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- // (C) Copyright 2006 Eric Niebler, Olivier Gygi.
- // 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_tail_mean.hpp
- #define BOOST_NUMERIC_FUNCTIONAL_STD_COMPLEX_SUPPORT
- #define BOOST_NUMERIC_FUNCTIONAL_STD_VALARRAY_SUPPORT
- #define BOOST_NUMERIC_FUNCTIONAL_STD_VECTOR_SUPPORT
- #include <boost/random.hpp>
- #include <boost/test/unit_test.hpp>
- #include <boost/test/floating_point_comparison.hpp>
- #include <boost/accumulators/accumulators.hpp>
- #include <boost/accumulators/statistics.hpp>
- #include <boost/accumulators/statistics/weighted_tail_mean.hpp>
- #include <boost/accumulators/statistics/weighted_tail_quantile.hpp>
- using namespace boost;
- using namespace unit_test;
- using namespace boost::accumulators;
- ///////////////////////////////////////////////////////////////////////////////
- // test_stat
- //
- void test_stat()
- {
- // tolerance in %
- double epsilon = 1;
- std::size_t n = 100000; // number of MC steps
- std::size_t c = 25000; // cache size
- accumulator_set<double, stats<tag::non_coherent_weighted_tail_mean<right> >, double >
- acc0( right_tail_cache_size = c );
- accumulator_set<double, stats<tag::non_coherent_weighted_tail_mean<left> >, double >
- acc1( left_tail_cache_size = c );
- // random number generators
- boost::lagged_fibonacci607 rng;
- for (std::size_t i = 0; i < n; ++i)
- {
- double smpl = std::sqrt(rng());
- acc0(smpl, weight = 1./smpl);
- }
- for (std::size_t i = 0; i < n; ++i)
- {
- double smpl = rng();
- acc1(smpl*smpl, weight = smpl);
- }
- // check uniform distribution
- BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc0, quantile_probability = 0.95), 0.975, epsilon );
- BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc0, quantile_probability = 0.975), 0.9875, epsilon );
- BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc0, quantile_probability = 0.99), 0.995, epsilon );
- BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc0, quantile_probability = 0.999), 0.9995, epsilon );
- BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc1, quantile_probability = 0.05), 0.025, epsilon );
- BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc1, quantile_probability = 0.025), 0.0125, epsilon );
- BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc1, quantile_probability = 0.01), 0.005, epsilon );
- BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc1, quantile_probability = 0.001), 0.0005, 5*epsilon );
- }
- ///////////////////////////////////////////////////////////////////////////////
- // init_unit_test_suite
- //
- test_suite* init_unit_test_suite( int argc, char* argv[] )
- {
- test_suite *test = BOOST_TEST_SUITE("weighted_tail_mean test");
- test->add(BOOST_TEST_CASE(&test_stat));
- return test;
- }
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