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

   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 // Test case for tail_mean.hpp
   7
   8 #include <boost/random.hpp>
   9 #include <boost/test/unit_test.hpp>
  10 #include <boost/test/floating_point_comparison.hpp>
  11 #include <boost/accumulators/numeric/functional/vector.hpp>
  12 #include <boost/accumulators/numeric/functional/complex.hpp>
  13 #include <boost/accumulators/numeric/functional/valarray.hpp>
  14 #include <boost/accumulators/accumulators.hpp>
  15 #include <boost/accumulators/statistics/stats.hpp>
  16 #include <boost/accumulators/statistics/tail_mean.hpp>
  17 #include <boost/accumulators/statistics/tail_quantile.hpp>
  18
  19 using namespace boost;
  20 using namespace unit_test;
  21 using namespace boost::accumulators;
  22
  23 ///////////////////////////////////////////////////////////////////////////////
  24 // test_stat
  25 //
  26 void test_stat()
  27 {
  28     // tolerance in %
  29     double epsilon = 1;
  30
  31     std::size_t n = 100000; // number of MC steps
  32     std::size_t c =  10000; // cache size
  33
  34     typedef accumulator_set<double, stats<tag::non_coherent_tail_mean<right>, tag::tail_quantile<right> > > accumulator_t_right1;
  35     typedef accumulator_set<double, stats<tag::non_coherent_tail_mean<left>, tag::tail_quantile<left> > > accumulator_t_left1;
  36     typedef accumulator_set<double, stats<tag::coherent_tail_mean<right>, tag::tail_quantile<right> > > accumulator_t_right2;
  37     typedef accumulator_set<double, stats<tag::coherent_tail_mean<left>, tag::tail_quantile<left> > > accumulator_t_left2;
  38
  39     accumulator_t_right1 acc0( right_tail_cache_size = c );
  40     accumulator_t_left1 acc1( left_tail_cache_size = c );
  41     accumulator_t_right2 acc2( right_tail_cache_size = c );
  42     accumulator_t_left2 acc3( left_tail_cache_size = c );
  43
  44     // a random number generator
  45     boost::lagged_fibonacci607 rng;
  46
  47     for (std::size_t i = 0; i < n; ++i)
  48     {
  49         double sample = rng();
  50         acc0(sample);
  51         acc1(sample);
  52         acc2(sample);
  53         acc3(sample);
  54     }
  55
  56     // check uniform distribution
  57     BOOST_CHECK_CLOSE( non_coherent_tail_mean(acc0, quantile_probability = 0.95), 0.975, epsilon );
  58     BOOST_CHECK_CLOSE( non_coherent_tail_mean(acc0, quantile_probability = 0.975), 0.9875, epsilon );
  59     BOOST_CHECK_CLOSE( non_coherent_tail_mean(acc0, quantile_probability = 0.99), 0.995, epsilon );
  60     BOOST_CHECK_CLOSE( non_coherent_tail_mean(acc0, quantile_probability = 0.999), 0.9995, epsilon );
  61     BOOST_CHECK_CLOSE( non_coherent_tail_mean(acc1, quantile_probability = 0.05), 0.025, 5*epsilon );
  62     BOOST_CHECK_CLOSE( non_coherent_tail_mean(acc1, quantile_probability = 0.025), 0.0125, 6*epsilon );
  63     BOOST_CHECK_CLOSE( non_coherent_tail_mean(acc1, quantile_probability = 0.01), 0.005, 8*epsilon );
  64     BOOST_CHECK_CLOSE( non_coherent_tail_mean(acc1, quantile_probability = 0.001), 0.0005, 25*epsilon );
  65     BOOST_CHECK_CLOSE( tail_mean(acc2, quantile_probability = 0.95), 0.975, epsilon );
  66     BOOST_CHECK_CLOSE( tail_mean(acc2, quantile_probability = 0.975), 0.9875, epsilon );
  67     BOOST_CHECK_CLOSE( tail_mean(acc2, quantile_probability = 0.99), 0.995, epsilon );
  68     BOOST_CHECK_CLOSE( tail_mean(acc2, quantile_probability = 0.999), 0.9995, epsilon );
  69     BOOST_CHECK_CLOSE( tail_mean(acc3, quantile_probability = 0.05), 0.025, 5*epsilon );
  70     BOOST_CHECK_CLOSE( tail_mean(acc3, quantile_probability = 0.025), 0.0125, 6*epsilon );
  71     BOOST_CHECK_CLOSE( tail_mean(acc3, quantile_probability = 0.01), 0.005, 8*epsilon );
  72     BOOST_CHECK_CLOSE( tail_mean(acc3, quantile_probability = 0.001), 0.0005, 25*epsilon );
  73 }
  74
  75 ///////////////////////////////////////////////////////////////////////////////
  76 // init_unit_test_suite
  77 //
  78 test_suite* init_unit_test_suite( int argc, char* argv[] )
  79 {
  80     test_suite *test = BOOST_TEST_SUITE("tail_mean test");
  81
  82     test->add(BOOST_TEST_CASE(&test_stat));
  83
  84     return test;
  85 }
  86