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/*
* Copyright (C) 2010 Regents of the University of Michigan
*
* This program is free software: you can redistribute it and/or modify
* it under the terms of the GNU General Public License as published by
* the Free Software Foundation, either version 3 of the License, or
* (at your option) any later version.
*
* This program is distributed in the hope that it will be useful,
* but WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
* GNU General Public License for more details.
*
* You should have received a copy of the GNU General Public License
* along with this program. If not, see <http://www.gnu.org/licenses/>.
*/
#ifndef _SIMPLESTATS_H_
#define _SIMPLESTATS_H_
#include <math.h> // for sqrt
#include <iostream>
//
// see http://www.johndcook.com/standard_deviation.html
// or Donald Knuth's Art of Computer Programming, Vol 2, page 232, 3rd edition
//
class RunningStat
{
public:
RunningStat() : m_n(0), m_oldM(0), m_newM(0), m_oldS(0), m_newS(0) {}
void Clear()
{
m_n = 0;
}
void Push(double x)
{
m_n++;
// See Knuth TAOCP vol 2, 3rd edition, page 232
if (m_n == 1)
{
m_oldM = x;
m_oldS = 0.0;
m_newM = x;
m_newS = 0.0;
}
else
{
m_newM = m_oldM + (x - m_oldM)/m_n;
m_newS = m_oldS + (x - m_oldM)*(x - m_newM);
// set up for next iteration
m_oldM = m_newM;
m_oldS = m_newS;
}
}
int NumDataValues() const
{
return m_n;
}
double Mean() const
{
return (m_n > 0) ? m_newM : 0.0;
}
double Variance() const
{
return ((m_n > 1) ? m_newS/(m_n - 1) : 0.0);
}
double StandardDeviation() const
{
return sqrt(Variance());
}
private:
uint64_t m_n;
double m_oldM, m_newM, m_oldS, m_newS;
};
//
// helpers for Tabulate template
//
inline bool operator == (RunningStat &r, int i)
{
return r.NumDataValues() == i;
}
inline std::ostream &operator << (std::ostream &stream, RunningStat &s)
{
stream << "N: " << s.NumDataValues()
<< " Mean: " << s.Mean()
<< " Standard Deviation: " << s.StandardDeviation();
return stream;
}
#endif
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