mirror of https://github.com/BOINC/boinc.git
59 lines
1.6 KiB
C
59 lines
1.6 KiB
C
// structure for tracking the recent mean and variance
|
|
// of a distribution that may change over time
|
|
//
|
|
// We maintain the mean/var in two ways:
|
|
// 1) over the entire history of samples, using the algorithm from
|
|
// http://en.wikipedia.org/wiki/Algorithms_for_calculating_variance
|
|
// 2) as an exponentially-smoothed recent average
|
|
//
|
|
// When the number of samples is small we use 1).
|
|
// Then we switch to 2).
|
|
|
|
#define MIN_SAMPLES 50
|
|
// after this many samples, use exponential average
|
|
#define SAMPLE_WEIGHT 0.005
|
|
// new samples get this weight in exp avg
|
|
#define SAMPLE_LIMIT 10
|
|
// cap samples at recent_mean*10
|
|
|
|
struct AVERAGE {
|
|
double n; // double to avoid integer overflow
|
|
double mean;
|
|
double sum_var;
|
|
// sample variance is this divided by (n-1)
|
|
double recent_mean;
|
|
double recent_var;
|
|
|
|
void update(double sample) {
|
|
if (sample < 0) return;
|
|
if (n > MIN_SAMPLES) {
|
|
if (sample > recent_mean*SAMPLE_LIMIT) {
|
|
sample = recent_mean*SAMPLE_LIMIT;
|
|
}
|
|
}
|
|
n++;
|
|
double delta = sample - mean;
|
|
mean += delta/n;
|
|
sum_var += delta*(sample-mean);
|
|
|
|
if (n < MIN_SAMPLES) {
|
|
recent_mean = mean;
|
|
recent_var = sum_var/n;
|
|
} else {
|
|
// update recent averages
|
|
delta = sample - recent_mean;
|
|
recent_mean += SAMPLE_WEIGHT*delta;
|
|
double d2 = delta*delta - recent_var;
|
|
recent_var += SAMPLE_WEIGHT*d2;
|
|
}
|
|
}
|
|
|
|
void clear() {
|
|
n = 0;
|
|
mean = 0;
|
|
sum_var = 0;
|
|
recent_mean = 0;
|
|
recent_var = 0;
|
|
}
|
|
};
|