| // (C) Copyright Eric Niebler 2005. |
| // 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 pot_quantile.hpp (weighted feature) |
| |
| #define BOOST_NUMERIC_FUNCTIONAL_STD_COMPLEX_SUPPORT |
| #define BOOST_NUMERIC_FUNCTIONAL_STD_VALARRAY_SUPPORT |
| #define BOOST_NUMERIC_FUNCTIONAL_STD_VECTOR_SUPPORT |
| |
| #include <boost/random.hpp> |
| #include <boost/test/unit_test.hpp> |
| #include <boost/test/floating_point_comparison.hpp> |
| #include <boost/accumulators/accumulators.hpp> |
| #include <boost/accumulators/statistics.hpp> |
| |
| using namespace boost; |
| using namespace unit_test; |
| using namespace boost::accumulators; |
| |
| /////////////////////////////////////////////////////////////////////////////// |
| // test_stat |
| // |
| void test_stat() |
| { |
| // tolerance in % |
| double epsilon = 1.; |
| |
| double mu1, mu2, l; |
| |
| mu1 = 1.; |
| mu2 = -1.; |
| l = 0.5; |
| |
| // two random number generators |
| boost::lagged_fibonacci607 rng; |
| boost::normal_distribution<> mean_sigma1(mu1,1); |
| boost::normal_distribution<> mean_sigma2(mu2,1); |
| boost::exponential_distribution<> lambda(l); |
| boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal1(rng, mean_sigma1); |
| boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal2(rng, mean_sigma2); |
| boost::variate_generator<boost::lagged_fibonacci607&, boost::exponential_distribution<> > exponential(rng, lambda); |
| |
| accumulator_set<double, stats<tag::weighted_pot_quantile<right>(with_threshold_value)>, double > acc1( |
| pot_threshold_value = 3. |
| ); |
| accumulator_set<double, stats<tag::weighted_pot_quantile<right>(with_threshold_probability)>, double > acc2( |
| right_tail_cache_size = 10000 |
| , pot_threshold_probability = 0.99 |
| ); |
| accumulator_set<double, stats<tag::weighted_pot_quantile<left>(with_threshold_value)>, double > acc3( |
| pot_threshold_value = -3. |
| ); |
| accumulator_set<double, stats<tag::weighted_pot_quantile<left>(with_threshold_probability)>, double > acc4( |
| left_tail_cache_size = 10000 |
| , pot_threshold_probability = 0.01 |
| ); |
| |
| accumulator_set<double, stats<tag::weighted_pot_quantile<right>(with_threshold_value)>, double > acc5( |
| pot_threshold_value = 5. |
| ); |
| accumulator_set<double, stats<tag::weighted_pot_quantile<right>(with_threshold_probability)>, double > acc6( |
| right_tail_cache_size = 10000 |
| , pot_threshold_probability = 0.995 |
| ); |
| |
| for (std::size_t i = 0; i < 100000; ++i) |
| { |
| double sample1 = normal1(); |
| double sample2 = normal2(); |
| acc1(sample1, weight = std::exp(-mu1 * (sample1 - 0.5 * mu1))); |
| acc2(sample1, weight = std::exp(-mu1 * (sample1 - 0.5 * mu1))); |
| acc3(sample2, weight = std::exp(-mu2 * (sample2 - 0.5 * mu2))); |
| acc4(sample2, weight = std::exp(-mu2 * (sample2 - 0.5 * mu2))); |
| } |
| |
| for (std::size_t i = 0; i < 100000; ++i) |
| { |
| double sample = exponential(); |
| acc5(sample, weight = 1./l * std::exp(-sample * (1. - l))); |
| acc6(sample, weight = 1./l * std::exp(-sample * (1. - l))); |
| } |
| |
| BOOST_CHECK_CLOSE( quantile(acc1, quantile_probability = 0.999), 3.090232, epsilon ); |
| BOOST_CHECK_CLOSE( quantile(acc2, quantile_probability = 0.999), 3.090232, epsilon ); |
| BOOST_CHECK_CLOSE( quantile(acc3, quantile_probability = 0.001), -3.090232, epsilon ); |
| BOOST_CHECK_CLOSE( quantile(acc4, quantile_probability = 0.001), -3.090232, epsilon ); |
| |
| BOOST_CHECK_CLOSE( quantile(acc5, quantile_probability = 0.999), 6.908, epsilon ); |
| BOOST_CHECK_CLOSE( quantile(acc6, quantile_probability = 0.999), 6.908, epsilon ); |
| } |
| |
| /////////////////////////////////////////////////////////////////////////////// |
| // init_unit_test_suite |
| // |
| test_suite* init_unit_test_suite( int argc, char* argv[] ) |
| { |
| test_suite *test = BOOST_TEST_SUITE("weighted_pot_quantile test"); |
| |
| test->add(BOOST_TEST_CASE(&test_stat)); |
| |
| return test; |
| } |