libstdc++-v3/testsuite/util/statistic/sample_mean_confidence_checker.hpp

   1 // -*- C++ -*-
   2
   3 // Copyright (C) 2005-2020 Free Software Foundation, Inc.
   4 //
   5 // This file is part of the GNU ISO C++ Library.  This library is free
   6 // software; you can redistribute it and/or modify it under the terms
   7 // of the GNU General Public License as published by the Free Software
   8 // Foundation; either version 3, or (at your option) any later
   9 // version.
  10
  11 // This library is distributed in the hope that it will be useful, but
  12 // WITHOUT ANY WARRANTY; without even the implied warranty of
  13 // MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the GNU
  14 // General Public License for more details.
  15
  16 // You should have received a copy of the GNU General Public License
  17 // along with this library; see the file COPYING3.  If not see
  18 // <http://www.gnu.org/licenses/>.
  19
  20
  21 // Copyright (C) 2004 Ami Tavory and Vladimir Dreizin, IBM-HRL.
  22
  23 // Permission to use, copy, modify, sell, and distribute this software
  24 // is hereby granted without fee, provided that the above copyright
  25 // notice appears in all copies, and that both that copyright notice
  26 // and this permission notice appear in supporting documentation. None
  27 // of the above authors, nor IBM Haifa Research Laboratories, make any
  28 // representation about the suitability of this software for any
  29 // purpose. It is provided "as is" without express or implied
  30 // warranty.
  31
  32 /**
  33  * @file sample_mean_confidence_checker.hpp
  34  * Contains a function for checking the confidence of a sample mean
  35  */
  36
  37 #ifndef PB_DS_SAMPLE_MEAN_CONFIDENCE_CHECKER_HPP
  38 #define PB_DS_SAMPLE_MEAN_CONFIDENCE_CHECKER_HPP
  39
  40 #include <list>
  41 #include <numeric>
  42 #include <math.h>
  43
  44 namespace __gnu_pbds
  45 {
  46   namespace test
  47   {
  48     namespace detail
  49     {
  50       /*
  51        * Checks that a sample mean sm is in the relative interval
  52        * relative_interval of a true mean (assuming i.i.d. samples),
  53        * given a sample variance sv taken over num_samples samples,
  54        * with confidence ~ 0.95.
  55        *
  56        * See "Probability, Random Variables, and Stochastic Processes"
  57        * (Third edition) Athanasios Papoulis, Chapter 9.
  58        */
  59       template<typename Value_Type>
  60       bool
  61       sample_mean_confidence_checker(Value_Type sm, Value_Type sv,
  62                                      std::size_t num_samples,
  63                                      double relative_interval)
  64       {
  65         enum
  66           {
  67             // Ensures that the student-t distribution is approximately normal.
  68             min_num_samples = 30
  69           };
  70
  71         if (num_samples < min_num_samples)
  72           return (false);
  73
  74         // This is z_u (normal-dist percentile) for u = 0.975.
  75         const Value_Type z = 1.976;
  76
  77         return (sv / ::sqrt(double(num_samples)) <= relative_interval * sm / z);
  78       }
  79     } // namespace detail
  80   } // namespace test
  81 } // namespace __gnu_pbds
  82
  83 #endif
  84