| // (C) Copyright 2006 Eric Niebler, Olivier Gygi. |
| // Use, modification and distribution are subject to the |
| // Boost Software License, Version 1.0. (See accompanying file |
| // LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt) |
| |
| // Test case for tail_mean.hpp |
| |
| #include <boost/random.hpp> |
| #include <boost/test/unit_test.hpp> |
| #include <boost/test/floating_point_comparison.hpp> |
| #include <boost/accumulators/numeric/functional/vector.hpp> |
| #include <boost/accumulators/numeric/functional/complex.hpp> |
| #include <boost/accumulators/numeric/functional/valarray.hpp> |
| #include <boost/accumulators/accumulators.hpp> |
| #include <boost/accumulators/statistics/stats.hpp> |
| #include <boost/accumulators/statistics/tail_mean.hpp> |
| #include <boost/accumulators/statistics/tail_quantile.hpp> |
| |
| using namespace boost; |
| using namespace unit_test; |
| using namespace boost::accumulators; |
| |
| /////////////////////////////////////////////////////////////////////////////// |
| // test_stat |
| // |
| void test_stat() |
| { |
| // tolerance in % |
| double epsilon = 1; |
| |
| std::size_t n = 100000; // number of MC steps |
| std::size_t c = 10000; // cache size |
| |
| typedef accumulator_set<double, stats<tag::non_coherent_tail_mean<right>, tag::tail_quantile<right> > > accumulator_t_right1; |
| typedef accumulator_set<double, stats<tag::non_coherent_tail_mean<left>, tag::tail_quantile<left> > > accumulator_t_left1; |
| typedef accumulator_set<double, stats<tag::coherent_tail_mean<right>, tag::tail_quantile<right> > > accumulator_t_right2; |
| typedef accumulator_set<double, stats<tag::coherent_tail_mean<left>, tag::tail_quantile<left> > > accumulator_t_left2; |
| |
| accumulator_t_right1 acc0( right_tail_cache_size = c ); |
| accumulator_t_left1 acc1( left_tail_cache_size = c ); |
| accumulator_t_right2 acc2( right_tail_cache_size = c ); |
| accumulator_t_left2 acc3( left_tail_cache_size = c ); |
| |
| // a random number generator |
| boost::lagged_fibonacci607 rng; |
| |
| for (std::size_t i = 0; i < n; ++i) |
| { |
| double sample = rng(); |
| acc0(sample); |
| acc1(sample); |
| acc2(sample); |
| acc3(sample); |
| } |
| |
| // check uniform distribution |
| BOOST_CHECK_CLOSE( non_coherent_tail_mean(acc0, quantile_probability = 0.95), 0.975, epsilon ); |
| BOOST_CHECK_CLOSE( non_coherent_tail_mean(acc0, quantile_probability = 0.975), 0.9875, epsilon ); |
| BOOST_CHECK_CLOSE( non_coherent_tail_mean(acc0, quantile_probability = 0.99), 0.995, epsilon ); |
| BOOST_CHECK_CLOSE( non_coherent_tail_mean(acc0, quantile_probability = 0.999), 0.9995, epsilon ); |
| BOOST_CHECK_CLOSE( non_coherent_tail_mean(acc1, quantile_probability = 0.05), 0.025, epsilon ); |
| BOOST_CHECK_CLOSE( non_coherent_tail_mean(acc1, quantile_probability = 0.025), 0.0125, epsilon ); |
| BOOST_CHECK_CLOSE( non_coherent_tail_mean(acc1, quantile_probability = 0.01), 0.005, 5 ); |
| BOOST_CHECK_CLOSE( non_coherent_tail_mean(acc1, quantile_probability = 0.001), 0.0005, 10 ); |
| BOOST_CHECK_CLOSE( tail_mean(acc2, quantile_probability = 0.95), 0.975, epsilon ); |
| BOOST_CHECK_CLOSE( tail_mean(acc2, quantile_probability = 0.975), 0.9875, epsilon ); |
| BOOST_CHECK_CLOSE( tail_mean(acc2, quantile_probability = 0.99), 0.995, epsilon ); |
| BOOST_CHECK_CLOSE( tail_mean(acc2, quantile_probability = 0.999), 0.9995, epsilon ); |
| BOOST_CHECK_CLOSE( tail_mean(acc3, quantile_probability = 0.05), 0.025, epsilon ); |
| BOOST_CHECK_CLOSE( tail_mean(acc3, quantile_probability = 0.025), 0.0125, epsilon ); |
| BOOST_CHECK_CLOSE( tail_mean(acc3, quantile_probability = 0.01), 0.005, 5 ); |
| BOOST_CHECK_CLOSE( tail_mean(acc3, quantile_probability = 0.001), 0.0005, 10 ); |
| } |
| |
| /////////////////////////////////////////////////////////////////////////////// |
| // init_unit_test_suite |
| // |
| test_suite* init_unit_test_suite( int argc, char* argv[] ) |
| { |
| test_suite *test = BOOST_TEST_SUITE("tail_mean test"); |
| |
| test->add(BOOST_TEST_CASE(&test_stat)); |
| |
| return test; |
| } |
| |