1 // (C) Copyright Eric Niebler 2005.
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 pot_quantile.hpp (weighted feature)
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
18 using namespace boost;
19 using namespace unit_test;
20 using namespace boost::accumulators;
21
22 ///////////////////////////////////////////////////////////////////////////////
23 // test_stat
24 //
test_stat()25 void test_stat()
26 {
27 // tolerance in %
28 double epsilon = 1.;
29
30 double mu1, mu2, l;
31
32 mu1 = 1.;
33 mu2 = -1.;
34 l = 0.5;
35
36 // two random number generators
37 boost::lagged_fibonacci607 rng;
38 boost::normal_distribution<> mean_sigma1(mu1,1);
39 boost::normal_distribution<> mean_sigma2(mu2,1);
40 boost::exponential_distribution<> lambda(l);
41 boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal1(rng, mean_sigma1);
42 boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal2(rng, mean_sigma2);
43 boost::variate_generator<boost::lagged_fibonacci607&, boost::exponential_distribution<> > exponential(rng, lambda);
44
45 accumulator_set<double, stats<tag::weighted_pot_quantile<right>(with_threshold_value)>, double > acc1(
46 pot_threshold_value = 3.
47 );
48 accumulator_set<double, stats<tag::weighted_pot_quantile<right>(with_threshold_probability)>, double > acc2(
49 right_tail_cache_size = 10000
50 , pot_threshold_probability = 0.99
51 );
52 accumulator_set<double, stats<tag::weighted_pot_quantile<left>(with_threshold_value)>, double > acc3(
53 pot_threshold_value = -3.
54 );
55 accumulator_set<double, stats<tag::weighted_pot_quantile<left>(with_threshold_probability)>, double > acc4(
56 left_tail_cache_size = 10000
57 , pot_threshold_probability = 0.01
58 );
59
60 accumulator_set<double, stats<tag::weighted_pot_quantile<right>(with_threshold_value)>, double > acc5(
61 pot_threshold_value = 5.
62 );
63 accumulator_set<double, stats<tag::weighted_pot_quantile<right>(with_threshold_probability)>, double > acc6(
64 right_tail_cache_size = 10000
65 , pot_threshold_probability = 0.995
66 );
67
68 for (std::size_t i = 0; i < 100000; ++i)
69 {
70 double sample1 = normal1();
71 double sample2 = normal2();
72 acc1(sample1, weight = std::exp(-mu1 * (sample1 - 0.5 * mu1)));
73 acc2(sample1, weight = std::exp(-mu1 * (sample1 - 0.5 * mu1)));
74 acc3(sample2, weight = std::exp(-mu2 * (sample2 - 0.5 * mu2)));
75 acc4(sample2, weight = std::exp(-mu2 * (sample2 - 0.5 * mu2)));
76 }
77
78 for (std::size_t i = 0; i < 100000; ++i)
79 {
80 double sample = exponential();
81 acc5(sample, weight = 1./l * std::exp(-sample * (1. - l)));
82 acc6(sample, weight = 1./l * std::exp(-sample * (1. - l)));
83 }
84
85 BOOST_CHECK_CLOSE( quantile(acc1, quantile_probability = 0.999), 3.090232, epsilon );
86 BOOST_CHECK_CLOSE( quantile(acc2, quantile_probability = 0.999), 3.090232, epsilon );
87 BOOST_CHECK_CLOSE( quantile(acc3, quantile_probability = 0.001), -3.090232, epsilon );
88 BOOST_CHECK_CLOSE( quantile(acc4, quantile_probability = 0.001), -3.090232, epsilon );
89
90 BOOST_CHECK_CLOSE( quantile(acc5, quantile_probability = 0.999), 6.908, epsilon );
91 BOOST_CHECK_CLOSE( quantile(acc6, quantile_probability = 0.999), 6.908, epsilon );
92 }
93
94 ///////////////////////////////////////////////////////////////////////////////
95 // init_unit_test_suite
96 //
init_unit_test_suite(int argc,char * argv[])97 test_suite* init_unit_test_suite( int argc, char* argv[] )
98 {
99 test_suite *test = BOOST_TEST_SUITE("weighted_pot_quantile test");
100
101 test->add(BOOST_TEST_CASE(&test_stat));
102
103 return test;
104 }
105