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authorDaniel Baumann <daniel.baumann@progress-linux.org>2024-04-27 18:24:20 +0000
committerDaniel Baumann <daniel.baumann@progress-linux.org>2024-04-27 18:24:20 +0000
commit483eb2f56657e8e7f419ab1a4fab8dce9ade8609 (patch)
treee5d88d25d870d5dedacb6bbdbe2a966086a0a5cf /src/boost/libs/math/test/test_lognormal.cpp
parentInitial commit. (diff)
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Adding upstream version 14.2.21.upstream/14.2.21upstream
Signed-off-by: Daniel Baumann <daniel.baumann@progress-linux.org>
Diffstat (limited to 'src/boost/libs/math/test/test_lognormal.cpp')
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diff --git a/src/boost/libs/math/test/test_lognormal.cpp b/src/boost/libs/math/test/test_lognormal.cpp
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+// Copyright John Maddock 2006.
+// Copyright Paul A. Bristow 2007
+
+// 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_lognormal.cpp
+
+#include <boost/math/concepts/real_concept.hpp> // for real_concept
+#define BOOST_TEST_MAIN
+#include <boost/test/unit_test.hpp> // Boost.Test
+#include <boost/test/tools/floating_point_comparison.hpp>
+
+#include <boost/math/distributions/lognormal.hpp>
+ using boost::math::lognormal_distribution;
+#include <boost/math/tools/test.hpp>
+#include "test_out_of_range.hpp"
+
+#include <iostream>
+ using std::cout;
+ using std::endl;
+ using std::setprecision;
+#include <limits>
+ using std::numeric_limits;
+#include <cassert>
+
+template <class RealType>
+void check_lognormal(RealType loc, RealType scale, RealType x, RealType p, RealType q, RealType tol)
+{
+ BOOST_CHECK_CLOSE(
+ ::boost::math::cdf(
+ lognormal_distribution<RealType>(loc, scale), // distribution.
+ x), // random variable.
+ p, // probability.
+ tol); // %tolerance.
+ BOOST_CHECK_CLOSE(
+ ::boost::math::cdf(
+ complement(
+ lognormal_distribution<RealType>(loc, scale), // distribution.
+ x)), // random variable.
+ q, // probability complement.
+ tol); // %tolerance.
+ BOOST_CHECK_CLOSE(
+ ::boost::math::quantile(
+ lognormal_distribution<RealType>(loc, scale), // distribution.
+ p), // probability.
+ x, // random variable.
+ tol); // %tolerance.
+ BOOST_CHECK_CLOSE(
+ ::boost::math::quantile(
+ complement(
+ lognormal_distribution<RealType>(loc, scale), // distribution.
+ q)), // probability complement.
+ x, // random variable.
+ tol); // %tolerance.
+}
+
+template <class RealType>
+void test_spots(RealType)
+{
+
+ // Basic sanity checks.
+ RealType tolerance = 5e-3 * 100;
+ // Some tests only pass at 1e-4 because values generated by
+ // http://faculty.vassar.edu/lowry/VassarStats.html
+ // give only 5 or 6 *fixed* places, so small values have fewer digits.
+
+ cout << "Tolerance for type " << typeid(RealType).name() << " is " << tolerance << " %" << endl;
+
+ using std::exp;
+
+ //
+ // These test values were generated for the normal distribution
+ // using the online calculator at http://faculty.vassar.edu/lowry/VassarStats.html
+ // and then exponentiating the random variate x.
+ //
+
+ check_lognormal(
+ static_cast<RealType>(0), // location
+ static_cast<RealType>(5), // scale
+ static_cast<RealType>(1), // x
+ static_cast<RealType>(0.5), // p
+ static_cast<RealType>(0.5), // q
+ tolerance);
+ check_lognormal(
+ static_cast<RealType>(2), // location
+ static_cast<RealType>(2), // scale
+ static_cast<RealType>(exp(1.8)), // x
+ static_cast<RealType>(0.46017), // p
+ static_cast<RealType>(1-0.46017), // q
+ tolerance);
+ check_lognormal(
+ static_cast<RealType>(2), // location
+ static_cast<RealType>(2), // scale
+ static_cast<RealType>(exp(2.2)), // x
+ static_cast<RealType>(1-0.46017), // p
+ static_cast<RealType>(0.46017), // q
+ tolerance);
+ check_lognormal(
+ static_cast<RealType>(2), // location
+ static_cast<RealType>(2), // scale
+ static_cast<RealType>(exp(-1.4)), // x
+ static_cast<RealType>(0.04457), // p
+ static_cast<RealType>(1-0.04457), // q
+ tolerance);
+ check_lognormal(
+ static_cast<RealType>(2), // location
+ static_cast<RealType>(2), // scale
+ static_cast<RealType>(exp(5.4)), // x
+ static_cast<RealType>(1-0.04457), // p
+ static_cast<RealType>(0.04457), // q
+ tolerance);
+
+ check_lognormal(
+ static_cast<RealType>(-3), // location
+ static_cast<RealType>(5), // scale
+ static_cast<RealType>(exp(-5.0)), // x
+ static_cast<RealType>(0.34458), // p
+ static_cast<RealType>(1-0.34458), // q
+ tolerance);
+ check_lognormal(
+ static_cast<RealType>(-3), // location
+ static_cast<RealType>(5), // scale
+ static_cast<RealType>(exp(-1.0)), // x
+ static_cast<RealType>(1-0.34458), // p
+ static_cast<RealType>(0.34458), // q
+ tolerance);
+ check_lognormal(
+ static_cast<RealType>(-3), // location
+ static_cast<RealType>(5), // scale
+ static_cast<RealType>(exp(-9.0)), // x
+ static_cast<RealType>(0.11507), // p
+ static_cast<RealType>(1-0.11507), // q
+ tolerance);
+ check_lognormal(
+ static_cast<RealType>(-3), // location
+ static_cast<RealType>(5), // scale
+ static_cast<RealType>(exp(3.0)), // x
+ static_cast<RealType>(1-0.11507), // p
+ static_cast<RealType>(0.11507), // q
+ tolerance);
+
+ //
+ // Tests for PDF
+ //
+ tolerance = boost::math::tools::epsilon<RealType>() * 5 * 100; // 5 eps as a percentage
+ cout << "Tolerance for type " << typeid(RealType).name() << " is " << tolerance << " %" << endl;
+ BOOST_CHECK_CLOSE(
+ pdf(lognormal_distribution<RealType>(), static_cast<RealType>(1)),
+ static_cast<RealType>(0.3989422804014326779399460599343818684759L), // 1/sqrt(2*pi)
+ tolerance);
+ BOOST_CHECK_CLOSE(
+ pdf(lognormal_distribution<RealType>(3), exp(static_cast<RealType>(3))),
+ static_cast<RealType>(0.3989422804014326779399460599343818684759L) / exp(static_cast<RealType>(3)),
+ tolerance);
+ BOOST_CHECK_CLOSE(
+ pdf(lognormal_distribution<RealType>(3, 5), exp(static_cast<RealType>(3))),
+ static_cast<RealType>(0.3989422804014326779399460599343818684759L / (5 * exp(static_cast<RealType>(3)))),
+ tolerance);
+ //
+ // Spot checks for location = -5, scale = 6,
+ // use relation to normal to test:
+ //
+ for(RealType x = -15; x < 5; x += 0.125)
+ {
+ BOOST_CHECK_CLOSE(
+ pdf(lognormal_distribution<RealType>(-5, 6), exp(x)),
+ pdf(boost::math::normal_distribution<RealType>(-5, 6), x) / exp(x),
+ tolerance);
+ }
+
+ //
+ // These test values were obtained by punching numbers into
+ // a calculator, using the formulas at http://mathworld.wolfram.com/LogNormalDistribution.html
+ //
+ tolerance = (std::max)(
+ boost::math::tools::epsilon<RealType>(),
+ static_cast<RealType>(boost::math::tools::epsilon<double>())) * 5 * 100; // 5 eps as a percentage
+ cout << "Tolerance for type " << typeid(RealType).name() << " is " << tolerance << " %" << endl;
+ lognormal_distribution<RealType> dist(8, 3);
+ RealType x = static_cast<RealType>(0.125);
+
+ BOOST_MATH_STD_USING // ADL of std math lib names.
+
+ // mean:
+ BOOST_CHECK_CLOSE(
+ mean(dist)
+ , static_cast<RealType>(268337.28652087445695647967378715L), tolerance);
+ // variance:
+ BOOST_CHECK_CLOSE(
+ variance(dist)
+ , static_cast<RealType>(583389737628117.49553037857325892L), tolerance);
+ // std deviation:
+ BOOST_CHECK_CLOSE(
+ standard_deviation(dist)
+ , static_cast<RealType>(24153462.228594009489719473727471L), tolerance);
+ // hazard:
+ BOOST_CHECK_CLOSE(
+ hazard(dist, x)
+ , pdf(dist, x) / cdf(complement(dist, x)), tolerance);
+ // cumulative hazard:
+ BOOST_CHECK_CLOSE(
+ chf(dist, x)
+ , -log(cdf(complement(dist, x))), tolerance);
+ // coefficient_of_variation:
+ BOOST_CHECK_CLOSE(
+ coefficient_of_variation(dist)
+ , standard_deviation(dist) / mean(dist), tolerance);
+ // mode:
+ BOOST_CHECK_CLOSE(
+ mode(dist)
+ , static_cast<RealType>(0.36787944117144232159552377016146L), tolerance);
+
+ BOOST_CHECK_CLOSE(
+ median(dist)
+ , static_cast<RealType>(exp(dist.location())), tolerance);
+
+ BOOST_CHECK_CLOSE(
+ median(dist),
+ quantile(dist, static_cast<RealType>(0.5)), tolerance);
+
+ // skewness:
+ BOOST_CHECK_CLOSE(
+ skewness(dist)
+ , static_cast<RealType>(729551.38304660255658441529235697L), tolerance);
+ // kertosis:
+ BOOST_CHECK_CLOSE(
+ kurtosis(dist)
+ , static_cast<RealType>(4312295840576303.2363383232038251L), tolerance);
+ // kertosis excess:
+ BOOST_CHECK_CLOSE(
+ kurtosis_excess(dist)
+ , static_cast<RealType>(4312295840576300.2363383232038251L), tolerance);
+
+ BOOST_CHECK_CLOSE(
+ range(dist).first
+ , static_cast<RealType>(0), tolerance);
+
+ //
+ // Special cases:
+ //
+ BOOST_CHECK(pdf(dist, 0) == 0);
+ BOOST_CHECK(cdf(dist, 0) == 0);
+ BOOST_CHECK(cdf(complement(dist, 0)) == 1);
+ BOOST_CHECK(quantile(dist, 0) == 0);
+ BOOST_CHECK(quantile(complement(dist, 1)) == 0);
+
+ //
+ // Error checks:
+ //
+ BOOST_MATH_CHECK_THROW(lognormal_distribution<RealType>(0, 0), std::domain_error);
+ BOOST_MATH_CHECK_THROW(lognormal_distribution<RealType>(2, -1), std::domain_error);
+ BOOST_MATH_CHECK_THROW(pdf(dist, -1), std::domain_error);
+ BOOST_MATH_CHECK_THROW(cdf(dist, -1), std::domain_error);
+ BOOST_MATH_CHECK_THROW(cdf(complement(dist, -1)), std::domain_error);
+ BOOST_MATH_CHECK_THROW(quantile(dist, 1), std::overflow_error);
+ BOOST_MATH_CHECK_THROW(quantile(complement(dist, 0)), std::overflow_error);
+ check_out_of_range<lognormal_distribution<RealType> >(1, 2);
+
+} // template <class RealType>void test_spots(RealType)
+
+BOOST_AUTO_TEST_CASE( test_main )
+{
+
+ // Check that can generate lognormal distribution using the two convenience methods:
+ boost::math::lognormal myf1(1., 2); // Using typedef
+ lognormal_distribution<> myf2(1., 2); // Using default RealType double.
+
+ // Test range and support using double only,
+ // because it supports numeric_limits max for a pseudo-infinity.
+ BOOST_CHECK_EQUAL(range(myf2).first, 0); // range 0 to +infinity
+ BOOST_CHECK_EQUAL(range(myf2).second, (std::numeric_limits<double>::max)());
+ BOOST_CHECK_EQUAL(support(myf2).first, 0); // support 0 to + infinity.
+ BOOST_CHECK_EQUAL(support(myf2).second, (std::numeric_limits<double>::max)());
+
+ // Basic sanity-check spot values.
+ // (Parameter value, arbitrarily zero, only communicates the floating point type).
+ test_spots(0.0F); // Test float. OK at decdigits = 0 tolerance = 0.0001 %
+ test_spots(0.0); // Test double. OK at decdigits 7, tolerance = 1e07 %
+#ifndef BOOST_MATH_NO_LONG_DOUBLE_MATH_FUNCTIONS
+ test_spots(0.0L); // Test long double.
+#if !BOOST_WORKAROUND(__BORLANDC__, BOOST_TESTED_AT(0x0582))
+ test_spots(boost::math::concepts::real_concept(0.)); // Test real concept.
+#endif
+#else
+ std::cout << "<note>The long double tests have been disabled on this platform "
+ "either because the long double overloads of the usual math functions are "
+ "not available at all, or because they are too inaccurate for these tests "
+ "to pass.</note>" << std::endl;
+#endif
+
+
+} // BOOST_AUTO_TEST_CASE( test_main )
+
+/*
+Running 1 test case...
+Tolerance for type float is 0.5 %
+Tolerance for type float is 5.96046e-005 %
+Tolerance for type float is 5.96046e-005 %
+Tolerance for type double is 0.5 %
+Tolerance for type double is 1.11022e-013 %
+Tolerance for type double is 1.11022e-013 %
+Tolerance for type long double is 0.5 %
+Tolerance for type long double is 1.11022e-013 %
+Tolerance for type long double is 1.11022e-013 %
+Tolerance for type class boost::math::concepts::real_concept is 0.5 %
+Tolerance for type class boost::math::concepts::real_concept is 1.11022e-013 %
+Tolerance for type class boost::math::concepts::real_concept is 1.11022e-013 %
+*** No errors detected
+*/
+
+