I want to convert wstring to u16string in C++.
I can convert wstring to string, or reverse. But I don\'t know how convert to <         
        
I had thought the standard version did not work, but in fact this was simply due to bugs in the Visual C++ and libstdc++ 3.4.21 runtime libraries.  It does work with clang++ -std=c++14 -stdlib=libc++.  Here is a version that tests whether the standard method works on your compiler:
#include 
#include 
#include 
#include 
#include 
#include 
#include 
#include 
using std::cout;
using std::endl;
using std::exit;
using std::memcmp;
using std::size_t;
using std::wcout;
#if _WIN32 || _WIN64
// Windows needs a little non-standard magic for this to work.
#include 
#include 
#include 
#endif
using std::size_t;
void init_locale(void)
// Does magic so that wcout can work.
{
#if _WIN32 || _WIN64
  // Windows needs a little non-standard magic.
  constexpr char cp_utf16le[] = ".1200";
  setlocale( LC_ALL, cp_utf16le );
  _setmode( _fileno(stdout), _O_U16TEXT );
#else
  // The correct locale name may vary by OS, e.g., "en_US.utf8".
  constexpr char locale_name[] = "";
  std::locale::global(std::locale(locale_name));
  std::wcout.imbue(std::locale());
#endif
}
int main(void)
{
  constexpr char16_t msg_utf16[] = u"¡Hola, mundo! \U0001F600"; // Shouldn't assume endianness.
  constexpr wchar_t msg_w[] = L"¡Hola, mundo! \U0001F600";
  constexpr char32_t msg_utf32[] = U"¡Hola, mundo! \U0001F600";
  constexpr char msg_utf8[] = u8"¡Hola, mundo! \U0001F600";
  init_locale();
  const std::codecvt_utf16 converter_w;
  const size_t max_len = sizeof(msg_utf16);
  std::vector out(max_len);
  std::mbstate_t state;
  const wchar_t* from_w = nullptr;
  char* to_next = nullptr;
  converter_w.out( state, msg_w, msg_w+sizeof(msg_w)/sizeof(wchar_t), from_w, out.data(), out.data() + out.size(), to_next );
  if (memcmp( msg_utf8, out.data(), sizeof(msg_utf8) ) == 0 ) {
    wcout << L"std::codecvt_utf16 converts to UTF-8, not UTF-16!" << endl;
  } else if ( memcmp( msg_utf16, out.data(), max_len ) != 0 ) {
    wcout << L"std::codecvt_utf16 conversion not equal!" << endl;
  } else {
    wcout << L"std::codecvt_utf16 conversion is correct." << endl;
  }
  out.clear();
  out.resize(max_len);
  const std::codecvt_utf16 converter_u32;
  const char32_t* from_u32 = nullptr;
  converter_u32.out( state, msg_utf32, msg_utf32+sizeof(msg_utf32)/sizeof(char32_t), from_u32, out.data(), out.data() + out.size(), to_next );
  if ( memcmp( msg_utf16, out.data(), max_len ) != 0 ) {
    wcout << L"std::codecvt_utf16 conversion not equal!" << endl;
  } else {
    wcout << L"std::codecvt_utf16 conversion is correct." << endl;
  }
  wcout << msg_w << endl;
  return EXIT_SUCCESS;
}
                   A bit late to the game, but here’s a version that additionally checks whether wchar_t is 32-bits (as it is on Linux), and if so, performs surrogate-pair conversion.  I recommend saving this source as UTF-8 with a BOM.  Here is a link to it on ideone.
#include 
#include 
#include 
#include 
#include 
#include 
#include 
#if _WIN32 || _WIN64
// Windows needs a little non-standard magic for this to work.
#include 
#include 
#include 
#endif
using std::size_t;
void init_locale(void)
// Does magic so that wcout can work.
{
#if _WIN32 || _WIN64
  // Windows needs a little non-standard magic.
  constexpr char cp_utf16le[] = ".1200";
  setlocale( LC_ALL, cp_utf16le );
  _setmode( _fileno(stdout), _O_U16TEXT );
#else
  // The correct locale name may vary by OS, e.g., "en_US.utf8".
  constexpr char locale_name[] = "";
  std::locale::global(std::locale(locale_name));
  std::wcout.imbue(std::locale());
#endif
}
std::u16string make_u16string( const std::wstring& ws )
/* Creates a UTF-16 string from a wide-character string.  Any wide characters
 * outside the allowed range of UTF-16 are mapped to the sentinel value U+FFFD,
 * per the Unicode documentation. (http://www.unicode.org/faq/private_use.html
 * retrieved 12 March 2017.) Unpaired surrogates in ws are also converted to
 * sentinel values.  Noncharacters, however, are left intact.  As a fallback,
 * if wide characters are the same size as char16_t, this does a more trivial
 * construction using that implicit conversion.
 */
{
  /* We assume that, if this test passes, a wide-character string is already
   * UTF-16, or at least converts to it implicitly without needing surrogate
   * pairs.
   */
  if ( sizeof(wchar_t) == sizeof(char16_t) ) {
    return std::u16string( ws.begin(), ws.end() );
  } else {
    /* The conversion from UTF-32 to UTF-16 might possibly require surrogates.
     * A surrogate pair suffices to represent all wide characters, because all
     * characters outside the range will be mapped to the sentinel value
     * U+FFFD.  Add one character for the terminating NUL.
     */
    const size_t max_len = 2 * ws.length() + 1;
    // Our temporary UTF-16 string.
    std::u16string result;
    result.reserve(max_len);
    for ( const wchar_t& wc : ws ) {
      const std::wint_t chr = wc;
      if ( chr < 0 || chr > 0x10FFFF || (chr >= 0xD800 && chr <= 0xDFFF) ) {
        // Invalid code point.  Replace with sentinel, per Unicode standard:
        constexpr char16_t sentinel = u'\uFFFD';
        result.push_back(sentinel);
      } else if ( chr < 0x10000UL ) { // In the BMP.
        result.push_back(static_cast(wc));
      } else {
        const char16_t leading = static_cast( 
          ((chr-0x10000UL) / 0x400U) + 0xD800U );
        const char16_t trailing = static_cast( 
          ((chr-0x10000UL) % 0x400U) + 0xDC00U );
        result.append({leading, trailing});
      } // end if
    } // end for
   /* The returned string is shrunken to fit, which might not be the Right
    * Thing if there is more to be added to the string.
    */
    result.shrink_to_fit();
    // We depend here on the compiler to optimize the move constructor.
    return result;
  } // end if
  // Not reached.
}
int main(void)
{
  static const std::wstring wtest(L"☪☮∈✡℩☯✝ \U0001F644");
  static const std::u16string u16test(u"☪☮∈✡℩☯✝ \U0001F644");
  const std::u16string converted = make_u16string(wtest);
  init_locale();
  std::wcout << L"sizeof(wchar_t) == " << sizeof(wchar_t) << L".\n";
  for( size_t i = 0; i <= u16test.length(); ++i ) {
    if ( u16test[i] != converted[i] ) {
      std::wcout << std::hex << std::showbase
                 << std::right << std::setfill(L'0')
                 << std::setw(4) << (unsigned)converted[i] << L" ≠ "
                 << std::setw(4) << (unsigned)u16test[i] << L" at "
                 << i << L'.' << std::endl;
      return EXIT_FAILURE;
    } // end if
  } // end for
  std::wcout << wtest << std::endl;
  return EXIT_SUCCESS;
}
             Since someone asked: The reason I suggest UTF-8 with BOM is that some compilers, including MSVC 2015, will assume a source file is encoded according to the current code page unless there is a BOM or you specify an encoding on the command line. No encoding works on all toolchains, unfortunately, but every tool I’ve used that’s modern enough to support C++14 also understands the BOM.