Fatal error: Uncaught mysqli_sql_exception: Unknown database 'test' in ... (How do I fix that? Using PHP)

PHP Snippet 1:

<?php
$mysqli = new mysqli("localhost","my_user","my_password","my_db");

// Check connection
if ($mysqli -> connect_errno) {
  echo "Failed to connect to MySQL: " . $mysqli -> connect_error;
  exit();
}
?>