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)
6 // Test case for weighted_tail_mean.hpp
8 #define BOOST_NUMERIC_FUNCTIONAL_STD_COMPLEX_SUPPORT
9 #define BOOST_NUMERIC_FUNCTIONAL_STD_VALARRAY_SUPPORT
10 #define BOOST_NUMERIC_FUNCTIONAL_STD_VECTOR_SUPPORT
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>
20 using namespace boost
;
21 using namespace unit_test
;
22 using namespace boost::accumulators
;
24 ///////////////////////////////////////////////////////////////////////////////
32 std::size_t n
= 100000; // number of MC steps
33 std::size_t c
= 25000; // cache size
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
);
40 // random number generators
41 boost::lagged_fibonacci607 rng
;
43 for (std::size_t i
= 0; i
< n
; ++i
)
45 double smpl
= std::sqrt(rng());
46 acc0(smpl
, weight
= 1./smpl
);
49 for (std::size_t i
= 0; i
< n
; ++i
)
52 acc1(smpl
*smpl
, weight
= smpl
);
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
);
66 ///////////////////////////////////////////////////////////////////////////////
67 // init_unit_test_suite
69 test_suite
* init_unit_test_suite( int argc
, char* argv
[] )
71 test_suite
*test
= BOOST_TEST_SUITE("weighted_tail_mean test");
73 test
->add(BOOST_TEST_CASE(&test_stat
));