ceph/src/boost/libs/accumulators/test/rolling_variance.cpp

   1 //  (C) Copyright Pieter Bastiaan Ober 2014.
   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/mpl/assert.hpp>
   9 #include <boost/type_traits/is_same.hpp>
  10 #include <boost/accumulators/accumulators.hpp>
  11 #include <boost/accumulators/statistics/stats.hpp>
  12
  13 #include <boost/accumulators/statistics/rolling_variance.hpp>
  14
  15 using namespace boost;
  16 using namespace unit_test;
  17 using namespace accumulators;
  18
  19 template<typename T>
  20 void assert_is_double(T const &)
  21 {
  22     BOOST_MPL_ASSERT((is_same<T, double>));
  23 }
  24
  25 /*
  26 REFERENCE VALUES PROVIDED BY OCTAVE:
  27
  28 x=[1.2 2.3 3.4 4.5 0.4 2.2 7.1 4.0]
  29
  30 v1_2 = var(x(1:2))
  31 v1_3 = var(x(1:3))
  32 v1_4 = var(x(1:4))
  33 v2_5 = var(x(2:5))
  34 v3_6 = var(x(3:6))
  35 v4_7 = var(x(4:7))
  36 v5_8 = var(x(5:8))
  37
  38 GIVES:
  39
  40 v1_2 =  0.605000000000000
  41 v1_3 =  1.21000000000000
  42 v1_4 =  2.01666666666667
  43 v2_5 =  3.05666666666667
  44 v3_6 =  3.08250000000000
  45 v4_7 =  8.41666666666667
  46 v5_8 =  8.16250000000000
  47 */
  48
  49 ///////////////////////////////////////////////////////////////////////////////
  50 // rolling_variance_test_impl
  51 // implements a test for window_size = 4
  52
  53 size_t window_size = 4;
  54
  55 template<typename accumulator_set_type>
  56 void rolling_variance_test_impl(accumulator_set_type& acc)
  57 {
  58     // Window contains x(1), value is zero
  59     acc(1.2);
  60     BOOST_CHECK_CLOSE(rolling_variance(acc),0.0,1e-10);
  61
  62     // Window contains x(1)...x(2)
  63     acc(2.3);
  64     BOOST_CHECK_CLOSE(rolling_variance(acc),0.605,1e-10);
  65
  66     // Window contains x(1)...x(3)
  67     acc(3.4);
  68     BOOST_CHECK_CLOSE(rolling_variance(acc),1.21,1e-10);
  69
  70     // Window contains x(1)...x(4)
  71     acc(4.5);
  72     BOOST_CHECK_CLOSE(rolling_variance(acc),2.01666666666667,1e-10);
  73
  74     // Window contains x(2)...x(5)
  75     acc(0.4);
  76     BOOST_CHECK_CLOSE(rolling_variance(acc),3.05666666666667,1e-10);
  77
  78     // Window contains x(3)...x(6)
  79     acc(2.2);
  80     BOOST_CHECK_CLOSE(rolling_variance(acc),3.08250000000000,1e-10);
  81
  82     // Window contains x(4)...x(7)
  83     acc(7.1);
  84     BOOST_CHECK_CLOSE(rolling_variance(acc),8.41666666666667,1e-10);
  85
  86     // Window contains x(5)...x(8)
  87     acc(4.0);
  88     BOOST_CHECK_CLOSE(rolling_variance(acc),8.16250000000000,1e-10);
  89
  90     assert_is_double(rolling_variance(acc));
  91 }
  92
  93 ///////////////////////////////////////////////////////////////////////////////
  94 // test_rolling_variance
  95 //
  96 void test_rolling_variance()
  97 {
  98     // tag::rolling_window::window_size
  99     accumulator_set<double, stats<tag::immediate_rolling_variance> >
 100         acc_immediate_rolling_variance(tag::immediate_rolling_variance::window_size = window_size);
 101
 102     accumulator_set<double, stats<tag::immediate_rolling_variance, tag::rolling_mean> >
 103         acc_immediate_rolling_variance2(tag::immediate_rolling_variance::window_size = window_size);
 104
 105     accumulator_set<double, stats<tag::rolling_variance(immediate)> >
 106         acc_immediate_rolling_variance3(tag::immediate_rolling_variance::window_size = window_size);
 107
 108     accumulator_set<double, stats<tag::lazy_rolling_variance> >
 109         acc_lazy_rolling_variance(tag::lazy_rolling_variance::window_size = window_size);
 110
 111     accumulator_set<double, stats<tag::rolling_variance(lazy)> >
 112        acc_lazy_rolling_variance2(tag::immediate_rolling_variance::window_size = window_size);
 113
 114     accumulator_set<double, stats<tag::rolling_variance> >
 115         acc_default_rolling_variance(tag::rolling_variance::window_size = window_size);
 116
 117     //// test the different implementations
 118     rolling_variance_test_impl(acc_immediate_rolling_variance);
 119     rolling_variance_test_impl(acc_immediate_rolling_variance2);
 120     rolling_variance_test_impl(acc_immediate_rolling_variance3);
 121     rolling_variance_test_impl(acc_lazy_rolling_variance);
 122     rolling_variance_test_impl(acc_lazy_rolling_variance2);
 123     rolling_variance_test_impl(acc_default_rolling_variance);
 124
 125     //// test that the default implementation is the 'immediate' computation
 126     BOOST_REQUIRE(sizeof(acc_lazy_rolling_variance) != sizeof(acc_immediate_rolling_variance));
 127     BOOST_CHECK  (sizeof(acc_default_rolling_variance) == sizeof(acc_immediate_rolling_variance));
 128
 129     //// test the equivalence of the different ways to indicate a feature
 130     BOOST_CHECK  (sizeof(acc_immediate_rolling_variance) == sizeof(acc_immediate_rolling_variance2));
 131     BOOST_CHECK  (sizeof(acc_immediate_rolling_variance) == sizeof(acc_immediate_rolling_variance3));
 132     BOOST_CHECK  (sizeof(acc_lazy_rolling_variance) == sizeof(acc_lazy_rolling_variance2));
 133 }
 134
 135 ///////////////////////////////////////////////////////////////////////////////
 136 // init_unit_test_suite
 137 //
 138 test_suite* init_unit_test_suite( int argc, char* argv[] )
 139 {
 140     test_suite *test = BOOST_TEST_SUITE("rolling variance test");
 141
 142     test->add(BOOST_TEST_CASE(&test_rolling_variance));
 143
 144     return test;
 145 }