math/test/test_normal.cpp
Matt Borland e9cd6c96fd
Add GPU support to normal dist
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
2024-09-06 12:10:18 -04:00

434 lines
17 KiB
C++

// Copyright Paul A. Bristow 2010.
// Copyright John Maddock 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_normal.cpp
// http://en.wikipedia.org/wiki/Normal_distribution
// http://www.itl.nist.gov/div898/handbook/eda/section3/eda3661.htm
// Also:
// Weisstein, Eric W. "Normal Distribution."
// From MathWorld--A Wolfram Web Resource.
// http://mathworld.wolfram.com/NormalDistribution.html
#ifndef SYCL_LANGUAGE_VERSION
#include <pch.hpp> // include directory /libs/math/src/tr1/ is needed.
#endif
#ifdef _MSC_VER
# pragma warning (disable: 4127) // conditional expression is constant
// caused by using if(std::numeric_limits<RealType>::has_infinity)
// and if (std::numeric_limits<RealType>::has_quiet_NaN)
#endif
#include <boost/math/tools/config.hpp>
#include "../include_private/boost/math/tools/test.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/normal.hpp>
using boost::math::normal_distribution;
#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;
#include <type_traits>
using std::log;
template <class RealType>
RealType NaivePDF(RealType mean, RealType sd, RealType x)
{
// Deliberately naive PDF calculator again which
// we'll compare our pdf function. However some
// published values to compare against would be better....
using namespace std;
return exp(-(x-mean)*(x-mean)/(2*sd*sd))/(sd * sqrt(2*boost::math::constants::pi<RealType>()));
}
template <class RealType>
void check_normal(RealType mean, RealType sd, RealType x, RealType p, RealType q, RealType tol)
{
BOOST_CHECK_CLOSE(
::boost::math::cdf(
normal_distribution<RealType>(mean, sd), // distribution.
x), // random variable.
p, // probability.
tol); // %tolerance.
BOOST_CHECK_CLOSE(
::boost::math::cdf(
complement(
normal_distribution<RealType>(mean, sd), // distribution.
x)), // random variable.
q, // probability complement.
tol); // %tolerance.
BOOST_CHECK_CLOSE(
::boost::math::quantile(
normal_distribution<RealType>(mean, sd), // distribution.
p), // probability.
x, // random variable.
tol); // %tolerance.
BOOST_CHECK_CLOSE(
::boost::math::quantile(
complement(
normal_distribution<RealType>(mean, sd), // distribution.
q)), // probability complement.
x, // random variable.
tol); // %tolerance.
}
template <class RealType>
void test_spots(RealType)
{
// Basic sanity checks
RealType tolerance = 1e-2f; // 1e-4 (as %)
// 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.
// Check some bad parameters to the distribution,
#ifndef BOOST_NO_EXCEPTIONS
BOOST_MATH_CHECK_THROW(boost::math::normal_distribution<RealType> nbad1(0, 0), std::domain_error); // zero sd
BOOST_MATH_CHECK_THROW(boost::math::normal_distribution<RealType> nbad1(0, -1), std::domain_error); // negative sd
#else
BOOST_MATH_CHECK_THROW(boost::math::normal_distribution<RealType>(0, 0), std::domain_error); // zero sd
BOOST_MATH_CHECK_THROW(boost::math::normal_distribution<RealType>(0, -1), std::domain_error); // negative sd
#endif
// Tests on extreme values of random variate x, if has std::numeric_limits infinity etc.
normal_distribution<RealType> N01;
if(std::numeric_limits<RealType>::has_infinity)
{
BOOST_CHECK_EQUAL(pdf(N01, +std::numeric_limits<RealType>::infinity()), 0); // x = + infinity, pdf = 0
BOOST_CHECK_EQUAL(pdf(N01, -std::numeric_limits<RealType>::infinity()), 0); // x = - infinity, pdf = 0
BOOST_CHECK_EQUAL(cdf(N01, +std::numeric_limits<RealType>::infinity()), 1); // x = + infinity, cdf = 1
BOOST_CHECK_EQUAL(cdf(N01, -std::numeric_limits<RealType>::infinity()), 0); // x = - infinity, cdf = 0
BOOST_CHECK_EQUAL(cdf(complement(N01, +std::numeric_limits<RealType>::infinity())), 0); // x = + infinity, c cdf = 0
BOOST_CHECK_EQUAL(cdf(complement(N01, -std::numeric_limits<RealType>::infinity())), 1); // x = - infinity, c cdf = 1
#ifndef BOOST_NO_EXCEPTIONS
BOOST_MATH_CHECK_THROW(boost::math::normal_distribution<RealType> nbad1(std::numeric_limits<RealType>::infinity(), static_cast<RealType>(1)), std::domain_error); // +infinite mean
BOOST_MATH_CHECK_THROW(boost::math::normal_distribution<RealType> nbad1(-std::numeric_limits<RealType>::infinity(), static_cast<RealType>(1)), std::domain_error); // -infinite mean
BOOST_MATH_CHECK_THROW(boost::math::normal_distribution<RealType> nbad1(static_cast<RealType>(0), std::numeric_limits<RealType>::infinity()), std::domain_error); // infinite sd
#else
BOOST_MATH_CHECK_THROW(boost::math::normal_distribution<RealType>(std::numeric_limits<RealType>::infinity(), static_cast<RealType>(1)), std::domain_error); // +infinite mean
BOOST_MATH_CHECK_THROW(boost::math::normal_distribution<RealType>(-std::numeric_limits<RealType>::infinity(), static_cast<RealType>(1)), std::domain_error); // -infinite mean
BOOST_MATH_CHECK_THROW(boost::math::normal_distribution<RealType>(static_cast<RealType>(0), std::numeric_limits<RealType>::infinity()), std::domain_error); // infinite sd
#endif
}
if (std::numeric_limits<RealType>::has_quiet_NaN)
{
// No longer allow x to be NaN, then these tests should throw.
BOOST_MATH_CHECK_THROW(pdf(N01, +std::numeric_limits<RealType>::quiet_NaN()), std::domain_error); // x = NaN
BOOST_MATH_CHECK_THROW(logpdf(N01, +std::numeric_limits<RealType>::quiet_NaN()), std::domain_error); // x = NaN
BOOST_MATH_CHECK_THROW(cdf(N01, +std::numeric_limits<RealType>::quiet_NaN()), std::domain_error); // x = NaN
BOOST_MATH_CHECK_THROW(cdf(complement(N01, +std::numeric_limits<RealType>::quiet_NaN())), std::domain_error); // x = + infinity
BOOST_MATH_CHECK_THROW(quantile(N01, +std::numeric_limits<RealType>::quiet_NaN()), std::domain_error); // p = + infinity
BOOST_MATH_CHECK_THROW(quantile(complement(N01, +std::numeric_limits<RealType>::quiet_NaN())), std::domain_error); // p = + infinity
}
cout << "Tolerance for type " << typeid(RealType).name() << " is " << tolerance << " %" << endl;
check_normal(
static_cast<RealType>(5),
static_cast<RealType>(2),
static_cast<RealType>(4.8),
static_cast<RealType>(0.46017),
static_cast<RealType>(1 - 0.46017),
tolerance);
check_normal(
static_cast<RealType>(5),
static_cast<RealType>(2),
static_cast<RealType>(5.2),
static_cast<RealType>(1 - 0.46017),
static_cast<RealType>(0.46017),
tolerance);
check_normal(
static_cast<RealType>(5),
static_cast<RealType>(2),
static_cast<RealType>(2.2),
static_cast<RealType>(0.08076),
static_cast<RealType>(1 - 0.08076),
tolerance);
check_normal(
static_cast<RealType>(5),
static_cast<RealType>(2),
static_cast<RealType>(7.8),
static_cast<RealType>(1 - 0.08076),
static_cast<RealType>(0.08076),
tolerance);
check_normal(
static_cast<RealType>(-3),
static_cast<RealType>(5),
static_cast<RealType>(-4.5),
static_cast<RealType>(0.38209),
static_cast<RealType>(1 - 0.38209),
tolerance);
check_normal(
static_cast<RealType>(-3),
static_cast<RealType>(5),
static_cast<RealType>(-1.5),
static_cast<RealType>(1 - 0.38209),
static_cast<RealType>(0.38209),
tolerance);
check_normal(
static_cast<RealType>(-3),
static_cast<RealType>(5),
static_cast<RealType>(-8.5),
static_cast<RealType>(0.13567),
static_cast<RealType>(1 - 0.13567),
tolerance);
check_normal(
static_cast<RealType>(-3),
static_cast<RealType>(5),
static_cast<RealType>(2.5),
static_cast<RealType>(1 - 0.13567),
static_cast<RealType>(0.13567),
tolerance);
//
// Tests for PDF: we know that the peak value is at 1/sqrt(2*pi)
//
tolerance = boost::math::tools::epsilon<RealType>() * 5 * 100; // 5 eps as a percentage
BOOST_CHECK_CLOSE(
pdf(normal_distribution<RealType>(), static_cast<RealType>(0)),
static_cast<RealType>(0.3989422804014326779399460599343818684759L), // 1/sqrt(2*pi)
tolerance);
BOOST_CHECK_CLOSE(
pdf(normal_distribution<RealType>(3), static_cast<RealType>(3)),
static_cast<RealType>(0.3989422804014326779399460599343818684759L),
tolerance);
BOOST_CHECK_CLOSE(
pdf(normal_distribution<RealType>(3, 5), static_cast<RealType>(3)),
static_cast<RealType>(0.3989422804014326779399460599343818684759L / 5),
tolerance);
//
// Tests for logpdf
//
RealType temp_tol = tolerance;
BOOST_IF_CONSTEXPR (std::is_same<long double, RealType>::value)
{
tolerance *= 100;
}
BOOST_CHECK_CLOSE(
logpdf(normal_distribution<RealType>(), static_cast<RealType>(0)),
log(static_cast<RealType>(0.3989422804014326779399460599343818684759L)), // 1/sqrt(2*pi)
tolerance);
BOOST_CHECK_CLOSE(
logpdf(normal_distribution<RealType>(3), static_cast<RealType>(3)),
log(static_cast<RealType>(0.3989422804014326779399460599343818684759L)),
tolerance);
BOOST_CHECK_CLOSE(
logpdf(normal_distribution<RealType>(3, 5), static_cast<RealType>(3)),
log(static_cast<RealType>(0.3989422804014326779399460599343818684759L / 5)),
tolerance);
tolerance = temp_tol;
//
// Spot checks for mean = -5, sd = 6:
//
for(RealType x = -15; x < 5; x += 0.125)
{
BOOST_CHECK_CLOSE(
pdf(normal_distribution<RealType>(-5, 6), x),
NaivePDF(RealType(-5), RealType(6), x),
tolerance);
}
RealType tol2 = boost::math::tools::epsilon<RealType>() * 5;
normal_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>(8), tol2);
// variance:
BOOST_CHECK_CLOSE(
variance(dist)
, static_cast<RealType>(9), tol2);
// std deviation:
BOOST_CHECK_CLOSE(
standard_deviation(dist)
, static_cast<RealType>(3), tol2);
// hazard:
BOOST_CHECK_CLOSE(
hazard(dist, x)
, pdf(dist, x) / cdf(complement(dist, x)), tol2);
// cumulative hazard:
BOOST_CHECK_CLOSE(
chf(dist, x)
, -log(cdf(complement(dist, x))), tol2);
// coefficient_of_variation:
BOOST_CHECK_CLOSE(
coefficient_of_variation(dist)
, standard_deviation(dist) / mean(dist), tol2);
// mode:
BOOST_CHECK_CLOSE(
mode(dist)
, static_cast<RealType>(8), tol2);
BOOST_CHECK_CLOSE(
median(dist)
, static_cast<RealType>(8), tol2);
// skewness:
BOOST_CHECK_CLOSE(
skewness(dist)
, static_cast<RealType>(0), tol2);
// kurtosis:
BOOST_CHECK_CLOSE(
kurtosis(dist)
, static_cast<RealType>(3), tol2);
// kurtosis excess:
BOOST_CHECK_CLOSE(
kurtosis_excess(dist)
, static_cast<RealType>(0), tol2);
RealType expected_entropy = log(boost::math::constants::two_pi<RealType>()*boost::math::constants::e<RealType>()*9)/2;
BOOST_CHECK_CLOSE(
entropy(dist)
,expected_entropy, tol2);
normal_distribution<RealType> norm01(0, 1); // Test default (0, 1)
BOOST_CHECK_CLOSE(
mean(norm01),
static_cast<RealType>(0), 0); // Mean == zero
normal_distribution<RealType> defsd_norm01(0); // Test default (0, sd = 1)
BOOST_CHECK_CLOSE(
mean(defsd_norm01),
static_cast<RealType>(0), 0); // Mean == zero
normal_distribution<RealType> def_norm01; // Test default (0, sd = 1)
BOOST_CHECK_CLOSE(
mean(def_norm01),
static_cast<RealType>(0), 0); // Mean == zero
BOOST_CHECK_CLOSE(
standard_deviation(def_norm01),
static_cast<RealType>(1), 0); // Mean == zero
// Error tests:
check_out_of_range<boost::math::normal_distribution<RealType> >(0, 1); // (All) valid constructor parameter values.
BOOST_MATH_CHECK_THROW(pdf(normal_distribution<RealType>(0, 0), 0), std::domain_error);
BOOST_MATH_CHECK_THROW(pdf(normal_distribution<RealType>(0, -1), 0), std::domain_error);
BOOST_MATH_CHECK_THROW(logpdf(normal_distribution<RealType>(0, 0), 0), std::domain_error);
BOOST_MATH_CHECK_THROW(logpdf(normal_distribution<RealType>(0, -1), 0), std::domain_error);
BOOST_MATH_CHECK_THROW(quantile(normal_distribution<RealType>(0, 1), -1), std::domain_error);
BOOST_MATH_CHECK_THROW(quantile(normal_distribution<RealType>(0, 1), 2), std::domain_error);
} // template <class RealType>void test_spots(RealType)
BOOST_AUTO_TEST_CASE( test_main )
{
// Check that can generate normal distribution using the two convenience methods:
boost::math::normal myf1(1., 2); // Using typedef
normal_distribution<> myf2(1., 2); // Using default RealType double.
boost::math::normal myn01; // Use default values.
// Note NOT myn01() as the compiler will interpret as a function!
// Check the synonyms, provided to allow generic use of find_location and find_scale.
BOOST_CHECK_EQUAL(myn01.mean(), myn01.location());
BOOST_CHECK_EQUAL(myn01.standard_deviation(), myn01.scale());
// 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 )
/*
Output:
Autorun "i:\boost-06-05-03-1300\libs\math\test\Math_test\debug\test_normal.exe"
Running 1 test case...
Tolerance for type float is 0.01 %
Tolerance for type double is 0.01 %
Tolerance for type long double is 0.01 %
Tolerance for type class boost::math::concepts::real_concept is 0.01 %
*** No errors detected
------ Build started: Project: test_normal, Configuration: Release Win32 ------
test_normal.cpp
Generating code
Finished generating code
test_normal.vcxproj -> J:\Cpp\MathToolkit\test\Math_test\Release\test_normal.exe
Running 1 test case...
Tolerance for type float is 0.01 %
Tolerance for type double is 0.01 %
Tolerance for type long double is 0.01 %
Tolerance for type class boost::math::concepts::real_concept is 0.01 %
*** No errors detected
Detected memory leaks!
Dumping objects ->
{2413} normal block at 0x00321190, 42 bytes long.
Data: <class boost::mat> 63 6C 61 73 73 20 62 6F 6F 73 74 3A 3A 6D 61 74
{2412} normal block at 0x003231F0, 8 bytes long.
Data: < 2 22 > 90 11 32 00 98 32 32 00
{1824} normal block at 0x00323180, 12 bytes long.
Data: <long double > 6C 6F 6E 67 20 64 6F 75 62 6C 65 00
{1823} normal block at 0x00323298, 8 bytes long.
Data: < 12 `22 > 80 31 32 00 60 32 32 00
{1227} normal block at 0x00323148, 7 bytes long.
Data: <double > 64 6F 75 62 6C 65 00
{1226} normal block at 0x00323260, 8 bytes long.
Data: <H12 02 > 48 31 32 00 A0 30 32 00
{633} normal block at 0x003230D8, 6 bytes long.
Data: <float > 66 6C 6F 61 74 00
{632} normal block at 0x003230A0, 8 bytes long.
Data: < 02 > D8 30 32 00 00 00 00 00
Object dump complete.
========== Build: 1 succeeded, 0 failed, 0 up-to-date, 0 skipped ==========
*/