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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 pot_quantile.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/peaks_over_threshold.hpp>
- #include <sstream>
- #include <boost/archive/text_oarchive.hpp>
- #include <boost/archive/text_iarchive.hpp>
- using namespace boost;
- using namespace unit_test;
- using namespace boost::accumulators;
- ///////////////////////////////////////////////////////////////////////////////
- // test_stat
- //
- void test_stat()
- {
- // tolerance in %
- double epsilon = 1.;
- // two random number generators
- boost::lagged_fibonacci607 rng;
- boost::normal_distribution<> mean_sigma(0,1);
- boost::exponential_distribution<> lambda(1);
- boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal(rng, mean_sigma);
- boost::variate_generator<boost::lagged_fibonacci607&, boost::exponential_distribution<> > exponential(rng, lambda);
- accumulator_set<double, stats<tag::pot_quantile<right>(with_threshold_value)> > acc1(
- pot_threshold_value = 3.
- );
- accumulator_set<double, stats<tag::pot_quantile<right>(with_threshold_probability)> > acc2(
- right_tail_cache_size = 2000
- , pot_threshold_probability = 0.99
- );
- accumulator_set<double, stats<tag::pot_quantile<left>(with_threshold_value)> > acc3(
- pot_threshold_value = -3.
- );
- accumulator_set<double, stats<tag::pot_quantile<left>(with_threshold_probability)> > acc4(
- left_tail_cache_size = 2000
- , pot_threshold_probability = 0.01
- );
- accumulator_set<double, stats<tag::pot_quantile<right>(with_threshold_value)> > acc5(
- pot_threshold_value = 5.
- );
- accumulator_set<double, stats<tag::pot_quantile<right>(with_threshold_probability)> > acc6(
- right_tail_cache_size = 2000
- , pot_threshold_probability = 0.995
- );
- for (std::size_t i = 0; i < 100000; ++i)
- {
- double sample = normal();
- acc1(sample);
- acc2(sample);
- acc3(sample);
- acc4(sample);
- }
- for (std::size_t i = 0; i < 100000; ++i)
- {
- double sample = exponential();
- acc5(sample);
- acc6(sample);
- }
- BOOST_CHECK_CLOSE( quantile(acc1, quantile_probability = 0.999), 3.090232, 3*epsilon );
- BOOST_CHECK_CLOSE( quantile(acc2, quantile_probability = 0.999), 3.090232, 2*epsilon );
- BOOST_CHECK_CLOSE( quantile(acc3, quantile_probability = 0.001), -3.090232, 2*epsilon );
- BOOST_CHECK_CLOSE( quantile(acc4, quantile_probability = 0.001), -3.090232, 2*epsilon );
- BOOST_CHECK_CLOSE( quantile(acc5, quantile_probability = 0.999), 6.908, 3*epsilon );
- BOOST_CHECK_CLOSE( quantile(acc6, quantile_probability = 0.999), 6.908, 3*epsilon );
- }
- ///////////////////////////////////////////////////////////////////////////////
- // test_persistency
- //
- void test_persistency()
- {
- // tolerance in %
- double epsilon = 1.;
- // "persistent" storage
- std::stringstream ss;
- {
- // random number generators
- boost::lagged_fibonacci607 rng;
- boost::normal_distribution<> mean_sigma(0,1);
- boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal(rng, mean_sigma);
- accumulator_set<double, stats<tag::pot_quantile<right>(with_threshold_value)> > acc(pot_threshold_value = 3.);
- for (std::size_t i = 0; i < 100000; ++i)
- acc(normal());
- BOOST_CHECK_CLOSE(quantile(acc, quantile_probability = 0.999), 3.090232, 3*epsilon);
- boost::archive::text_oarchive oa(ss);
- acc.serialize(oa, 0);
- }
- accumulator_set<double, stats<tag::pot_quantile<right>(with_threshold_value)> > acc(pot_threshold_value = 3.);
- boost::archive::text_iarchive ia(ss);
- acc.serialize(ia, 0);
- BOOST_CHECK_CLOSE(quantile(acc, quantile_probability = 0.999), 3.090232, 3*epsilon);
- }
- ///////////////////////////////////////////////////////////////////////////////
- // init_unit_test_suite
- //
- test_suite* init_unit_test_suite( int argc, char* argv[] )
- {
- test_suite *test = BOOST_TEST_SUITE("pot_quantile test");
- test->add(BOOST_TEST_CASE(&test_stat));
- test->add(BOOST_TEST_CASE(&test_persistency));
- return test;
- }
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