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- // (C) Copyright Pieter Bastiaan Ober 2014.
- // Use, modification and distribution are subject to the
- // Boost Software License, Version 1.0. (See accompanying file
- // LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt)
- #include <boost/test/unit_test.hpp>
- #include <boost/test/floating_point_comparison.hpp>
- #include <boost/mpl/assert.hpp>
- #include <boost/type_traits/is_same.hpp>
- #include <boost/accumulators/accumulators.hpp>
- #include <boost/accumulators/statistics/stats.hpp>
- #include <sstream>
- #include <boost/archive/text_oarchive.hpp>
- #include <boost/archive/text_iarchive.hpp>
- #include <boost/accumulators/statistics/rolling_variance.hpp>
- using namespace boost;
- using namespace unit_test;
- using namespace accumulators;
- template<typename T>
- void assert_is_double(T const &)
- {
- BOOST_MPL_ASSERT((is_same<T, double>));
- }
- /*
- REFERENCE VALUES PROVIDED BY OCTAVE:
- x=[1.2 2.3 3.4 4.5 0.4 2.2 7.1 4.0]
- v1_2 = var(x(1:2))
- v1_3 = var(x(1:3))
- v1_4 = var(x(1:4))
- v2_5 = var(x(2:5))
- v3_6 = var(x(3:6))
- v4_7 = var(x(4:7))
- v5_8 = var(x(5:8))
- GIVES:
- v1_2 = 0.605000000000000
- v1_3 = 1.21000000000000
- v1_4 = 2.01666666666667
- v2_5 = 3.05666666666667
- v3_6 = 3.08250000000000
- v4_7 = 8.41666666666667
- v5_8 = 8.16250000000000
- */
- ///////////////////////////////////////////////////////////////////////////////
- // rolling_variance_test_impl
- // implements a test for window_size = 4
- size_t window_size = 4;
- template<typename accumulator_set_type>
- void rolling_variance_test_impl(accumulator_set_type& acc)
- {
- // Window contains x(1), value is zero
- acc(1.2);
- BOOST_CHECK_CLOSE(rolling_variance(acc),0.0,1e-10);
- // Window contains x(1)...x(2)
- acc(2.3);
- BOOST_CHECK_CLOSE(rolling_variance(acc),0.605,1e-10);
- // Window contains x(1)...x(3)
- acc(3.4);
- BOOST_CHECK_CLOSE(rolling_variance(acc),1.21,1e-10);
- // Window contains x(1)...x(4)
- acc(4.5);
- BOOST_CHECK_CLOSE(rolling_variance(acc),2.01666666666667,1e-10);
- // Window contains x(2)...x(5)
- acc(0.4);
- BOOST_CHECK_CLOSE(rolling_variance(acc),3.05666666666667,1e-10);
- // Window contains x(3)...x(6)
- acc(2.2);
- BOOST_CHECK_CLOSE(rolling_variance(acc),3.08250000000000,1e-10);
- // Window contains x(4)...x(7)
- acc(7.1);
- BOOST_CHECK_CLOSE(rolling_variance(acc),8.41666666666667,1e-10);
- // Window contains x(5)...x(8)
- acc(4.0);
- BOOST_CHECK_CLOSE(rolling_variance(acc),8.16250000000000,1e-10);
- assert_is_double(rolling_variance(acc));
- }
- ///////////////////////////////////////////////////////////////////////////////
- // test_rolling_variance
- //
- void test_rolling_variance()
- {
- // tag::rolling_window::window_size
- accumulator_set<double, stats<tag::immediate_rolling_variance> >
- acc_immediate_rolling_variance(tag::immediate_rolling_variance::window_size = window_size);
- accumulator_set<double, stats<tag::immediate_rolling_variance, tag::rolling_mean> >
- acc_immediate_rolling_variance2(tag::immediate_rolling_variance::window_size = window_size);
- accumulator_set<double, stats<tag::rolling_variance(immediate)> >
- acc_immediate_rolling_variance3(tag::immediate_rolling_variance::window_size = window_size);
- accumulator_set<double, stats<tag::lazy_rolling_variance> >
- acc_lazy_rolling_variance(tag::lazy_rolling_variance::window_size = window_size);
- accumulator_set<double, stats<tag::rolling_variance(lazy)> >
- acc_lazy_rolling_variance2(tag::immediate_rolling_variance::window_size = window_size);
- accumulator_set<double, stats<tag::rolling_variance> >
- acc_default_rolling_variance(tag::rolling_variance::window_size = window_size);
- //// test the different implementations
- rolling_variance_test_impl(acc_immediate_rolling_variance);
- rolling_variance_test_impl(acc_immediate_rolling_variance2);
- rolling_variance_test_impl(acc_immediate_rolling_variance3);
- rolling_variance_test_impl(acc_lazy_rolling_variance);
- rolling_variance_test_impl(acc_lazy_rolling_variance2);
- rolling_variance_test_impl(acc_default_rolling_variance);
- //// test that the default implementation is the 'immediate' computation
- BOOST_REQUIRE(sizeof(acc_lazy_rolling_variance) != sizeof(acc_immediate_rolling_variance));
- BOOST_CHECK (sizeof(acc_default_rolling_variance) == sizeof(acc_immediate_rolling_variance));
- //// test the equivalence of the different ways to indicate a feature
- BOOST_CHECK (sizeof(acc_immediate_rolling_variance) == sizeof(acc_immediate_rolling_variance2));
- BOOST_CHECK (sizeof(acc_immediate_rolling_variance) == sizeof(acc_immediate_rolling_variance3));
- BOOST_CHECK (sizeof(acc_lazy_rolling_variance) == sizeof(acc_lazy_rolling_variance2));
- }
- ///////////////////////////////////////////////////////////////////////////////
- // test_persistency_impl
- //
- template<typename accumulator_set_type>
- void test_persistency_impl(accumulator_set_type& acc)
- {
- std::stringstream ss;
- {
- acc(1.2);
- acc(2.3);
- acc(3.4);
- acc(4.5);
- acc(0.4);
- acc(2.2);
- acc(7.1);
- acc(4.0);
- BOOST_CHECK_CLOSE(rolling_variance(acc),8.16250000000000,1e-10);
- boost::archive::text_oarchive oa(ss);
- acc.serialize(oa, 0);
- }
- accumulator_set_type other_acc = acc;
- boost::archive::text_iarchive ia(ss);
- other_acc.serialize(ia, 0);
- BOOST_CHECK_CLOSE(rolling_variance(acc),8.16250000000000,1e-10);
- }
- ///////////////////////////////////////////////////////////////////////////////
- // test_persistency
- //
- void test_persistency()
- {
- // tag::rolling_window::window_size
- accumulator_set<double, stats<tag::immediate_rolling_variance> >
- acc_immediate_rolling_variance(tag::immediate_rolling_variance::window_size = window_size);
- accumulator_set<double, stats<tag::immediate_rolling_variance, tag::rolling_mean> >
- acc_immediate_rolling_variance2(tag::immediate_rolling_variance::window_size = window_size);
- accumulator_set<double, stats<tag::rolling_variance(immediate)> >
- acc_immediate_rolling_variance3(tag::immediate_rolling_variance::window_size = window_size);
- accumulator_set<double, stats<tag::lazy_rolling_variance> >
- acc_lazy_rolling_variance(tag::lazy_rolling_variance::window_size = window_size);
- accumulator_set<double, stats<tag::rolling_variance(lazy)> >
- acc_lazy_rolling_variance2(tag::immediate_rolling_variance::window_size = window_size);
- accumulator_set<double, stats<tag::rolling_variance> >
- acc_default_rolling_variance(tag::rolling_variance::window_size = window_size);
- //// test the different implementations
- test_persistency_impl(acc_immediate_rolling_variance);
- test_persistency_impl(acc_immediate_rolling_variance2);
- test_persistency_impl(acc_immediate_rolling_variance3);
- test_persistency_impl(acc_lazy_rolling_variance);
- test_persistency_impl(acc_lazy_rolling_variance2);
- test_persistency_impl(acc_default_rolling_variance);
- }
- ///////////////////////////////////////////////////////////////////////////////
- // init_unit_test_suite
- //
- test_suite* init_unit_test_suite( int argc, char* argv[] )
- {
- test_suite *test = BOOST_TEST_SUITE("rolling variance test");
- test->add(BOOST_TEST_CASE(&test_rolling_variance));
- test->add(BOOST_TEST_CASE(&test_persistency));
- return test;
- }
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