| /////////////////////////////////////////////////////////////////////////////// |
| // extended_p_square_quantile.hpp |
| // |
| // Copyright 2005 Daniel Egloff. Distributed under 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) |
| |
| #ifndef BOOST_ACCUMULATORS_STATISTICS_EXTENDED_SINGLE_QUANTILE_HPP_DE_01_01_2006 |
| #define BOOST_ACCUMULATORS_STATISTICS_EXTENDED_SINGLE_QUANTILE_HPP_DE_01_01_2006 |
| |
| #include <vector> |
| #include <functional> |
| #include <boost/range/begin.hpp> |
| #include <boost/range/end.hpp> |
| #include <boost/range/iterator_range.hpp> |
| #include <boost/iterator/transform_iterator.hpp> |
| #include <boost/iterator/counting_iterator.hpp> |
| #include <boost/iterator/permutation_iterator.hpp> |
| #include <boost/parameter/keyword.hpp> |
| #include <boost/mpl/placeholders.hpp> |
| #include <boost/type_traits/is_same.hpp> |
| #include <boost/accumulators/framework/accumulator_base.hpp> |
| #include <boost/accumulators/framework/extractor.hpp> |
| #include <boost/accumulators/numeric/functional.hpp> |
| #include <boost/accumulators/framework/parameters/sample.hpp> |
| #include <boost/accumulators/framework/depends_on.hpp> |
| #include <boost/accumulators/statistics_fwd.hpp> |
| #include <boost/accumulators/statistics/count.hpp> |
| #include <boost/accumulators/statistics/parameters/quantile_probability.hpp> |
| #include <boost/accumulators/statistics/extended_p_square.hpp> |
| #include <boost/accumulators/statistics/weighted_extended_p_square.hpp> |
| #include <boost/accumulators/statistics/times2_iterator.hpp> |
| |
| #ifdef _MSC_VER |
| # pragma warning(push) |
| # pragma warning(disable: 4127) // conditional expression is constant |
| #endif |
| |
| namespace boost { namespace accumulators |
| { |
| |
| namespace impl |
| { |
| /////////////////////////////////////////////////////////////////////////////// |
| // extended_p_square_quantile_impl |
| // single quantile estimation |
| /** |
| @brief Quantile estimation using the extended \f$P^2\f$ algorithm for weighted and unweighted samples |
| |
| Uses the quantile estimates calculated by the extended \f$P^2\f$ algorithm to compute |
| intermediate quantile estimates by means of quadratic interpolation. |
| |
| @param quantile_probability The probability of the quantile to be estimated. |
| */ |
| template<typename Sample, typename Impl1, typename Impl2> // Impl1: weighted/unweighted // Impl2: linear/quadratic |
| struct extended_p_square_quantile_impl |
| : accumulator_base |
| { |
| typedef typename numeric::functional::average<Sample, std::size_t>::result_type float_type; |
| typedef std::vector<float_type> array_type; |
| typedef iterator_range< |
| detail::lvalue_index_iterator< |
| permutation_iterator< |
| typename array_type::const_iterator |
| , detail::times2_iterator |
| > |
| > |
| > range_type; |
| // for boost::result_of |
| typedef float_type result_type; |
| |
| template<typename Args> |
| extended_p_square_quantile_impl(Args const &args) |
| : probabilities( |
| boost::begin(args[extended_p_square_probabilities]) |
| , boost::end(args[extended_p_square_probabilities]) |
| ) |
| { |
| } |
| |
| template<typename Args> |
| result_type result(Args const &args) const |
| { |
| typedef |
| typename mpl::if_< |
| is_same<Impl1, weighted> |
| , tag::weighted_extended_p_square |
| , tag::extended_p_square |
| >::type |
| extended_p_square_tag; |
| |
| extractor<extended_p_square_tag> const some_extended_p_square = {}; |
| |
| array_type heights(some_extended_p_square(args).size()); |
| std::copy(some_extended_p_square(args).begin(), some_extended_p_square(args).end(), heights.begin()); |
| |
| this->probability = args[quantile_probability]; |
| |
| typename array_type::const_iterator iter_probs = std::lower_bound(this->probabilities.begin(), this->probabilities.end(), this->probability); |
| std::size_t dist = std::distance(this->probabilities.begin(), iter_probs); |
| typename array_type::const_iterator iter_heights = heights.begin() + dist; |
| |
| // If this->probability is not in a valid range return NaN or throw exception |
| if (this->probability < *this->probabilities.begin() || this->probability > *(this->probabilities.end() - 1)) |
| { |
| if (std::numeric_limits<result_type>::has_quiet_NaN) |
| { |
| return std::numeric_limits<result_type>::quiet_NaN(); |
| } |
| else |
| { |
| std::ostringstream msg; |
| msg << "probability = " << this->probability << " is not in valid range ("; |
| msg << *this->probabilities.begin() << ", " << *(this->probabilities.end() - 1) << ")"; |
| boost::throw_exception(std::runtime_error(msg.str())); |
| return Sample(0); |
| } |
| |
| } |
| |
| if (*iter_probs == this->probability) |
| { |
| return heights[dist]; |
| } |
| else |
| { |
| result_type res; |
| |
| if (is_same<Impl2, linear>::value) |
| { |
| ///////////////////////////////////////////////////////////////////////////////// |
| // LINEAR INTERPOLATION |
| // |
| float_type p1 = *iter_probs; |
| float_type p0 = *(iter_probs - 1); |
| float_type h1 = *iter_heights; |
| float_type h0 = *(iter_heights - 1); |
| |
| float_type a = numeric::average(h1 - h0, p1 - p0); |
| float_type b = h1 - p1 * a; |
| |
| res = a * this->probability + b; |
| } |
| else |
| { |
| ///////////////////////////////////////////////////////////////////////////////// |
| // QUADRATIC INTERPOLATION |
| // |
| float_type p0, p1, p2; |
| float_type h0, h1, h2; |
| |
| if ( (dist == 1 || *iter_probs - this->probability <= this->probability - *(iter_probs - 1) ) && dist != this->probabilities.size() - 1 ) |
| { |
| p0 = *(iter_probs - 1); |
| p1 = *iter_probs; |
| p2 = *(iter_probs + 1); |
| h0 = *(iter_heights - 1); |
| h1 = *iter_heights; |
| h2 = *(iter_heights + 1); |
| } |
| else |
| { |
| p0 = *(iter_probs - 2); |
| p1 = *(iter_probs - 1); |
| p2 = *iter_probs; |
| h0 = *(iter_heights - 2); |
| h1 = *(iter_heights - 1); |
| h2 = *iter_heights; |
| } |
| |
| float_type hp21 = numeric::average(h2 - h1, p2 - p1); |
| float_type hp10 = numeric::average(h1 - h0, p1 - p0); |
| float_type p21 = numeric::average(p2 * p2 - p1 * p1, p2 - p1); |
| float_type p10 = numeric::average(p1 * p1 - p0 * p0, p1 - p0); |
| |
| float_type a = numeric::average(hp21 - hp10, p21 - p10); |
| float_type b = hp21 - a * p21; |
| float_type c = h2 - a * p2 * p2 - b * p2; |
| |
| res = a * this->probability * this-> probability + b * this->probability + c; |
| } |
| |
| return res; |
| } |
| |
| } |
| private: |
| |
| array_type probabilities; |
| mutable float_type probability; |
| |
| }; |
| |
| } // namespace impl |
| |
| /////////////////////////////////////////////////////////////////////////////// |
| // tag::extended_p_square_quantile |
| // |
| namespace tag |
| { |
| struct extended_p_square_quantile |
| : depends_on<extended_p_square> |
| { |
| typedef accumulators::impl::extended_p_square_quantile_impl<mpl::_1, unweighted, linear> impl; |
| }; |
| struct extended_p_square_quantile_quadratic |
| : depends_on<extended_p_square> |
| { |
| typedef accumulators::impl::extended_p_square_quantile_impl<mpl::_1, unweighted, quadratic> impl; |
| }; |
| struct weighted_extended_p_square_quantile |
| : depends_on<weighted_extended_p_square> |
| { |
| typedef accumulators::impl::extended_p_square_quantile_impl<mpl::_1, weighted, linear> impl; |
| }; |
| struct weighted_extended_p_square_quantile_quadratic |
| : depends_on<weighted_extended_p_square> |
| { |
| typedef accumulators::impl::extended_p_square_quantile_impl<mpl::_1, weighted, quadratic> impl; |
| }; |
| } |
| |
| /////////////////////////////////////////////////////////////////////////////// |
| // extract::extended_p_square_quantile |
| // extract::weighted_extended_p_square_quantile |
| // |
| namespace extract |
| { |
| extractor<tag::extended_p_square_quantile> const extended_p_square_quantile = {}; |
| extractor<tag::extended_p_square_quantile_quadratic> const extended_p_square_quantile_quadratic = {}; |
| extractor<tag::weighted_extended_p_square_quantile> const weighted_extended_p_square_quantile = {}; |
| extractor<tag::weighted_extended_p_square_quantile_quadratic> const weighted_extended_p_square_quantile_quadratic = {}; |
| |
| BOOST_ACCUMULATORS_IGNORE_GLOBAL(extended_p_square_quantile) |
| BOOST_ACCUMULATORS_IGNORE_GLOBAL(extended_p_square_quantile_quadratic) |
| BOOST_ACCUMULATORS_IGNORE_GLOBAL(weighted_extended_p_square_quantile) |
| BOOST_ACCUMULATORS_IGNORE_GLOBAL(weighted_extended_p_square_quantile_quadratic) |
| } |
| |
| using extract::extended_p_square_quantile; |
| using extract::extended_p_square_quantile_quadratic; |
| using extract::weighted_extended_p_square_quantile; |
| using extract::weighted_extended_p_square_quantile_quadratic; |
| |
| // extended_p_square_quantile(linear) -> extended_p_square_quantile |
| template<> |
| struct as_feature<tag::extended_p_square_quantile(linear)> |
| { |
| typedef tag::extended_p_square_quantile type; |
| }; |
| |
| // extended_p_square_quantile(quadratic) -> extended_p_square_quantile_quadratic |
| template<> |
| struct as_feature<tag::extended_p_square_quantile(quadratic)> |
| { |
| typedef tag::extended_p_square_quantile_quadratic type; |
| }; |
| |
| // weighted_extended_p_square_quantile(linear) -> weighted_extended_p_square_quantile |
| template<> |
| struct as_feature<tag::weighted_extended_p_square_quantile(linear)> |
| { |
| typedef tag::weighted_extended_p_square_quantile type; |
| }; |
| |
| // weighted_extended_p_square_quantile(quadratic) -> weighted_extended_p_square_quantile_quadratic |
| template<> |
| struct as_feature<tag::weighted_extended_p_square_quantile(quadratic)> |
| { |
| typedef tag::weighted_extended_p_square_quantile_quadratic type; |
| }; |
| |
| // for the purposes of feature-based dependency resolution, |
| // extended_p_square_quantile and weighted_extended_p_square_quantile |
| // provide the same feature as quantile |
| template<> |
| struct feature_of<tag::extended_p_square_quantile> |
| : feature_of<tag::quantile> |
| { |
| }; |
| template<> |
| struct feature_of<tag::extended_p_square_quantile_quadratic> |
| : feature_of<tag::quantile> |
| { |
| }; |
| // So that extended_p_square_quantile can be automatically substituted with |
| // weighted_extended_p_square_quantile when the weight parameter is non-void |
| template<> |
| struct as_weighted_feature<tag::extended_p_square_quantile> |
| { |
| typedef tag::weighted_extended_p_square_quantile type; |
| }; |
| |
| template<> |
| struct feature_of<tag::weighted_extended_p_square_quantile> |
| : feature_of<tag::extended_p_square_quantile> |
| { |
| }; |
| |
| // So that extended_p_square_quantile_quadratic can be automatically substituted with |
| // weighted_extended_p_square_quantile_quadratic when the weight parameter is non-void |
| template<> |
| struct as_weighted_feature<tag::extended_p_square_quantile_quadratic> |
| { |
| typedef tag::weighted_extended_p_square_quantile_quadratic type; |
| }; |
| template<> |
| struct feature_of<tag::weighted_extended_p_square_quantile_quadratic> |
| : feature_of<tag::extended_p_square_quantile_quadratic> |
| { |
| }; |
| |
| }} // namespace boost::accumulators |
| |
| #ifdef _MSC_VER |
| # pragma warning(pop) |
| #endif |
| |
| #endif |