1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
|
// (C) Copyright Eric Niebler 2005.
// 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 case for pot_quantile.hpp
#define BOOST_NUMERIC_FUNCTIONAL_STD_COMPLEX_SUPPORT
#define BOOST_NUMERIC_FUNCTIONAL_STD_VALARRAY_SUPPORT
#define BOOST_NUMERIC_FUNCTIONAL_STD_VECTOR_SUPPORT
#include <boost/random.hpp>
#include <boost/test/unit_test.hpp>
#include <boost/test/floating_point_comparison.hpp>
#include <boost/accumulators/accumulators.hpp>
#include <boost/accumulators/statistics.hpp>
#include <boost/accumulators/statistics/peaks_over_threshold.hpp>
#include <sstream>
#include <boost/archive/text_oarchive.hpp>
#include <boost/archive/text_iarchive.hpp>
using namespace boost;
using namespace unit_test;
using namespace boost::accumulators;
///////////////////////////////////////////////////////////////////////////////
// test_stat
//
void test_stat()
{
// tolerance in %
double epsilon = 1.;
// two random number generators
boost::lagged_fibonacci607 rng;
boost::normal_distribution<> mean_sigma(0,1);
boost::exponential_distribution<> lambda(1);
boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal(rng, mean_sigma);
boost::variate_generator<boost::lagged_fibonacci607&, boost::exponential_distribution<> > exponential(rng, lambda);
accumulator_set<double, stats<tag::pot_quantile<right>(with_threshold_value)> > acc1(
pot_threshold_value = 3.
);
accumulator_set<double, stats<tag::pot_quantile<right>(with_threshold_probability)> > acc2(
right_tail_cache_size = 2000
, pot_threshold_probability = 0.99
);
accumulator_set<double, stats<tag::pot_quantile<left>(with_threshold_value)> > acc3(
pot_threshold_value = -3.
);
accumulator_set<double, stats<tag::pot_quantile<left>(with_threshold_probability)> > acc4(
left_tail_cache_size = 2000
, pot_threshold_probability = 0.01
);
accumulator_set<double, stats<tag::pot_quantile<right>(with_threshold_value)> > acc5(
pot_threshold_value = 5.
);
accumulator_set<double, stats<tag::pot_quantile<right>(with_threshold_probability)> > acc6(
right_tail_cache_size = 2000
, pot_threshold_probability = 0.995
);
for (std::size_t i = 0; i < 100000; ++i)
{
double sample = normal();
acc1(sample);
acc2(sample);
acc3(sample);
acc4(sample);
}
for (std::size_t i = 0; i < 100000; ++i)
{
double sample = exponential();
acc5(sample);
acc6(sample);
}
BOOST_CHECK_CLOSE( quantile(acc1, quantile_probability = 0.999), 3.090232, 3*epsilon );
BOOST_CHECK_CLOSE( quantile(acc2, quantile_probability = 0.999), 3.090232, 2*epsilon );
BOOST_CHECK_CLOSE( quantile(acc3, quantile_probability = 0.001), -3.090232, 2*epsilon );
BOOST_CHECK_CLOSE( quantile(acc4, quantile_probability = 0.001), -3.090232, 2*epsilon );
BOOST_CHECK_CLOSE( quantile(acc5, quantile_probability = 0.999), 6.908, 3*epsilon );
BOOST_CHECK_CLOSE( quantile(acc6, quantile_probability = 0.999), 6.908, 3*epsilon );
}
///////////////////////////////////////////////////////////////////////////////
// test_persistency
//
void test_persistency()
{
// tolerance in %
double epsilon = 1.;
// "persistent" storage
std::stringstream ss;
{
// random number generators
boost::lagged_fibonacci607 rng;
boost::normal_distribution<> mean_sigma(0,1);
boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal(rng, mean_sigma);
accumulator_set<double, stats<tag::pot_quantile<right>(with_threshold_value)> > acc(pot_threshold_value = 3.);
for (std::size_t i = 0; i < 100000; ++i)
acc(normal());
BOOST_CHECK_CLOSE(quantile(acc, quantile_probability = 0.999), 3.090232, 3*epsilon);
boost::archive::text_oarchive oa(ss);
acc.serialize(oa, 0);
}
accumulator_set<double, stats<tag::pot_quantile<right>(with_threshold_value)> > acc(pot_threshold_value = 3.);
boost::archive::text_iarchive ia(ss);
acc.serialize(ia, 0);
BOOST_CHECK_CLOSE(quantile(acc, quantile_probability = 0.999), 3.090232, 3*epsilon);
}
///////////////////////////////////////////////////////////////////////////////
// init_unit_test_suite
//
test_suite* init_unit_test_suite( int argc, char* argv[] )
{
test_suite *test = BOOST_TEST_SUITE("pot_quantile test");
test->add(BOOST_TEST_CASE(&test_stat));
test->add(BOOST_TEST_CASE(&test_persistency));
return test;
}
|
