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 //
test_stat()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 //
init_unit_test_suite(int argc,char * argv[])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
87