1 | // (C) Copyright 2006 Eric Niebler, Olivier Gygi. |
2 | // Use, modification and distribution are subject to the |
3 | // Boost Software License, Version 1.0. (See accompanying file |
4 | // LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt) |
5 | |
6 | // Test case for tail_mean.hpp |
7 | |
8 | #include <boost/random.hpp> |
9 | #include <boost/test/unit_test.hpp> |
10 | #include <boost/test/tools/floating_point_comparison.hpp> |
11 | #include <boost/accumulators/numeric/functional/vector.hpp> |
12 | #include <boost/accumulators/numeric/functional/complex.hpp> |
13 | #include <boost/accumulators/numeric/functional/valarray.hpp> |
14 | #include <boost/accumulators/accumulators.hpp> |
15 | #include <boost/accumulators/statistics/stats.hpp> |
16 | #include <boost/accumulators/statistics/tail_mean.hpp> |
17 | #include <boost/accumulators/statistics/tail_quantile.hpp> |
18 | |
19 | using namespace boost; |
20 | using namespace unit_test; |
21 | using namespace boost::accumulators; |
22 | |
23 | /////////////////////////////////////////////////////////////////////////////// |
24 | // test_stat |
25 | // |
26 | void test_stat() |
27 | { |
28 | // tolerance in % |
29 | double epsilon = 1; |
30 | |
31 | std::size_t n = 100000; // number of MC steps |
32 | std::size_t c = 10000; // cache size |
33 | |
34 | typedef accumulator_set<double, stats<tag::non_coherent_tail_mean<right>, tag::tail_quantile<right> > > accumulator_t_right1; |
35 | typedef accumulator_set<double, stats<tag::non_coherent_tail_mean<left>, tag::tail_quantile<left> > > accumulator_t_left1; |
36 | typedef accumulator_set<double, stats<tag::coherent_tail_mean<right>, tag::tail_quantile<right> > > accumulator_t_right2; |
37 | typedef accumulator_set<double, stats<tag::coherent_tail_mean<left>, tag::tail_quantile<left> > > accumulator_t_left2; |
38 | |
39 | accumulator_t_right1 acc0( right_tail_cache_size = c ); |
40 | accumulator_t_left1 acc1( left_tail_cache_size = c ); |
41 | accumulator_t_right2 acc2( right_tail_cache_size = c ); |
42 | accumulator_t_left2 acc3( left_tail_cache_size = c ); |
43 | |
44 | // a random number generator |
45 | boost::lagged_fibonacci607 rng; |
46 | |
47 | for (std::size_t i = 0; i < n; ++i) |
48 | { |
49 | double sample = rng(); |
50 | acc0(sample); |
51 | acc1(sample); |
52 | acc2(sample); |
53 | acc3(sample); |
54 | } |
55 | |
56 | // check uniform distribution |
57 | BOOST_CHECK_CLOSE( non_coherent_tail_mean(acc0, quantile_probability = 0.95), 0.975, epsilon ); |
58 | BOOST_CHECK_CLOSE( non_coherent_tail_mean(acc0, quantile_probability = 0.975), 0.9875, epsilon ); |
59 | BOOST_CHECK_CLOSE( non_coherent_tail_mean(acc0, quantile_probability = 0.99), 0.995, epsilon ); |
60 | BOOST_CHECK_CLOSE( non_coherent_tail_mean(acc0, quantile_probability = 0.999), 0.9995, epsilon ); |
61 | BOOST_CHECK_CLOSE( non_coherent_tail_mean(acc1, quantile_probability = 0.05), 0.025, 5*epsilon ); |
62 | BOOST_CHECK_CLOSE( non_coherent_tail_mean(acc1, quantile_probability = 0.025), 0.0125, 6*epsilon ); |
63 | BOOST_CHECK_CLOSE( non_coherent_tail_mean(acc1, quantile_probability = 0.01), 0.005, 8*epsilon ); |
64 | BOOST_CHECK_CLOSE( non_coherent_tail_mean(acc1, quantile_probability = 0.001), 0.0005, 25*epsilon ); |
65 | BOOST_CHECK_CLOSE( tail_mean(acc2, quantile_probability = 0.95), 0.975, epsilon ); |
66 | BOOST_CHECK_CLOSE( tail_mean(acc2, quantile_probability = 0.975), 0.9875, epsilon ); |
67 | BOOST_CHECK_CLOSE( tail_mean(acc2, quantile_probability = 0.99), 0.995, epsilon ); |
68 | BOOST_CHECK_CLOSE( tail_mean(acc2, quantile_probability = 0.999), 0.9995, epsilon ); |
69 | BOOST_CHECK_CLOSE( tail_mean(acc3, quantile_probability = 0.05), 0.025, 5*epsilon ); |
70 | BOOST_CHECK_CLOSE( tail_mean(acc3, quantile_probability = 0.025), 0.0125, 6*epsilon ); |
71 | BOOST_CHECK_CLOSE( tail_mean(acc3, quantile_probability = 0.01), 0.005, 8*epsilon ); |
72 | BOOST_CHECK_CLOSE( tail_mean(acc3, quantile_probability = 0.001), 0.0005, 25*epsilon ); |
73 | } |
74 | |
75 | /////////////////////////////////////////////////////////////////////////////// |
76 | // init_unit_test_suite |
77 | // |
78 | test_suite* init_unit_test_suite( int argc, char* argv[] ) |
79 | { |
80 | test_suite *test = BOOST_TEST_SUITE("tail_mean test" ); |
81 | |
82 | test->add(BOOST_TEST_CASE(&test_stat)); |
83 | |
84 | return test; |
85 | } |
86 | |
87 | |