ceph/src/boost/libs/accumulators/test/weighted_median.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 #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 }