ClickHouse/src/AggregateFunctions/AggregateFunctionStatisticsSimple.h

#pragma once

#include <cmath>

#include <common/arithmeticOverflow.h>

#include <IO/WriteHelpers.h>
#include <IO/ReadHelpers.h>

#include <AggregateFunctions/IAggregateFunction.h>
#include <AggregateFunctions/Moments.h>

#include <DataTypes/DataTypesNumber.h>
#include <DataTypes/DataTypesDecimal.h>
#include <Columns/ColumnVector.h>
#include <Columns/ColumnDecimal.h>


/** This is simple, not numerically stable
  *  implementations of variance/covariance/correlation functions.
  *
  * It is about two times faster than stable variants.
  * Numerical errors may occur during summation.
  *
  * This implementation is selected as default,
  *  because "you don't pay for what you don't need" principle.
  *
  * For more sophisticated implementation, look at AggregateFunctionStatistics.h
  */

namespace DB
{

enum class StatisticsFunctionKind
{
    varPop, varSamp,
    stddevPop, stddevSamp,
    skewPop, skewSamp,
    kurtPop, kurtSamp,
    covarPop, covarSamp,
    corr
};


template <typename T, StatisticsFunctionKind _kind, size_t _level>
struct StatFuncOneArg
{
    using Type1 = T;
    using Type2 = T;
    using ResultType = std::conditional_t<std::is_same_v<T, Float32>, Float32, Float64>;
    using Data = std::conditional_t<IsDecimalNumber<T>, VarMomentsDecimal<Decimal128, _level>, VarMoments<ResultType, _level>>;

    static constexpr StatisticsFunctionKind kind = _kind;
    static constexpr UInt32 num_args = 1;
};

template <typename T1, typename T2, StatisticsFunctionKind _kind>
struct StatFuncTwoArg
{
    using Type1 = T1;
    using Type2 = T2;
    using ResultType = std::conditional_t<std::is_same_v<T1, T2> && std::is_same_v<T1, Float32>, Float32, Float64>;
    using Data = std::conditional_t<_kind == StatisticsFunctionKind::corr, CorrMoments<ResultType>, CovarMoments<ResultType>>;

    static constexpr StatisticsFunctionKind kind = _kind;
    static constexpr UInt32 num_args = 2;
};


template <typename StatFunc>
class AggregateFunctionVarianceSimple final
    : public IAggregateFunctionDataHelper<typename StatFunc::Data, AggregateFunctionVarianceSimple<StatFunc>>
{
public:
    using T1 = typename StatFunc::Type1;
    using T2 = typename StatFunc::Type2;
    using ColVecT1 = std::conditional_t<IsDecimalNumber<T1>, ColumnDecimal<T1>, ColumnVector<T1>>;
    using ColVecT2 = std::conditional_t<IsDecimalNumber<T2>, ColumnDecimal<T2>, ColumnVector<T2>>;
    using ResultType = typename StatFunc::ResultType;
    using ColVecResult = ColumnVector<ResultType>;

    AggregateFunctionVarianceSimple(const DataTypes & argument_types_)
        : IAggregateFunctionDataHelper<typename StatFunc::Data, AggregateFunctionVarianceSimple<StatFunc>>(argument_types_, {})
        , src_scale(0)
    {}

    AggregateFunctionVarianceSimple(const IDataType & data_type, const DataTypes & argument_types_)
        : IAggregateFunctionDataHelper<typename StatFunc::Data, AggregateFunctionVarianceSimple<StatFunc>>(argument_types_, {})
        , src_scale(getDecimalScale(data_type))
    {}

    String getName() const override
    {
        if constexpr (StatFunc::kind == StatisticsFunctionKind::varPop)
            return "varPop";
        if constexpr (StatFunc::kind == StatisticsFunctionKind::varSamp)
            return "varSamp";
        if constexpr (StatFunc::kind == StatisticsFunctionKind::stddevPop)
            return "stddevPop";
        if constexpr (StatFunc::kind == StatisticsFunctionKind::stddevSamp)
            return "stddevSamp";
        if constexpr (StatFunc::kind == StatisticsFunctionKind::skewPop)
            return "skewPop";
        if constexpr (StatFunc::kind == StatisticsFunctionKind::skewSamp)
            return "skewSamp";
        if constexpr (StatFunc::kind == StatisticsFunctionKind::kurtPop)
            return "kurtPop";
        if constexpr (StatFunc::kind == StatisticsFunctionKind::kurtSamp)
            return "kurtSamp";
        if constexpr (StatFunc::kind == StatisticsFunctionKind::covarPop)
            return "covarPop";
        if constexpr (StatFunc::kind == StatisticsFunctionKind::covarSamp)
            return "covarSamp";
        if constexpr (StatFunc::kind == StatisticsFunctionKind::corr)
            return "corr";
        __builtin_unreachable();
    }

    DataTypePtr getReturnType() const override
    {
        return std::make_shared<DataTypeNumber<ResultType>>();
    }

    void add(AggregateDataPtr place, const IColumn ** columns, size_t row_num, Arena *) const override
    {
        if constexpr (StatFunc::num_args == 2)
            this->data(place).add(
                static_cast<ResultType>(static_cast<const ColVecT1 &>(*columns[0]).getData()[row_num]),
                static_cast<ResultType>(static_cast<const ColVecT2 &>(*columns[1]).getData()[row_num]));
        else
        {
            if constexpr (std::is_same_v<T1, Decimal256>)
            {
                this->data(place).add(static_cast<ResultType>(
                    static_cast<const ColVecT1 &>(*columns[0]).getData()[row_num].value
                ));
            }
            else
                this->data(place).add(
                    static_cast<ResultType>(static_cast<const ColVecT1 &>(*columns[0]).getData()[row_num]));
        }
    }

    void merge(AggregateDataPtr place, ConstAggregateDataPtr rhs, Arena *) const override
    {
        this->data(place).merge(this->data(rhs));
    }

    void serialize(ConstAggregateDataPtr place, WriteBuffer & buf) const override
    {
        this->data(place).write(buf);
    }

    void deserialize(AggregateDataPtr place, ReadBuffer & buf, Arena *) const override
    {
        this->data(place).read(buf);
    }

    void insertResultInto(AggregateDataPtr place, IColumn & to, Arena *) const override
    {
        const auto & data = this->data(place);
        auto & dst = static_cast<ColVecResult &>(to).getData();

        if constexpr (IsDecimalNumber<T1>)
        {
            if constexpr (StatFunc::kind == StatisticsFunctionKind::varPop)
                dst.push_back(data.getPopulation(src_scale * 2));
            if constexpr (StatFunc::kind == StatisticsFunctionKind::varSamp)
                dst.push_back(data.getSample(src_scale * 2));
            if constexpr (StatFunc::kind == StatisticsFunctionKind::stddevPop)
                dst.push_back(sqrt(data.getPopulation(src_scale * 2)));
            if constexpr (StatFunc::kind == StatisticsFunctionKind::stddevSamp)
                dst.push_back(sqrt(data.getSample(src_scale * 2)));
            if constexpr (StatFunc::kind == StatisticsFunctionKind::skewPop)
            {
                Float64 var_value = data.getPopulation(src_scale * 2);

                if (var_value > 0)
                    dst.push_back(data.getMoment3(src_scale * 3) / pow(var_value, 1.5));
                else
                    dst.push_back(std::numeric_limits<Float64>::quiet_NaN());
            }
            if constexpr (StatFunc::kind == StatisticsFunctionKind::skewSamp)
            {
                Float64 var_value = data.getSample(src_scale * 2);

                if (var_value > 0)
                    dst.push_back(data.getMoment3(src_scale * 3) / pow(var_value, 1.5));
                else
                    dst.push_back(std::numeric_limits<Float64>::quiet_NaN());
            }
            if constexpr (StatFunc::kind == StatisticsFunctionKind::kurtPop)
            {
                Float64 var_value = data.getPopulation(src_scale * 2);

                if (var_value > 0)
                    dst.push_back(data.getMoment4(src_scale * 4) / pow(var_value, 2));
                else
                    dst.push_back(std::numeric_limits<Float64>::quiet_NaN());
            }
            if constexpr (StatFunc::kind == StatisticsFunctionKind::kurtSamp)
            {
                Float64 var_value = data.getSample(src_scale * 2);

                if (var_value > 0)
                    dst.push_back(data.getMoment4(src_scale * 4) / pow(var_value, 2));
                else
                    dst.push_back(std::numeric_limits<Float64>::quiet_NaN());
            }
        }
        else
        {
            if constexpr (StatFunc::kind == StatisticsFunctionKind::varPop)
                dst.push_back(data.getPopulation());
            if constexpr (StatFunc::kind == StatisticsFunctionKind::varSamp)
                dst.push_back(data.getSample());
            if constexpr (StatFunc::kind == StatisticsFunctionKind::stddevPop)
                dst.push_back(sqrt(data.getPopulation()));
            if constexpr (StatFunc::kind == StatisticsFunctionKind::stddevSamp)
                dst.push_back(sqrt(data.getSample()));
            if constexpr (StatFunc::kind == StatisticsFunctionKind::skewPop)
            {
                ResultType var_value = data.getPopulation();

                if (var_value > 0)
                    dst.push_back(data.getMoment3() / pow(var_value, 1.5));
                else
                    dst.push_back(std::numeric_limits<ResultType>::quiet_NaN());
            }
            if constexpr (StatFunc::kind == StatisticsFunctionKind::skewSamp)
            {
                ResultType var_value = data.getSample();

                if (var_value > 0)
                    dst.push_back(data.getMoment3() / pow(var_value, 1.5));
                else
                    dst.push_back(std::numeric_limits<ResultType>::quiet_NaN());
            }
            if constexpr (StatFunc::kind == StatisticsFunctionKind::kurtPop)
            {
                ResultType var_value = data.getPopulation();

                if (var_value > 0)
                    dst.push_back(data.getMoment4() / pow(var_value, 2));
                else
                    dst.push_back(std::numeric_limits<ResultType>::quiet_NaN());
            }
            if constexpr (StatFunc::kind == StatisticsFunctionKind::kurtSamp)
            {
                ResultType var_value = data.getSample();

                if (var_value > 0)
                    dst.push_back(data.getMoment4() / pow(var_value, 2));
                else
                    dst.push_back(std::numeric_limits<ResultType>::quiet_NaN());
            }
            if constexpr (StatFunc::kind == StatisticsFunctionKind::covarPop)
                dst.push_back(data.getPopulation());
            if constexpr (StatFunc::kind == StatisticsFunctionKind::covarSamp)
                dst.push_back(data.getSample());
            if constexpr (StatFunc::kind == StatisticsFunctionKind::corr)
                dst.push_back(data.get());
        }
    }

private:
    UInt32 src_scale;
};


template <typename T> using AggregateFunctionVarPopSimple = AggregateFunctionVarianceSimple<StatFuncOneArg<T, StatisticsFunctionKind::varPop, 2>>;
template <typename T> using AggregateFunctionVarSampSimple = AggregateFunctionVarianceSimple<StatFuncOneArg<T, StatisticsFunctionKind::varSamp, 2>>;
template <typename T> using AggregateFunctionStddevPopSimple = AggregateFunctionVarianceSimple<StatFuncOneArg<T, StatisticsFunctionKind::stddevPop, 2>>;
template <typename T> using AggregateFunctionStddevSampSimple = AggregateFunctionVarianceSimple<StatFuncOneArg<T, StatisticsFunctionKind::stddevSamp, 2>>;
template <typename T> using AggregateFunctionSkewPopSimple = AggregateFunctionVarianceSimple<StatFuncOneArg<T, StatisticsFunctionKind::skewPop, 3>>;
template <typename T> using AggregateFunctionSkewSampSimple = AggregateFunctionVarianceSimple<StatFuncOneArg<T, StatisticsFunctionKind::skewSamp, 3>>;
template <typename T> using AggregateFunctionKurtPopSimple = AggregateFunctionVarianceSimple<StatFuncOneArg<T, StatisticsFunctionKind::kurtPop, 4>>;
template <typename T> using AggregateFunctionKurtSampSimple = AggregateFunctionVarianceSimple<StatFuncOneArg<T, StatisticsFunctionKind::kurtSamp, 4>>;
template <typename T1, typename T2> using AggregateFunctionCovarPopSimple = AggregateFunctionVarianceSimple<StatFuncTwoArg<T1, T2, StatisticsFunctionKind::covarPop>>;
template <typename T1, typename T2> using AggregateFunctionCovarSampSimple = AggregateFunctionVarianceSimple<StatFuncTwoArg<T1, T2, StatisticsFunctionKind::covarSamp>>;
template <typename T1, typename T2> using AggregateFunctionCorrSimple = AggregateFunctionVarianceSimple<StatFuncTwoArg<T1, T2, StatisticsFunctionKind::corr>>;

}