70 lines
2.5 KiB
C++
70 lines
2.5 KiB
C++
// (C) Copyright 2006 Eric Niebler, Olivier Gygi
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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/random.hpp>
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#include <boost/range/iterator_range.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 <boost/accumulators/statistics/weighted_median.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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///////////////////////////////////////////////////////////////////////////////
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// test_stat
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//
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void test_stat()
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{
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// Median estimation of normal distribution N(1,1) using samples from a narrow normal distribution N(1,0.01)
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// The weights equal to the likelihood ratio of the corresponding samples
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// two random number generators
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double mu = 1.;
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double sigma_narrow = 0.01;
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double sigma = 1.;
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boost::lagged_fibonacci607 rng;
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boost::normal_distribution<> mean_sigma_narrow(mu,sigma_narrow);
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boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal_narrow(rng, mean_sigma_narrow);
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accumulator_set<double, stats<tag::weighted_median(with_p_square_quantile) >, double > acc;
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accumulator_set<double, stats<tag::weighted_median(with_density) >, double >
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acc_dens( density_cache_size = 10000, density_num_bins = 1000 );
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accumulator_set<double, stats<tag::weighted_median(with_p_square_cumulative_distribution) >, double >
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acc_cdist( p_square_cumulative_distribution_num_cells = 100 );
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for (std::size_t i=0; i<1000000; ++i)
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{
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double sample = normal_narrow();
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double w = std::exp(
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0.5 * (sample - mu) * (sample - mu) * (
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1./sigma_narrow/sigma_narrow - 1./sigma/sigma
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)
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);
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acc(sample, weight = w);
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acc_dens(sample, weight = w);
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acc_cdist(sample, weight = w);
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}
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BOOST_CHECK_CLOSE(1., weighted_median(acc), 2);
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BOOST_CHECK_CLOSE(1., weighted_median(acc_dens), 3);
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BOOST_CHECK_CLOSE(1., weighted_median(acc_cdist), 3);
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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("weighted_median test");
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test->add(BOOST_TEST_CASE(&test_stat));
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return test;
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}
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