Merge pull request statsmodels#4995 from jbrockmendel/main_tools4

TST make tools.linalg __main__ section into tests

Author: josef-pkt

lint.sh

@@ -22,6 +22,8 @@ if [ "$LINT" == true ]; then
         statsmodels/regression/mixed_linear_model.py \
         statsmodels/duration/__init__.py \
         statsmodels/regression/recursive_ls.py \
+        statsmodels/tools/linalg.py \
+        statsmodels/tools/tests/test_linalg.py \
         conftest.py
     if [ $? -ne "0" ]; then
         RET=1

statsmodels/tools/linalg.py

@@ -16,7 +16,7 @@
 from numpy.linalg import LinAlgError
 
 
-### Linear Least Squares
+# Linear Least Squares
 
 def lstsq(a, b, cond=None, overwrite_a=0, overwrite_b=0):
     """Compute least-squares solution to equation :m:`a x = b`
@@ -246,11 +246,11 @@ def stationary_solve(r, b):
     dim = b.ndim
     if b.ndim == 1:
         b = b[:, None]
-    x = b[0:1,:]
+    x = b[0:1, :]
 
     for j in range(1, len(b)):
         rf = r[0:j][::-1]
-        a = (b[j,:] - np.dot(rf, x)) / (1 - np.dot(rf, db[::-1]))
+        a = (b[j, :] - np.dot(rf, x)) / (1 - np.dot(rf, db[::-1]))
         z = x - np.outer(db[::-1], a)
         x = np.concatenate((z, a[None, :]), axis=0)
 
@@ -266,22 +266,3 @@ def stationary_solve(r, b):
         x = x[:, 0]
 
     return x
-
-
-
-if __name__ == '__main__':
-    #for checking only,
-    #Note on Windows32:
-    #    linalg doesn't always produce the same results in each call
-    import scipy.linalg
-    a0 = np.random.randn(100,10)
-    b0 = a0.sum(1)[:, None] + np.random.randn(100,3)
-    lstsq(a0,b0)
-    pinv(a0)
-    pinv2(a0)
-    x = pinv(a0)
-    x2=scipy.linalg.pinv(a0)
-    print(np.max(np.abs(x-x2)))
-    x = pinv2(a0)
-    x2 = scipy.linalg.pinv2(a0)
-    print(np.max(np.abs(x-x2)))

statsmodels/tools/tests/test_linalg.py

@@ -3,6 +3,7 @@
 from numpy.testing import assert_allclose
 from scipy.linalg import toeplitz
 
+
 def test_stationary_solve_1d():
     b = np.random.uniform(size=10)
     r = np.random.uniform(size=9)
@@ -21,3 +22,27 @@ def test_stationary_solve_2d():
     soln = np.linalg.solve(tmat, b)
     soln1 = linalg.stationary_solve(r, b)
     assert_allclose(soln, soln1, rtol=1e-5, atol=1e-5)
+
+
+def test_scipy_equivalence():
+    # This test was moved from the __main__ section of tools.linalg
+    # Note on Windows32:
+    #    linalg doesn't always produce the same results in each call
+    import scipy.linalg
+    a0 = np.random.randn(100, 10)
+    b0 = a0.sum(1)[:, None] + np.random.randn(100, 3)
+
+    result = linalg.pinv(a0)
+    expected = scipy.linalg.pinv(a0)
+    assert_allclose(result, expected)
+
+    result = linalg.pinv2(a0)
+    expected = scipy.linalg.pinv2(a0)
+    assert_allclose(result, expected)
+
+    result = linalg.lstsq(a0, b0)
+    expected = scipy.linalg.lstsq(a0, b0)
+    assert_allclose(result[0], expected[0])
+    assert_allclose(result[1], expected[1])
+    assert_allclose(result[2], expected[2])
+    assert_allclose(result[3], expected[3])