b428f901c7
Add estimation of quantiles using the Frugal-2U streaming algorithm (https://arxiv.org/pdf/1407.1121v1.pdf). It does not need to save previous samples and adapts to changes in the distribution. Allow multiple estimates of the same quantile and select the median for better stability.
66 lines
1.8 KiB
C
66 lines
1.8 KiB
C
/*
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**********************************************************************
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* Copyright (C) Miroslav Lichvar 2022
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*
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* This program is free software; you can redistribute it and/or modify
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* it under the terms of version 2 of the GNU General Public License as
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* published by the Free Software Foundation.
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*
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* This program is distributed in the hope that it will be useful, but
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* WITHOUT ANY WARRANTY; without even the implied warranty of
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* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
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* General Public License for more details.
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*
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* You should have received a copy of the GNU General Public License along
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* with this program; if not, write to the Free Software Foundation, Inc.,
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* 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301, USA.
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*
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**********************************************************************
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*/
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#include <local.h>
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#include "test.h"
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#include <quantiles.c>
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void
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test_unit(void)
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{
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int i, j, k, min_k, max_k, q, r, in_order, out_order;
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QNT_Instance inst;
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double x;
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in_order = out_order = 0;
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for (i = 0; i < 100; i++) {
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r = random() % 10 + 1;
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q = random() % 20 + 2;
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do {
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min_k = random() % (q - 1) + 1;
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max_k = random() % (q - 1) + 1;
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} while (min_k > max_k);
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inst = QNT_CreateInstance(min_k, max_k, q, r, 1e-9);
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for (j = 0; j < 3000; j++) {
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x = TST_GetRandomDouble(0.0, 2e-6);
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QNT_Accumulate(inst, x);
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for (k = min_k; k < max_k; k++)
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if (j < max_k - min_k) {
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TEST_CHECK(QNT_GetQuantile(inst, k) <= QNT_GetQuantile(inst, k + 1));
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} else if (j > 1000) {
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if (QNT_GetQuantile(inst, k) <= QNT_GetQuantile(inst, k + 1))
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in_order++;
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else
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out_order++;
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}
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}
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QNT_Reset(inst);
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TEST_CHECK(inst->n_set == 0);
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QNT_DestroyInstance(inst);
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}
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TEST_CHECK(in_order > 100 * out_order);
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}
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