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_quantile.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_quantile.hpp> |
18 | |
19 | using namespace boost; |
20 | using namespace unit_test; |
21 | using namespace boost::accumulators; |
22 | |
23 | /////////////////////////////////////////////////////////////////////////////// |
24 | // test_stat |
25 | // |
26 | void test_stat() |
27 | { |
28 | // tolerance in % |
29 | double epsilon = 1; |
30 | |
31 | std::size_t n = 100000; // number of MC steps |
32 | std::size_t c = 20000; // cache size |
33 | |
34 | double mu1 = 1.0; |
35 | double mu2 = -1.0; |
36 | boost::lagged_fibonacci607 rng; |
37 | boost::normal_distribution<> mean_sigma1(mu1,1); |
38 | boost::normal_distribution<> mean_sigma2(mu2,1); |
39 | boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal1(rng, mean_sigma1); |
40 | boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal2(rng, mean_sigma2); |
41 | |
42 | accumulator_set<double, stats<tag::weighted_tail_quantile<right> >, double> |
43 | acc1(right_tail_cache_size = c); |
44 | |
45 | accumulator_set<double, stats<tag::weighted_tail_quantile<left> >, double> |
46 | acc2(left_tail_cache_size = c); |
47 | |
48 | for (std::size_t i = 0; i < n; ++i) |
49 | { |
50 | double sample1 = normal1(); |
51 | double sample2 = normal2(); |
52 | acc1(sample1, weight = std::exp(x: -mu1 * (sample1 - 0.5 * mu1))); |
53 | acc2(sample2, weight = std::exp(x: -mu2 * (sample2 - 0.5 * mu2))); |
54 | } |
55 | |
56 | // check standard normal distribution |
57 | BOOST_CHECK_CLOSE( quantile(acc1, quantile_probability = 0.975), 1.959963, epsilon ); |
58 | BOOST_CHECK_CLOSE( quantile(acc1, quantile_probability = 0.999), 3.090232, epsilon ); |
59 | BOOST_CHECK_CLOSE( quantile(acc2, quantile_probability = 0.025), -1.959963, epsilon ); |
60 | BOOST_CHECK_CLOSE( quantile(acc2, quantile_probability = 0.001), -3.090232, epsilon ); |
61 | |
62 | } |
63 | |
64 | /////////////////////////////////////////////////////////////////////////////// |
65 | // init_unit_test_suite |
66 | // |
67 | test_suite* init_unit_test_suite( int argc, char* argv[] ) |
68 | { |
69 | test_suite *test = BOOST_TEST_SUITE("weighted_tail_quantile test" ); |
70 | |
71 | test->add(BOOST_TEST_CASE(&test_stat)); |
72 | |
73 | return test; |
74 | } |
75 | |
76 | |