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fix: use "online" e.g. "running" calculation of mean and variance

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This commit is contained in:
Steffen Vogel 2015-06-02 22:06:59 +02:00
parent a87799404a
commit 9fae6d1ef8
2 changed files with 36 additions and 29 deletions
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3
server/include/hist.h
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@ -45,6 +45,9 @@ struct hist {
/** Pointer to dynamically allocated array of size length. */
hist_cnt_t *data;
/** Private variables for online variance calculation */
double _m[2], _s[2];
};
/** Initialize struct hist with supplied values and allocate memory for buckets. */

62
server/src/hist.c
View file

@ -50,10 +50,26 @@ void hist_put(struct hist *h, double value)
h->higher++;
else if (idx < 0)
h->lower++;
else {
h->total++;
else
h->data[idx]++;
h->total++;
/* Online / running calculation of variance and mean
* by Donald Knuth’s Art of Computer Programming, Vol 2, page 232, 3rd edition */
if (h->total == 1) {
h->_m[1] = h->_m[0] = value;
h->_s[1] = 0.0;
}
else {
h->_m[0] = h->_m[1] + (value - h->_m[1]) / h->total;
h->_s[0] = h->_s[1] + (value - h->_m[1]) * (value - h->_m[0]);
// set up for next iteration
h->_m[1] = h->_m[0];
h->_s[1] = h->_s[0];
}
}
void hist_reset(struct hist *h)
@ -70,24 +86,12 @@ void hist_reset(struct hist *h)
double hist_mean(struct hist *h)
{
double mean = 0;
for (int i = 0; i < h->length; i++)
mean += VAL(h, i) * h->data[i];
return mean / h->total;
return (h->total > 0) ? h->_m[0] : 0.0;
}
double hist_var(struct hist *h)
{
double mean_x2 = 0;
double mean = hist_mean(h);
for (int i = 0; i < h->length; i++)
mean_x2 += pow(VAL(h, i), 2) * h->data[i];
/* Var[X] = E[X^2] - E^2[X] */
return mean_x2 / h->total - pow(mean, 2);
return (h->total > 1) ? h->_s[0] / (h->total - 1) : 0.0;
}
double hist_stddev(struct hist *h)
@ -100,12 +104,16 @@ void hist_print(struct hist *h)
char buf[(h->length + 1) * 8];
hist_dump(h, buf, sizeof(buf));
info("Total: %u values between %f and %f", h->total, h->low, h->high);
info("Missed: %u (above), %u (below) ", h->higher, h->lower);
info("Highest value: %f, lowest %f", h->highest, h->lowest);
info("Total: %u values", h->total);
info("Highest value: %f", h->highest);
info("Lowest value: %f", h->lowest);
info("Mean: %f", hist_mean(h));
info("Variance: %f", hist_var(h));
info("Standard derivation: %f", hist_stddev(h));
if (h->higher > 0)
warn("Missed: %u values above %f", h->higher, h->high);
if (h->lower > 0)
warn("Missed: %u values below %f", h->lower, h->low);
hist_plot(h);
info(buf);
@ -116,26 +124,22 @@ void hist_plot(struct hist *h)
char buf[HIST_HEIGHT];
memset(buf, '#', sizeof(buf));
unsigned int min = UINT_MAX, max = 0;
double max = 0;
/* Get max, first & last */
/* Get highest bar */
for (int i = 0; i < h->length; i++) {
if (h->data[i] > max)
max = h->data[i];
if (h->data[i] < min)
min = h->data[i];
}
/* Print plot */
info("%9s | %5s | %s", "Value", "Occur", "Plot");
info("%3s | %9s | %5s | %s", "#", "Value", "Occur", "Plot");
line();
for (int i = 0; i < h->length; i++) {
int bar = HIST_HEIGHT * ((double) h->data[i] / max);
if (h->data[i] == min) info("%+5.2e | " GRN("%5u") " | %.*s", VAL(h, i), h->data[i], bar, buf);
else if (h->data[i] == max) info("%+5.2e | " RED("%5u") " | %.*s", VAL(h, i), h->data[i], bar, buf);
else info("%+5.2e | " "%5u" " | %.*s", VAL(h, i), h->data[i], bar, buf);
int bar = HIST_HEIGHT * (h->data[i] / max);
info("%3u | %+5.2e | " "%5u" " | %.*s", i, VAL(h, i), h->data[i], bar, buf);
}
}