101 lines
2.3 KiB
Go
101 lines
2.3 KiB
Go
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// Copyright 2015 The Go Authors. All rights reserved.
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// Use of this source code is governed by a BSD-style
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// license that can be found in the LICENSE file.
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package stats
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import (
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"fmt"
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"math"
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)
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// TODO(austin) Unify more with Sample interface
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// StreamStats tracks basic statistics for a stream of data in O(1)
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// space.
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//
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// StreamStats should be initialized to its zero value.
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type StreamStats struct {
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Count uint
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Total, Min, Max float64
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// Numerically stable online mean
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mean float64
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meanOfSquares float64
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// Online variance
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vM2 float64
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}
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// Add updates s's statistics with sample value x.
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func (s *StreamStats) Add(x float64) {
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s.Total += x
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if s.Count == 0 {
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s.Min, s.Max = x, x
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} else {
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if x < s.Min {
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s.Min = x
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}
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if x > s.Max {
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s.Max = x
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}
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}
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s.Count++
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// Update online mean, mean of squares, and variance. Online
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// variance based on Wikipedia's presentation ("Algorithms for
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// calculating variance") of Knuth's formulation of Welford
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// 1962.
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delta := x - s.mean
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s.mean += delta / float64(s.Count)
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s.meanOfSquares += (x*x - s.meanOfSquares) / float64(s.Count)
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s.vM2 += delta * (x - s.mean)
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}
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func (s *StreamStats) Weight() float64 {
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return float64(s.Count)
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}
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func (s *StreamStats) Mean() float64 {
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return s.mean
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}
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func (s *StreamStats) Variance() float64 {
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return s.vM2 / float64(s.Count-1)
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}
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func (s *StreamStats) StdDev() float64 {
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return math.Sqrt(s.Variance())
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}
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func (s *StreamStats) RMS() float64 {
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return math.Sqrt(s.meanOfSquares)
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}
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// Combine updates s's statistics as if all samples added to o were
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// added to s.
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func (s *StreamStats) Combine(o *StreamStats) {
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count := s.Count + o.Count
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// Compute combined online variance statistics
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delta := o.mean - s.mean
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mean := s.mean + delta*float64(o.Count)/float64(count)
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vM2 := s.vM2 + o.vM2 + delta*delta*float64(s.Count)*float64(o.Count)/float64(count)
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s.Count = count
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s.Total += o.Total
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if o.Min < s.Min {
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s.Min = o.Min
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}
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if o.Max > s.Max {
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s.Max = o.Max
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}
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s.mean = mean
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s.meanOfSquares += (o.meanOfSquares - s.meanOfSquares) * float64(o.Count) / float64(count)
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s.vM2 = vM2
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}
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func (s *StreamStats) String() string {
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return fmt.Sprintf("Count=%d Total=%g Min=%g Mean=%g RMS=%g Max=%g StdDev=%g", s.Count, s.Total, s.Min, s.Mean(), s.RMS(), s.Max, s.StdDev())
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}
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