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use crate::View;
use std::collections::VecDeque;
#[derive(Clone)]
pub struct WelfordOnline<V> {
view: V,
window_len: usize,
q_vals: VecDeque<f64>,
mean: f64,
s: f64,
n: usize,
}
impl<V> std::fmt::Debug for WelfordOnline<V>
where
V: View,
{
fn fmt(&self, fmt: &mut std::fmt::Formatter<'_>) -> Result<(), std::fmt::Error> {
write!(
fmt,
"WelfordOnlineSliding(window_len: {}, q_vals: {:?}, mean: {}, s: {}, n: {})",
self.window_len, self.q_vals, self.mean, self.s, self.n
)
}
}
impl<V> WelfordOnline<V>
where
V: View,
{
#[inline]
pub fn new(view: V, window_len: usize) -> Self {
Self {
view,
window_len,
q_vals: VecDeque::new(),
mean: 0.0,
s: 0.0,
n: 0,
}
}
#[inline(always)]
pub fn variance(&self) -> f64 {
if self.n > 1 {
self.s / (self.n as f64 - 1.0)
} else {
0.0
}
}
#[inline(always)]
pub fn mean(&self) -> f64 {
self.mean
}
}
impl<V> View for WelfordOnline<V>
where
V: View,
{
fn update(&mut self, val: f64) {
self.view.update(val);
let val = self.view.last();
if self.q_vals.len() >= self.window_len {
let old_val: f64 = self.q_vals.pop_front().unwrap();
let new_mean = (self.n as f64 * self.mean - old_val) / (self.n as f64 - 1.0);
self.s -= (old_val - self.mean) * (old_val - new_mean);
self.mean = new_mean;
self.n -= 1;
}
self.q_vals.push_back(val);
self.n += 1;
let old_mean = self.mean;
self.mean += (val - old_mean) / self.n as f64;
self.s += (val - old_mean) * (val - self.mean);
}
#[inline(always)]
fn last(&self) -> f64 {
self.variance().sqrt()
}
}
#[cfg(test)]
mod tests {
use super::*;
use crate::plot::plot_values;
use crate::test_data::TEST_DATA;
use crate::Echo;
use round::round;
#[test]
fn welford_online() {
let mut wo = WelfordOnline::new(Echo::new(), TEST_DATA.len());
for v in &TEST_DATA {
wo.update(*v);
assert!(!wo.last().is_nan());
}
let w_std_dev = wo.last();
let avg: f64 = TEST_DATA.iter().sum::<f64>() / TEST_DATA.len() as f64;
let std_dev: f64 = ((1.0 / (TEST_DATA.len() as f64 - 1.0))
* TEST_DATA.iter().map(|v| (v - avg).powi(2)).sum::<f64>())
.sqrt();
assert_eq!(round(w_std_dev, 4), round(std_dev, 4));
}
#[test]
fn welford_online_plot() {
let mut wo = WelfordOnline::new(Echo::new(), 16);
let mut out: Vec<f64> = vec![];
for v in &TEST_DATA {
wo.update(*v);
out.push(wo.last());
}
let filename = "img/welford_online_sliding.png";
plot_values(out, filename).unwrap();
}
}