Added boost header

test/external/boost/accumulators/statistics/weighted_tail_mean.hpp

@@ -0,0 +1,169 @@
+///////////////////////////////////////////////////////////////////////////////
+// weighted_tail_mean.hpp
+//
+//  Copyright 2006 Daniel Egloff, Olivier Gygi. Distributed under 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)
+
+#ifndef BOOST_ACCUMULATORS_STATISTICS_WEIGHTED_TAIL_MEAN_HPP_DE_01_01_2006
+#define BOOST_ACCUMULATORS_STATISTICS_WEIGHTED_TAIL_MEAN_HPP_DE_01_01_2006
+
+#include <numeric>
+#include <vector>
+#include <limits>
+#include <functional>
+#include <sstream>
+#include <stdexcept>
+#include <boost/throw_exception.hpp>
+#include <boost/parameter/keyword.hpp>
+#include <boost/mpl/placeholders.hpp>
+#include <boost/type_traits/is_same.hpp>
+#include <boost/accumulators/numeric/functional.hpp>
+#include <boost/accumulators/framework/accumulator_base.hpp>
+#include <boost/accumulators/framework/extractor.hpp>
+#include <boost/accumulators/framework/parameters/sample.hpp>
+#include <boost/accumulators/statistics_fwd.hpp>
+#include <boost/accumulators/statistics/tail.hpp>
+#include <boost/accumulators/statistics/tail_mean.hpp>
+#include <boost/accumulators/statistics/parameters/quantile_probability.hpp>
+
+#ifdef _MSC_VER
+# pragma warning(push)
+# pragma warning(disable: 4127) // conditional expression is constant
+#endif
+
+namespace boost { namespace accumulators
+{
+
+namespace impl
+{
+
+    ///////////////////////////////////////////////////////////////////////////////
+    // coherent_weighted_tail_mean_impl
+    //
+    // TODO
+
+    ///////////////////////////////////////////////////////////////////////////////
+    // non_coherent_weighted_tail_mean_impl
+    //
+    /**
+        @brief Estimation of the (non-coherent) weighted tail mean based on order statistics (for both left and right tails)
+
+
+
+        An estimation of the non-coherent, weighted tail mean \f$\widehat{NCTM}_{n,\alpha}(X)\f$ is given by the weighted mean
+        of the
+
+        \f[
+            \lambda = \inf\left\{ l \left| \frac{1}{\bar{w}_n}\sum_{i=1}^{l} w_i \geq \alpha \right. \right\}
+        \f]
+
+        smallest samples (left tail) or the weighted mean of the
+
+        \f[
+            n + 1 - \rho = n + 1 - \sup\left\{ r \left| \frac{1}{\bar{w}_n}\sum_{i=r}^{n} w_i \geq (1 - \alpha) \right. \right\}
+        \f]
+
+        largest samples (right tail) above a quantile \f$\hat{q}_{\alpha}\f$ of level \f$\alpha\f$, \f$n\f$ being the total number of sample
+        and \f$\bar{w}_n\f$ the sum of all \f$n\f$ weights:
+
+        \f[
+            \widehat{NCTM}_{n,\alpha}^{\mathrm{left}}(X) = \frac{\sum_{i=1}^{\lambda} w_i X_{i:n}}{\sum_{i=1}^{\lambda} w_i},
+        \f]
+
+        \f[
+            \widehat{NCTM}_{n,\alpha}^{\mathrm{right}}(X) = \frac{\sum_{i=\rho}^n w_i X_{i:n}}{\sum_{i=\rho}^n w_i}.
+        \f]
+
+        @param quantile_probability
+    */
+    template<typename Sample, typename Weight, typename LeftRight>
+    struct non_coherent_weighted_tail_mean_impl
+      : accumulator_base
+    {
+        typedef typename numeric::functional::multiplies<Sample, Weight>::result_type weighted_sample;
+        typedef typename numeric::functional::average<Weight, std::size_t>::result_type float_type;
+        // for boost::result_of
+        typedef typename numeric::functional::average<weighted_sample, std::size_t>::result_type result_type;
+
+        non_coherent_weighted_tail_mean_impl(dont_care) {}
+
+        template<typename Args>
+        result_type result(Args const &args) const
+        {
+            float_type threshold = sum_of_weights(args)
+                             * ( ( is_same<LeftRight, left>::value ) ? args[quantile_probability] : 1. - args[quantile_probability] );
+
+            std::size_t n = 0;
+            Weight sum = Weight(0);
+
+            while (sum < threshold)
+            {
+                if (n < static_cast<std::size_t>(tail_weights(args).size()))
+                {
+                    sum += *(tail_weights(args).begin() + n);
+                    n++;
+                }
+                else
+                {
+                    if (std::numeric_limits<result_type>::has_quiet_NaN)
+                    {
+                        return std::numeric_limits<result_type>::quiet_NaN();
+                    }
+                    else
+                    {
+                        std::ostringstream msg;
+                        msg << "index n = " << n << " is not in valid range [0, " << tail(args).size() << ")";
+                        boost::throw_exception(std::runtime_error(msg.str()));
+                        return result_type(0);
+                    }
+                }
+            }
+
+            return numeric::average(
+                std::inner_product(
+                    tail(args).begin()
+                  , tail(args).begin() + n
+                  , tail_weights(args).begin()
+                  , weighted_sample(0)
+                )
+              , sum
+            );
+        }
+    };
+
+} // namespace impl
+
+
+///////////////////////////////////////////////////////////////////////////////
+// tag::non_coherent_weighted_tail_mean<>
+//
+namespace tag
+{
+    template<typename LeftRight>
+    struct non_coherent_weighted_tail_mean
+      : depends_on<sum_of_weights, tail_weights<LeftRight> >
+    {
+        typedef accumulators::impl::non_coherent_weighted_tail_mean_impl<mpl::_1, mpl::_2, LeftRight> impl;
+    };
+}
+
+///////////////////////////////////////////////////////////////////////////////
+// extract::non_coherent_weighted_tail_mean;
+//
+namespace extract
+{
+    extractor<tag::abstract_non_coherent_tail_mean> const non_coherent_weighted_tail_mean = {};
+
+    BOOST_ACCUMULATORS_IGNORE_GLOBAL(non_coherent_weighted_tail_mean)
+}
+
+using extract::non_coherent_weighted_tail_mean;
+
+}} // namespace boost::accumulators
+
+#ifdef _MSC_VER
+# pragma warning(pop)
+#endif
+
+#endif