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Put Welford's online algorithm everywhere

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mariadb-AndreyPiskunov
2022-09-06 18:45:56 +03:00
committed by Leonid Fedorov
parent 14b976991b
commit 14810d87ba
8 changed files with 531 additions and 227 deletions
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55
utils/regr/regr_sxx.cpp
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@ -39,8 +39,8 @@ static Add_regr_sxx_ToUDAFMap addToMap;
struct regr_sxx_data
{
uint64_t cnt;
long double sumx;
long double sumx2; // sum of (x squared)
long double avgx;
long double cx;
};
mcsv1_UDAF::ReturnCode regr_sxx::init(mcsv1Context* context, ColumnDatum* colTypes)
@ -73,8 +73,8 @@ mcsv1_UDAF::ReturnCode regr_sxx::reset(mcsv1Context* context)
{
struct regr_sxx_data* data = (struct regr_sxx_data*)context->getUserData()->data;
data->cnt = 0;
data->sumx = 0.0;
data->sumx2 = 0.0;
data->avgx = 0.0;
data->cx = 0.0;
return mcsv1_UDAF::SUCCESS;
}
@ -82,11 +82,15 @@ mcsv1_UDAF::ReturnCode regr_sxx::nextValue(mcsv1Context* context, ColumnDatum* v
{
double valx = toDouble(valsIn[1]);
struct regr_sxx_data* data = (struct regr_sxx_data*)context->getUserData()->data;
data->sumx += valx;
data->sumx2 += valx * valx;
long double avgxPrev = data->avgx;
long double cxPrev = data->cx;
++data->cnt;
uint64_t cnt = data->cnt;
long double dx = valx - avgxPrev;
avgxPrev += dx / cnt;
cxPrev += dx * (valx - avgxPrev);
data->avgx = avgxPrev;
data->cx = cxPrev;
return mcsv1_UDAF::SUCCESS;
}
@ -101,9 +105,24 @@ mcsv1_UDAF::ReturnCode regr_sxx::subEvaluate(mcsv1Context* context, const UserDa
struct regr_sxx_data* outData = (struct regr_sxx_data*)context->getUserData()->data;
struct regr_sxx_data* inData = (struct regr_sxx_data*)userDataIn->data;
outData->sumx += inData->sumx;
outData->sumx2 += inData->sumx2;
outData->cnt += inData->cnt;
uint64_t outCnt = outData->cnt;
long double outAvgx = outData->avgx;
long double outCx = outData->cx;
uint64_t inCnt = inData->cnt;
long double inAvgx = inData->avgx;
long double inCx = inData->cx;
uint64_t resCnt = inCnt + outCnt;
long double deltax = outAvgx - inAvgx;
long double resAvgx = inAvgx + deltax * outCnt / resCnt;
long double resCx = outCx + inCx + deltax * deltax * inCnt * outCnt / resCnt;
outData->avgx = resAvgx;
outData->cx = resCx;
outData->cnt = resCnt;
return mcsv1_UDAF::SUCCESS;
}
@ -114,7 +133,7 @@ mcsv1_UDAF::ReturnCode regr_sxx::evaluate(mcsv1Context* context, static_any::any
long double N = data->cnt;
if (N > 0)
{
long double regr_sxx = (data->sumx2 - (data->sumx * data->sumx / N));
long double regr_sxx = data->cx;
if (regr_sxx < 0) // catch -0
regr_sxx = 0;
valOut = static_cast<double>(regr_sxx);
@ -126,11 +145,15 @@ mcsv1_UDAF::ReturnCode regr_sxx::dropValue(mcsv1Context* context, ColumnDatum* v
{
double valx = toDouble(valsDropped[1]);
struct regr_sxx_data* data = (struct regr_sxx_data*)context->getUserData()->data;
data->sumx -= valx;
data->sumx2 -= valx * valx;
long double avgxPrev = data->avgx;
long double cxPrev = data->cx;
--data->cnt;
uint64_t cnt = data->cnt;
long double dx = valx - avgxPrev;
avgxPrev -= dx / cnt;
cxPrev -= dx * (valx - avgxPrev);
data->avgx = avgxPrev;
data->cx = cxPrev;
return mcsv1_UDAF::SUCCESS;
}