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From nickwallen <...@git.apache.org>
Subject [GitHub] incubator-metron pull request #250: METRON-416: Provide the ability to store...
Date Tue, 13 Sep 2016 19:51:54 GMT
Github user nickwallen commented on a diff in the pull request:

    https://github.com/apache/incubator-metron/pull/250#discussion_r78631385
  
    --- Diff: metron-platform/metron-common/src/main/java/org/apache/metron/common/math/stats/OnlineStatisticsProvider.java
---
    @@ -0,0 +1,243 @@
    +/*
    + *
    + *  Licensed to the Apache Software Foundation (ASF) under one
    + *  or more contributor license agreements.  See the NOTICE file
    + *  distributed with this work for additional information
    + *  regarding copyright ownership.  The ASF licenses this file
    + *  to you under the Apache License, Version 2.0 (the
    + *  "License"); you may not use this file except in compliance
    + *  with the License.  You may obtain a copy of the License at
    + *
    + *      http://www.apache.org/licenses/LICENSE-2.0
    + *
    + *  Unless required by applicable law or agreed to in writing, software
    + *  distributed under the License is distributed on an "AS IS" BASIS,
    + *  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
    + *  See the License for the specific language governing permissions and
    + *  limitations under the License.
    + *
    + */
    +
    +package org.apache.metron.common.math.stats;
    +
    +import com.tdunning.math.stats.TDigest;
    +import org.apache.commons.math3.util.FastMath;
    +
    +/**
    + * A (near) constant memory implementation of a statistics provider.
    + * For first order statistics, simple terms are stored and composed
    + * to return the statistics results.  This is intended to provide a
    + * mergeable implementation for a statistics provider.
    + */
    +public class OnlineStatisticsProvider implements StatisticsProvider {
    +  /**
    +   * A sensible default for compression to use in the T-Digest.
    +   * As per https://github.com/tdunning/t-digest/blob/master/src/main/java/com/tdunning/math/stats/TDigest.java#L86
    +   * 100 is a sensible default and the number of centroids retained (to construct the
sketch)
    +   * is usually a smallish (usually < 10) multiple of the compression.
    +   */
    +  public static final int COMPRESSION = 100;
    +
    +
    +  /**
    +   * A distributional sketch that uses a variant of 1-D k-means to construct a tree of
ranges
    +   * that sketches the distribution.  See https://github.com/tdunning/t-digest#t-digest
for
    +   * more detail.
    +   */
    +  private TDigest digest;
    +
    +  private long n = 0;
    +  private double sum = 0;
    +  private double sumOfSquares = 0;
    +  private double sumOfLogs = 0;
    +  private Double min = null;
    +  private Double max = null;
    +
    +  //\mu_1, E[X]
    +  private double M1 = 0;
    +  //\mu_2: E[(X - \mu)^2]
    +  private double M2 = 0;
    +  //\mu_3: E[(X - \mu)^3]
    +  private double M3 = 0;
    +  //\mu_4: E[(X - \mu)^4]
    +  private double M4 = 0;
    +
    +  public OnlineStatisticsProvider() {
    +    digest = TDigest.createAvlTreeDigest(COMPRESSION);
    +  }
    +
    +  /**
    +   * Add a value.
    +   * NOTE: This does not store the point, but only updates internal state.
    +   * NOTE: This is NOT threadsafe.
    +   * @param value
    +   */
    +  @Override
    +  public void addValue(double value) {
    +    long n1 = n;
    +    min = min == null?value:Math.min(min, value);
    +    max = max == null?value:Math.max(max, value);
    +    sum += value;
    +    sumOfLogs += Math.log(value);
    +    sumOfSquares += value*value;
    --- End diff --
    
    Do we need to check for overflow?  Does it make sense to accumulate doubles in a double?
 Shouldn't we use something bigger than a double, like a BigDecimal?


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