1 files changed, 69 insertions, 0 deletions
diff --git a/src/boost/libs/accumulators/test/weighted_median.cpp b/src/boost/libs/accumulators/test/weighted_median.cpp
new file mode 100644
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+++ b/src/boost/libs/accumulators/test/weighted_median.cpp
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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/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;
+}