105 lines
4.0 KiB
C++
105 lines
4.0 KiB
C++
// (C) Copyright Eric Niebler 2005.
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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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// Test case for pot_quantile.hpp (weighted feature)
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#define BOOST_NUMERIC_FUNCTIONAL_STD_COMPLEX_SUPPORT
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#define BOOST_NUMERIC_FUNCTIONAL_STD_VALARRAY_SUPPORT
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#define BOOST_NUMERIC_FUNCTIONAL_STD_VECTOR_SUPPORT
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#include <boost/random.hpp>
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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/accumulators/accumulators.hpp>
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#include <boost/accumulators/statistics.hpp>
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using namespace boost;
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using namespace unit_test;
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using namespace boost::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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// tolerance in %
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double epsilon = 1.;
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double mu1, mu2, l;
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mu1 = 1.;
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mu2 = -1.;
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l = 0.5;
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// two random number generators
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boost::lagged_fibonacci607 rng;
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boost::normal_distribution<> mean_sigma1(mu1,1);
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boost::normal_distribution<> mean_sigma2(mu2,1);
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boost::exponential_distribution<> lambda(l);
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boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal1(rng, mean_sigma1);
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boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal2(rng, mean_sigma2);
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boost::variate_generator<boost::lagged_fibonacci607&, boost::exponential_distribution<> > exponential(rng, lambda);
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accumulator_set<double, stats<tag::weighted_pot_quantile<right>(with_threshold_value)>, double > acc1(
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pot_threshold_value = 3.
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);
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accumulator_set<double, stats<tag::weighted_pot_quantile<right>(with_threshold_probability)>, double > acc2(
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right_tail_cache_size = 10000
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, pot_threshold_probability = 0.99
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);
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accumulator_set<double, stats<tag::weighted_pot_quantile<left>(with_threshold_value)>, double > acc3(
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pot_threshold_value = -3.
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);
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accumulator_set<double, stats<tag::weighted_pot_quantile<left>(with_threshold_probability)>, double > acc4(
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left_tail_cache_size = 10000
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, pot_threshold_probability = 0.01
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);
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accumulator_set<double, stats<tag::weighted_pot_quantile<right>(with_threshold_value)>, double > acc5(
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pot_threshold_value = 5.
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);
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accumulator_set<double, stats<tag::weighted_pot_quantile<right>(with_threshold_probability)>, double > acc6(
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right_tail_cache_size = 10000
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, pot_threshold_probability = 0.995
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);
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for (std::size_t i = 0; i < 100000; ++i)
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{
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double sample1 = normal1();
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double sample2 = normal2();
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acc1(sample1, weight = std::exp(-mu1 * (sample1 - 0.5 * mu1)));
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acc2(sample1, weight = std::exp(-mu1 * (sample1 - 0.5 * mu1)));
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acc3(sample2, weight = std::exp(-mu2 * (sample2 - 0.5 * mu2)));
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acc4(sample2, weight = std::exp(-mu2 * (sample2 - 0.5 * mu2)));
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}
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for (std::size_t i = 0; i < 100000; ++i)
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{
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double sample = exponential();
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acc5(sample, weight = 1./l * std::exp(-sample * (1. - l)));
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acc6(sample, weight = 1./l * std::exp(-sample * (1. - l)));
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}
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BOOST_CHECK_CLOSE( quantile(acc1, quantile_probability = 0.999), 3.090232, epsilon );
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BOOST_CHECK_CLOSE( quantile(acc2, quantile_probability = 0.999), 3.090232, epsilon );
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BOOST_CHECK_CLOSE( quantile(acc3, quantile_probability = 0.001), -3.090232, epsilon );
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BOOST_CHECK_CLOSE( quantile(acc4, quantile_probability = 0.001), -3.090232, epsilon );
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BOOST_CHECK_CLOSE( quantile(acc5, quantile_probability = 0.999), 6.908, epsilon );
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BOOST_CHECK_CLOSE( quantile(acc6, quantile_probability = 0.999), 6.908, epsilon );
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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_pot_quantile 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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