ceph/src/boost/libs/accumulators/test/weighted_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 weighted_tail_mean.hpp
   7
   8 #define BOOST_NUMERIC_FUNCTIONAL_STD_COMPLEX_SUPPORT
   9 #define BOOST_NUMERIC_FUNCTIONAL_STD_VALARRAY_SUPPORT
  10 #define BOOST_NUMERIC_FUNCTIONAL_STD_VECTOR_SUPPORT
  11
  12 #include <boost/random.hpp>
  13 #include <boost/test/unit_test.hpp>
  14 #include <boost/test/floating_point_comparison.hpp>
  15 #include <boost/accumulators/accumulators.hpp>
  16 #include <boost/accumulators/statistics.hpp>
  17 #include <boost/accumulators/statistics/weighted_tail_mean.hpp>
  18 #include <boost/accumulators/statistics/weighted_tail_quantile.hpp>
  19
  20 using namespace boost;
  21 using namespace unit_test;
  22 using namespace boost::accumulators;
  23
  24 ///////////////////////////////////////////////////////////////////////////////
  25 // test_stat
  26 //
  27 void test_stat()
  28 {
  29     // tolerance in %
  30     double epsilon = 1;
  31
  32     std::size_t n = 100000; // number of MC steps
  33     std::size_t c = 25000; // cache size
  34
  35     accumulator_set<double, stats<tag::non_coherent_weighted_tail_mean<right> >, double >
  36         acc0( right_tail_cache_size = c );
  37     accumulator_set<double, stats<tag::non_coherent_weighted_tail_mean<left> >, double >
  38         acc1( left_tail_cache_size = c );
  39
  40     // random number generators
  41     boost::lagged_fibonacci607 rng;
  42
  43     for (std::size_t i = 0; i < n; ++i)
  44     {
  45         double smpl = std::sqrt(rng());
  46         acc0(smpl, weight = 1./smpl);
  47     }
  48
  49     for (std::size_t i = 0; i < n; ++i)
  50     {
  51         double smpl = rng();
  52         acc1(smpl*smpl, weight = smpl);
  53     }
  54
  55     // check uniform distribution
  56     BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc0, quantile_probability = 0.95), 0.975, epsilon );
  57     BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc0, quantile_probability = 0.975), 0.9875, epsilon );
  58     BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc0, quantile_probability = 0.99), 0.995, epsilon );
  59     BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc0, quantile_probability = 0.999), 0.9995, epsilon );
  60     BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc1, quantile_probability = 0.05), 0.025, epsilon );
  61     BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc1, quantile_probability = 0.025), 0.0125, epsilon );
  62     BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc1, quantile_probability = 0.01), 0.005, epsilon );
  63     BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc1, quantile_probability = 0.001), 0.0005, 5*epsilon );
  64 }
  65
  66 ///////////////////////////////////////////////////////////////////////////////
  67 // init_unit_test_suite
  68 //
  69 test_suite* init_unit_test_suite( int argc, char* argv[] )
  70 {
  71     test_suite *test = BOOST_TEST_SUITE("weighted_tail_mean test");
  72
  73     test->add(BOOST_TEST_CASE(&test_stat));
  74
  75     return test;
  76 }
  77