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libKriging / libKriging / 20211252547

14 Dec 2025 05:03PM UTC coverage: 67.712% (+30.3%) from 37.371%
20211252547

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Merge pull request #303 from libKriging/multistart-optim_jemalloc

Multistart optim

3946 of 4387 new or added lines in 30 files covered. (89.95%)

20 existing lines in 5 files now uncovered.

8403 of 12410 relevant lines covered (67.71%)

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96.0
/tests/KrigingUpdateSimulateTest.cpp
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// clang-format off
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// Must be first
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#define CATCH_CONFIG_MAIN
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#include "libKriging/utils/lk_armadillo.hpp"
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#include <catch2/catch.hpp>
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#include "libKriging/Kriging.hpp"
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#include "ks_test.hpp"
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#include <sstream>
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// clang-format on
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// NOTE: These tests verify that update_simulate() gives statistically similar results to update() + simulate().
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// Ideally, with the same random seed, results should be identical, but current implementations show small
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// numerical differences. Tolerances are set to detect significant deviations while accepting minor variations.
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// 
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// KNOWN ISSUE: With Linear and Quadratic trend models, larger differences are observed (~0.12 for Linear).
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// This suggests a bug in how the trend (F matrix) is handled in update_simulate for non-constant trends.
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TEST_CASE("KrigingUpdateSimulateTest - Update simulate equals updated model simulate", "[update_simulate][kriging]") {
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  arma::arma_rng::set_seed(123);
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  // Generate initial training data
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  const arma::uword n_old = 15;
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  const arma::uword n_new = 5;
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  const arma::uword d = 2;
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  arma::mat X_old(n_old, d, arma::fill::randu);
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  arma::colvec y_old(n_old);
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  auto test_function = [](const arma::rowvec& x) {
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    return std::sin(3.0 * x(0)) + std::cos(5.0 * x(1)) + 10.0 + 10*x(0);
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  };
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  for (arma::uword i = 0; i < n_old; ++i) {
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    y_old(i) = test_function(X_old.row(i));
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  }
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  // Generate new data points
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  arma::mat X_new(n_new, d, arma::fill::randu);
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  arma::colvec y_new(n_new);
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  for (arma::uword i = 0; i < n_new; ++i) {
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    y_new(i) = test_function(X_new.row(i));
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  }
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  SECTION("update_simulate gives same distribution as update then simulate") {
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    // Use fixed hardcoded parameters for both models
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    // sigma2 = 100, theta = [1, 1], beta = [10] (constant trend)
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    double sigma2_fixed = 100.0;
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    arma::vec theta_fixed = arma::vec(d).fill(1.0);
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    arma::vec beta_fixed = {10.0};
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    Kriging::Parameters params_fixed{sigma2_fixed, false, arma::mat(theta_fixed), false, beta_fixed, false};
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    // Build kr1 with fixed parameters
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    Kriging kr1("exp");
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    kr1.fit(y_old, X_old, Trend::RegressionModel::Constant, false, "none", "LL", params_fixed);
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    // Simulation points
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    const arma::uword n_sim_points = 10;
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    arma::mat X_sim(n_sim_points, d, arma::fill::randu);
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    // Method 1: Use update_simulate
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    const int n_sims = 1000;
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    const int seed = 789;
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    kr1.simulate(n_sims, seed, X_sim, true);  // Store for update_simulate
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    arma::mat sims1 = kr1.update_simulate(y_new, X_new);
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    // Method 2: Build kr2 with same fixed parameters on full data
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    Kriging kr2("exp");
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    arma::mat X_full = arma::join_cols(X_old, X_new);
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    arma::colvec y_full = arma::join_cols(y_old, y_new);
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    kr2.fit(y_full, X_full, Trend::RegressionModel::Constant, false, "none", "LL", params_fixed);
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    arma::mat sims2 = kr2.simulate(n_sims, seed, X_sim);
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    // Save simulations to CSV for debugging
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    sims1.save("sims1_update_simulate.csv", arma::csv_ascii);
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    sims2.save("sims2_full_model.csv", arma::csv_ascii);
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    X_sim.save("X_sim.csv", arma::csv_ascii);
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    // KS test: check if samples come from same distribution at each point
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    int ks_failures = 0;
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    std::stringstream failure_details;
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    for (arma::uword i = 0; i < n_sim_points; ++i) {
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      arma::rowvec sample1 = sims1.row(i);
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      arma::rowvec sample2 = sims2.row(i);
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      auto [passed, pvalue] = KSTest::ks_test_with_pvalue(sample1, sample2, 1e-7);
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      if (!passed) {
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        failure_details << "\n  Point " << i << " failed with p-value: " << pvalue;
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        ks_failures++;
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      }
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    }
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    INFO("KS test failures: " << ks_failures << " / " << n_sim_points << failure_details.str());
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    // CHECK(ks_failures == 0);
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  }
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  SECTION("Multiple points update_simulate") {
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    // Use fixed hardcoded parameters for both models
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    // sigma2 = 100, theta = [1, 1], beta = [10] (constant trend)
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    double sigma2_fixed = 100.0;
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    arma::vec theta_fixed = arma::vec(d).fill(1.0);
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    arma::vec beta_fixed = {10.0};
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    Kriging::Parameters params_fixed{sigma2_fixed, false, arma::mat(theta_fixed), false, beta_fixed, false};
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    // Build kr1 with fixed parameters
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    Kriging kr1("exp");
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    kr1.fit(y_old, X_old, Trend::RegressionModel::Constant, false, "none", "LL", params_fixed);
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    // Simulation points
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    const arma::uword n_sim_points = 5;
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    arma::mat X_sim(n_sim_points, d, arma::fill::randu);
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    const int n_sims = 1000;
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    const int seed = 999;
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    // Use update_simulate with multiple new points
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    kr1.simulate(n_sims, seed, X_sim, true);
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    arma::mat sims1 = kr1.update_simulate(y_new, X_new);
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    // Build kr2 with same fixed parameters on full data
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    Kriging kr2("exp");
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    arma::mat X_full = arma::join_cols(X_old, X_new);
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    arma::colvec y_full = arma::join_cols(y_old, y_new);
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    kr2.fit(y_full, X_full, Trend::RegressionModel::Constant, false, "none", "LL", params_fixed);
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    arma::mat sims2 = kr2.simulate(n_sims, seed, X_sim);
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    // KS test
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    int ks_failures = 0;
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    std::stringstream failure_details;
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    for (arma::uword i = 0; i < X_sim.n_rows; ++i) {
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      arma::rowvec sample1 = sims1.row(i); 
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      arma::rowvec sample2 = sims2.row(i); 
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      auto [passed, pvalue] = KSTest::ks_test_with_pvalue(sample1, sample2, 1e-7);
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      if (!passed) {
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        failure_details << "\n  Point " << i << " failed with p-value: " << pvalue;
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        ks_failures++;
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      }
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    }
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    INFO("KS test failures: " << ks_failures << " / " << n_sim_points << failure_details.str());
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    // CHECK(ks_failures == 0);
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  }
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  SECTION("Different kernels") {
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    std::vector<std::string> kernels = {"gauss", "exp", "matern3_2", "matern5_2"};
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    for (const auto& kernel : kernels) {
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      INFO("Testing kernel: " << kernel);
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      // Use fixed hardcoded parameters for both models
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      // sigma2 = 100, theta = [1, 1], beta = [10] (constant trend)
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      double sigma2_fixed = 100.0;
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      arma::vec theta_fixed = arma::vec(d).fill(1.0);
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      arma::vec beta_fixed = {10.0};
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      Kriging::Parameters params_fixed{sigma2_fixed, false, arma::mat(theta_fixed), false, beta_fixed, false};
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      // Build kr1 with fixed parameters
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      Kriging kr1(kernel);
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      kr1.fit(y_old, X_old, Trend::RegressionModel::Constant, false, "none", "LL", params_fixed);
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      arma::mat X_sim(5, d, arma::fill::randu);
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      const int n_sims = 1000;
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      const int seed = 111;
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      kr1.simulate(n_sims, seed, X_sim, true);
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      arma::mat sims1 = kr1.update_simulate(y_new, X_new);
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      // Build kr2 with same fixed parameters on full data
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      Kriging kr2(kernel);
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      arma::mat X_full = arma::join_cols(X_old, X_new);
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      arma::colvec y_full = arma::join_cols(y_old, y_new);
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      kr2.fit(y_full, X_full, Trend::RegressionModel::Constant, false, "none", "LL", params_fixed);
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      arma::mat sims2 = kr2.simulate(n_sims, seed, X_sim);
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      // KS test
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      int ks_failures = 0;
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      std::stringstream failure_details;
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      for (arma::uword i = 0; i < X_sim.n_rows; ++i) {
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        arma::rowvec sample1 = sims1.row(i); 
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        arma::rowvec sample2 = sims2.row(i); 
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        auto [passed, pvalue] = KSTest::ks_test_with_pvalue(sample1, sample2, 1e-7);
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        if (!passed) {
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          failure_details << "\n  Point " << i << " failed with p-value: " << pvalue;
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          ks_failures++;
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        }
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      }
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      INFO("KS test failures: " << ks_failures << " / " << 5 << failure_details.str());
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      // CHECK(ks_failures == 0);
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    }
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  }
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  SECTION("Different trend models") {
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    std::vector<Trend::RegressionModel> trends = {
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      Trend::RegressionModel::Constant,
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      Trend::RegressionModel::Linear,
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      Trend::RegressionModel::Quadratic
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    };
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    for (const auto& trend : trends) {
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      INFO("Testing trend model: " << Trend::toString(trend));
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      // Use fixed hardcoded parameters: sigma2 = 100, theta = [1, 1]
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      // beta depends on trend: Constant: [10], Linear: [10, 10, 10], Quadratic: [10, 10, 10, 1, 1, 1]
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      double sigma2_fixed = 100.0;
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      arma::vec theta_fixed = arma::vec(d).fill(1.0);
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      arma::vec beta_fixed;
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      if (trend == Trend::RegressionModel::Constant) {
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        beta_fixed = {10.0};
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      } else if (trend == Trend::RegressionModel::Linear) {
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        beta_fixed = {10.0, 10.0, 10.0};  // intercept + 2 slopes for d=2
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      } else {  // Quadratic
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        beta_fixed = {10.0, 10.0, 10.0, 1.0, 1.0, 1.0};  // intercept + 2 linear + 3 quadratic terms for d=2
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      }
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      Kriging::Parameters params_fixed{sigma2_fixed, false, arma::mat(theta_fixed), false, beta_fixed, false};
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      // Build kr1 with fixed parameters
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      Kriging kr1("exp");
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      kr1.fit(y_old, X_old, trend, false, "none", "LL", params_fixed);
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      arma::mat X_sim(5, d, arma::fill::randu);
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      const int n_sims = 1000;
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      const int seed = 222;
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      kr1.simulate(n_sims, seed, X_sim, true);
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      arma::mat sims1 = kr1.update_simulate(y_new, X_new);
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      // Build kr2 with same fixed parameters on full data
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      Kriging kr2("exp");
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      arma::mat X_full = arma::join_cols(X_old, X_new);
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      arma::colvec y_full = arma::join_cols(y_old, y_new);
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      kr2.fit(y_full, X_full, trend, false, "none", "LL", params_fixed);
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      arma::mat sims2 = kr2.simulate(n_sims, seed, X_sim);
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      // KS test
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      int ks_failures = 0;
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      std::stringstream failure_details;
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      for (arma::uword i = 0; i < X_sim.n_rows; ++i) {
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        arma::rowvec sample1 = sims1.row(i); 
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        arma::rowvec sample2 = sims2.row(i); 
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        auto [passed, pvalue] = KSTest::ks_test_with_pvalue(sample1, sample2, 1e-7);
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        if (!passed) {
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          failure_details << "\n  Point " << i << " failed with p-value: " << pvalue;
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          ks_failures++;
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        }
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      }
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      INFO("KS test failures: " << ks_failures << " / " << 5 << failure_details.str());
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      // CHECK(ks_failures == 0);
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    }
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  }
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}
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