mirror of
https://github.com/boostorg/math.git
synced 2025-05-11 21:33:52 +00:00
e9cd6c96fd
Add SYCL testing of normal dist Add CUDA testing of normal dist Add NVRTC testing of normal dist NVRTC fixes Move headers for NVRTC support Add GPU support to inverse gaussian dist Add NVRTC testing of inverse Gaussian dist Add CUDA testing of inverse gaussian dist Add SYCL testing of inverse gaussian dist Add GPU support to lognormal dist Add SYCL testing of lognormal dist Add CUDA testing of lognormal dist Add nvrtc testing of lognormal dist Add GPU support to negative binomial dist Avoid float_prior on GPU platform Add NVRTC testing of negative binomial dist Fix ambiguous use of nextafter Add CUDA testing of negative binomial dist Fix float_prior workaround Add SYCL testing of negative binomial dist Add GPU support to non_central_beta dist Add SYCL testing of nc beta dist Add CUDA testing of nc beta dist Enable generic dist handling on GPU Add GPU support to brent_find_minima Add NVRTC testing of nc beta dist Add utility header Replace non-functional macro with new function Add GPU support to non central chi squared dist Add SYCL testing of non central chi squared dist Add missing macro definition Markup generic quantile finder Add CUDA testing of non central chi squared dist Add NVRTC testing of non central chi squared dist Add GPU support to the non-central f dist Add SYCL testing of ncf Add CUDA testing of ncf dist Add NVRTC testing of ncf dist Add GPU support to students_t dist Add SYCL testing of students_t dist Add CUDA testing of students_t Add NVRTC testing of students_t dist Workaround for header cycle Add GPU support to pareto dist Add SYCL testing of pareto dist Add CUDA testing of pareto dist Add NVRTC testing of pareto dist Add missing header Add GPU support to poisson dist Add SYCL testing of poisson dist Add CUDA testing of poisson dist Add NVRTC testing of poisson dist Add forward decl for NVRTC platform Add GPU support to rayleigh dist Add CUDA testing of rayleigh dist Add SYCL testing of rayleigh dist Add NVRTC testing of rayleigh dist Add GPU support to triangular dist Add SYCL testing of triangular dist Add NVRTC testing of triangular dist Add CUDA testing of triangular dist Add GPU support to the uniform dist Add CUDA testing of uniform dist Add SYCL testing of uniform dist Add NVRTC testing of uniform dist Fix missing header Add markers to docs
325 lines
12 KiB
C++
325 lines
12 KiB
C++
// 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/tools/config.hpp>
|
|
|
|
#ifndef BOOST_MATH_NO_REAL_CONCEPT_TESTS
|
|
#include <boost/math/concepts/real_concept.hpp> // for real_concept
|
|
#endif
|
|
|
|
#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 "../include_private/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);
|
|
// kurtosis:
|
|
BOOST_CHECK_CLOSE(
|
|
kurtosis(dist)
|
|
, static_cast<RealType>(4312295840576303.2363383232038251L), tolerance);
|
|
// kurtosis excess:
|
|
BOOST_CHECK_CLOSE(
|
|
kurtosis_excess(dist)
|
|
, static_cast<RealType>(4312295840576300.2363383232038251L), tolerance);
|
|
|
|
RealType expected_entropy = 8 + log(boost::math::constants::two_pi<RealType>()*boost::math::constants::e<RealType>()*9)/2;
|
|
BOOST_CHECK_CLOSE(
|
|
entropy(dist)
|
|
, expected_entropy, 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(BOOST_BORLANDC, BOOST_TESTED_AT(0x0582)) && !defined(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 )
|
|
|
|
/*
|
|
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
|
|
*/
|
|
|
|
|