| // (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 weighted_tail_quantile.hpp |
| |
| #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> |
| #include <boost/accumulators/statistics/weighted_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 = 20000; // cache size |
| |
| double mu1 = 1.0; |
| double mu2 = -1.0; |
| boost::lagged_fibonacci607 rng; |
| boost::normal_distribution<> mean_sigma1(mu1,1); |
| boost::normal_distribution<> mean_sigma2(mu2,1); |
| 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); |
| |
| accumulator_set<double, stats<tag::weighted_tail_quantile<right> >, double> |
| acc1(right_tail_cache_size = c); |
| |
| accumulator_set<double, stats<tag::weighted_tail_quantile<left> >, double> |
| acc2(left_tail_cache_size = c); |
| |
| for (std::size_t i = 0; i < n; ++i) |
| { |
| double sample1 = normal1(); |
| double sample2 = normal2(); |
| acc1(sample1, weight = std::exp(-mu1 * (sample1 - 0.5 * mu1))); |
| acc2(sample2, weight = std::exp(-mu2 * (sample2 - 0.5 * mu2))); |
| } |
| |
| // check standard normal distribution |
| BOOST_CHECK_CLOSE( quantile(acc1, quantile_probability = 0.975), 1.959963, epsilon ); |
| BOOST_CHECK_CLOSE( quantile(acc1, quantile_probability = 0.999), 3.090232, epsilon ); |
| BOOST_CHECK_CLOSE( quantile(acc2, quantile_probability = 0.025), -1.959963, epsilon ); |
| BOOST_CHECK_CLOSE( quantile(acc2, quantile_probability = 0.001), -3.090232, epsilon ); |
| |
| } |
| |
| /////////////////////////////////////////////////////////////////////////////// |
| // init_unit_test_suite |
| // |
| test_suite* init_unit_test_suite( int argc, char* argv[] ) |
| { |
| test_suite *test = BOOST_TEST_SUITE("weighted_tail_quantile test"); |
| |
| test->add(BOOST_TEST_CASE(&test_stat)); |
| |
| return test; |
| } |
| |