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1 | // (C) Copyright 2006 Eric Niebler, Olivier Gygi |
2 | // Use, modification and distribution are subject to the | |
3 | // Boost Software License, Version 1.0. (See accompanying file | |
4 | // LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt) | |
5 | ||
6 | #include <boost/test/unit_test.hpp> | |
7 | #include <boost/test/floating_point_comparison.hpp> | |
8 | #include <boost/random.hpp> | |
9 | #include <boost/range/iterator_range.hpp> | |
10 | #include <boost/accumulators/accumulators.hpp> | |
11 | #include <boost/accumulators/statistics/stats.hpp> | |
12 | #include <boost/accumulators/statistics/weighted_median.hpp> | |
13 | ||
14 | using namespace boost; | |
15 | using namespace unit_test; | |
16 | using namespace accumulators; | |
17 | ||
18 | /////////////////////////////////////////////////////////////////////////////// | |
19 | // test_stat | |
20 | // | |
21 | void test_stat() | |
22 | { | |
23 | // Median estimation of normal distribution N(1,1) using samples from a narrow normal distribution N(1,0.01) | |
24 | // The weights equal to the likelihood ratio of the corresponding samples | |
25 | ||
26 | // two random number generators | |
27 | double mu = 1.; | |
28 | double sigma_narrow = 0.01; | |
29 | double sigma = 1.; | |
30 | boost::lagged_fibonacci607 rng; | |
31 | boost::normal_distribution<> mean_sigma_narrow(mu,sigma_narrow); | |
32 | boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal_narrow(rng, mean_sigma_narrow); | |
33 | ||
34 | accumulator_set<double, stats<tag::weighted_median(with_p_square_quantile) >, double > acc; | |
35 | accumulator_set<double, stats<tag::weighted_median(with_density) >, double > | |
36 | acc_dens( density_cache_size = 10000, density_num_bins = 1000 ); | |
37 | accumulator_set<double, stats<tag::weighted_median(with_p_square_cumulative_distribution) >, double > | |
38 | acc_cdist( p_square_cumulative_distribution_num_cells = 100 ); | |
39 | ||
40 | ||
41 | for (std::size_t i=0; i<100000; ++i) | |
42 | { | |
43 | double sample = normal_narrow(); | |
44 | acc(sample, weight = std::exp(0.5 * (sample - mu) * (sample - mu) * ( 1./sigma_narrow/sigma_narrow - 1./sigma/sigma ))); | |
45 | acc_dens(sample, weight = std::exp(0.5 * (sample - mu) * (sample - mu) * ( 1./sigma_narrow/sigma_narrow - 1./sigma/sigma ))); | |
46 | acc_cdist(sample, weight = std::exp(0.5 * (sample - mu) * (sample - mu) * ( 1./sigma_narrow/sigma_narrow - 1./sigma/sigma ))); | |
47 | } | |
48 | ||
49 | BOOST_CHECK_CLOSE(1., weighted_median(acc), 2); | |
50 | BOOST_CHECK_CLOSE(1., weighted_median(acc_dens), 3); | |
51 | BOOST_CHECK_CLOSE(1., weighted_median(acc_cdist), 3); | |
52 | } | |
53 | ||
54 | /////////////////////////////////////////////////////////////////////////////// | |
55 | // init_unit_test_suite | |
56 | // | |
57 | test_suite* init_unit_test_suite( int argc, char* argv[] ) | |
58 | { | |
59 | test_suite *test = BOOST_TEST_SUITE("weighted_median test"); | |
60 | ||
61 | test->add(BOOST_TEST_CASE(&test_stat)); | |
62 | ||
63 | return test; | |
64 | } |