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Diffstat (limited to 'boost/accumulators/statistics/extended_p_square_quantile.hpp')
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1 files changed, 319 insertions, 0 deletions
diff --git a/boost/accumulators/statistics/extended_p_square_quantile.hpp b/boost/accumulators/statistics/extended_p_square_quantile.hpp new file mode 100644 index 0000000000..b6c008d712 --- /dev/null +++ b/boost/accumulators/statistics/extended_p_square_quantile.hpp @@ -0,0 +1,319 @@ +/////////////////////////////////////////////////////////////////////////////// +// extended_p_square_quantile.hpp +// +// Copyright 2005 Daniel Egloff. Distributed under 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) + +#ifndef BOOST_ACCUMULATORS_STATISTICS_EXTENDED_SINGLE_QUANTILE_HPP_DE_01_01_2006 +#define BOOST_ACCUMULATORS_STATISTICS_EXTENDED_SINGLE_QUANTILE_HPP_DE_01_01_2006 + +#include <vector> +#include <functional> +#include <boost/range/begin.hpp> +#include <boost/range/end.hpp> +#include <boost/range/iterator_range.hpp> +#include <boost/iterator/transform_iterator.hpp> +#include <boost/iterator/counting_iterator.hpp> +#include <boost/iterator/permutation_iterator.hpp> +#include <boost/parameter/keyword.hpp> +#include <boost/mpl/placeholders.hpp> +#include <boost/type_traits/is_same.hpp> +#include <boost/accumulators/framework/accumulator_base.hpp> +#include <boost/accumulators/framework/extractor.hpp> +#include <boost/accumulators/numeric/functional.hpp> +#include <boost/accumulators/framework/parameters/sample.hpp> +#include <boost/accumulators/framework/depends_on.hpp> +#include <boost/accumulators/statistics_fwd.hpp> +#include <boost/accumulators/statistics/count.hpp> +#include <boost/accumulators/statistics/parameters/quantile_probability.hpp> +#include <boost/accumulators/statistics/extended_p_square.hpp> +#include <boost/accumulators/statistics/weighted_extended_p_square.hpp> +#include <boost/accumulators/statistics/times2_iterator.hpp> + +#ifdef _MSC_VER +# pragma warning(push) +# pragma warning(disable: 4127) // conditional expression is constant +#endif + +namespace boost { namespace accumulators +{ + +namespace impl +{ + /////////////////////////////////////////////////////////////////////////////// + // extended_p_square_quantile_impl + // single quantile estimation + /** + @brief Quantile estimation using the extended \f$P^2\f$ algorithm for weighted and unweighted samples + + Uses the quantile estimates calculated by the extended \f$P^2\f$ algorithm to compute + intermediate quantile estimates by means of quadratic interpolation. + + @param quantile_probability The probability of the quantile to be estimated. + */ + template<typename Sample, typename Impl1, typename Impl2> // Impl1: weighted/unweighted // Impl2: linear/quadratic + struct extended_p_square_quantile_impl + : accumulator_base + { + typedef typename numeric::functional::average<Sample, std::size_t>::result_type float_type; + typedef std::vector<float_type> array_type; + typedef iterator_range< + detail::lvalue_index_iterator< + permutation_iterator< + typename array_type::const_iterator + , detail::times2_iterator + > + > + > range_type; + // for boost::result_of + typedef float_type result_type; + + template<typename Args> + extended_p_square_quantile_impl(Args const &args) + : probabilities( + boost::begin(args[extended_p_square_probabilities]) + , boost::end(args[extended_p_square_probabilities]) + ) + { + } + + template<typename Args> + result_type result(Args const &args) const + { + typedef + typename mpl::if_< + is_same<Impl1, weighted> + , tag::weighted_extended_p_square + , tag::extended_p_square + >::type + extended_p_square_tag; + + extractor<extended_p_square_tag> const some_extended_p_square = {}; + + array_type heights(some_extended_p_square(args).size()); + std::copy(some_extended_p_square(args).begin(), some_extended_p_square(args).end(), heights.begin()); + + this->probability = args[quantile_probability]; + + typename array_type::const_iterator iter_probs = std::lower_bound(this->probabilities.begin(), this->probabilities.end(), this->probability); + std::size_t dist = std::distance(this->probabilities.begin(), iter_probs); + typename array_type::const_iterator iter_heights = heights.begin() + dist; + + // If this->probability is not in a valid range return NaN or throw exception + if (this->probability < *this->probabilities.begin() || this->probability > *(this->probabilities.end() - 1)) + { + if (std::numeric_limits<result_type>::has_quiet_NaN) + { + return std::numeric_limits<result_type>::quiet_NaN(); + } + else + { + std::ostringstream msg; + msg << "probability = " << this->probability << " is not in valid range ("; + msg << *this->probabilities.begin() << ", " << *(this->probabilities.end() - 1) << ")"; + boost::throw_exception(std::runtime_error(msg.str())); + return Sample(0); + } + + } + + if (*iter_probs == this->probability) + { + return heights[dist]; + } + else + { + result_type res; + + if (is_same<Impl2, linear>::value) + { + ///////////////////////////////////////////////////////////////////////////////// + // LINEAR INTERPOLATION + // + float_type p1 = *iter_probs; + float_type p0 = *(iter_probs - 1); + float_type h1 = *iter_heights; + float_type h0 = *(iter_heights - 1); + + float_type a = numeric::average(h1 - h0, p1 - p0); + float_type b = h1 - p1 * a; + + res = a * this->probability + b; + } + else + { + ///////////////////////////////////////////////////////////////////////////////// + // QUADRATIC INTERPOLATION + // + float_type p0, p1, p2; + float_type h0, h1, h2; + + if ( (dist == 1 || *iter_probs - this->probability <= this->probability - *(iter_probs - 1) ) && dist != this->probabilities.size() - 1 ) + { + p0 = *(iter_probs - 1); + p1 = *iter_probs; + p2 = *(iter_probs + 1); + h0 = *(iter_heights - 1); + h1 = *iter_heights; + h2 = *(iter_heights + 1); + } + else + { + p0 = *(iter_probs - 2); + p1 = *(iter_probs - 1); + p2 = *iter_probs; + h0 = *(iter_heights - 2); + h1 = *(iter_heights - 1); + h2 = *iter_heights; + } + + float_type hp21 = numeric::average(h2 - h1, p2 - p1); + float_type hp10 = numeric::average(h1 - h0, p1 - p0); + float_type p21 = numeric::average(p2 * p2 - p1 * p1, p2 - p1); + float_type p10 = numeric::average(p1 * p1 - p0 * p0, p1 - p0); + + float_type a = numeric::average(hp21 - hp10, p21 - p10); + float_type b = hp21 - a * p21; + float_type c = h2 - a * p2 * p2 - b * p2; + + res = a * this->probability * this-> probability + b * this->probability + c; + } + + return res; + } + + } + private: + + array_type probabilities; + mutable float_type probability; + + }; + +} // namespace impl + +/////////////////////////////////////////////////////////////////////////////// +// tag::extended_p_square_quantile +// +namespace tag +{ + struct extended_p_square_quantile + : depends_on<extended_p_square> + { + typedef accumulators::impl::extended_p_square_quantile_impl<mpl::_1, unweighted, linear> impl; + }; + struct extended_p_square_quantile_quadratic + : depends_on<extended_p_square> + { + typedef accumulators::impl::extended_p_square_quantile_impl<mpl::_1, unweighted, quadratic> impl; + }; + struct weighted_extended_p_square_quantile + : depends_on<weighted_extended_p_square> + { + typedef accumulators::impl::extended_p_square_quantile_impl<mpl::_1, weighted, linear> impl; + }; + struct weighted_extended_p_square_quantile_quadratic + : depends_on<weighted_extended_p_square> + { + typedef accumulators::impl::extended_p_square_quantile_impl<mpl::_1, weighted, quadratic> impl; + }; +} + +/////////////////////////////////////////////////////////////////////////////// +// extract::extended_p_square_quantile +// extract::weighted_extended_p_square_quantile +// +namespace extract +{ + extractor<tag::extended_p_square_quantile> const extended_p_square_quantile = {}; + extractor<tag::extended_p_square_quantile_quadratic> const extended_p_square_quantile_quadratic = {}; + extractor<tag::weighted_extended_p_square_quantile> const weighted_extended_p_square_quantile = {}; + extractor<tag::weighted_extended_p_square_quantile_quadratic> const weighted_extended_p_square_quantile_quadratic = {}; + + BOOST_ACCUMULATORS_IGNORE_GLOBAL(extended_p_square_quantile) + BOOST_ACCUMULATORS_IGNORE_GLOBAL(extended_p_square_quantile_quadratic) + BOOST_ACCUMULATORS_IGNORE_GLOBAL(weighted_extended_p_square_quantile) + BOOST_ACCUMULATORS_IGNORE_GLOBAL(weighted_extended_p_square_quantile_quadratic) +} + +using extract::extended_p_square_quantile; +using extract::extended_p_square_quantile_quadratic; +using extract::weighted_extended_p_square_quantile; +using extract::weighted_extended_p_square_quantile_quadratic; + +// extended_p_square_quantile(linear) -> extended_p_square_quantile +template<> +struct as_feature<tag::extended_p_square_quantile(linear)> +{ + typedef tag::extended_p_square_quantile type; +}; + +// extended_p_square_quantile(quadratic) -> extended_p_square_quantile_quadratic +template<> +struct as_feature<tag::extended_p_square_quantile(quadratic)> +{ + typedef tag::extended_p_square_quantile_quadratic type; +}; + +// weighted_extended_p_square_quantile(linear) -> weighted_extended_p_square_quantile +template<> +struct as_feature<tag::weighted_extended_p_square_quantile(linear)> +{ + typedef tag::weighted_extended_p_square_quantile type; +}; + +// weighted_extended_p_square_quantile(quadratic) -> weighted_extended_p_square_quantile_quadratic +template<> +struct as_feature<tag::weighted_extended_p_square_quantile(quadratic)> +{ + typedef tag::weighted_extended_p_square_quantile_quadratic type; +}; + +// for the purposes of feature-based dependency resolution, +// extended_p_square_quantile and weighted_extended_p_square_quantile +// provide the same feature as quantile +template<> +struct feature_of<tag::extended_p_square_quantile> + : feature_of<tag::quantile> +{ +}; +template<> +struct feature_of<tag::extended_p_square_quantile_quadratic> + : feature_of<tag::quantile> +{ +}; +// So that extended_p_square_quantile can be automatically substituted with +// weighted_extended_p_square_quantile when the weight parameter is non-void +template<> +struct as_weighted_feature<tag::extended_p_square_quantile> +{ + typedef tag::weighted_extended_p_square_quantile type; +}; + +template<> +struct feature_of<tag::weighted_extended_p_square_quantile> + : feature_of<tag::extended_p_square_quantile> +{ +}; + +// So that extended_p_square_quantile_quadratic can be automatically substituted with +// weighted_extended_p_square_quantile_quadratic when the weight parameter is non-void +template<> +struct as_weighted_feature<tag::extended_p_square_quantile_quadratic> +{ + typedef tag::weighted_extended_p_square_quantile_quadratic type; +}; +template<> +struct feature_of<tag::weighted_extended_p_square_quantile_quadratic> + : feature_of<tag::extended_p_square_quantile_quadratic> +{ +}; + +}} // namespace boost::accumulators + +#ifdef _MSC_VER +# pragma warning(pop) +#endif + +#endif |