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 //
test_stat()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<1000000; ++i)
42 {
43 double sample = normal_narrow();
44 double w = std::exp(
45 0.5 * (sample - mu) * (sample - mu) * (
46 1./sigma_narrow/sigma_narrow - 1./sigma/sigma
47 )
48 );
49 acc(sample, weight = w);
50 acc_dens(sample, weight = w);
51 acc_cdist(sample, weight = w);
52 }
53
54 BOOST_CHECK_CLOSE(1., weighted_median(acc), 2);
55 BOOST_CHECK_CLOSE(1., weighted_median(acc_dens), 3);
56 BOOST_CHECK_CLOSE(1., weighted_median(acc_cdist), 3);
57 }
58
59 ///////////////////////////////////////////////////////////////////////////////
60 // init_unit_test_suite
61 //
init_unit_test_suite(int argc,char * argv[])62 test_suite* init_unit_test_suite( int argc, char* argv[] )
63 {
64 test_suite *test = BOOST_TEST_SUITE("weighted_median test");
65
66 test->add(BOOST_TEST_CASE(&test_stat));
67
68 return test;
69 }
70