91 lines
2.5 KiB
C++
91 lines
2.5 KiB
C++
// Copyright 2015-2018 Hans Dembinski
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//
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// Distributed under the Boost Software License, version 1.0.
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// (See accompanying file LICENSE_1_0.txt
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// or copy at http://www.boost.org/LICENSE_1_0.txt)
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#ifndef BOOST_HISTOGRAM_ACCUMULATORS_MEAN_HPP
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#define BOOST_HISTOGRAM_ACCUMULATORS_MEAN_HPP
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#include <boost/histogram/fwd.hpp>
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#include <cstddef>
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#include <type_traits>
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namespace boost {
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namespace histogram {
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namespace accumulators {
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/** Calculates mean and variance of sample.
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Uses Welfords's incremental algorithm to improve the numerical
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stability of mean and variance computation.
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*/
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template <class RealType>
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class mean {
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public:
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mean() = default;
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mean(const std::size_t n, const RealType& mean, const RealType& variance)
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: sum_(n), mean_(mean), sum_of_deltas_squared_(variance * (sum_ - 1)) {}
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void operator()(const RealType& x) {
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sum_ += 1;
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const auto delta = x - mean_;
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mean_ += delta / sum_;
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sum_of_deltas_squared_ += delta * (x - mean_);
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}
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template <class T>
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mean& operator+=(const mean<T>& rhs) {
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const auto tmp = mean_ * sum_ + static_cast<RealType>(rhs.mean_ * rhs.sum_);
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sum_ += rhs.sum_;
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mean_ = tmp / sum_;
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sum_of_deltas_squared_ += static_cast<RealType>(rhs.sum_of_deltas_squared_);
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return *this;
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}
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mean& operator*=(const RealType& s) {
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mean_ *= s;
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sum_of_deltas_squared_ *= s * s;
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return *this;
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}
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template <class T>
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bool operator==(const mean<T>& rhs) const noexcept {
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return sum_ == rhs.sum_ && mean_ == rhs.mean_ &&
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sum_of_deltas_squared_ == rhs.sum_of_deltas_squared_;
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}
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template <class T>
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bool operator!=(const mean<T>& rhs) const noexcept {
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return !operator==(rhs);
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}
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std::size_t count() const noexcept { return sum_; }
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const RealType& value() const noexcept { return mean_; }
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RealType variance() const { return sum_of_deltas_squared_ / (sum_ - 1); }
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template <class Archive>
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void serialize(Archive&, unsigned /* version */);
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private:
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std::size_t sum_ = 0;
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RealType mean_ = 0, sum_of_deltas_squared_ = 0;
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};
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} // namespace accumulators
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} // namespace histogram
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} // namespace boost
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#ifndef BOOST_HISTOGRAM_DOXYGEN_INVOKED
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namespace std {
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template <class T, class U>
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/// Specialization for boost::histogram::accumulators::mean.
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struct common_type<boost::histogram::accumulators::mean<T>,
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boost::histogram::accumulators::mean<U>> {
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using type = boost::histogram::accumulators::mean<common_type_t<T, U>>;
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};
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} // namespace std
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#endif
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#endif
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