1 | // (C) Copyright Eric Niebler 2005. |
2 | // Use, modification and distribution are subject to the |
3 | // Boost Software License, Version 1.0. (See accompanying file |
4 | // LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt) |
5 | |
6 | // Test case for pot_quantile.hpp (weighted feature) |
7 | |
8 | #define BOOST_NUMERIC_FUNCTIONAL_STD_COMPLEX_SUPPORT |
9 | #define BOOST_NUMERIC_FUNCTIONAL_STD_VALARRAY_SUPPORT |
10 | #define BOOST_NUMERIC_FUNCTIONAL_STD_VECTOR_SUPPORT |
11 | |
12 | #include <boost/random.hpp> |
13 | #include <boost/test/unit_test.hpp> |
14 | #include <boost/test/tools/floating_point_comparison.hpp> |
15 | #include <boost/accumulators/accumulators.hpp> |
16 | #include <boost/accumulators/statistics.hpp> |
17 | |
18 | using namespace boost; |
19 | using namespace unit_test; |
20 | using namespace boost::accumulators; |
21 | |
22 | /////////////////////////////////////////////////////////////////////////////// |
23 | // test_stat |
24 | // |
25 | void test_stat() |
26 | { |
27 | // tolerance in % |
28 | double epsilon = 1.; |
29 | |
30 | double mu1, mu2, l; |
31 | |
32 | mu1 = 1.; |
33 | mu2 = -1.; |
34 | l = 0.5; |
35 | |
36 | // two random number generators |
37 | boost::lagged_fibonacci607 rng; |
38 | boost::normal_distribution<> mean_sigma1(mu1,1); |
39 | boost::normal_distribution<> mean_sigma2(mu2,1); |
40 | boost::exponential_distribution<> lambda(l); |
41 | boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal1(rng, mean_sigma1); |
42 | boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal2(rng, mean_sigma2); |
43 | boost::variate_generator<boost::lagged_fibonacci607&, boost::exponential_distribution<> > exponential(rng, lambda); |
44 | |
45 | accumulator_set<double, stats<tag::weighted_pot_quantile<right>(with_threshold_value)>, double > acc1( |
46 | pot_threshold_value = 3. |
47 | ); |
48 | accumulator_set<double, stats<tag::weighted_pot_quantile<right>(with_threshold_probability)>, double > acc2( |
49 | right_tail_cache_size = 10000 |
50 | , pot_threshold_probability = 0.99 |
51 | ); |
52 | accumulator_set<double, stats<tag::weighted_pot_quantile<left>(with_threshold_value)>, double > acc3( |
53 | pot_threshold_value = -3. |
54 | ); |
55 | accumulator_set<double, stats<tag::weighted_pot_quantile<left>(with_threshold_probability)>, double > acc4( |
56 | left_tail_cache_size = 10000 |
57 | , pot_threshold_probability = 0.01 |
58 | ); |
59 | |
60 | accumulator_set<double, stats<tag::weighted_pot_quantile<right>(with_threshold_value)>, double > acc5( |
61 | pot_threshold_value = 5. |
62 | ); |
63 | accumulator_set<double, stats<tag::weighted_pot_quantile<right>(with_threshold_probability)>, double > acc6( |
64 | right_tail_cache_size = 10000 |
65 | , pot_threshold_probability = 0.995 |
66 | ); |
67 | |
68 | for (std::size_t i = 0; i < 100000; ++i) |
69 | { |
70 | double sample1 = normal1(); |
71 | double sample2 = normal2(); |
72 | acc1(sample1, weight = std::exp(x: -mu1 * (sample1 - 0.5 * mu1))); |
73 | acc2(sample1, weight = std::exp(x: -mu1 * (sample1 - 0.5 * mu1))); |
74 | acc3(sample2, weight = std::exp(x: -mu2 * (sample2 - 0.5 * mu2))); |
75 | acc4(sample2, weight = std::exp(x: -mu2 * (sample2 - 0.5 * mu2))); |
76 | } |
77 | |
78 | for (std::size_t i = 0; i < 100000; ++i) |
79 | { |
80 | double sample = exponential(); |
81 | acc5(sample, weight = 1./l * std::exp(x: -sample * (1. - l))); |
82 | acc6(sample, weight = 1./l * std::exp(x: -sample * (1. - l))); |
83 | } |
84 | |
85 | BOOST_CHECK_CLOSE( quantile(acc1, quantile_probability = 0.999), 3.090232, epsilon ); |
86 | BOOST_CHECK_CLOSE( quantile(acc2, quantile_probability = 0.999), 3.090232, epsilon ); |
87 | BOOST_CHECK_CLOSE( quantile(acc3, quantile_probability = 0.001), -3.090232, epsilon ); |
88 | BOOST_CHECK_CLOSE( quantile(acc4, quantile_probability = 0.001), -3.090232, epsilon ); |
89 | |
90 | BOOST_CHECK_CLOSE( quantile(acc5, quantile_probability = 0.999), 6.908, epsilon ); |
91 | BOOST_CHECK_CLOSE( quantile(acc6, quantile_probability = 0.999), 6.908, epsilon ); |
92 | } |
93 | |
94 | /////////////////////////////////////////////////////////////////////////////// |
95 | // init_unit_test_suite |
96 | // |
97 | test_suite* init_unit_test_suite( int argc, char* argv[] ) |
98 | { |
99 | test_suite *test = BOOST_TEST_SUITE("weighted_pot_quantile test" ); |
100 | |
101 | test->add(BOOST_TEST_CASE(&test_stat)); |
102 | |
103 | return test; |
104 | } |
105 | |