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@@ -1,7 +1,7 @@
#include <stan/math/fwd.hpp>
#include <gtest/gtest.h>

#include <boost/random/mersenne_twister.hpp>
#include <boost/random/mixmax.hpp>
#include <boost/math/distributions.hpp>
#include <boost/math/special_functions/digamma.hpp>

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10 changes: 5 additions & 5 deletions test/unit/math/fwd/prob/lkj_corr_test.cpp
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@@ -1,11 +1,11 @@
#include <stan/math/fwd.hpp>
#include <gtest/gtest.h>
#include <boost/random/mersenne_twister.hpp>
#include <boost/random/mixmax.hpp>
#include <boost/math/distributions.hpp>

TEST(ProbDistributionsLkjCorr, fvar_double) {
using stan::math::fvar;
boost::random::mt19937 rng;
boost::random::mixmax rng;
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@spinkney another LKJ question for you. This test is now failing on the derivative comparison below:

EXPECT_FLOAT_EQ(2.5177896, stan::math::lkj_corr_log(Sigma, eta).d_);

Would you know where the fixed value 2.5177896 came from? (I know this wasn't a test you wrote, but I figured you probably understand this better than I do!)

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No, this doesn't seem right. The derivative is wrt to eta, right? And eta is changing. I think the derivative should be

eta <- 0.3
d <- 4

d_eta <- -(d - 2) * digamma((d - 1) / 2 + eta) + 2 * digamma(d/2 + eta - 1) - 2 * digamma(d + 2 * eta - 2) + log(4)
for (k in 2:(d-1)) {
  d_eta <- d_eta + digamma(eta + (d-1-k)/2)            
}
d_eta

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@WardBrian WardBrian May 21, 2024 •
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Using an RNG in this test seems like it isn't necessary anyway. There is no randomness used, the value of eta is the same every time, we just avoid writing it down explicitly I guess?

If you replace the definition for eta with the line fvar<double> eta = 1.6294473838061094;, which is just what the result of the default-constructed mt19937 was giving before, the test passes again.

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That makes more sense and the rng should be removed.

int K = 4;
Eigen::Matrix<fvar<double>, Eigen::Dynamic, Eigen::Dynamic> Sigma(K, K);
Sigma.setZero();
Expand All @@ -24,7 +24,7 @@ TEST(ProbDistributionsLkjCorr, fvar_double) {

TEST(ProbDistributionsLkjCorrCholesky, fvar_double) {
using stan::math::fvar;
boost::random::mt19937 rng;
boost::random::mixmax rng;
int K = 4;
Eigen::Matrix<fvar<double>, Eigen::Dynamic, Eigen::Dynamic> Sigma(K, K);
Sigma.setZero();
Expand All @@ -43,7 +43,7 @@ TEST(ProbDistributionsLkjCorrCholesky, fvar_double) {

TEST(ProbDistributionsLkjCorr, fvar_fvar_double) {
using stan::math::fvar;
boost::random::mt19937 rng;
boost::random::mixmax rng;
int K = 4;
Eigen::Matrix<fvar<fvar<double> >, Eigen::Dynamic, Eigen::Dynamic> Sigma(K,
K);
Expand All @@ -63,7 +63,7 @@ TEST(ProbDistributionsLkjCorr, fvar_fvar_double) {

TEST(ProbDistributionsLkjCorrCholesky, fvar_fvar_double) {
using stan::math::fvar;
boost::random::mt19937 rng;
boost::random::mixmax rng;
int K = 4;
Eigen::Matrix<fvar<fvar<double> >, Eigen::Dynamic, Eigen::Dynamic> Sigma(K,
K);
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2 changes: 1 addition & 1 deletion test/unit/math/fwd/prob/multi_normal_cholesky_test.cpp
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@@ -1,6 +1,6 @@
#include <stan/math/fwd.hpp>
#include <gtest/gtest.h>
#include <boost/random/mersenne_twister.hpp>
#include <boost/random/mixmax.hpp>
#include <boost/math/distributions.hpp>

TEST(ProbDistributionsMultiNormalCholesky, fvar_double) {
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2 changes: 1 addition & 1 deletion test/unit/math/fwd/prob/multi_normal_test.cpp
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#include <stan/math/fwd.hpp>
#include <gtest/gtest.h>
#include <boost/random/mersenne_twister.hpp>
#include <boost/random/mixmax.hpp>
#include <boost/math/distributions.hpp>

TEST(ProbDistributionsMultiNormal, fvar_double) {
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2 changes: 1 addition & 1 deletion test/unit/math/fwd/prob/multi_student_t_test.cpp
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#include <stan/math/fwd.hpp>
#include <gtest/gtest.h>
#include <boost/random/mersenne_twister.hpp>
#include <boost/random/mixmax.hpp>
#include <boost/math/distributions.hpp>

TEST(ProbDistributionsMultiStudentT, fvar_double) {
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2 changes: 1 addition & 1 deletion test/unit/math/fwd/prob/multinomial_test.cpp
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#include <stan/math/fwd.hpp>
#include <gtest/gtest.h>
#include <boost/random/mersenne_twister.hpp>
#include <boost/random/mixmax.hpp>
#include <boost/math/distributions.hpp>
#include <vector>

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2 changes: 1 addition & 1 deletion test/unit/math/fwd/prob/wishart_test.cpp
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#include <stan/math/fwd.hpp>
#include <gtest/gtest.h>
#include <boost/random/mersenne_twister.hpp>
#include <boost/random/mixmax.hpp>
#include <boost/math/special_functions/digamma.hpp>
#include <boost/math/distributions.hpp>

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2 changes: 1 addition & 1 deletion test/unit/math/mix/prob/categorical_test.cpp
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#include <stan/math/mix.hpp>
#include <gtest/gtest.h>
#include <boost/random/mersenne_twister.hpp>
#include <boost/random/mixmax.hpp>
#include <boost/math/distributions.hpp>
#include <vector>

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10 changes: 5 additions & 5 deletions test/unit/math/mix/prob/lkj_corr_test.cpp
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@@ -1,15 +1,15 @@
#include <stan/math/mix.hpp>
#include <gtest/gtest.h>
#include <test/unit/math/rev/prob/lkj_corr_cholesky_test_functors.hpp>
#include <boost/random/mersenne_twister.hpp>
#include <boost/random/mixmax.hpp>
#include <boost/math/distributions.hpp>
#include <test/unit/math/mix/prob/higher_order_utils.hpp>
#include <vector>

TEST(ProbDistributionsLkjCorr, fvar_var) {
using stan::math::fvar;
using stan::math::var;
boost::random::mt19937 rng;
boost::random::mixmax rng;
int K = 4;
Eigen::Matrix<fvar<var>, Eigen::Dynamic, Eigen::Dynamic> Sigma(K, K);
Sigma.setZero();
Expand All @@ -31,7 +31,7 @@ TEST(ProbDistributionsLkjCorr, fvar_var) {
TEST(ProbDistributionsLkjCorrCholesky, fvar_var) {
using stan::math::fvar;
using stan::math::var;
boost::random::mt19937 rng;
boost::random::mixmax rng;
int K = 4;
Eigen::Matrix<fvar<var>, Eigen::Dynamic, Eigen::Dynamic> Sigma(K, K);
Sigma.setZero();
Expand All @@ -54,7 +54,7 @@ TEST(ProbDistributionsLkjCorrCholesky, fvar_var) {
TEST(ProbDistributionsLkjCorr, fvar_fvar_var) {
using stan::math::fvar;
using stan::math::var;
boost::random::mt19937 rng;
boost::random::mixmax rng;
int K = 4;
Eigen::Matrix<fvar<fvar<var> >, Eigen::Dynamic, Eigen::Dynamic> Sigma(K, K);
Sigma.setZero();
Expand All @@ -78,7 +78,7 @@ TEST(ProbDistributionsLkjCorr, fvar_fvar_var) {
TEST(ProbDistributionsLkjCorrCholesky, fvar_fvar_var) {
using stan::math::fvar;
using stan::math::var;
boost::random::mt19937 rng;
boost::random::mixmax rng;
int K = 4;
Eigen::Matrix<fvar<fvar<var> >, Eigen::Dynamic, Eigen::Dynamic> Sigma(K, K);
Sigma.setZero();
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2 changes: 1 addition & 1 deletion test/unit/math/mix/prob/multinomial_test.cpp
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#include <stan/math/mix.hpp>
#include <gtest/gtest.h>
#include <boost/random/mersenne_twister.hpp>
#include <boost/random/mixmax.hpp>
#include <boost/math/distributions.hpp>
#include <vector>

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4 changes: 2 additions & 2 deletions test/unit/math/opencl/multiply_transpose_test.cpp
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Expand Up @@ -4,10 +4,10 @@
#include <stan/math/opencl/multiply_transpose.hpp>
#include <stan/math/opencl/copy.hpp>
#include <test/unit/util.hpp>
#include <boost/random/mersenne_twister.hpp>
#include <boost/random/mixmax.hpp>
#include <gtest/gtest.h>
#include <algorithm>
boost::random::mt19937 rng;
boost::random::mixmax rng;

TEST(MathMatrixOpenCL, multiply_transpose_exception_fail_zero) {
stan::math::row_vector_d rv(0);
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6 changes: 3 additions & 3 deletions test/unit/math/opencl/prim/mdivide_left_tri_low_test.cpp
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Expand Up @@ -3,7 +3,7 @@
#include <stan/math/opencl/prim.hpp>
#include <test/unit/math/expect_near_rel.hpp>
#include <test/unit/util.hpp>
#include <boost/random/mersenne_twister.hpp>
#include <boost/random/mixmax.hpp>
#include <gtest/gtest.h>
#include <algorithm>

Expand All @@ -29,7 +29,7 @@ TEST(MathMatrixCL, mdivide_left_tri_low_cl_exception) {
}

void mdivide_left_tri_low_Ab_test(int size) {
boost::random::mt19937 rng;
boost::random::mixmax rng;
auto m1 = stan::math::matrix_d(size, size);
for (int i = 0; i < size; i++) {
for (int j = 0; j < i; j++) {
Expand Down Expand Up @@ -57,7 +57,7 @@ void mdivide_left_tri_low_Ab_test(int size) {
}

void mdivide_left_tri_low_A_test(int size) {
boost::random::mt19937 rng;
boost::random::mixmax rng;
auto m1 = stan::math::matrix_d(size, size);
for (int i = 0; i < size; i++) {
for (int j = 0; j < i; j++) {
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4 changes: 2 additions & 2 deletions test/unit/math/opencl/prim/mdivide_right_tri_low_test.cpp
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Expand Up @@ -3,7 +3,7 @@
#include <stan/math/opencl/prim.hpp>
#include <test/unit/math/expect_near_rel.hpp>
#include <test/unit/util.hpp>
#include <boost/random/mersenne_twister.hpp>
#include <boost/random/mixmax.hpp>
#include <gtest/gtest.h>
#include <algorithm>

Expand All @@ -29,7 +29,7 @@ TEST(MathMatrixCL, mdivide_right_tri_low_cl_exception) {
}

void mdivide_right_tri_low_Ab_test(int size) {
boost::random::mt19937 rng;
boost::random::mixmax rng;
auto m1 = stan::math::matrix_d(size, size);
for (int i = 0; i < size; i++) {
for (int j = 0; j < i; j++) {
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6 changes: 3 additions & 3 deletions test/unit/math/opencl/tri_inverse_test.cpp
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Expand Up @@ -2,7 +2,7 @@
#include <stan/math/prim.hpp>
#include <stan/math/opencl/prim.hpp>
#include <test/unit/util.hpp>
#include <boost/random/mersenne_twister.hpp>
#include <boost/random/mixmax.hpp>
#include <gtest/gtest.h>
#include <algorithm>

Expand All @@ -25,7 +25,7 @@ TEST(MathMatrixCL, inverse_cl_exception) {
}

void lower_inverse_test(int size) {
boost::random::mt19937 rng;
boost::random::mixmax rng;
auto m1 = stan::math::matrix_d(size, size);
for (int i = 0; i < size; i++) {
for (int j = 0; j < i; j++) {
Expand Down Expand Up @@ -56,7 +56,7 @@ void lower_inverse_test(int size) {
}

void upper_inverse_test(int size) {
boost::random::mt19937 rng;
boost::random::mixmax rng;
auto m1 = stan::math::matrix_d(size, size);
for (int i = 0; i < size; i++) {
for (int j = 0; j < i; j++) {
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4 changes: 2 additions & 2 deletions test/unit/math/prim/fun/chol2inv_test.cpp
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@@ -1,5 +1,5 @@
#include <stan/math/prim.hpp>
#include <boost/random/mersenne_twister.hpp>
#include <boost/random/mixmax.hpp>
#include <gtest/gtest.h>

TEST(MathMatrixPrimMat, chol2inv_exception) {
Expand All @@ -25,7 +25,7 @@ TEST(MathMatrixPrimMat, chol2inv) {
using stan::math::matrix_d;
using stan::math::wishart_rng;

boost::random::mt19937 rng;
boost::random::mixmax rng;
matrix_d I(3, 3);
I.setZero();
I.diagonal().setOnes();
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8 changes: 4 additions & 4 deletions test/unit/math/prim/prob/bernoulli_logit_glm_rng_test.cpp
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@@ -1,15 +1,15 @@
#include <gtest/gtest.h>
#include <stan/math/prim.hpp>
#include <boost/math/distributions.hpp>
#include <boost/random/mersenne_twister.hpp>
#include <boost/random/mixmax.hpp>
#include <test/unit/math/prim/prob/util.hpp>
#include <limits>
#include <vector>

TEST(ProbDistributionsBernoulliLogitGlm, vectorized) {
using stan::math::bernoulli_logit_glm_rng;
// Test scalar/vector combinations.
boost::random::mt19937 rng;
boost::random::mixmax rng;

Eigen::MatrixXd x(2, 3);
x << 3.5, -1.5, 0.0, 2.0, 1.0, 3.0;
Expand Down Expand Up @@ -70,7 +70,7 @@ TEST(ProbDistributionsBernoulliLogitGlm, vectorized) {
TEST(ProbDistributionsBernoulliLogitGlm, errorCheck) {
using stan::math::bernoulli_logit_glm_rng;
// Check errors for nonfinite and wrong sizes.
boost::random::mt19937 rng;
boost::random::mixmax rng;

int N = 3;
int M = 2;
Expand Down Expand Up @@ -107,7 +107,7 @@ TEST(ProbDistributionsBernoulliLogitGlm, errorCheck) {
TEST(ProbDistributionsBernoulliLogitGlm, marginalChiSquareGoodnessFitTest) {
using stan::math::bernoulli_logit_glm_rng;
// Check distribution of result.
boost::random::mt19937 rng;
boost::random::mixmax rng;
Eigen::MatrixXd x(2, 2);
x << 3.5, -1.5, 2.0, -1.2;
std::vector<double> alpha{2.0, 1.0};
Expand Down
6 changes: 3 additions & 3 deletions test/unit/math/prim/prob/bernoulli_logit_test.cpp
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Expand Up @@ -3,7 +3,7 @@
#include <test/unit/math/prim/prob/VectorIntRNGTestRig.hpp>
#include <test/unit/math/prim/prob/util.hpp>
#include <boost/math/distributions.hpp>
#include <boost/random/mersenne_twister.hpp>
#include <boost/random/mixmax.hpp>
#include <gtest/gtest.h>
#include <limits>
#include <vector>
Expand Down Expand Up @@ -35,7 +35,7 @@ TEST(ProbDistributionsBernoulliLogit, distributionCheck) {
}

TEST(ProbDistributionsBernoulliLogit, error_check) {
boost::random::mt19937 rng;
boost::random::mixmax rng;

EXPECT_NO_THROW(stan::math::bernoulli_logit_rng(-3.5, rng));
EXPECT_THROW(
Expand All @@ -44,7 +44,7 @@ TEST(ProbDistributionsBernoulliLogit, error_check) {
}

TEST(ProbDistributionsBernoulliLogit, logitChiSquareGoodnessFitTest) {
boost::random::mt19937 rng;
boost::random::mixmax rng;
// number of samples
int N = 10000;

Expand Down
6 changes: 3 additions & 3 deletions test/unit/math/prim/prob/bernoulli_test.cpp
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Expand Up @@ -3,7 +3,7 @@
#include <test/unit/math/prim/prob/VectorIntRNGTestRig.hpp>
#include <test/unit/math/prim/prob/util.hpp>
#include <boost/math/distributions.hpp>
#include <boost/random/mersenne_twister.hpp>
#include <boost/random/mixmax.hpp>
#include <gtest/gtest.h>
#include <limits>
#include <vector>
Expand Down Expand Up @@ -35,7 +35,7 @@ TEST(ProbDistributionsBernoulli, distributionCheck) {
}

TEST(ProbDistributionsBernoulli, error_check) {
boost::random::mt19937 rng;
boost::random::mixmax rng;
EXPECT_NO_THROW(stan::math::bernoulli_rng(0.6, rng));

EXPECT_THROW(stan::math::bernoulli_rng(1.6, rng), std::domain_error);
Expand All @@ -45,7 +45,7 @@ TEST(ProbDistributionsBernoulli, error_check) {
}

TEST(ProbDistributionsBernoulli, chiSquareGoodnessFitTest) {
boost::random::mt19937 rng;
boost::random::mixmax rng;
int N = 10000;

std::vector<double> expected;
Expand Down
4 changes: 2 additions & 2 deletions test/unit/math/prim/prob/beta_binomial_test.cpp
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@@ -1,7 +1,7 @@
#include <stan/math/prim.hpp>
#include <test/unit/math/prim/prob/vector_rng_test_helper.hpp>
#include <test/unit/math/prim/prob/VectorIntRNGTestRig.hpp>
#include <boost/random/mersenne_twister.hpp>
#include <boost/random/mixmax.hpp>
#include <boost/math/distributions.hpp>
#include <gtest/gtest.h>
#include <limits>
Expand Down Expand Up @@ -40,7 +40,7 @@ TEST(ProbDistributionsBetaBinomial, distributionCheck) {
}

TEST(ProbDistributionBetaBinomial, error_check) {
boost::random::mt19937 rng;
boost::random::mixmax rng;
EXPECT_NO_THROW(stan::math::beta_binomial_rng(4, 0.6, 2.0, rng));

EXPECT_THROW(stan::math::beta_binomial_rng(-4, 0.6, 2, rng),
Expand Down
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