| // (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_mean.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_mean.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 = 25000; // cache size |
| |
| accumulator_set<double, stats<tag::non_coherent_weighted_tail_mean<right> >, double > |
| acc0( right_tail_cache_size = c ); |
| accumulator_set<double, stats<tag::non_coherent_weighted_tail_mean<left> >, double > |
| acc1( left_tail_cache_size = c ); |
| |
| // random number generators |
| boost::lagged_fibonacci607 rng; |
| |
| for (std::size_t i = 0; i < n; ++i) |
| { |
| double smpl = std::sqrt(rng()); |
| acc0(smpl, weight = 1./smpl); |
| } |
| |
| for (std::size_t i = 0; i < n; ++i) |
| { |
| double smpl = rng(); |
| acc1(smpl*smpl, weight = smpl); |
| } |
| |
| // check uniform distribution |
| BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc0, quantile_probability = 0.95), 0.975, epsilon ); |
| BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc0, quantile_probability = 0.975), 0.9875, epsilon ); |
| BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc0, quantile_probability = 0.99), 0.995, epsilon ); |
| BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc0, quantile_probability = 0.999), 0.9995, epsilon ); |
| BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc1, quantile_probability = 0.05), 0.025, epsilon ); |
| BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc1, quantile_probability = 0.025), 0.0125, epsilon ); |
| BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc1, quantile_probability = 0.01), 0.005, epsilon ); |
| BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc1, quantile_probability = 0.001), 0.0005, 5*epsilon ); |
| } |
| |
| /////////////////////////////////////////////////////////////////////////////// |
| // init_unit_test_suite |
| // |
| test_suite* init_unit_test_suite( int argc, char* argv[] ) |
| { |
| test_suite *test = BOOST_TEST_SUITE("weighted_tail_mean test"); |
| |
| test->add(BOOST_TEST_CASE(&test_stat)); |
| |
| return test; |
| } |
| |