87 lines
3.9 KiB
C++
87 lines
3.9 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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// Test case for tail_mean.hpp
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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/tools/floating_point_comparison.hpp>
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#include <boost/accumulators/numeric/functional/vector.hpp>
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#include <boost/accumulators/numeric/functional/complex.hpp>
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#include <boost/accumulators/numeric/functional/valarray.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/tail_mean.hpp>
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#include <boost/accumulators/statistics/tail_quantile.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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std::size_t n = 100000; // number of MC steps
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std::size_t c = 10000; // cache size
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typedef accumulator_set<double, stats<tag::non_coherent_tail_mean<right>, tag::tail_quantile<right> > > accumulator_t_right1;
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typedef accumulator_set<double, stats<tag::non_coherent_tail_mean<left>, tag::tail_quantile<left> > > accumulator_t_left1;
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typedef accumulator_set<double, stats<tag::coherent_tail_mean<right>, tag::tail_quantile<right> > > accumulator_t_right2;
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typedef accumulator_set<double, stats<tag::coherent_tail_mean<left>, tag::tail_quantile<left> > > accumulator_t_left2;
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accumulator_t_right1 acc0( right_tail_cache_size = c );
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accumulator_t_left1 acc1( left_tail_cache_size = c );
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accumulator_t_right2 acc2( right_tail_cache_size = c );
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accumulator_t_left2 acc3( left_tail_cache_size = c );
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// a random number generator
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boost::lagged_fibonacci607 rng;
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for (std::size_t i = 0; i < n; ++i)
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{
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double sample = rng();
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acc0(sample);
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acc1(sample);
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acc2(sample);
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acc3(sample);
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}
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// check uniform distribution
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BOOST_CHECK_CLOSE( non_coherent_tail_mean(acc0, quantile_probability = 0.95), 0.975, epsilon );
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BOOST_CHECK_CLOSE( non_coherent_tail_mean(acc0, quantile_probability = 0.975), 0.9875, epsilon );
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BOOST_CHECK_CLOSE( non_coherent_tail_mean(acc0, quantile_probability = 0.99), 0.995, epsilon );
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BOOST_CHECK_CLOSE( non_coherent_tail_mean(acc0, quantile_probability = 0.999), 0.9995, epsilon );
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BOOST_CHECK_CLOSE( non_coherent_tail_mean(acc1, quantile_probability = 0.05), 0.025, 5*epsilon );
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BOOST_CHECK_CLOSE( non_coherent_tail_mean(acc1, quantile_probability = 0.025), 0.0125, 6*epsilon );
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BOOST_CHECK_CLOSE( non_coherent_tail_mean(acc1, quantile_probability = 0.01), 0.005, 8*epsilon );
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BOOST_CHECK_CLOSE( non_coherent_tail_mean(acc1, quantile_probability = 0.001), 0.0005, 25*epsilon );
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BOOST_CHECK_CLOSE( tail_mean(acc2, quantile_probability = 0.95), 0.975, epsilon );
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BOOST_CHECK_CLOSE( tail_mean(acc2, quantile_probability = 0.975), 0.9875, epsilon );
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BOOST_CHECK_CLOSE( tail_mean(acc2, quantile_probability = 0.99), 0.995, epsilon );
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BOOST_CHECK_CLOSE( tail_mean(acc2, quantile_probability = 0.999), 0.9995, epsilon );
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BOOST_CHECK_CLOSE( tail_mean(acc3, quantile_probability = 0.05), 0.025, 5*epsilon );
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BOOST_CHECK_CLOSE( tail_mean(acc3, quantile_probability = 0.025), 0.0125, 6*epsilon );
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BOOST_CHECK_CLOSE( tail_mean(acc3, quantile_probability = 0.01), 0.005, 8*epsilon );
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BOOST_CHECK_CLOSE( tail_mean(acc3, quantile_probability = 0.001), 0.0005, 25*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("tail_mean 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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