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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)
// Test case for weighted_tail_mean.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/weighted_tail_mean.hpp>
#include <boost/accumulators/statistics/weighted_tail_quantile.hpp>
using namespace boost;
using namespace unit_test;
using namespace boost::accumulators;
///////////////////////////////////////////////////////////////////////////////
// test_stat
//
void test_stat()
{
// tolerance in %
double epsilon = 1;
std::size_t n = 100000; // number of MC steps
std::size_t c = 25000; // cache size
accumulator_set<double, stats<tag::non_coherent_weighted_tail_mean<right> >, double >
acc0( right_tail_cache_size = c );
accumulator_set<double, stats<tag::non_coherent_weighted_tail_mean<left> >, double >
acc1( left_tail_cache_size = c );
// random number generators
boost::lagged_fibonacci607 rng;
for (std::size_t i = 0; i < n; ++i)
{
double smpl = std::sqrt(rng());
acc0(smpl, weight = 1./smpl);
}
for (std::size_t i = 0; i < n; ++i)
{
double smpl = rng();
acc1(smpl*smpl, weight = smpl);
}
// check uniform distribution
BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc0, quantile_probability = 0.95), 0.975, epsilon );
BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc0, quantile_probability = 0.975), 0.9875, epsilon );
BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc0, quantile_probability = 0.99), 0.995, epsilon );
BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc0, quantile_probability = 0.999), 0.9995, epsilon );
BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc1, quantile_probability = 0.05), 0.025, epsilon );
BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc1, quantile_probability = 0.025), 0.0125, epsilon );
BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc1, quantile_probability = 0.01), 0.005, epsilon );
BOOST_CHECK_CLOSE( non_coherent_weighted_tail_mean(acc1, quantile_probability = 0.001), 0.0005, 5*epsilon );
}
///////////////////////////////////////////////////////////////////////////////
// init_unit_test_suite
//
test_suite* init_unit_test_suite( int argc, char* argv[] )
{
test_suite *test = BOOST_TEST_SUITE("weighted_tail_mean test");
test->add(BOOST_TEST_CASE(&test_stat));
return test;
}
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