ff9432f97b
* Add, and update, documentation build targets. * adding serialization to stats * serialize rolling stats
209 lines
7.2 KiB
C++
209 lines
7.2 KiB
C++
// (C) Copyright Pieter Bastiaan Ober 2014.
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// Use, modification and distribution are subject to the
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// Boost Software License, Version 1.0. (See accompanying file
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// LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt)
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#include <boost/test/unit_test.hpp>
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#include <boost/test/floating_point_comparison.hpp>
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#include <boost/mpl/assert.hpp>
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#include <boost/type_traits/is_same.hpp>
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#include <boost/accumulators/accumulators.hpp>
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#include <boost/accumulators/statistics/stats.hpp>
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#include <sstream>
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#include <boost/archive/text_oarchive.hpp>
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#include <boost/archive/text_iarchive.hpp>
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#include <boost/accumulators/statistics/rolling_variance.hpp>
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using namespace boost;
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using namespace unit_test;
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using namespace accumulators;
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template<typename T>
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void assert_is_double(T const &)
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{
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BOOST_MPL_ASSERT((is_same<T, double>));
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}
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/*
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REFERENCE VALUES PROVIDED BY OCTAVE:
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x=[1.2 2.3 3.4 4.5 0.4 2.2 7.1 4.0]
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v1_2 = var(x(1:2))
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v1_3 = var(x(1:3))
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v1_4 = var(x(1:4))
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v2_5 = var(x(2:5))
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v3_6 = var(x(3:6))
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v4_7 = var(x(4:7))
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v5_8 = var(x(5:8))
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GIVES:
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v1_2 = 0.605000000000000
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v1_3 = 1.21000000000000
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v1_4 = 2.01666666666667
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v2_5 = 3.05666666666667
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v3_6 = 3.08250000000000
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v4_7 = 8.41666666666667
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v5_8 = 8.16250000000000
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*/
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///////////////////////////////////////////////////////////////////////////////
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// rolling_variance_test_impl
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// implements a test for window_size = 4
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size_t window_size = 4;
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template<typename accumulator_set_type>
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void rolling_variance_test_impl(accumulator_set_type& acc)
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{
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// Window contains x(1), value is zero
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acc(1.2);
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BOOST_CHECK_CLOSE(rolling_variance(acc),0.0,1e-10);
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// Window contains x(1)...x(2)
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acc(2.3);
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BOOST_CHECK_CLOSE(rolling_variance(acc),0.605,1e-10);
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// Window contains x(1)...x(3)
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acc(3.4);
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BOOST_CHECK_CLOSE(rolling_variance(acc),1.21,1e-10);
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// Window contains x(1)...x(4)
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acc(4.5);
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BOOST_CHECK_CLOSE(rolling_variance(acc),2.01666666666667,1e-10);
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// Window contains x(2)...x(5)
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acc(0.4);
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BOOST_CHECK_CLOSE(rolling_variance(acc),3.05666666666667,1e-10);
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// Window contains x(3)...x(6)
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acc(2.2);
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BOOST_CHECK_CLOSE(rolling_variance(acc),3.08250000000000,1e-10);
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// Window contains x(4)...x(7)
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acc(7.1);
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BOOST_CHECK_CLOSE(rolling_variance(acc),8.41666666666667,1e-10);
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// Window contains x(5)...x(8)
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acc(4.0);
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BOOST_CHECK_CLOSE(rolling_variance(acc),8.16250000000000,1e-10);
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assert_is_double(rolling_variance(acc));
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}
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///////////////////////////////////////////////////////////////////////////////
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// test_rolling_variance
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//
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void test_rolling_variance()
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{
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// tag::rolling_window::window_size
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accumulator_set<double, stats<tag::immediate_rolling_variance> >
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acc_immediate_rolling_variance(tag::immediate_rolling_variance::window_size = window_size);
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accumulator_set<double, stats<tag::immediate_rolling_variance, tag::rolling_mean> >
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acc_immediate_rolling_variance2(tag::immediate_rolling_variance::window_size = window_size);
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accumulator_set<double, stats<tag::rolling_variance(immediate)> >
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acc_immediate_rolling_variance3(tag::immediate_rolling_variance::window_size = window_size);
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accumulator_set<double, stats<tag::lazy_rolling_variance> >
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acc_lazy_rolling_variance(tag::lazy_rolling_variance::window_size = window_size);
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accumulator_set<double, stats<tag::rolling_variance(lazy)> >
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acc_lazy_rolling_variance2(tag::immediate_rolling_variance::window_size = window_size);
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accumulator_set<double, stats<tag::rolling_variance> >
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acc_default_rolling_variance(tag::rolling_variance::window_size = window_size);
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//// test the different implementations
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rolling_variance_test_impl(acc_immediate_rolling_variance);
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rolling_variance_test_impl(acc_immediate_rolling_variance2);
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rolling_variance_test_impl(acc_immediate_rolling_variance3);
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rolling_variance_test_impl(acc_lazy_rolling_variance);
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rolling_variance_test_impl(acc_lazy_rolling_variance2);
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rolling_variance_test_impl(acc_default_rolling_variance);
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//// test that the default implementation is the 'immediate' computation
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BOOST_REQUIRE(sizeof(acc_lazy_rolling_variance) != sizeof(acc_immediate_rolling_variance));
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BOOST_CHECK (sizeof(acc_default_rolling_variance) == sizeof(acc_immediate_rolling_variance));
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//// test the equivalence of the different ways to indicate a feature
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BOOST_CHECK (sizeof(acc_immediate_rolling_variance) == sizeof(acc_immediate_rolling_variance2));
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BOOST_CHECK (sizeof(acc_immediate_rolling_variance) == sizeof(acc_immediate_rolling_variance3));
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BOOST_CHECK (sizeof(acc_lazy_rolling_variance) == sizeof(acc_lazy_rolling_variance2));
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}
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///////////////////////////////////////////////////////////////////////////////
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// test_persistency_impl
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//
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template<typename accumulator_set_type>
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void test_persistency_impl(accumulator_set_type& acc)
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{
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std::stringstream ss;
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{
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acc(1.2);
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acc(2.3);
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acc(3.4);
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acc(4.5);
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acc(0.4);
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acc(2.2);
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acc(7.1);
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acc(4.0);
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BOOST_CHECK_CLOSE(rolling_variance(acc),8.16250000000000,1e-10);
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boost::archive::text_oarchive oa(ss);
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acc.serialize(oa, 0);
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}
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accumulator_set_type other_acc = acc;
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boost::archive::text_iarchive ia(ss);
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other_acc.serialize(ia, 0);
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BOOST_CHECK_CLOSE(rolling_variance(acc),8.16250000000000,1e-10);
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}
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///////////////////////////////////////////////////////////////////////////////
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// test_persistency
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//
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void test_persistency()
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{
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// tag::rolling_window::window_size
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accumulator_set<double, stats<tag::immediate_rolling_variance> >
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acc_immediate_rolling_variance(tag::immediate_rolling_variance::window_size = window_size);
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accumulator_set<double, stats<tag::immediate_rolling_variance, tag::rolling_mean> >
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acc_immediate_rolling_variance2(tag::immediate_rolling_variance::window_size = window_size);
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accumulator_set<double, stats<tag::rolling_variance(immediate)> >
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acc_immediate_rolling_variance3(tag::immediate_rolling_variance::window_size = window_size);
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accumulator_set<double, stats<tag::lazy_rolling_variance> >
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acc_lazy_rolling_variance(tag::lazy_rolling_variance::window_size = window_size);
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accumulator_set<double, stats<tag::rolling_variance(lazy)> >
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acc_lazy_rolling_variance2(tag::immediate_rolling_variance::window_size = window_size);
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accumulator_set<double, stats<tag::rolling_variance> >
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acc_default_rolling_variance(tag::rolling_variance::window_size = window_size);
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//// test the different implementations
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test_persistency_impl(acc_immediate_rolling_variance);
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test_persistency_impl(acc_immediate_rolling_variance2);
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test_persistency_impl(acc_immediate_rolling_variance3);
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test_persistency_impl(acc_lazy_rolling_variance);
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test_persistency_impl(acc_lazy_rolling_variance2);
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test_persistency_impl(acc_default_rolling_variance);
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}
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///////////////////////////////////////////////////////////////////////////////
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// init_unit_test_suite
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//
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test_suite* init_unit_test_suite( int argc, char* argv[] )
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{
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test_suite *test = BOOST_TEST_SUITE("rolling variance test");
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test->add(BOOST_TEST_CASE(&test_rolling_variance));
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test->add(BOOST_TEST_CASE(&test_persistency));
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return test;
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}
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