townforge/math
1
0
Fork 0
Code Issues Pull Requests Releases Wiki Activity
cc
math/test/test_extreme_value.cpp
Nick Thompson 9b14fff12e Remove header deprecation warnings.
2019-08-10 08:50:12 -04:00

248 lines
8.8 KiB
C++
Raw Permalink Blame History

// Copyright John Maddock 2006.
// 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_extreme_value.cpp
#include <boost/math/tools/test.hpp>
#include <boost/math/concepts/real_concept.hpp> // for real_concept
#include <boost/math/distributions/extreme_value.hpp>
using boost::math::extreme_value_distribution;
#define BOOST_TEST_MAIN
#include <boost/test/unit_test.hpp> // Boost.Test
#include <boost/test/tools/floating_point_comparison.hpp>
#include "test_out_of_range.hpp"
#include <iostream>
using std::cout;
using std::endl;
using std::setprecision;
template <class RealType>
void test_spot(RealType a, RealType b, RealType x, RealType p, RealType q, RealType tolerance)
{
BOOST_CHECK_CLOSE(
::boost::math::cdf(
extreme_value_distribution<RealType>(a, b),
x),
p,
tolerance); // %
BOOST_CHECK_CLOSE(
::boost::math::cdf(
complement(extreme_value_distribution<RealType>(a, b),
x)),
q,
tolerance); // %
if((p < 0.999) && (p > 0))
{
BOOST_CHECK_CLOSE(
::boost::math::quantile(
extreme_value_distribution<RealType>(a, b),
p),
x,
tolerance); // %
}
if((q < 0.999) && (q > 0))
{
BOOST_CHECK_CLOSE(
::boost::math::quantile(
complement(extreme_value_distribution<RealType>(a, b),
q)),
x,
tolerance); // %
}
}
template <class RealType>
void test_spots(RealType)
{
// Basic sanity checks.
// 50eps as a percentage, up to a maximum of double precision
// (that's the limit of our test data).
RealType tolerance = (std::max)(
static_cast<RealType>(boost::math::tools::epsilon<double>()),
boost::math::tools::epsilon<RealType>());
tolerance *= 50 * 100;
cout << "Tolerance for type " << typeid(RealType).name() << " is " << tolerance << " %" << endl;
// Results calculated by punching numbers into a calculator,
// and using the formula at http://mathworld.wolfram.com/ExtremeValueDistribution.html
test_spot(
static_cast<RealType>(0.5), // a
static_cast<RealType>(1.5), // b
static_cast<RealType>(0.125), // x
static_cast<RealType>(0.27692033409990891617007608217222L), // p
static_cast<RealType>(0.72307966590009108382992391782778L), //q
tolerance);
test_spot(
static_cast<RealType>(0.5), // a
static_cast<RealType>(2), // b
static_cast<RealType>(-5), // x
static_cast<RealType>(1.6087601139887776413169427645933e-7L), // p
static_cast<RealType>(0.99999983912398860112223586830572L), //q
tolerance);
test_spot(
static_cast<RealType>(0.5), // a
static_cast<RealType>(0.25), // b
static_cast<RealType>(0.75), // x
static_cast<RealType>(0.69220062755534635386542199718279L), // p
static_cast<RealType>(0.30779937244465364613457800281721), //q
tolerance);
test_spot(
static_cast<RealType>(0.5), // a
static_cast<RealType>(0.25), // b
static_cast<RealType>(5), // x
static_cast<RealType>(0.99999998477002037126351248727041L), // p
static_cast<RealType>(1.5229979628736487512729586276294e-8L), //q
tolerance);
BOOST_CHECK_CLOSE(
::boost::math::pdf(
extreme_value_distribution<RealType>(0.5, 2),
static_cast<RealType>(0.125)), // x
static_cast<RealType>(0.18052654830890205978204427757846L), // probability.
tolerance); // %
BOOST_CHECK_CLOSE(
::boost::math::pdf(
extreme_value_distribution<RealType>(1, 3),
static_cast<RealType>(5)), // x
static_cast<RealType>(0.0675057324099851209129017326286L), // probability.
tolerance); // %
BOOST_CHECK_CLOSE(
::boost::math::pdf(
extreme_value_distribution<RealType>(1, 3),
static_cast<RealType>(0)), // x
static_cast<RealType>(0.11522236828583456431277265757312L), // probability.
tolerance); // %
BOOST_CHECK_CLOSE(
::boost::math::mean(
extreme_value_distribution<RealType>(2, 3)),
static_cast<RealType>(3.731646994704598581819536270246L),
tolerance); // %
BOOST_CHECK_CLOSE(
::boost::math::standard_deviation(
extreme_value_distribution<RealType>(1, 0.5)),
static_cast<RealType>(0.6412749150809320477720181798355L),
tolerance); // %
BOOST_CHECK_CLOSE(
::boost::math::mode(
extreme_value_distribution<RealType>(2, 3)),
static_cast<RealType>(2),
tolerance); // %
BOOST_CHECK_CLOSE(
::boost::math::median(
extreme_value_distribution<RealType>(0, 1)),
static_cast<RealType>(+0.36651292058166432701243915823266946945426344783710526305367771367056),
tolerance); // %
BOOST_CHECK_CLOSE(
::boost::math::skewness(
extreme_value_distribution<RealType>(2, 3)),
static_cast<RealType>(1.1395470994046486574927930193898461120875997958366L),
tolerance); // %
BOOST_CHECK_CLOSE(
::boost::math::kurtosis(
extreme_value_distribution<RealType>(2, 3)),
static_cast<RealType>(5.4),
tolerance); // %
BOOST_CHECK_CLOSE(
::boost::math::kurtosis_excess(
extreme_value_distribution<RealType>(2, 3)),
static_cast<RealType>(2.4),
tolerance); // %
//
// Things that are errors:
//
extreme_value_distribution<RealType> dist(0.5, 2);
BOOST_MATH_CHECK_THROW(
quantile(dist, RealType(1.0)),
std::overflow_error);
BOOST_MATH_CHECK_THROW(
quantile(complement(dist, RealType(0.0))),
std::overflow_error);
BOOST_MATH_CHECK_THROW(
quantile(dist, RealType(0.0)),
std::overflow_error);
BOOST_MATH_CHECK_THROW(
quantile(complement(dist, RealType(1.0))),
std::overflow_error);
BOOST_MATH_CHECK_THROW(
cdf(extreme_value_distribution<RealType>(0, -1), RealType(1)),
std::domain_error);
BOOST_MATH_CHECK_THROW(
quantile(dist, RealType(-1)),
std::domain_error);
BOOST_MATH_CHECK_THROW(
quantile(dist, RealType(2)),
std::domain_error);
check_out_of_range<extreme_value_distribution<RealType> >(1, 2);
if(std::numeric_limits<RealType>::has_infinity)
{
RealType inf = std::numeric_limits<RealType>::infinity();
BOOST_CHECK_EQUAL(pdf(extreme_value_distribution<RealType>(), -inf), 0);
BOOST_CHECK_EQUAL(pdf(extreme_value_distribution<RealType>(), inf), 0);
BOOST_CHECK_EQUAL(cdf(extreme_value_distribution<RealType>(), -inf), 0);
BOOST_CHECK_EQUAL(cdf(extreme_value_distribution<RealType>(), inf), 1);
BOOST_CHECK_EQUAL(cdf(complement(extreme_value_distribution<RealType>(), -inf)), 1);
BOOST_CHECK_EQUAL(cdf(complement(extreme_value_distribution<RealType>(), inf)), 0);
}
//
// Bug reports:
//
// https://svn.boost.org/trac/boost/ticket/10938:
BOOST_CHECK_CLOSE(
::boost::math::pdf(
extreme_value_distribution<RealType>(0, 1),
static_cast<RealType>(-1000)), // x
static_cast<RealType>(0), // probability.
tolerance); // %
} // template <class RealType>void test_spots(RealType)
BOOST_AUTO_TEST_CASE( test_main )
{
// Check that can generate extreme_value distribution using the two convenience methods:
boost::math::extreme_value mycev1(1.); // Using typedef
extreme_value_distribution<> myev2(1.); // Using default RealType double.
// Basic sanity-check spot values.
// (Parameter value, arbitrarily zero, only communicates the floating point type).
test_spots(0.0F); // Test float. OK at decdigits = 0 tolerance = 0.0001 %
test_spots(0.0); // Test double. OK at decdigits 7, tolerance = 1e07 %
#ifndef BOOST_MATH_NO_LONG_DOUBLE_MATH_FUNCTIONS
test_spots(0.0L); // Test long double.
#if !BOOST_WORKAROUND(__BORLANDC__, BOOST_TESTED_AT(0x582))
test_spots(boost::math::concepts::real_concept(0.)); // Test real concept.
#endif
#else
std::cout << "<note>The long double tests have been disabled on this platform "
"either because the long double overloads of the usual math functions are "
"not available at all, or because they are too inaccurate for these tests "
"to pass.</note>" << std::endl;
#endif
} // BOOST_AUTO_TEST_CASE( test_main )
/*
Output is:
-Running 1 test case...
Tolerance for type float is 0.000596046 %
Tolerance for type double is 1.11022e-012 %
Tolerance for type long double is 1.11022e-012 %
Tolerance for type class boost::math::concepts::real_concept is 1.11022e-012 %
*** No errors detected
*/
Reference in New Issue View Git Blame Copy Permalink