1 | // (C) Copyright 2006 Eric Niebler, Olivier Gygi. |
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 weighted_tail_mean.hpp |
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 | #include <boost/accumulators/statistics/weighted_tail_mean.hpp> |
18 | #include <boost/accumulators/statistics/weighted_tail_quantile.hpp> |
19 | |
20 | using namespace boost; |
21 | using namespace unit_test; |
22 | using namespace boost::accumulators; |
23 | |
24 | /////////////////////////////////////////////////////////////////////////////// |
25 | // test_stat |
26 | // |
27 | void test_stat() |
28 | { |
29 | // tolerance in % |
30 | double epsilon = 1; |
31 | |
32 | std::size_t n = 100000; // number of MC steps |
33 | std::size_t c = 25000; // cache size |
34 | |
35 | accumulator_set<double, stats<tag::non_coherent_weighted_tail_mean<right> >, double > |
36 | acc0( right_tail_cache_size = c ); |
37 | accumulator_set<double, stats<tag::non_coherent_weighted_tail_mean<left> >, double > |
38 | acc1( left_tail_cache_size = c ); |
39 | |
40 | // random number generators |
41 | boost::lagged_fibonacci607 rng; |
42 | |
43 | for (std::size_t i = 0; i < n; ++i) |
44 | { |
45 | double smpl = std::sqrt(x: rng()); |
46 | acc0(smpl, weight = 1./smpl); |
47 | } |
48 | |
49 | for (std::size_t i = 0; i < n; ++i) |
50 | { |
51 | double smpl = rng(); |
52 | acc1(smpl*smpl, weight = smpl); |
53 | } |
54 | |
55 | // check uniform distribution |
56 | BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc0, quantile_probability = 0.95), 0.975, epsilon ); |
57 | BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc0, quantile_probability = 0.975), 0.9875, epsilon ); |
58 | BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc0, quantile_probability = 0.99), 0.995, epsilon ); |
59 | BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc0, quantile_probability = 0.999), 0.9995, epsilon ); |
60 | BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc1, quantile_probability = 0.05), 0.025, epsilon ); |
61 | BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc1, quantile_probability = 0.025), 0.0125, epsilon ); |
62 | BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc1, quantile_probability = 0.01), 0.005, epsilon ); |
63 | BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc1, quantile_probability = 0.001), 0.0005, 5*epsilon ); |
64 | } |
65 | |
66 | /////////////////////////////////////////////////////////////////////////////// |
67 | // init_unit_test_suite |
68 | // |
69 | test_suite* init_unit_test_suite( int argc, char* argv[] ) |
70 | { |
71 | test_suite *test = BOOST_TEST_SUITE("weighted_tail_mean test" ); |
72 | |
73 | test->add(BOOST_TEST_CASE(&test_stat)); |
74 | |
75 | return test; |
76 | } |
77 | |
78 | |