ceph/src/boost/libs/accumulators/include/boost/accumulators/statistics/tail_quantile.hpp

   1 ///////////////////////////////////////////////////////////////////////////////
   2 // tail_quantile.hpp
   3 //
   4 //  Copyright 2006 Daniel Egloff, Olivier Gygi. Distributed under the Boost
   5 //  Software License, Version 1.0. (See accompanying file
   6 //  LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt)
   7
   8 #ifndef BOOST_ACCUMULATORS_STATISTICS_TAIL_QUANTILE_HPP_DE_01_01_2006
   9 #define BOOST_ACCUMULATORS_STATISTICS_TAIL_QUANTILE_HPP_DE_01_01_2006
  10
  11 #include <vector>
  12 #include <limits>
  13 #include <functional>
  14 #include <sstream>
  15 #include <stdexcept>
  16 #include <boost/config/no_tr1/cmath.hpp>             // For ceil
  17 #include <boost/throw_exception.hpp>
  18 #include <boost/parameter/keyword.hpp>
  19 #include <boost/mpl/placeholders.hpp>
  20 #include <boost/mpl/if.hpp>
  21 #include <boost/type_traits/is_same.hpp>
  22 #include <boost/accumulators/framework/depends_on.hpp>
  23 #include <boost/accumulators/framework/accumulator_base.hpp>
  24 #include <boost/accumulators/framework/extractor.hpp>
  25 #include <boost/accumulators/numeric/functional.hpp>
  26 #include <boost/accumulators/framework/parameters/sample.hpp>
  27 #include <boost/accumulators/statistics_fwd.hpp>
  28 #include <boost/accumulators/statistics/tail.hpp>
  29 #include <boost/accumulators/statistics/count.hpp>
  30 #include <boost/accumulators/statistics/parameters/quantile_probability.hpp>
  31
  32 #ifdef _MSC_VER
  33 # pragma warning(push)
  34 # pragma warning(disable: 4127) // conditional expression is constant
  35 #endif
  36
  37 namespace boost { namespace accumulators
  38 {
  39
  40 namespace impl
  41 {
  42     ///////////////////////////////////////////////////////////////////////////////
  43     // tail_quantile_impl
  44     //  Tail quantile estimation based on order statistics
  45     /**
  46         @brief Tail quantile estimation based on order statistics (for both left and right tails)
  47
  48         The estimation of a tail quantile \f$\hat{q}\f$ with level \f$\alpha\f$ based on order statistics requires the
  49         caching of at least the \f$\lceil n\alpha\rceil\f$ smallest or the \f$\lceil n(1-\alpha)\rceil\f$ largest samples,
  50         \f$n\f$ being the total number of samples. The largest of the \f$\lceil n\alpha\rceil\f$ smallest samples or the
  51         smallest of the \f$\lceil n(1-\alpha)\rceil\f$ largest samples provides an estimate for the quantile:
  52
  53         \f[
  54             \hat{q}_{n,\alpha} = X_{\lceil \alpha n \rceil:n}
  55         \f]
  56
  57         @param quantile_probability
  58     */
  59     template<typename Sample, typename LeftRight>
  60     struct tail_quantile_impl
  61       : accumulator_base
  62     {
  63         // for boost::result_of
  64         typedef Sample result_type;
  65
  66         tail_quantile_impl(dont_care) {}
  67
  68         template<typename Args>
  69         result_type result(Args const &args) const
  70         {
  71             std::size_t cnt = count(args);
  72
  73             std::size_t n = static_cast<std::size_t>(
  74                 std::ceil(
  75                     cnt * ( ( is_same<LeftRight, left>::value ) ? args[quantile_probability] : 1. - args[quantile_probability] )
  76                 )
  77             );
  78
  79             // If n is in a valid range, return result, otherwise return NaN or throw exception
  80             if ( n < static_cast<std::size_t>(tail(args).size()))
  81             {
  82                // Note that the cached samples of the left are sorted in ascending order,
  83                // whereas the samples of the right tail are sorted in descending order
  84                return *(boost::begin(tail(args)) + n - 1);
  85             }
  86             else
  87             {
  88                 if (std::numeric_limits<result_type>::has_quiet_NaN)
  89                 {
  90                     return std::numeric_limits<result_type>::quiet_NaN();
  91                 }
  92                 else
  93                 {
  94                     std::ostringstream msg;
  95                     msg << "index n = " << n << " is not in valid range [0, " << tail(args).size() << ")";
  96                     boost::throw_exception(std::runtime_error(msg.str()));
  97                     return Sample(0);
  98                 }
  99             }
 100         }
 101     };
 102 } // namespace impl
 103
 104 ///////////////////////////////////////////////////////////////////////////////
 105 // tag::tail_quantile<>
 106 //
 107 namespace tag
 108 {
 109     template<typename LeftRight>
 110     struct tail_quantile
 111       : depends_on<count, tail<LeftRight> >
 112     {
 113         /// INTERNAL ONLY
 114         ///
 115         typedef accumulators::impl::tail_quantile_impl<mpl::_1, LeftRight> impl;
 116     };
 117 }
 118
 119 ///////////////////////////////////////////////////////////////////////////////
 120 // extract::tail_quantile
 121 //
 122 namespace extract
 123 {
 124     extractor<tag::quantile> const tail_quantile = {};
 125
 126     BOOST_ACCUMULATORS_IGNORE_GLOBAL(tail_quantile)
 127 }
 128
 129 using extract::tail_quantile;
 130
 131 // for the purposes of feature-based dependency resolution,
 132 // tail_quantile<LeftRight> provide the same feature as quantile
 133 template<typename LeftRight>
 134 struct feature_of<tag::tail_quantile<LeftRight> >
 135   : feature_of<tag::quantile>
 136 {
 137 };
 138
 139 // So that tail_quantile can be automatically substituted with
 140 // weighted_tail_quantile when the weight parameter is non-void.
 141 template<typename LeftRight>
 142 struct as_weighted_feature<tag::tail_quantile<LeftRight> >
 143 {
 144     typedef tag::weighted_tail_quantile<LeftRight> type;
 145 };
 146
 147 template<typename LeftRight>
 148 struct feature_of<tag::weighted_tail_quantile<LeftRight> >
 149   : feature_of<tag::tail_quantile<LeftRight> >
 150 {};
 151
 152 }} // namespace boost::accumulators
 153
 154 #ifdef _MSC_VER
 155 # pragma warning(pop)
 156 #endif
 157
 158 #endif