public void QuantileEstimator_AllEqualTest()
{
double middle = 3.4;
double next = MMath.NextDouble(middle);
double[] x = { middle, middle, middle };
var outer = new OuterQuantiles(x);
Assert.Equal(0.0, outer.GetProbLessThan(middle));
Assert.Equal(middle, outer.GetQuantile(0.0));
Assert.Equal(middle, outer.GetQuantile(0.75));
Assert.Equal(1.0, outer.GetProbLessThan(next));
Assert.Equal(next, outer.GetQuantile(1.0));
foreach (int weight in new[] { 1, 2, 3 })
{
var est = new QuantileEstimator(0.01);
foreach (var item in x)
{
est.Add(item, weight);
}
Assert.Equal(0.0, est.GetProbLessThan(middle));
Assert.Equal(middle, est.GetQuantile(0.0));
Assert.Equal(1.0, est.GetProbLessThan(next));
Assert.Equal(next, est.GetQuantile(1.0));
}
}
public void QuantileEstimator_DoubleDuplicationTest()
{
double first = 1;
double second = 2;
double between = (first + second) / 2;
double next = MMath.NextDouble(second);
double[] x = { first, first, second, second };
// quantiles are 0, 1/3, 2/3, 1
var outer = new OuterQuantiles(x);
Assert.Equal(0.0, outer.GetProbLessThan(first));
Assert.Equal(first, outer.GetQuantile(0.0));
Assert.Equal(0.5, outer.GetProbLessThan(between));
Assert.Equal(between, outer.GetQuantile(0.5));
Assert.Equal(2.0 / 3, outer.GetProbLessThan(second));
Assert.Equal(second, outer.GetQuantile(2.0 / 3));
Assert.Equal(1.0, outer.GetProbLessThan(next));
Assert.Equal(next, outer.GetQuantile(1.0));
CheckGetQuantile(outer, outer);
var inner = InnerQuantiles.FromDistribution(5, outer);
CheckGetQuantile(inner, inner, (int)Math.Ceiling(100.0 / 6), (int)Math.Floor(100.0 * 5 / 6));
var est = new QuantileEstimator(0.01);
est.Add(first, 2);
est.Add(second, 2);
Assert.Equal(0.0, est.GetProbLessThan(first));
Assert.Equal(first, est.GetQuantile(0.0));
Assert.Equal(0.5, est.GetProbLessThan(between));
Assert.Equal(second, est.GetQuantile(2.0 / 3));
Assert.Equal(1.0, est.GetProbLessThan(next));
Assert.Equal(next, est.GetQuantile(1.0));
CheckGetQuantile(est, est);
}
public void QuantileEstimator_DuplicationTest()
{
double middle = 3.4;
double[] x = { 1.2, middle, middle, middle, 5.6 };
var outer = new OuterQuantiles(x);
Assert.Equal(0.25, outer.GetProbLessThan(middle));
Assert.Equal(outer.GetQuantile(0.3), middle);
Assert.Equal(outer.GetQuantile(0.5), middle);
Assert.Equal(outer.GetQuantile(0.7), middle);
CheckGetQuantile(outer, outer);
var inner = new InnerQuantiles(7, outer);
Assert.Equal(0.25, inner.GetProbLessThan(middle));
Assert.Equal(outer.GetQuantile(0.3), middle);
Assert.Equal(outer.GetQuantile(0.5), middle);
Assert.Equal(outer.GetQuantile(0.7), middle);
CheckGetQuantile(inner, inner, 100 / 8, 100 * 7 / 8);
var est = new QuantileEstimator(0.01);
est.AddRange(x);
Assert.Equal(0.25, est.GetProbLessThan(middle));
Assert.Equal(est.GetQuantile(0.3), middle);
Assert.Equal(est.GetQuantile(0.5), middle);
Assert.Equal(est.GetQuantile(0.7), middle);
CheckGetQuantile(est, est);
}
public void QuantileEstimator_SinglePointIsMedian()
{
QuantileEstimator est = new QuantileEstimator(0.1);
double point = 2;
est.Add(point);
Assert.Equal(point, est.GetQuantile(0.5));
Assert.Equal(0.0, est.GetProbLessThan(point));
OuterQuantiles outer = new OuterQuantiles(new[] { point });
Assert.Equal(point, outer.GetQuantile(0.5));
Assert.Equal(0.0, outer.GetProbLessThan(point));
InnerQuantiles inner = new InnerQuantiles(new[] { point });
Assert.Equal(point, inner.GetQuantile(0.5));
Assert.Equal(0.5, inner.GetProbLessThan(point));
}
public void QuantileSeedTest()
{
var seed = Rand.Int();
double[] GetRandomQuantiles()
{
var rand = new Random(seed);
var estimator = new QuantileEstimator(rand.NextDouble());
estimator.SetRandomSeed(rand.Next());
var numbers =
Enumerable.Range(0, rand.Next(100))
.Select(x => rand.Next())
.ToArray();
foreach (var item in numbers)
{
estimator.Add(item, 1 + rand.Next(20));
}
var quantiles =
numbers
.Select(x => estimator.GetProbLessThan(x))
.ToArray();
return(quantiles);
}
// Run the same estimation run twice with the same seed to test
// that the results are the same.
var firstRun = GetRandomQuantiles();
var secondRun = GetRandomQuantiles();
Assert.Equal(firstRun, secondRun);
}
