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// (C) Copyright 2006 Eric Niebler, Olivier Gygi
// 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)
#include <boost/test/unit_test.hpp>
#include <boost/test/tools/floating_point_comparison.hpp>
#include <boost/random.hpp>
#include <boost/range/iterator_range.hpp>
#include <boost/accumulators/accumulators.hpp>
#include <boost/accumulators/statistics/stats.hpp>
#include <boost/accumulators/statistics/weighted_median.hpp>
using namespace boost;
using namespace unit_test;
using namespace accumulators;
///////////////////////////////////////////////////////////////////////////////
// test_stat
//
void test_stat()
{
// Median estimation of normal distribution N(1,1) using samples from a narrow normal distribution N(1,0.01)
// The weights equal to the likelihood ratio of the corresponding samples
// two random number generators
double mu = 1.;
double sigma_narrow = 0.01;
double sigma = 1.;
boost::lagged_fibonacci607 rng;
boost::normal_distribution<> mean_sigma_narrow(mu,sigma_narrow);
boost::variate_generator<boost::lagged_fibonacci607&, boost::normal_distribution<> > normal_narrow(rng, mean_sigma_narrow);
accumulator_set<double, stats<tag::weighted_median(with_p_square_quantile) >, double > acc;
accumulator_set<double, stats<tag::weighted_median(with_density) >, double >
acc_dens( density_cache_size = 10000, density_num_bins = 1000 );
accumulator_set<double, stats<tag::weighted_median(with_p_square_cumulative_distribution) >, double >
acc_cdist( p_square_cumulative_distribution_num_cells = 100 );
for (std::size_t i=0; i<1000000; ++i)
{
double sample = normal_narrow();
double w = std::exp(
0.5 * (sample - mu) * (sample - mu) * (
1./sigma_narrow/sigma_narrow - 1./sigma/sigma
)
);
acc(sample, weight = w);
acc_dens(sample, weight = w);
acc_cdist(sample, weight = w);
}
BOOST_CHECK_CLOSE(1., weighted_median(acc), 2);
BOOST_CHECK_CLOSE(1., weighted_median(acc_dens), 3);
BOOST_CHECK_CLOSE(1., weighted_median(acc_cdist), 3);
}
///////////////////////////////////////////////////////////////////////////////
// init_unit_test_suite
//
test_suite* init_unit_test_suite( int argc, char* argv[] )
{
test_suite *test = BOOST_TEST_SUITE("weighted_median test");
test->add(BOOST_TEST_CASE(&test_stat));
return test;
}
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