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- // (C) Copyright Eric Niebler 2005.
- // 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)
- // Test case for weighted_extended_p_square.hpp
- #include <iostream>
- #include <boost/random.hpp>
- #include <boost/test/unit_test.hpp>
- #include <boost/test/floating_point_comparison.hpp>
- #include <boost/accumulators/numeric/functional/vector.hpp>
- #include <boost/accumulators/numeric/functional/complex.hpp>
- #include <boost/accumulators/numeric/functional/valarray.hpp>
- #include <boost/accumulators/accumulators.hpp>
- #include <boost/accumulators/statistics/stats.hpp>
- #include <boost/accumulators/statistics/weighted_extended_p_square.hpp>
- using namespace boost;
- using namespace unit_test;
- using namespace boost::accumulators;
- ///////////////////////////////////////////////////////////////////////////////
- // test_stat
- //
- void test_stat()
- {
- typedef accumulator_set<double, stats<tag::weighted_extended_p_square>, double> accumulator_t;
- // problem with small results: epsilon is relative (in percent), not absolute
- // tolerance in %
- double epsilon = 1;
- // some random number generators
- double mu1 = -1.0;
- double mu2 = 1.0;
- boost::lagged_fibonacci607 rng;
- boost::normal_distribution<> mean_sigma1(mu1, 1);
- boost::normal_distribution<> mean_sigma2(mu2, 1);
- boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal1(rng, mean_sigma1);
- boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal2(rng, mean_sigma2);
- std::vector<double> probs_uniform, probs_normal1, probs_normal2, probs_normal_exact1, probs_normal_exact2;
- double p1[] = {/*0.001,*/ 0.01, 0.1, 0.5, 0.9, 0.99, 0.999};
- probs_uniform.assign(p1, p1 + sizeof(p1) / sizeof(double));
- double p2[] = {0.001, 0.025};
- double p3[] = {0.975, 0.999};
- probs_normal1.assign(p2, p2 + sizeof(p2) / sizeof(double));
- probs_normal2.assign(p3, p3 + sizeof(p3) / sizeof(double));
- double p4[] = {-3.090232, -1.959963};
- double p5[] = {1.959963, 3.090232};
- probs_normal_exact1.assign(p4, p4 + sizeof(p4) / sizeof(double));
- probs_normal_exact2.assign(p5, p5 + sizeof(p5) / sizeof(double));
- accumulator_t acc_uniform(extended_p_square_probabilities = probs_uniform);
- accumulator_t acc_normal1(extended_p_square_probabilities = probs_normal1);
- accumulator_t acc_normal2(extended_p_square_probabilities = probs_normal2);
- for (std::size_t i = 0; i < 100000; ++i)
- {
- acc_uniform(rng(), weight = 1.);
- double sample1 = normal1();
- double sample2 = normal2();
- acc_normal1(sample1, weight = std::exp(-mu1 * (sample1 - 0.5 * mu1)));
- acc_normal2(sample2, weight = std::exp(-mu2 * (sample2 - 0.5 * mu2)));
- }
- // check for uniform distribution
- BOOST_CHECK_CLOSE(weighted_extended_p_square(acc_uniform)[0], probs_uniform[0], 6*epsilon);
- BOOST_CHECK_CLOSE(weighted_extended_p_square(acc_uniform)[1], probs_uniform[1], 3*epsilon);
- BOOST_CHECK_CLOSE(weighted_extended_p_square(acc_uniform)[2], probs_uniform[2], epsilon);
- BOOST_CHECK_CLOSE(weighted_extended_p_square(acc_uniform)[3], probs_uniform[3], epsilon);
- BOOST_CHECK_CLOSE(weighted_extended_p_square(acc_uniform)[4], probs_uniform[4], epsilon);
- BOOST_CHECK_CLOSE(weighted_extended_p_square(acc_uniform)[5], probs_uniform[5], epsilon);
- // check for standard normal distribution
- for (std::size_t i = 0; i < probs_normal1.size(); ++i)
- {
- BOOST_CHECK_CLOSE(weighted_extended_p_square(acc_normal1)[i], probs_normal_exact1[i], epsilon);
- BOOST_CHECK_CLOSE(weighted_extended_p_square(acc_normal2)[i], probs_normal_exact2[i], epsilon);
- }
- }
- ///////////////////////////////////////////////////////////////////////////////
- // init_unit_test_suite
- //
- test_suite* init_unit_test_suite( int argc, char* argv[] )
- {
- test_suite *test = BOOST_TEST_SUITE("weighted_extended_p_square test");
- test->add(BOOST_TEST_CASE(&test_stat));
- return test;
- }
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