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dbms: Server: Feature implementation. [#METR-16188]

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This commit is contained in:
Alexey Arno 2015-05-15 19:54:17 +03:00
parent b9014db828
commit 3b2a84264e
1 changed files with 43 additions and 4 deletions
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47
dbms/include/DB/AggregateFunctions/AggregateFunctionsStatistics.h
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@ -11,6 +11,19 @@
namespace DB
{
/// XXX Реализовать корреляцию и ковариацию.
/** Статистические аггрегатные функции:
* varSamp - выборочная дисперсия
* stddevSamp - среднее выборочное квадратичное отклонение
* varPop - дисперсия
* stddevPop - среднее квадратичное отклонение
*/
/** Параллельный и инкрементальный алгоритм для вычисления дисперсии.
* Источник: "Updating formulae and a pairwise algorithm for computing sample variances"
* (Chan et al., Stanford University, 12/1979)
*/
template<typename T, typename Op>
class AggregateFunctionVarianceData
{
@ -31,12 +44,23 @@ public:
void mergeWith(const AggregateFunctionVarianceData & source)
{
UInt64 total_count = count + source.count;
if (total_count == 0)
return;
Float64 factor = static_cast<Float64>(count * source.count) / total_count;
Float64 delta = mean - source.mean;
count = total_count;
mean += delta * (source.count / count);
auto res = std::minmax(count, source.count);
if (((1 - static_cast<Float64>(res.first) / res.second) < 0.001) && (res.first > 10000))
{
/// Эта формула более стабильная, когда размеры обоих источников велики и сравнимы.
mean = (source.count * source.mean + count * mean) / total_count;
}
else
mean = source.mean + delta * (count / total_count);
m2 += source.m2 + delta * delta * factor;
count = total_count;
}
void serialize(WriteBuffer & buf) const
@ -64,6 +88,8 @@ private:
Float64 m2 = 0.0;
};
/** Основной код для реализации функций varSamp, stddevSamp, varPop, stddevPop.
*/
template<typename T, typename Op>
class AggregateFunctionVariance final : public IUnaryAggregateFunction<AggregateFunctionVarianceData<T, Op>, AggregateFunctionVariance<T, Op> >
{
@ -111,19 +137,26 @@ public:
}
};
/** Реализации функции varSamp.
*/
struct VarSampImpl
{
static constexpr auto name = "varSamp";
static inline Float64 apply(Float64 m2, UInt64 count)
{
if (count == 1)
if (count < 2)
return 0.0;
else
return m2 / (count - 1);
}
};
namespace
{
/** Реализация функции stddevSamp.
*/
struct StdDevSampImpl
{
static constexpr auto name = "stddevSamp";
@ -134,19 +167,23 @@ struct StdDevSampImpl
}
};
/** Реализация функции varPop.
*/
struct VarPopImpl
{
static constexpr auto name = "varPop";
static inline Float64 apply(Float64 m2, UInt64 count)
{
if (count == 1)
if (count < 2)
return 0.0;
else
return m2 / count;
}
};
/** Реализация функции stddevPop.
*/
struct StdDevPopImpl
{
static constexpr auto name = "stddevPop";
@ -157,6 +194,8 @@ struct StdDevPopImpl
}
};
}
template<typename T>
using AggregateFunctionVarSamp = AggregateFunctionVariance<T, VarSampImpl>;