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package tdigest
import (
"math"
"sort"
)
type TDigest struct {
Compression float64
maxProcessed int
maxUnprocessed int
processed CentroidList
unprocessed CentroidList
cumulative []float64
processedWeight float64
unprocessedWeight float64
min float64
max float64
}
func New() *TDigest {
return NewWithCompression(1000)
}
func NewWithCompression(c float64) *TDigest {
t := &TDigest{
Compression: c,
}
t.maxProcessed = processedSize(0, t.Compression)
t.maxUnprocessed = unprocessedSize(0, t.Compression)
t.processed = make([]Centroid, 0, t.maxProcessed)
t.unprocessed = make([]Centroid, 0, t.maxUnprocessed+1)
t.min = math.MaxFloat64
t.max = -math.MaxFloat64
return t
}
func (t *TDigest) Add(x, w float64) {
if math.IsNaN(x) {
return
}
t.AddCentroid(Centroid{Mean: x, Weight: w})
}
func (t *TDigest) AddCentroidList(c CentroidList) {
l := c.Len()
for i := 0; i < l; i++ {
diff := l - i
room := t.maxUnprocessed - t.unprocessed.Len()
mid := i + diff
if room < diff {
mid = i + room
}
for i < mid {
t.AddCentroid(c[i])
i++
}
}
}
func (t *TDigest) AddCentroid(c Centroid) {
t.unprocessed = append(t.unprocessed, c)
t.unprocessedWeight += c.Weight
if t.processed.Len() > t.maxProcessed ||
t.unprocessed.Len() > t.maxUnprocessed {
t.process()
}
}
func (t *TDigest) process() {
if t.unprocessed.Len() > 0 ||
t.processed.Len() > t.maxProcessed {
// Append all processed centroids to the unprocessed list and sort
t.unprocessed = append(t.unprocessed, t.processed...)
sort.Sort(&t.unprocessed)
// Reset processed list with first centroid
t.processed.Clear()
t.processed = append(t.processed, t.unprocessed[0])
t.processedWeight += t.unprocessedWeight
t.unprocessedWeight = 0
soFar := t.unprocessed[0].Weight
limit := t.processedWeight * t.integratedQ(1.0)
for _, centroid := range t.unprocessed[1:] {
projected := soFar + centroid.Weight
if projected <= limit {
soFar = projected
(&t.processed[t.processed.Len()-1]).Add(centroid)
} else {
k1 := t.integratedLocation(soFar / t.processedWeight)
limit = t.processedWeight * t.integratedQ(k1+1.0)
soFar += centroid.Weight
t.processed = append(t.processed, centroid)
}
}
t.min = math.Min(t.min, t.processed[0].Mean)
t.max = math.Max(t.max, t.processed[t.processed.Len()-1].Mean)
t.updateCumulative()
t.unprocessed.Clear()
}
}
func (t *TDigest) updateCumulative() {
t.cumulative = make([]float64, t.processed.Len()+1)
prev := 0.0
for i, centroid := range t.processed {
cur := centroid.Weight
t.cumulative[i] = prev + cur/2.0
prev = prev + cur
}
t.cumulative[t.processed.Len()] = prev
}
func (t *TDigest) Quantile(q float64) float64 {
t.process()
if q < 0 || q > 1 || t.processed.Len() == 0 {
return math.NaN()
}
if t.processed.Len() == 1 {
return t.processed[0].Mean
}
index := q * t.processedWeight
if index <= t.processed[0].Weight/2.0 {
return t.min + 2.0*index/t.processed[0].Weight*(t.processed[0].Mean-t.min)
}
lower := sort.Search(len(t.cumulative), func(i int) bool {
return t.cumulative[i] >= index
})
if lower+1 != len(t.cumulative) {
z1 := index - t.cumulative[lower-1]
z2 := t.cumulative[lower] - index
return weightedAverage(t.processed[lower-1].Mean, z2, t.processed[lower].Mean, z1)
}
z1 := index - t.processedWeight - t.processed[lower-1].Weight/2.0
z2 := (t.processed[lower-1].Weight / 2.0) - z1
return weightedAverage(t.processed[t.processed.Len()-1].Mean, z1, t.max, z2)
}
func (t *TDigest) CDF(x float64) float64 {
t.process()
switch t.processed.Len() {
case 0:
return 0.0
case 1:
width := t.max - t.min
if x <= t.min {
return 0.0
}
if x >= t.max {
return 1.0
}
if (x - t.min) <= width {
// min and max are too close together to do any viable interpolation
return 0.5
}
return (x - t.min) / width
}
if x <= t.min {
return 0.0
}
if x >= t.max {
return 1.0
}
m0 := t.processed[0].Mean
// Left Tail
if x <= m0 {
if m0-t.min > 0 {
return (x - t.min) / (m0 - t.min) * t.processed[0].Weight / t.processedWeight / 2.0
}
return 0.0
}
// Right Tail
mn := t.processed[t.processed.Len()-1].Mean
if x >= mn {
if t.max-mn > 0.0 {
return 1.0 - (t.max-x)/(t.max-mn)*t.processed[t.processed.Len()-1].Weight/t.processedWeight/2.0
}
return 1.0
}
upper := sort.Search(t.processed.Len(), func(i int) bool {
return t.processed[i].Mean > x
})
z1 := x - t.processed[upper-1].Mean
z2 := t.processed[upper].Mean - x
return weightedAverage(t.cumulative[upper-1], z2, t.cumulative[upper], z1) / t.processedWeight
}
func (t *TDigest) integratedQ(k float64) float64 {
return (math.Sin(math.Min(k, t.Compression)*math.Pi/t.Compression-math.Pi/2.0) + 1.0) / 2.0
}
func (t *TDigest) integratedLocation(q float64) float64 {
return t.Compression * (math.Asin(2.0*q-1.0) + math.Pi/2.0) / math.Pi
}
func weightedAverage(x1, w1, x2, w2 float64) float64 {
if x1 <= x2 {
return weightedAverageSorted(x1, w1, x2, w2)
}
return weightedAverageSorted(x2, w2, x1, w1)
}
func weightedAverageSorted(x1, w1, x2, w2 float64) float64 {
x := (x1*w1 + x2*w2) / (w1 + w2)
return math.Max(x1, math.Min(x, x2))
}
func processedSize(size int, compression float64) int {
if size == 0 {
return int(2 * math.Ceil(compression))
}
return size
}
func unprocessedSize(size int, compression float64) int {
if size == 0 {
return int(8 * math.Ceil(compression))
}
return size
}
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