Subject: [Boost-commit] svn:boost r49987 - sandbox/math_toolkit/libs/math/test
From: thijs_at_[hidden]
Date: 2008-11-28 08:43:19
Author: thijs
Date: 2008-11-28 08:43:18 EST (Fri, 28 Nov 2008)
New Revision: 49987
URL: http://svn.boost.org/trac/boost/changeset/49987
Log:
First version of the Laplace distribution unit test
Added:
sandbox/math_toolkit/libs/math/test/test_laplace.cpp (contents, props changed)
Added: sandbox/math_toolkit/libs/math/test/test_laplace.cpp
==============================================================================
--- (empty file)
+++ sandbox/math_toolkit/libs/math/test/test_laplace.cpp 2008-11-28 08:43:18 EST (Fri, 28 Nov 2008)
@@ -0,0 +1,418 @@
+// Copyright Thijs van den Berg 2007.
+/*
+
+This module tests the Laplace distribution.
+
+Test 1: test_pdf_cdf_ocatave()
+ Compare pdf, cdf agains results obtained from GNU Octave.
+
+Test 2: test_cdf_quantile_symmetry()
+ Checks if quantile is the inverse of cdf by testing
+ quantile(cdf(x)) == x
+
+Test 3: test_hazard_pdf_cdf_symmetry()
+ Checks the relation between hazard, pdf and cdf.
+ hazard = pdf/(1-cdf)
+
+
+Test 4: test_location_scale_symmetry()
+ Checks the pdf, cdf invariant for translation and scaling invariant
+ cdf(x,location,scale) = cdf( (x-location)/scale, 0, 1)
+ scale * pdf(x,location,scale) = pdf( (x-location)/scale, 0, 1)
+
+Test 5: test_mmm_moments()
+ Tests...
+ mean == location
+ mode == location
+ median == location
+
+ standard_deviation = sqrt(2)*scale
+ skewness == 0
+ kurtoris == 6
+ excess kurtoris == 3
+
+Test 6: test_complemented()
+ Test the cdf an quantile complemented function
+ cdf(L,x) == cdf(complement(l,-x))
+ quantile(L,p) == quantile(complement(l,1-p))
+
+Test 7: test_bad_dist_parameters()
+ Test invalid dustribution construction.
+
+Test 8: test_extreme_function_arguments()
+ Test x = +/- inf. for cdf(), pdf()
+ Test p ={0,1} for quantile()
+*/
+
+
+#define BOOST_TEST_MAIN
+#include <boost/test/unit_test.hpp>
+#include <boost/math/constants/constants.hpp>
+#include <boost/math/distributions/laplace.hpp>
+using boost::math::laplace_distribution;
+
+
+/*
+#include <iostream>
+ using std::cout;
+ using std::endl;
+ using std::setprecision;
+
+#include <limits>
+ using std::numeric_limits;
+*/
+
+/*
+ This function test various values of the standard Laplace distribution pdf,cdf
+ against values generated by GNU Octave
+ The test code is generated woth the following Octave script:
+
+f = fopen('octave_boost_laplace.cpp', 'w');
+
+for x = [real(-2.0), real(-1.0), real(-0.5), real(0.0), real(0.5), real(1.0), real(2.0)]
+
+ # pdf tests
+ # -----------------------
+ fdisp(f, " BOOST_CHECK_CLOSE(" ),;
+ fdisp(f, (sprintf (" pdf(laplace_distribution<RealType>(), static_cast<RealType>(%16.14fL)),", x)));
+ fdisp(f, (sprintf (" static_cast<RealType>(%16.14fL),", laplace_pdf(x) )) );
+ fdisp(f, " tolerance);" );
+ fdisp(f, "" );
+
+ # cdf tests
+ # -----------------------
+ fdisp(f, " BOOST_CHECK_CLOSE(" );
+ fdisp(f, (sprintf (" cdf(laplace_distribution<RealType>(), static_cast<RealType>(%16.14fL)),", x)));
+ fdisp(f, (sprintf (" static_cast<RealType>(%16.14fL),", laplace_cdf(x) )) );
+ fdisp(f, " tolerance);" );
+ fdisp(f, "" );
+
+endfor
+
+fclose(f);
+*/
+template <class RealType>
+void test_pdf_cdf_ocatave()
+{
+ RealType tolerance(1e-10f);
+
+ BOOST_CHECK_CLOSE(
+ pdf(laplace_distribution<RealType>(), static_cast<RealType>(-2.00000000000000L)),
+ static_cast<RealType>(0.06766764161831L),
+ tolerance);
+
+ BOOST_CHECK_CLOSE(
+ cdf(laplace_distribution<RealType>(), static_cast<RealType>(-2.00000000000000L)),
+ static_cast<RealType>(0.06766764161831L),
+ tolerance);
+
+ BOOST_CHECK_CLOSE(
+ pdf(laplace_distribution<RealType>(), static_cast<RealType>(-1.00000000000000L)),
+ static_cast<RealType>(0.18393972058572L),
+ tolerance);
+
+ BOOST_CHECK_CLOSE(
+ cdf(laplace_distribution<RealType>(), static_cast<RealType>(-1.00000000000000L)),
+ static_cast<RealType>(0.18393972058572L),
+ tolerance);
+
+ BOOST_CHECK_CLOSE(
+ pdf(laplace_distribution<RealType>(), static_cast<RealType>(-0.50000000000000L)),
+ static_cast<RealType>(0.30326532985632L),
+ tolerance);
+
+ BOOST_CHECK_CLOSE(
+ cdf(laplace_distribution<RealType>(), static_cast<RealType>(-0.50000000000000L)),
+ static_cast<RealType>(0.30326532985632L),
+ tolerance);
+
+ BOOST_CHECK_CLOSE(
+ pdf(laplace_distribution<RealType>(), static_cast<RealType>(0.00000000000000L)),
+ static_cast<RealType>(0.50000000000000L),
+ tolerance);
+
+ BOOST_CHECK_CLOSE(
+ cdf(laplace_distribution<RealType>(), static_cast<RealType>(0.00000000000000L)),
+ static_cast<RealType>(0.50000000000000L),
+ tolerance);
+
+ BOOST_CHECK_CLOSE(
+ pdf(laplace_distribution<RealType>(), static_cast<RealType>(0.50000000000000L)),
+ static_cast<RealType>(0.30326532985632L),
+ tolerance);
+
+ BOOST_CHECK_CLOSE(
+ cdf(laplace_distribution<RealType>(), static_cast<RealType>(0.50000000000000L)),
+ static_cast<RealType>(0.69673467014368L),
+ tolerance);
+
+ BOOST_CHECK_CLOSE(
+ pdf(laplace_distribution<RealType>(), static_cast<RealType>(1.00000000000000L)),
+ static_cast<RealType>(0.18393972058572L),
+ tolerance);
+
+ BOOST_CHECK_CLOSE(
+ cdf(laplace_distribution<RealType>(), static_cast<RealType>(1.00000000000000L)),
+ static_cast<RealType>(0.81606027941428L),
+ tolerance);
+
+ BOOST_CHECK_CLOSE(
+ pdf(laplace_distribution<RealType>(), static_cast<RealType>(2.00000000000000L)),
+ static_cast<RealType>(0.06766764161831L),
+ tolerance);
+
+ BOOST_CHECK_CLOSE(
+ cdf(laplace_distribution<RealType>(), static_cast<RealType>(2.00000000000000L)),
+ static_cast<RealType>(0.93233235838169L),
+ tolerance);
+}
+
+template <class RealType>
+void test_cdf_quantile_symmetry()
+{
+ RealType tolerance(boost::math::tools::epsilon<RealType>() * 500); // 5 eps as a percentage
+
+ const float xtest[7] = { -2.0, -1.0, -0.5, 0.0, 0.5, 1.0, 2.0 };
+
+ for (int i=0; i<7; ++i)
+ {
+ RealType x( static_cast<RealType>(xtest[i]) );
+ RealType x2( quantile(laplace_distribution<RealType>(), cdf(laplace_distribution<RealType>(), x)) );
+ BOOST_CHECK_CLOSE( x, x2, tolerance);
+ }
+}
+
+
+template <class RealType>
+void test_hazard_pdf_cdf_symmetry()
+{
+ RealType tolerance(boost::math::tools::epsilon<RealType>() * 500); // 5 eps as a percentage
+
+ const float xtest[7] = { -2.0, -1.0, -0.5, 0.0, 0.5, 1.0, 2.0 };
+
+ for (int xi=0; xi<7; ++xi)
+ {
+ RealType x( static_cast<RealType>(xtest[xi]) );
+ RealType p( pdf(laplace_distribution<RealType>(), x) );
+ RealType c( cdf(laplace_distribution<RealType>(), x) );
+ RealType h1( p/(static_cast<RealType>(1.0) - c) );
+ RealType h2( hazard(laplace_distribution<RealType>(), x) );
+ BOOST_CHECK_CLOSE( h1, h2, tolerance);
+ }
+}
+
+template <class RealType>
+void test_location_scale_symmetry()
+{
+ RealType tolerance(boost::math::tools::epsilon<RealType>() * 500); // 5 eps as a percentage
+
+ const float xtest[7] = { -2.0, -1.0, -0.5, 0.0, 0.5, 1.0, 2.0 };
+ const float ltest[7] = { -2.0, -1.0, -0.5, 0.0, 0.5, 1.0, 2.0 };
+ const float stest[3] = { 0.5, 1.0, 2.0 };
+
+ for (int xi=0; xi<7; ++xi)
+ for (int li=0; li<7; ++li)
+ for (int si=0; si<3; ++si)
+ {
+ RealType x( static_cast<RealType>(xtest[xi]) );
+ RealType l( static_cast<RealType>(ltest[li]) );
+ RealType s( static_cast<RealType>(stest[si]) );
+ RealType x0( (x-l)/s );
+
+ BOOST_CHECK_CLOSE(
+ pdf(laplace_distribution<RealType>(l,s), x) * s,
+ pdf(laplace_distribution<RealType>(), x0),
+ tolerance);
+
+ BOOST_CHECK_CLOSE(
+ cdf(laplace_distribution<RealType>(l,s), x),
+ cdf(laplace_distribution<RealType>(), x0),
+ tolerance);
+
+ }
+}
+
+template <class RealType>
+void test_mmm_moments()
+{
+ RealType tolerance(boost::math::tools::epsilon<RealType>() * 500); // 5 eps as a percentage
+
+ const float xtest[7] = { -2.0, -1.0, -0.5, 0.0, 0.5, 1.0, 2.0 };
+ const float ltest[7] = { -2.0, -1.0, -0.5, 0.0, 0.5, 1.0, 2.0 };
+ const float stest[3] = { 0.5, 1.0, 2.0 };
+
+ for (int xi=0; xi<7; ++xi)
+ for (int li=0; li<7; ++li)
+ for (int si=0; si<3; ++si)
+ {
+ RealType x( static_cast<RealType>(xtest[xi]) );
+ RealType l( static_cast<RealType>(ltest[li]) );
+ RealType s( static_cast<RealType>(stest[si]) );
+
+ BOOST_CHECK_CLOSE(
+ mean( laplace_distribution<RealType>(l,s) ),
+ l,
+ tolerance);
+
+ BOOST_CHECK_CLOSE(
+ median( laplace_distribution<RealType>(l,s) ),
+ l,
+ tolerance);
+
+ BOOST_CHECK_CLOSE(
+ mode( laplace_distribution<RealType>(l,s) ),
+ l,
+ tolerance);
+
+
+ BOOST_CHECK_CLOSE(
+ standard_deviation( laplace_distribution<RealType>(l,s) ),
+ static_cast<RealType>( s * boost::math::constants::root_two<RealType>() ),
+ tolerance);
+
+ BOOST_CHECK_CLOSE(
+ skewness( laplace_distribution<RealType>(l,s) ),
+ static_cast<RealType>(0),
+ tolerance);
+
+ BOOST_CHECK_CLOSE(
+ kurtosis( laplace_distribution<RealType>(l,s) ),
+ static_cast<RealType>(6),
+ tolerance);
+
+ BOOST_CHECK_CLOSE(
+ kurtosis_excess( laplace_distribution<RealType>(l,s) ),
+ static_cast<RealType>(3),
+ tolerance);
+ }
+}
+
+
+template <class RealType>
+void test_complemented()
+{
+ RealType tolerance(boost::math::tools::epsilon<RealType>() * 500); // 5 eps as a percentage
+
+ const float xtest[7] = { -2.0, -1.0, -0.5, 0.0, 0.5, 1.0, 2.0 };
+ const float ptest[7] = { 0.125, 0.25, 0.5, 0.75, 0.875 };
+ const float ltest[7] = { -2.0, -1.0, -0.5, 0.0, 0.5, 1.0, 2.0 };
+ const float stest[3] = { 0.5, 1.0, 2.0 };
+
+ for (int li=0; li<7; ++li)
+ for (int si=0; si<3; ++si)
+ {
+ RealType l( static_cast<RealType>(ltest[li]) );
+ RealType s( static_cast<RealType>(stest[si]) );
+
+ for (int xi=0; xi<7; ++xi)
+ {
+ RealType x( static_cast<RealType>(xtest[xi]) );
+
+ BOOST_CHECK_CLOSE(
+ cdf(complement(laplace_distribution<RealType>(l,s), -x)),
+ cdf(laplace_distribution<RealType>(l,s), x),
+ tolerance);
+ }
+
+ for (int pi=0; pi<5; ++pi)
+ {
+ RealType p( static_cast<RealType>(ptest[pi]) );
+
+ BOOST_CHECK_CLOSE(
+ quantile(complement(laplace_distribution<RealType>(l,s), 1-p )),
+ quantile(laplace_distribution<RealType>(l,s), p),
+ tolerance);
+ }
+ }
+}
+
+
+template <class RealType>
+void test_bad_dist_parameters()
+{
+ BOOST_CHECK_THROW(boost::math::laplace_distribution<RealType> lbad1(0, 0), std::domain_error);
+ BOOST_CHECK_THROW(boost::math::laplace_distribution<RealType> lbad2(0, -1), std::domain_error);
+}
+
+
+
+template <class RealType>
+void test_extreme_function_arguments()
+{
+ boost::math::laplace_distribution<RealType> L1(0, 1);
+ boost::math::laplace_distribution<RealType> L2(1, 2);
+
+ // check pdf at x = +/- infinity
+ BOOST_CHECK_THROW(pdf(L1, +std::numeric_limits<RealType>::infinity()), std::domain_error);
+ BOOST_CHECK_THROW(pdf(L1, -std::numeric_limits<RealType>::infinity()), std::domain_error);
+ BOOST_CHECK_THROW(pdf(L2, +std::numeric_limits<RealType>::infinity()), std::domain_error);
+ BOOST_CHECK_THROW(pdf(L2, -std::numeric_limits<RealType>::infinity()), std::domain_error);
+
+ // check cdf at x = +/- infinity
+ BOOST_CHECK_THROW(cdf(L1, +std::numeric_limits<RealType>::infinity()), std::domain_error);
+ BOOST_CHECK_THROW(cdf(L1, -std::numeric_limits<RealType>::infinity()), std::domain_error);
+ BOOST_CHECK_THROW(cdf(L2, +std::numeric_limits<RealType>::infinity()), std::domain_error);
+ BOOST_CHECK_THROW(cdf(L2, -std::numeric_limits<RealType>::infinity()), std::domain_error);
+
+ // check quantile at p = 0,1
+ BOOST_CHECK_EQUAL( quantile(L1, 0), -std::numeric_limits<RealType>::infinity() );
+ BOOST_CHECK_EQUAL( quantile(L1, 1), +std::numeric_limits<RealType>::infinity() );
+ BOOST_CHECK_EQUAL( quantile(L2, 0), -std::numeric_limits<RealType>::infinity() );
+ BOOST_CHECK_EQUAL( quantile(L2, 1), +std::numeric_limits<RealType>::infinity() );
+}
+
+
+
+
+
+BOOST_AUTO_TEST_CASE( vs_GNU_Octave )
+{
+ test_pdf_cdf_ocatave<float>();
+ test_pdf_cdf_ocatave<double>();
+}
+
+
+BOOST_AUTO_TEST_CASE( cdf_quantile_symmetry )
+{
+ test_cdf_quantile_symmetry<float>();
+ test_cdf_quantile_symmetry<double>();
+}
+
+
+BOOST_AUTO_TEST_CASE( hazard_pdf_cdf_symmetry )
+{
+ test_hazard_pdf_cdf_symmetry<float>();
+ test_hazard_pdf_cdf_symmetry<double>();
+}
+
+
+BOOST_AUTO_TEST_CASE( location_scale_symmetry )
+{
+ test_location_scale_symmetry<float>();
+ test_location_scale_symmetry<double>();
+}
+
+
+BOOST_AUTO_TEST_CASE( mmm_moments )
+{
+ test_mmm_moments<float>();
+ test_mmm_moments<double>();
+}
+
+BOOST_AUTO_TEST_CASE( t_complemented )
+{
+ test_complemented<float>();
+ test_complemented<double>();
+}
+
+BOOST_AUTO_TEST_CASE( bad_dist_parameters )
+{
+ test_bad_dist_parameters<float>();
+ test_bad_dist_parameters<double>();
+}
+
+BOOST_AUTO_TEST_CASE( extreme_function_arguments )
+{
+ test_extreme_function_arguments<float>();
+ test_extreme_function_arguments<double>();
+}
\ No newline at end of file