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Diffstat (limited to 'src/boost/libs/math/test/test_inverse_gaussian.cpp')
| -rw-r--r-- | src/boost/libs/math/test/test_inverse_gaussian.cpp | 355 |
1 files changed, 355 insertions, 0 deletions
diff --git a/src/boost/libs/math/test/test_inverse_gaussian.cpp b/src/boost/libs/math/test/test_inverse_gaussian.cpp new file mode 100644 index 00000000..2bb53031 --- /dev/null +++ b/src/boost/libs/math/test/test_inverse_gaussian.cpp @@ -0,0 +1,355 @@ +// Copyright Paul A. Bristow 2010. +// Copyright John Maddock 2010. + +// 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) + +#ifdef _MSC_VER +# pragma warning (disable : 4224) // nonstandard extension used : formal parameter 'type' was previously defined as a type +// in Boost.test and lexical_cast +# pragma warning (disable : 4310) // cast truncates constant value +# pragma warning (disable : 4512) // assignment operator could not be generated + +#endif + +//#include <pch.hpp> // include directory libs/math/src/tr1/ is needed. + +#include <boost/math/tools/test.hpp> +#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/inverse_gaussian.hpp> +using boost::math::inverse_gaussian_distribution; +using boost::math::inverse_gaussian; + +#include <boost/math/tools/test.hpp> +#include "test_out_of_range.hpp" + +#include <iostream> +#include <iomanip> +using std::cout; +using std::endl; +using std::setprecision; +#include <limits> +using std::numeric_limits; + +template <class RealType> +void check_inverse_gaussian(RealType mean, RealType scale, RealType x, RealType p, RealType q, RealType tol) +{ + using boost::math::inverse_gaussian_distribution; + + BOOST_CHECK_CLOSE_FRACTION( + ::boost::math::cdf( // Check cdf + inverse_gaussian_distribution<RealType>(mean, scale), // distribution. + x), // random variable. + p, // probability. + tol); // tolerance. + BOOST_CHECK_CLOSE_FRACTION( + ::boost::math::cdf( // Check cdf complement + complement( + inverse_gaussian_distribution<RealType>(mean, scale), // distribution. + x)), // random variable. + q, // probability complement. + tol); // %tolerance. + BOOST_CHECK_CLOSE_FRACTION( + ::boost::math::quantile( // Check quantile + inverse_gaussian_distribution<RealType>(mean, scale), // distribution. + p), // probability. + x, // random variable. + tol); // tolerance. + BOOST_CHECK_CLOSE_FRACTION( + ::boost::math::quantile( // Check quantile complement + complement( + inverse_gaussian_distribution<RealType>(mean, scale), // distribution. + q)), // probability complement. + x, // random variable. + tol); // tolerance. + + inverse_gaussian_distribution<RealType> dist (mean, scale); + + if((p < 0.999) && (q < 0.999)) + { // We can only check this if P is not too close to 1, + // so that we can guarantee Q is accurate: + BOOST_CHECK_CLOSE_FRACTION( + cdf(complement(dist, x)), q, tol); // 1 - cdf + BOOST_CHECK_CLOSE_FRACTION( + quantile(dist, p), x, tol); // quantile(cdf) = x + BOOST_CHECK_CLOSE_FRACTION( + quantile(complement(dist, q)), x, tol); // quantile(complement(1 - cdf)) = x + } +} + +template <class RealType> +void test_spots(RealType) +{ + // Basic sanity checks + RealType tolerance = static_cast<RealType>(1e-4L); // + cout << "Tolerance for type " << typeid(RealType).name() << " is " << tolerance << endl; + + // Check some bad parameters to the distribution, +#ifndef BOOST_NO_EXCEPTIONS + BOOST_MATH_CHECK_THROW(boost::math::inverse_gaussian_distribution<RealType> nbad1(0, 0), std::domain_error); // zero scale + BOOST_MATH_CHECK_THROW(boost::math::inverse_gaussian_distribution<RealType> nbad1(0, -1), std::domain_error); // negative scale +#else + BOOST_MATH_CHECK_THROW(boost::math::inverse_gaussian_distribution<RealType>(0, 0), std::domain_error); // zero scale + BOOST_MATH_CHECK_THROW(boost::math::inverse_gaussian_distribution<RealType>(0, -1), std::domain_error); // negative scale +#endif + + inverse_gaussian_distribution<RealType> w11; + + // Error tests: + check_out_of_range<inverse_gaussian_distribution<RealType> >(0.25, 1); + + // Check complements. + + BOOST_CHECK_CLOSE_FRACTION( + cdf(complement(w11, 1.)), static_cast<RealType>(1) - cdf(w11, 1.), tolerance); // cdf complement + // cdf(complement = 1 - cdf - but if cdf near unity, then loss of accuracy in cdf, + // but cdf complement is near zero but more accurate. + + BOOST_CHECK_CLOSE_FRACTION( // quantile(complement p) == quantile(1 - p) + quantile(complement(w11, static_cast<RealType>(0.5))), + quantile(w11, 1 - static_cast<RealType>(0.5)), + tolerance); // cdf complement + + check_inverse_gaussian( + static_cast<RealType>(2), + static_cast<RealType>(3), + static_cast<RealType>(1), + static_cast<RealType>(0.28738674440477374), + static_cast<RealType>(1 - 0.28738674440477374), + tolerance); + + RealType tolfeweps = boost::math::tools::epsilon<RealType>() * 5; + + inverse_gaussian_distribution<RealType> dist(2, 3); + + using namespace std; // ADL of std names. + // mean: + BOOST_CHECK_CLOSE_FRACTION(mean(dist), + static_cast<RealType>(2), tolfeweps); + BOOST_CHECK_CLOSE_FRACTION(scale(dist), + static_cast<RealType>(3), tolfeweps); + + // variance: + BOOST_CHECK_CLOSE_FRACTION(variance(dist), + static_cast<RealType>(2.6666666666666666666666666666666666666666666666666666666667L), 1000*tolfeweps); + // std deviation: + BOOST_CHECK_CLOSE_FRACTION(standard_deviation(dist), + static_cast<RealType>(1.632993L), 1000 * tolerance); + //// hazard: + //BOOST_CHECK_CLOSE_FRACTION(hazard(dist, x), + // pdf(dist, x) / cdf(complement(dist, x)), tolerance); + //// cumulative hazard: + //BOOST_CHECK_CLOSE_FRACTION(chf(dist, x), + // -log(cdf(complement(dist, x))), tolerance); + // coefficient_of_variation: + BOOST_CHECK_CLOSE_FRACTION(coefficient_of_variation(dist), + standard_deviation(dist) / mean(dist), tolerance); + // mode: + BOOST_CHECK_CLOSE_FRACTION(mode(dist), + static_cast<RealType>(0.8284271L), tolerance); + + // median + BOOST_CHECK_CLOSE_FRACTION(median(dist), + static_cast<RealType>(1.5122506636053668L), tolerance); + // Fails for real_concept - because std::numeric_limits<RealType>::digits = 0 + + // skewness: + BOOST_CHECK_CLOSE_FRACTION(skewness(dist), + static_cast<RealType>(2.449490L), tolerance); + // kurtosis: + BOOST_CHECK_CLOSE_FRACTION(kurtosis(dist), + static_cast<RealType>(10-3), tolerance); + BOOST_CHECK_CLOSE_FRACTION(kurtosis_excess(dist), + static_cast<RealType>(10), tolerance); +} // template <class RealType>void test_spots(RealType) + +BOOST_AUTO_TEST_CASE( test_main ) +{ + using boost::math::inverse_gaussian; + using boost::math::inverse_gaussian_distribution; + + //int precision = 17; // std::numeric_limits<double::max_digits10; + double tolfeweps = numeric_limits<double>::epsilon() * 5; + //double tol6decdigits = numeric_limits<float>::epsilon() * 2; + // Check that can generate inverse_gaussian distribution using the two convenience methods: + boost::math::inverse_gaussian w12(1., 2); // Using typedef + inverse_gaussian_distribution<> w23(2., 3); // Using default RealType double. + boost::math::inverse_gaussian w11; // Use default unity values for mean and scale. + // Note NOT myn01() as the compiler will interpret as a function! + BOOST_CHECK_EQUAL(w11.mean(), 1); + BOOST_CHECK_EQUAL(w11.scale(), 1); + BOOST_CHECK_EQUAL(w23.mean(), 2); + BOOST_CHECK_EQUAL(w23.scale(), 3); + BOOST_CHECK_EQUAL(w23.shape(), 1.5L); + + // Check the synonyms, provided to allow generic use of find_location and find_scale. + BOOST_CHECK_EQUAL(w11.mean(), w11.location()); + BOOST_CHECK_EQUAL(w11.scale(), w11.scale()); + + BOOST_CHECK_CLOSE_FRACTION(mean(w11), static_cast<double>(1), tolfeweps); // Default mean == unity + BOOST_CHECK_CLOSE_FRACTION(scale(w11), static_cast<double>(1), tolfeweps); // Default mean == unity + + // median + // (test double because fails for real_concept because numeric_limits<real_concept>::digits = 0) + BOOST_CHECK_CLOSE_FRACTION(median(w11), + static_cast<double>(0.67584130569523893), tolfeweps); + BOOST_CHECK_CLOSE_FRACTION(median(w23), + static_cast<double>(1.5122506636053668), tolfeweps); + + // Initial spot tests using double values from R. + // library(SuppDists) + // formatC(SuppDists::dinverse_gaussian(1, 1, 1), digits=17) ... + BOOST_CHECK_CLOSE_FRACTION( // x = 1 + pdf(w11, 1.), static_cast<double>(0.3989422804014327), tolfeweps); // pdf + BOOST_CHECK_CLOSE_FRACTION( + cdf(w11, 1.), static_cast<double>(0.66810200122317065), 10 * tolfeweps); // cdf + + BOOST_CHECK_CLOSE_FRACTION( + pdf(w11, 0.1), static_cast<double>(0.21979480031862672), tolfeweps); // pdf + BOOST_CHECK_CLOSE_FRACTION( + cdf(w11, 0.1), static_cast<double>(0.0040761113207110162), 10 * tolfeweps); // cdf + + BOOST_CHECK_CLOSE_FRACTION( // small x + pdf(w11, 0.01), static_cast<double>(2.0811768202028392e-19), tolfeweps); // pdf + BOOST_CHECK_CLOSE_FRACTION( + cdf(w11, 0.01), static_cast<double>(4.122313403318778e-23), 10 * tolfeweps); // cdf + + BOOST_CHECK_CLOSE_FRACTION( // smaller x + pdf(w11, 0.001), static_cast<double>(2.4420044378793562e-213), tolfeweps); // pdf + BOOST_CHECK_CLOSE_FRACTION( + cdf(w11, 0.001), static_cast<double>(4.8791443010851493e-219), 1000 * tolfeweps); // cdf + // 4.8791443010859224e-219 versus 4.8791443010851493e-219 so still 14 decimal digits. + + BOOST_CHECK_CLOSE_FRACTION( + quantile(w11, 0.66810200122317065), static_cast<double>(1.), 1 * tolfeweps); // cdf + BOOST_CHECK_CLOSE_FRACTION( + quantile(w11, 0.0040761113207110162), static_cast<double>(0.1), 1 * tolfeweps); // cdf + BOOST_CHECK_CLOSE_FRACTION( + quantile(w11, 4.122313403318778e-23), 0.01, 1 * tolfeweps); // quantile + BOOST_CHECK_CLOSE_FRACTION( + quantile(w11, 2.4420044378793562e-213), 0.001, 0.03); // quantile + // quantile 0.001026926242348481 compared to expected 0.001, so much less accurate, + // but better than R that gives up completely! + // R Error in SuppDists::qinverse_gaussian(4.87914430108515e-219, 1, 1) : Infinite value in NewtonRoot() + + BOOST_CHECK_CLOSE_FRACTION( + pdf(w11, 0.5), static_cast<double>(0.87878257893544476), tolfeweps); // pdf + BOOST_CHECK_CLOSE_FRACTION( + cdf(w11, 0.5), static_cast<double>(0.3649755481729598), tolfeweps); // cdf + + BOOST_CHECK_CLOSE_FRACTION( + pdf(w11, 2), static_cast<double>(0.10984782236693059), tolfeweps); // pdf + BOOST_CHECK_CLOSE_FRACTION( + cdf(w11, 2), static_cast<double>(.88547542598600637), tolfeweps); // cdf + + BOOST_CHECK_CLOSE_FRACTION( + pdf(w11, 10), static_cast<double>(0.00021979480031862676), tolfeweps); // pdf + BOOST_CHECK_CLOSE_FRACTION( + cdf(w11, 10), static_cast<double>(0.99964958546279115), tolfeweps); // cdf + + BOOST_CHECK_CLOSE_FRACTION( + pdf(w11, 100), static_cast<double>(2.0811768202028246e-25), tolfeweps); // pdf + BOOST_CHECK_CLOSE_FRACTION( + cdf(w11, 100), static_cast<double>(1), tolfeweps); // cdf + BOOST_CHECK_CLOSE_FRACTION( + pdf(w11, 1000), static_cast<double>(2.4420044378793564e-222), 10 * tolfeweps); // pdf + BOOST_CHECK_CLOSE_FRACTION( + cdf(w11, 1000), static_cast<double>(1.), tolfeweps); // cdf + + // A few more misc tests, probably not very useful. + BOOST_CHECK_CLOSE_FRACTION( + cdf(w11, 1.), static_cast<double>(0.66810200122317065), tolfeweps); // cdf + BOOST_CHECK_CLOSE_FRACTION( + cdf(w11, 0.1), static_cast<double>(0.0040761113207110162), tolfeweps * 5); // cdf + // 0.0040761113207110162 0.0040761113207110362 + BOOST_CHECK_CLOSE_FRACTION( + cdf(w11, 0.2), static_cast<double>(0.063753567519976254), tolfeweps * 5); // cdf + BOOST_CHECK_CLOSE_FRACTION( + cdf(w11, 0.5), static_cast<double>(0.3649755481729598), tolfeweps); // cdf + + BOOST_CHECK_CLOSE_FRACTION( + cdf(w11, 0.9), static_cast<double>(0.62502320258649202), tolfeweps); // cdf + BOOST_CHECK_CLOSE_FRACTION( + cdf(w11, 0.99), static_cast<double>(0.66408247396139031), tolfeweps); // cdf + BOOST_CHECK_CLOSE_FRACTION( + cdf(w11, 0.999), static_cast<double>(0.66770275955311675), tolfeweps); // cdf + BOOST_CHECK_CLOSE_FRACTION( + cdf(w11, 10.), static_cast<double>(0.99964958546279115), tolfeweps); // cdf + BOOST_CHECK_CLOSE_FRACTION( + cdf(w11, 50.), static_cast<double>(0.99999999999992029), tolfeweps); // cdf + + BOOST_CHECK_CLOSE_FRACTION( + quantile(w11, 0.3649755481729598), static_cast<double>(0.5), tolfeweps); // quantile + BOOST_CHECK_CLOSE_FRACTION( + quantile(w11, 0.62502320258649202), static_cast<double>(0.9), tolfeweps); // quantile + BOOST_CHECK_CLOSE_FRACTION( + quantile(w11, 0.0040761113207110162), static_cast<double>(0.1), tolfeweps); // quantile + + // Wald(2,3) tests + // =================== + BOOST_CHECK_CLOSE_FRACTION( // formatC(SuppDists::dinvGauss(1, 2, 3), digits=17) "0.47490884963330904" + pdf(w23, 1.), static_cast<double>(0.47490884963330904), tolfeweps ); // pdf + + BOOST_CHECK_CLOSE_FRACTION( + pdf(w23, 0.1), static_cast<double>(2.8854207087665401e-05), tolfeweps * 2); // pdf + //2.8854207087665452e-005 2.8854207087665401e-005 + BOOST_CHECK_CLOSE_FRACTION( + pdf(w23, 10.), static_cast<double>(0.0019822751498574636), tolfeweps); // pdf + BOOST_CHECK_CLOSE_FRACTION( + pdf(w23, 10.), static_cast<double>(0.0019822751498574636), tolfeweps); // pdf + + // Bigger changes in mean and scale. + + inverse_gaussian w012(0.1, 2); + BOOST_CHECK_CLOSE_FRACTION( + pdf(w012, 1.), static_cast<double>(3.7460367141230404e-36), tolfeweps ); // pdf + BOOST_CHECK_CLOSE_FRACTION( + cdf(w012, 1.), static_cast<double>(1), tolfeweps ); // pdf + + inverse_gaussian w0110(0.1, 10); + BOOST_CHECK_CLOSE_FRACTION( + pdf(w0110, 1.), static_cast<double>(1.6279643678071011e-176), 100 * tolfeweps ); // pdf + BOOST_CHECK_CLOSE_FRACTION( + cdf(w0110, 1.), static_cast<double>(1), tolfeweps ); // cdf + BOOST_CHECK_CLOSE_FRACTION( + cdf(complement(w0110, 1.)), static_cast<double>(3.2787685715328683e-179), 1e6 * tolfeweps ); // cdf complement + // Differs because of loss of accuracy. + + BOOST_CHECK_CLOSE_FRACTION( + pdf(w0110, 0.1), static_cast<double>(39.894228040143268), tolfeweps ); // pdf + BOOST_CHECK_CLOSE_FRACTION( + cdf(w0110, 0.1), static_cast<double>(0.51989761564832704), 10 * tolfeweps ); // cdf + + // Basic sanity-check spot values for all floating-point types.. + // (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. +#ifndef BOOST_MATH_NO_REAL_CONCEPT_TESTS + 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 ) + +/* + +Output: + + +*/ + + |