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
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/peaks_over_threshold.hpp>
18 #include <sstream>
19 #include <boost/archive/text_oarchive.hpp>
20 #include <boost/archive/text_iarchive.hpp>
21
22 using namespace boost;
23 using namespace unit_test;
24 using namespace boost::accumulators;
25
26 ///////////////////////////////////////////////////////////////////////////////
27 // test_stat
28 //
test_stat()29 void test_stat()
30 {
31 // tolerance in %
32 double epsilon = 1.;
33
34 // two random number generators
35 boost::lagged_fibonacci607 rng;
36 boost::normal_distribution<> mean_sigma(0,1);
37 boost::exponential_distribution<> lambda(1);
38 boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal(rng, mean_sigma);
39 boost::variate_generator<boost::lagged_fibonacci607&, boost::exponential_distribution<> > exponential(rng, lambda);
40
41 accumulator_set<double, stats<tag::pot_quantile<right>(with_threshold_value)> > acc1(
42 pot_threshold_value = 3.
43 );
44 accumulator_set<double, stats<tag::pot_quantile<right>(with_threshold_probability)> > acc2(
45 right_tail_cache_size = 2000
46 , pot_threshold_probability = 0.99
47 );
48 accumulator_set<double, stats<tag::pot_quantile<left>(with_threshold_value)> > acc3(
49 pot_threshold_value = -3.
50 );
51 accumulator_set<double, stats<tag::pot_quantile<left>(with_threshold_probability)> > acc4(
52 left_tail_cache_size = 2000
53 , pot_threshold_probability = 0.01
54 );
55
56 accumulator_set<double, stats<tag::pot_quantile<right>(with_threshold_value)> > acc5(
57 pot_threshold_value = 5.
58 );
59 accumulator_set<double, stats<tag::pot_quantile<right>(with_threshold_probability)> > acc6(
60 right_tail_cache_size = 2000
61 , pot_threshold_probability = 0.995
62 );
63
64 for (std::size_t i = 0; i < 100000; ++i)
65 {
66 double sample = normal();
67 acc1(sample);
68 acc2(sample);
69 acc3(sample);
70 acc4(sample);
71 }
72
73 for (std::size_t i = 0; i < 100000; ++i)
74 {
75 double sample = exponential();
76 acc5(sample);
77 acc6(sample);
78 }
79
80 BOOST_CHECK_CLOSE( quantile(acc1, quantile_probability = 0.999), 3.090232, 3*epsilon );
81 BOOST_CHECK_CLOSE( quantile(acc2, quantile_probability = 0.999), 3.090232, 2*epsilon );
82 BOOST_CHECK_CLOSE( quantile(acc3, quantile_probability = 0.001), -3.090232, 2*epsilon );
83 BOOST_CHECK_CLOSE( quantile(acc4, quantile_probability = 0.001), -3.090232, 2*epsilon );
84
85 BOOST_CHECK_CLOSE( quantile(acc5, quantile_probability = 0.999), 6.908, 3*epsilon );
86 BOOST_CHECK_CLOSE( quantile(acc6, quantile_probability = 0.999), 6.908, 3*epsilon );
87 }
88
89 ///////////////////////////////////////////////////////////////////////////////
90 // test_persistency
91 //
test_persistency()92 void test_persistency()
93 {
94 // tolerance in %
95 double epsilon = 1.;
96 // "persistent" storage
97 std::stringstream ss;
98 {
99 // random number generators
100 boost::lagged_fibonacci607 rng;
101 boost::normal_distribution<> mean_sigma(0,1);
102 boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal(rng, mean_sigma);
103
104 accumulator_set<double, stats<tag::pot_quantile<right>(with_threshold_value)> > acc(pot_threshold_value = 3.);
105
106 for (std::size_t i = 0; i < 100000; ++i)
107 acc(normal());
108
109 BOOST_CHECK_CLOSE(quantile(acc, quantile_probability = 0.999), 3.090232, 3*epsilon);
110 boost::archive::text_oarchive oa(ss);
111 acc.serialize(oa, 0);
112 }
113 accumulator_set<double, stats<tag::pot_quantile<right>(with_threshold_value)> > acc(pot_threshold_value = 3.);
114 boost::archive::text_iarchive ia(ss);
115 acc.serialize(ia, 0);
116 BOOST_CHECK_CLOSE(quantile(acc, quantile_probability = 0.999), 3.090232, 3*epsilon);
117 }
118
119 ///////////////////////////////////////////////////////////////////////////////
120 // init_unit_test_suite
121 //
init_unit_test_suite(int argc,char * argv[])122 test_suite* init_unit_test_suite( int argc, char* argv[] )
123 {
124 test_suite *test = BOOST_TEST_SUITE("pot_quantile test");
125
126 test->add(BOOST_TEST_CASE(&test_stat));
127 test->add(BOOST_TEST_CASE(&test_persistency));
128
129 return test;
130 }
131
132