martingale-cs-asymmetric-stat_test.cc

#include "martingale-cs.h"

#include <algorithm>
#include <cmath>
#include <iostream>
#include <limits>
#include <random>
#include <utility>

#include "external/csm/csm.h"
#include "gmock/gmock.h"
#include "gtest/gtest.h"

namespace {
std::pair<double, double> EstimateQuantile(double quantile, size_t min_count,
    double eps, std::vector<double> *observations)
{
	const ssize_t lower_index = std::floor(quantile * observations->size()
	    + martingale_cs_quantile_slop_lo(
		  quantile, observations->size(), min_count, std::log(eps)));
	const size_t upper_index = std::ceil(quantile * observations->size()
	    + martingale_cs_quantile_slop_hi(
		  quantile, observations->size(), min_count, std::log(eps)));

	double low_value = -std::numeric_limits<double>::max();
	double high_value = std::numeric_limits<double>::max();

	if (lower_index >= 0 && !observations->empty()) {
		std::nth_element(observations->begin(),
		    observations->begin() + lower_index, observations->end());
		low_value = observations->at(lower_index);
	}

	if (upper_index < observations->size()) {
		std::nth_element(observations->begin(),
		    observations->begin() + upper_index, observations->end());
		high_value = observations->at(upper_index);
	}

	return std::make_pair(low_value, high_value);
}

// Runs the quantile estimation procedure for niter iterations at
// 1-eps confidence level.  Returns whether the actual quantile was in
// range at all iterations.
bool QuantileInRange(const double quantile, const double eps, size_t niter)
{
	static const size_t kMinObservations = 32;
	const double expected = 100 * quantile;

	std::random_device dev;
	std::mt19937 rng(dev());

	std::uniform_real_distribution<double> dist(0, 100);
	std::vector<double> observations;

	observations.reserve(niter);
	for (size_t i = 0; i < niter; ++i) {
		observations.push_back(dist(rng));

		if (i >= kMinObservations) {
			double lo, hi;
			std::tie(lo, hi) = EstimateQuantile(
			    quantile, kMinObservations, eps, &observations);

			if (expected < lo || expected > hi) {
				std::cout << "fail after " << i + 1 << ": "
					  << lo << " " << hi << "\n";
				return false;
			}
		}
	}

	return true;
}

class QuantileTest : public testing::TestWithParam<double> {
};

// Compute a 95%-level quantile for a distribution that happens to be
// uniform [0, 100).  Make sure the range does include the population
// quantile at least 95% of the time.
TEST_P(QuantileTest, IncludedInRange)
{
	static const size_t kInnerIter = 20000;
	static const size_t kMaxIter = 10000;

	static const double eps = 2.5e-2;
	const double quantile = GetParam();

#ifndef NDEBUG
	{
		static bool once = true;
		if (once) {
			once = false;
			std::cout
			    << "This test suite needs a few minutes in "
			       "optimized mode. "
			       "Debug mode may take for approximately ever."
			    << std::endl;
		}
	}
#endif

	std::cout << "Quantile width (fraction of sample size) for "
		  << quantile << " at eps < " << eps << " after "
		  << kInnerIter << " iterations: "
		  << martingale_cs_quantile_slop_lo(
			 quantile, kInnerIter, 32, std::log(eps))
		/ kInnerIter
		  << ", "
		  << martingale_cs_quantile_slop_hi(
			 quantile, kInnerIter, 32, std::log(eps))
		/ kInnerIter
		  << std::endl;

	size_t successes = 0;
	for (size_t i = 0; i < kMaxIter; ++i) {
		if (QuantileInRange(quantile, eps, kInnerIter)) {
			++successes;
		}

		const size_t total = i + 1;
		if ((total % 100) == 0) {
			std::cout << "Current: " << successes << " / "
				  << total << " (" << 1.0 * successes / total
				  << ")." << std::endl;
		}

		if (csm(total, 1.0 - eps, successes, std::log(1e-4),
			nullptr)) {
			std::cout << "Actual rate " << 1.0 * successes / total
				  << "\n";
			EXPECT_LE(1.0 - 1.0 * successes / total, eps)
			    << successes << " / " << total;
			return;
		}
	}

	EXPECT_TRUE(false) << "Only " << successes << " successes out of "
			   << kMaxIter << ".";
}

INSTANTIATE_TEST_SUITE_P(
    QuantileTest, QuantileTest, testing::Values(0.05, 0.5, 0.75, 0.9, 0.99));
} // namespace