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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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54
utils/regr/regr_syy.cpp
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@ -39,8 +39,8 @@ static Add_regr_syy_ToUDAFMap addToMap;
struct regr_syy_data
{
uint64_t cnt;
long double sumy;
long double sumy2; // sum of (y squared)
long double avgy;
long double cy; // sum of (y squared)
};
mcsv1_UDAF::ReturnCode regr_syy::init(mcsv1Context* context, ColumnDatum* colTypes)
@ -73,8 +73,8 @@ mcsv1_UDAF::ReturnCode regr_syy::reset(mcsv1Context* context)
{
struct regr_syy_data* data = (struct regr_syy_data*)context->getUserData()->data;
data->cnt = 0;
data->sumy = 0.0;
data->sumy2 = 0.0;
data->avgy = 0.0;
data->cy = 0.0;
return mcsv1_UDAF::SUCCESS;
}
@ -82,11 +82,15 @@ mcsv1_UDAF::ReturnCode regr_syy::nextValue(mcsv1Context* context, ColumnDatum* v
{
double valy = toDouble(valsIn[0]);
struct regr_syy_data* data = (struct regr_syy_data*)context->getUserData()->data;
data->sumy += valy;
data->sumy2 += valy * valy;
long double avgyPrev = data->avgy;
long double cyPrev = data->cy;
++data->cnt;
uint64_t cnt = data->cnt;
long double dy = valy - avgyPrev;
avgyPrev += dy / cnt;
cyPrev += dy * (valy - avgyPrev);
data->avgy = avgyPrev;
data->cy = cyPrev;
return mcsv1_UDAF::SUCCESS;
}
@ -101,9 +105,24 @@ mcsv1_UDAF::ReturnCode regr_syy::subEvaluate(mcsv1Context* context, const UserDa
struct regr_syy_data* outData = (struct regr_syy_data*)context->getUserData()->data;
struct regr_syy_data* inData = (struct regr_syy_data*)userDataIn->data;
outData->sumy += inData->sumy;
outData->sumy2 += inData->sumy2;
outData->cnt += inData->cnt;
uint64_t outCnt = outData->cnt;
long double outAvgy = outData->avgy;
long double outCy = outData->cy;
uint64_t inCnt = inData->cnt;
long double inAvgy = inData->avgy;
long double inCy = inData->cy;
uint64_t resCnt = inCnt + outCnt;
long double deltay = outAvgy - inAvgy;
long double resAvgy = inAvgy + deltay * outCnt / resCnt;
long double resCy = outCy + inCy + deltay * deltay * inCnt * outCnt / resCnt;
outData->avgy = resAvgy;
outData->cy = resCy;
outData->cnt = resCnt;
return mcsv1_UDAF::SUCCESS;
}
@ -114,7 +133,7 @@ mcsv1_UDAF::ReturnCode regr_syy::evaluate(mcsv1Context* context, static_any::any
long double N = data->cnt;
if (N > 0)
{
long double var_popy = (data->sumy2 - (data->sumy * data->sumy / N));
long double var_popy = data->cy;
if (var_popy < 0) // might be -0
var_popy = 0;
valOut = static_cast<double>(var_popy);
@ -127,10 +146,15 @@ mcsv1_UDAF::ReturnCode regr_syy::dropValue(mcsv1Context* context, ColumnDatum* v
double valy = toDouble(valsDropped[0]);
struct regr_syy_data* data = (struct regr_syy_data*)context->getUserData()->data;
data->sumy -= valy;
data->sumy2 -= valy * valy;
long double avgyPrev = data->avgy;
long double cyPrev = data->cy;
--data->cnt;
uint64_t cnt = data->cnt;
long double dy = valy - avgyPrev;
avgyPrev -= dy / cnt;
cyPrev -= dy * (valy - avgyPrev);
data->avgy = avgyPrev;
data->cy = cyPrev;
return mcsv1_UDAF::SUCCESS;
}