Commit 78f26e3a authored by Kirill Smelkov's avatar Kirill Smelkov

amari.drb += _IncStats

An utility class to compute avg/std incrementally.

Thanks to https://www.johndcook.com/blog/standard_deviation/ for the
recipe of how to do it.
parent d102ffaa
...@@ -27,6 +27,7 @@ ...@@ -27,6 +27,7 @@
from golang import func from golang import func
from golang import time from golang import time
import math
import sys import sys
tti = 1*time.millisecond # = 1·subframe Ts = 1/(2048·15000)·s ≈ 32.6 ns tti = 1*time.millisecond # = 1·subframe Ts = 1/(2048·15000)·s ≈ 32.6 ns
...@@ -620,6 +621,70 @@ def __repr__(s): ...@@ -620,6 +621,70 @@ def __repr__(s):
(s.tx_bytes, s.tx_time/tti, s.tx_time_err/tti, div(s.tx_bytes*8, s.tx_time), (b_hi - b_lo)/2) (s.tx_bytes, s.tx_time/tti, s.tx_time_err/tti, div(s.tx_bytes*8, s.tx_time), (b_hi - b_lo)/2)
# ----------------------------------------
# _IncStats incrementally computes statistics on provided values.
#
# Provide values via .add().
# Retrieve statistical properties via .avg/.std/.var/.min/.max .
class _IncStats:
__slots__ = (
'n', # number of samples seen so far
'μ', # current mean
'σ2', # ~ current variance
'min', # current min / max
'max',
)
def __init__(s):
s.n = 0
s.μ = 0.
s.σ2 = 0.
s.min = +float('inf')
s.max = -float('inf')
def add(s, x):
# https://www.johndcook.com/blog/standard_deviation/
s.n += 1
μ_ = s.μ # μ_{n-1}
s.μ += (x - μ_)/s.n
s.σ2 += (x - μ_)*(x - s.μ)
s.min = min(s.min, x)
s.max = max(s.max, x)
def avg(s):
if s.n == 0:
return float('nan')
return s.μ
def var(s):
if s.n == 0:
return float('nan')
return s.σ2 / s.n # note johndcook uses / (s.n-1) to unbias
def std(s):
return math.sqrt(s.var())
def __str__(s):
return s.str('%s', 1)
def str(s, fmt, scale):
t = "min/avg/max/σ "
if s.n == 0:
t += "?/?/? ±?"
else:
μ = s.avg() / scale
σ = s.std() / scale
min = s.min / scale
max = s.max / scale
f = "%s/%s/%s ±%s" % ((fmt,)*4)
t += f % (min, μ, max, σ)
return t
# ---------------------------------------- # ----------------------------------------
__debug = False __debug = False
......
...@@ -18,7 +18,8 @@ ...@@ -18,7 +18,8 @@
# See COPYING file for full licensing terms. # See COPYING file for full licensing terms.
# See https://www.nexedi.com/licensing for rationale and options. # See https://www.nexedi.com/licensing for rationale and options.
from xlte.amari.drb import _Sampler, Sample, _BitSync, tti from xlte.amari.drb import _Sampler, Sample, _BitSync, tti, _IncStats
import numpy as np
from golang import func from golang import func
...@@ -565,3 +566,15 @@ def __eq__(a, b): ...@@ -565,3 +566,15 @@ def __eq__(a, b):
# compare tx_time with tolerance to level-out floating point errors # compare tx_time with tolerance to level-out floating point errors
return (abs(a.tx_time - b.tx_time) < (tti / 1e6)) and \ return (abs(a.tx_time - b.tx_time) < (tti / 1e6)) and \
(a.tx_bytes == b.tx_bytes) (a.tx_bytes == b.tx_bytes)
def test_incstats():
X = list(3+_ for _ in range(20))
Xs = _IncStats()
for (n,x) in enumerate(X):
Xs.add(x)
Xn = X[:n+1]
assert Xs.avg() == np.mean(Xn)
assert Xs.std() == np.std(Xn)
assert Xs.min == min(Xn)
assert Xs.max == max(Xn)
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