123456789101112131415161718192021222324252627282930313233343536373839404142434445464748495051525354555657585960616263646566676869 |
- // (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)
- #include <boost/test/unit_test.hpp>
- #include <boost/test/floating_point_comparison.hpp>
- #include <boost/random.hpp>
- #include <boost/range/iterator_range.hpp>
- #include <boost/accumulators/accumulators.hpp>
- #include <boost/accumulators/statistics/stats.hpp>
- #include <boost/accumulators/statistics/weighted_median.hpp>
- using namespace boost;
- using namespace unit_test;
- using namespace accumulators;
- ///////////////////////////////////////////////////////////////////////////////
- // test_stat
- //
- void test_stat()
- {
- // Median estimation of normal distribution N(1,1) using samples from a narrow normal distribution N(1,0.01)
- // The weights equal to the likelihood ratio of the corresponding samples
- // two random number generators
- double mu = 1.;
- double sigma_narrow = 0.01;
- double sigma = 1.;
- boost::lagged_fibonacci607 rng;
- boost::normal_distribution<> mean_sigma_narrow(mu,sigma_narrow);
- boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal_narrow(rng, mean_sigma_narrow);
- accumulator_set<double, stats<tag::weighted_median(with_p_square_quantile) >, double > acc;
- accumulator_set<double, stats<tag::weighted_median(with_density) >, double >
- acc_dens( density_cache_size = 10000, density_num_bins = 1000 );
- accumulator_set<double, stats<tag::weighted_median(with_p_square_cumulative_distribution) >, double >
- acc_cdist( p_square_cumulative_distribution_num_cells = 100 );
- for (std::size_t i=0; i<1000000; ++i)
- {
- double sample = normal_narrow();
- double w = std::exp(
- 0.5 * (sample - mu) * (sample - mu) * (
- 1./sigma_narrow/sigma_narrow - 1./sigma/sigma
- )
- );
- acc(sample, weight = w);
- acc_dens(sample, weight = w);
- acc_cdist(sample, weight = w);
- }
- BOOST_CHECK_CLOSE(1., weighted_median(acc), 2);
- BOOST_CHECK_CLOSE(1., weighted_median(acc_dens), 3);
- BOOST_CHECK_CLOSE(1., weighted_median(acc_cdist), 3);
- }
- ///////////////////////////////////////////////////////////////////////////////
- // init_unit_test_suite
- //
- test_suite* init_unit_test_suite( int argc, char* argv[] )
- {
- test_suite *test = BOOST_TEST_SUITE("weighted_median test");
- test->add(BOOST_TEST_CASE(&test_stat));
- return test;
- }
|