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use crate::sliding_window::View;
use crate::Echo;
use std::collections::VecDeque;
#[derive(Clone)]
pub struct WelfordOnlineSliding {
view: Box<dyn View>,
window_len: usize,
q_vals: VecDeque<f64>,
mean: f64,
s: f64,
n: usize,
}
impl WelfordOnlineSliding {
pub fn new(view: Box<dyn View>, window_len: usize) -> Box<Self> {
Box::new(Self {
view,
window_len,
q_vals: VecDeque::new(),
mean: 0.0,
s: 0.0,
n: 0,
})
}
pub fn new_final(window_len: usize) -> Box<Self> {
Self::new(Echo::new(), window_len)
}
pub fn variance(&self) -> f64 {
return if self.n > 1 {
self.s / (self.n as f64 - 1.0)
} else {
0.0
};
}
pub fn mean(&self) -> f64 {
self.mean
}
}
impl View for WelfordOnlineSliding {
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);
}
fn last(&self) -> f64 {
let std_dev = self.variance().sqrt();
std_dev
}
}
#[cfg(test)]
mod tests {
use super::*;
use crate::plot::plot_values;
use crate::test_data::TEST_DATA;
use round::round;
#[test]
fn welford_online_sliding() {
let mut wo = WelfordOnlineSliding::new_final(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_sliding_2() {
}
#[test]
fn welford_online_sliding_plot() {
let mut wo = WelfordOnlineSliding::new_final(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();
}
}