In addition to using the master method (or one of its specializations), I test my algorithms experimentally. This can't prove that any particular complexity class is achieved, but it can provide reassurance that the mathematical analysis is appropriate. To help with this reassurance, I use code coverage tools in conjunction with my experiments, to ensure that I'm exercising all the cases.
As a very simple example say you wanted to do a sanity check on the speed of the .NET framework's list sort. You could write something like the following, then analyze the results in Excel to make sure they did not exceed an n*log(n) curve.
In this example I measure the number of comparisons, but it's also prudent to examine the actual time required for each sample size. However then you must be even more careful that you are just measuring the algorithm and not including artifacts from your test infrastructure.
int nCmp = 0;
System.Random rnd = new System.Random();
// measure the time required to sort a list of n integers
void DoTest(int n)
{
List<int> lst = new List<int>(n);
for( int i=0; i<n; i++ )
lst[i] = rnd.Next(0,1000);
// as we sort, keep track of the number of comparisons performed!
nCmp = 0;
lst.Sort( delegate( int a, int b ) { nCmp++; return (a<b)?-1:((a>b)?1:0)); }
System.Console.Writeline( "{0},{1}", n, nCmp );
}
// Perform measurement for a variety of sample sizes.
// It would be prudent to check multiple random samples of each size, but this is OK for a quick sanity check
for( int n = 0; n<1000; n++ )
DoTest(n);