1 files changed, 131 insertions, 0 deletions
diff --git a/src/boost/libs/accumulators/test/pot_quantile.cpp b/src/boost/libs/accumulators/test/pot_quantile.cpp
new file mode 100644
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+++ b/src/boost/libs/accumulators/test/pot_quantile.cpp
@@ -0,0 +1,131 @@
+//  (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;
+}
+