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var/stddev for decimal [CLICKHOUSE-3765]
This commit is contained in:
chertus
parent
59f8313b83
commit
7adf8d29cf
@ -2,13 +2,17 @@
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#include <cmath>
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#include <common/arithmeticOverflow.h>
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#include <IO/WriteHelpers.h>
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#include <IO/ReadHelpers.h>
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#include <AggregateFunctions/IAggregateFunction.h>
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#include <DataTypes/DataTypesNumber.h>
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#include <DataTypes/DataTypesDecimal.h>
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#include <Columns/ColumnVector.h>
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#include <Columns/ColumnDecimal.h>
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/** This is simple, not numerically stable
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@ -26,17 +30,11 @@
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namespace DB
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{
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enum class VarianceMode
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namespace ErrorCodes
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{
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Population,
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Sample
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};
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enum class VariancePower
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{
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Original,
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Sqrt
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};
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extern const int LOGICAL_ERROR;
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extern const int DECIMAL_OVERFLOW;
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}
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template <typename T>
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@ -70,15 +68,74 @@ struct VarMoments
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readPODBinary(*this, buf);
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}
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template <VarianceMode mode, VariancePower power>
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T get() const
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T getPopulation() const
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{
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if (m0 == 0 && mode == VarianceMode::Sample)
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return (m2 - m1 * m1 / m0) / m0;
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}
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T getSample() const
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{
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if (m0 == 0)
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return std::numeric_limits<T>::quiet_NaN();
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return (m2 - m1 * m1 / m0) / (m0 - 1);
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}
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T get() const { throw Exception("Unexpected call", ErrorCodes::LOGICAL_ERROR); }
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};
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template <typename T>
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struct VarMomentsDecimal
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{
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using NativeType = typename T::NativeType;
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UInt64 m0{};
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NativeType m1{};
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NativeType m2{};
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void add(NativeType x)
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{
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++m0;
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m1 += x;
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NativeType tmp; /// scale' = 2 * scale
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if (common::mulOverflow(x, x, tmp) || common::addOverflow(m2, tmp, m2))
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throw Exception("Decimal math overflow", ErrorCodes::DECIMAL_OVERFLOW);
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}
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void merge(const VarMomentsDecimal & rhs)
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{
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m0 += rhs.m0;
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m1 += rhs.m1;
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if (common::addOverflow(m2, rhs.m2, m2))
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throw Exception("Decimal math overflow", ErrorCodes::DECIMAL_OVERFLOW);
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}
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void write(WriteBuffer & buf) const { writePODBinary(*this, buf); }
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void read(ReadBuffer & buf) { readPODBinary(*this, buf); }
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Float64 getPopulation(UInt32 scale) const
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{
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NativeType tmp;
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if (common::mulOverflow(m1, m1, tmp) ||
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common::subOverflow(m2, NativeType(tmp/m0), tmp))
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throw Exception("Decimal math overflow", ErrorCodes::DECIMAL_OVERFLOW);
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return convertFromDecimal<DataTypeDecimal<T>, DataTypeNumber<Float64>>(tmp / m0, scale);
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}
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Float64 getSample(UInt32 scale) const
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{
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if (m0 == 0)
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return std::numeric_limits<T>::quiet_NaN();
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T res = (m2 - m1 * m1 / m0) / (m0 - (mode == VarianceMode::Sample));
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return power == VariancePower::Original ? res : sqrt(res);
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NativeType tmp;
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if (common::mulOverflow(m1, m1, tmp) ||
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common::subOverflow(m2, NativeType(tmp/m0), tmp))
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throw Exception("Decimal math overflow", ErrorCodes::DECIMAL_OVERFLOW);
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return convertFromDecimal<DataTypeDecimal<T>, DataTypeNumber<Float64>>(tmp / (m0 - 1), scale);
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}
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Float64 get() const { throw Exception("Unexpected call", ErrorCodes::LOGICAL_ERROR); }
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};
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template <typename T>
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@ -115,14 +172,19 @@ struct CovarMoments
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readPODBinary(*this, buf);
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}
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template <VarianceMode mode>
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T get() const
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T getPopulation() const
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{
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if (m0 == 0 && mode == VarianceMode::Sample)
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return std::numeric_limits<T>::quiet_NaN();
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return (xy - x1 * y1 / m0) / (m0 - (mode == VarianceMode::Sample));
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return (xy - x1 * y1 / m0) / m0;
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}
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T getSample() const
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{
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if (m0 == 0)
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return std::numeric_limits<T>::quiet_NaN();
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return (xy - x1 * y1 / m0) / (m0 - 1);
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}
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T get() const { throw Exception("Unexpected call", ErrorCodes::LOGICAL_ERROR); }
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};
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template <typename T>
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@ -169,6 +231,9 @@ struct CorrMoments
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{
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return (m0 * xy - x1 * y1) / sqrt((m0 * x2 - x1 * x1) * (m0 * y2 - y1 * y1));
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}
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T getPopulation() const { throw Exception("Unexpected call", ErrorCodes::LOGICAL_ERROR); }
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T getSample() const { throw Exception("Unexpected call", ErrorCodes::LOGICAL_ERROR); }
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};
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@ -181,20 +246,54 @@ enum class StatisticsFunctionKind
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};
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template <typename T1, typename T2>
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using VarianceCalcType = std::conditional_t<std::is_same_v<T1, Float32> && std::is_same_v<T2, Float32>, Float32, Float64>;
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template <typename T1, typename T2, typename Data, StatisticsFunctionKind Kind>
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class AggregateFunctionVarianceSimple final
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: public IAggregateFunctionDataHelper<Data, AggregateFunctionVarianceSimple<T1, T2, Data, Kind>>
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template <typename T, StatisticsFunctionKind _kind>
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struct StatFuncOneArg
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{
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using ResultType = VarianceCalcType<T1, T2>;
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using Type1 = T;
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using Type2 = T;
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using ResultType = std::conditional_t<std::is_same_v<T, Float32>, Float32, Float64>;
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using Data = std::conditional_t<IsDecimalNumber<T>, VarMomentsDecimal<Decimal128>, VarMoments<ResultType>>;
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static constexpr StatisticsFunctionKind kind = _kind;
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static constexpr UInt32 num_args = 1;
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};
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template <typename T1, typename T2, StatisticsFunctionKind _kind>
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struct StatFuncTwoArg
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{
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using Type1 = T1;
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using Type2 = T2;
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using ResultType = std::conditional_t<std::is_same_v<T1, T2> && std::is_same_v<T1, Float32>, Float32, Float64>;
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using Data = std::conditional_t<_kind == StatisticsFunctionKind::corr, CorrMoments<ResultType>, CovarMoments<ResultType>>;
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static constexpr StatisticsFunctionKind kind = _kind;
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static constexpr UInt32 num_args = 2;
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};
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template <typename StatFunc>
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class AggregateFunctionVarianceSimple final
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: public IAggregateFunctionDataHelper<typename StatFunc::Data, AggregateFunctionVarianceSimple<StatFunc>>
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{
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public:
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using T1 = typename StatFunc::Type1;
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using T2 = typename StatFunc::Type2;
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using ColVecT1 = std::conditional_t<IsDecimalNumber<T1>, ColumnDecimal<T1>, ColumnVector<T1>>;
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using ColVecT2 = std::conditional_t<IsDecimalNumber<T2>, ColumnDecimal<T2>, ColumnVector<T2>>;
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using ResultType = typename StatFunc::ResultType;
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using ColVecResult = ColumnVector<ResultType>;
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AggregateFunctionVarianceSimple()
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: src_scale(0)
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{}
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AggregateFunctionVarianceSimple(const IDataType & data_type)
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: src_scale(getDecimalScale(data_type))
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{}
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String getName() const override
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{
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switch (Kind)
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switch (StatFunc::kind)
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{
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case StatisticsFunctionKind::varPop: return "varPop";
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case StatisticsFunctionKind::varSamp: return "varSamp";
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@ -214,13 +313,13 @@ public:
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void add(AggregateDataPtr place, const IColumn ** columns, size_t row_num, Arena *) const override
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{
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if constexpr (Kind == StatisticsFunctionKind::covarPop || Kind == StatisticsFunctionKind::covarSamp || Kind == StatisticsFunctionKind::corr)
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if constexpr (StatFunc::num_args == 2)
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this->data(place).add(
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static_cast<const ColumnVector<T1> &>(*columns[0]).getData()[row_num],
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static_cast<const ColumnVector<T2> &>(*columns[1]).getData()[row_num]);
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static_cast<const ColVecT1 &>(*columns[0]).getData()[row_num],
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static_cast<const ColVecT2 &>(*columns[1]).getData()[row_num]);
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else
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this->data(place).add(
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static_cast<const ColumnVector<T1> &>(*columns[0]).getData()[row_num]);
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static_cast<const ColVecT1 &>(*columns[0]).getData()[row_num]);
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}
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void merge(AggregateDataPtr place, ConstAggregateDataPtr rhs, Arena *) const override
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@ -241,27 +340,46 @@ public:
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void insertResultInto(ConstAggregateDataPtr place, IColumn & to) const override
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{
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const auto & data = this->data(place);
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auto & dst = static_cast<ColumnVector<ResultType> &>(to).getData();
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auto & dst = static_cast<ColVecResult &>(to).getData();
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if constexpr (Kind == StatisticsFunctionKind::varPop) dst.push_back(data.template get<VarianceMode::Population, VariancePower::Original>());
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else if constexpr (Kind == StatisticsFunctionKind::varSamp) dst.push_back(data.template get<VarianceMode::Sample, VariancePower::Original>());
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else if constexpr (Kind == StatisticsFunctionKind::stddevPop) dst.push_back(data.template get<VarianceMode::Population, VariancePower::Sqrt>());
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else if constexpr (Kind == StatisticsFunctionKind::stddevSamp) dst.push_back(data.template get<VarianceMode::Sample, VariancePower::Sqrt>());
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else if constexpr (Kind == StatisticsFunctionKind::covarPop) dst.push_back(data.template get<VarianceMode::Population>());
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else if constexpr (Kind == StatisticsFunctionKind::covarSamp) dst.push_back(data.template get<VarianceMode::Sample>());
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else if constexpr (Kind == StatisticsFunctionKind::corr) dst.push_back(data.get());
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if constexpr (IsDecimalNumber<T1>)
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{
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switch (StatFunc::kind)
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{
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case StatisticsFunctionKind::varPop: dst.push_back(data.getPopulation(src_scale * 2)); break;
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case StatisticsFunctionKind::varSamp: dst.push_back(data.getSample(src_scale * 2)); break;
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case StatisticsFunctionKind::stddevPop: dst.push_back(sqrt(data.getPopulation(src_scale * 2))); break;
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case StatisticsFunctionKind::stddevSamp: dst.push_back(sqrt(data.getSample(src_scale * 2))); break;
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}
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}
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else
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{
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switch (StatFunc::kind)
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{
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case StatisticsFunctionKind::varPop: dst.push_back(data.getPopulation()); break;
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case StatisticsFunctionKind::varSamp: dst.push_back(data.getSample()); break;
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case StatisticsFunctionKind::stddevPop: dst.push_back(sqrt(data.getPopulation())); break;
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case StatisticsFunctionKind::stddevSamp: dst.push_back(sqrt(data.getSample())); break;
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case StatisticsFunctionKind::covarPop: dst.push_back(data.getPopulation()); break;
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case StatisticsFunctionKind::covarSamp: dst.push_back(data.getSample()); break;
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case StatisticsFunctionKind::corr: dst.push_back(data.get()); break;
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}
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}
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}
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const char * getHeaderFilePath() const override { return __FILE__; }
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private:
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UInt32 src_scale;
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};
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template <typename T> using AggregateFunctionVarPopSimple = AggregateFunctionVarianceSimple<T, T, VarMoments<VarianceCalcType<T, T>>, StatisticsFunctionKind::varPop>;
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template <typename T> using AggregateFunctionVarSampSimple = AggregateFunctionVarianceSimple<T, T, VarMoments<VarianceCalcType<T, T>>, StatisticsFunctionKind::varSamp>;
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template <typename T> using AggregateFunctionStddevPopSimple = AggregateFunctionVarianceSimple<T, T, VarMoments<VarianceCalcType<T, T>>, StatisticsFunctionKind::stddevPop>;
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template <typename T> using AggregateFunctionStddevSampSimple = AggregateFunctionVarianceSimple<T, T, VarMoments<VarianceCalcType<T, T>>, StatisticsFunctionKind::stddevSamp>;
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template <typename T1, typename T2> using AggregateFunctionCovarPopSimple = AggregateFunctionVarianceSimple<T1, T2, CovarMoments<VarianceCalcType<T1, T2>>, StatisticsFunctionKind::covarPop>;
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template <typename T1, typename T2> using AggregateFunctionCovarSampSimple = AggregateFunctionVarianceSimple<T1, T2, CovarMoments<VarianceCalcType<T1, T2>>, StatisticsFunctionKind::covarSamp>;
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template <typename T1, typename T2> using AggregateFunctionCorrSimple = AggregateFunctionVarianceSimple<T1, T2, CorrMoments<VarianceCalcType<T1, T2>>, StatisticsFunctionKind::corr>;
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template <typename T> using AggregateFunctionVarPopSimple = AggregateFunctionVarianceSimple<StatFuncOneArg<T, StatisticsFunctionKind::varPop>>;
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template <typename T> using AggregateFunctionVarSampSimple = AggregateFunctionVarianceSimple<StatFuncOneArg<T, StatisticsFunctionKind::varSamp>>;
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template <typename T> using AggregateFunctionStddevPopSimple = AggregateFunctionVarianceSimple<StatFuncOneArg<T, StatisticsFunctionKind::stddevPop>>;
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template <typename T> using AggregateFunctionStddevSampSimple = AggregateFunctionVarianceSimple<StatFuncOneArg<T, StatisticsFunctionKind::stddevSamp>>;
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template <typename T1, typename T2> using AggregateFunctionCovarPopSimple = AggregateFunctionVarianceSimple<StatFuncTwoArg<T1, T2, StatisticsFunctionKind::covarPop>>;
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template <typename T1, typename T2> using AggregateFunctionCovarSampSimple = AggregateFunctionVarianceSimple<StatFuncTwoArg<T1, T2, StatisticsFunctionKind::covarSamp>>;
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template <typename T1, typename T2> using AggregateFunctionCorrSimple = AggregateFunctionVarianceSimple<StatFuncTwoArg<T1, T2, StatisticsFunctionKind::corr>>;
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}
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@ -21,11 +21,18 @@ AggregateFunctionPtr createAggregateFunctionStatisticsUnary(const std::string &
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assertNoParameters(name, parameters);
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assertUnary(name, argument_types);
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AggregateFunctionPtr res(createWithNumericType<FunctionTemplate>(*argument_types[0]));
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AggregateFunctionPtr res;
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DataTypePtr data_type = argument_types[0];
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if (isDecimal(data_type))
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{
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res.reset(createWithDecimalType<FunctionTemplate>(*data_type));
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}
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else
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res.reset(createWithNumericType<FunctionTemplate>(*data_type));
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if (!res)
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throw Exception("Illegal type " + argument_types[0]->getName() + " of argument for aggregate function " + name, ErrorCodes::ILLEGAL_TYPE_OF_ARGUMENT);
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throw Exception("Illegal type " + argument_types[0]->getName() + " of argument for aggregate function " + name,
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ErrorCodes::ILLEGAL_TYPE_OF_ARGUMENT);
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return res;
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}
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@ -51,6 +58,7 @@ void registerAggregateFunctionsStatisticsSimple(AggregateFunctionFactory & facto
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factory.registerFunction("varPop", createAggregateFunctionStatisticsUnary<AggregateFunctionVarPopSimple>);
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factory.registerFunction("stddevSamp", createAggregateFunctionStatisticsUnary<AggregateFunctionStddevSampSimple>);
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factory.registerFunction("stddevPop", createAggregateFunctionStatisticsUnary<AggregateFunctionStddevPopSimple>);
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factory.registerFunction("covarSamp", createAggregateFunctionStatisticsBinary<AggregateFunctionCovarSampSimple>);
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factory.registerFunction("covarPop", createAggregateFunctionStatisticsBinary<AggregateFunctionCovarPopSimple>);
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factory.registerFunction("corr", createAggregateFunctionStatisticsBinary<AggregateFunctionCorrSimple>, AggregateFunctionFactory::CaseInsensitive);
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@ -26,3 +26,11 @@
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[-50.0000,-40.0000,-30.0000,-20.0000,-10.0000,0.0000,10.0000,20.0000,30.0000,40.0000,50.0000]
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[-16.66666666,-13.33333333,-10.00000000,-6.66666666,-3.33333333,0.00000000,3.33333333,6.66666666,10.00000000,13.33333333,16.66666666]
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[-10.00000000,-8.00000000,-6.00000000,-4.00000000,-2.00000000,0.00000000,2.00000000,4.00000000,6.00000000,8.00000000,10.00000000]
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850 94.44444438684269 34 Float64 Float64 Float64
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850 94.4444443868427 34.00000000000001
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858.5 95.38888883071111 34.34 Float64 Float64 Float64
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858.5 95.38888883071112 34.34
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29.154759474226502 9.718253155111915 5.830951894845301 Float64 Float64 Float64
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29.154759474226502 9.718253155111915 5.830951894845301
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29.300170647967224 9.766723546344041 5.860034129593445 Float64 Float64 Float64
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29.300170647967224 9.766723546344041 5.860034129593445
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@ -54,6 +54,21 @@ SELECT quantilesExact(0.0, 0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9, 1.0)(a)
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SELECT quantilesExact(0.0, 0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9, 1.0)(b) FROM test.decimal;
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SELECT quantilesExact(0.0, 0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9, 1.0)(c) FROM test.decimal;
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SELECT varPop(a) AS va, varPop(b) AS vb, varPop(c) AS vc, toTypeName(va), toTypeName(vb), toTypeName(vc) FROM test.decimal;
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SELECT varPop(toFloat64(a)), varPop(toFloat64(b)), varPop(toFloat64(c)) FROM test.decimal;
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SELECT varSamp(a) AS va, varSamp(b) AS vb, varSamp(c) AS vc, toTypeName(va), toTypeName(vb), toTypeName(vc) FROM test.decimal;
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SELECT varSamp(toFloat64(a)), varSamp(toFloat64(b)), varSamp(toFloat64(c)) FROM test.decimal;
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SELECT stddevPop(a) AS da, stddevPop(b) AS db, stddevPop(c) AS dc, toTypeName(da), toTypeName(db), toTypeName(dc) FROM test.decimal;
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SELECT stddevPop(toFloat64(a)), stddevPop(toFloat64(b)), stddevPop(toFloat64(c)) FROM test.decimal;
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SELECT stddevSamp(a) AS da, stddevSamp(b) AS db, stddevSamp(c) AS dc, toTypeName(da), toTypeName(db), toTypeName(dc) FROM test.decimal;
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SELECT stddevSamp(toFloat64(a)), stddevSamp(toFloat64(b)), stddevSamp(toFloat64(c)) FROM test.decimal;
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SELECT covarPop(a, a), covarPop(b, b), covarPop(c, c) FROM test.decimal; -- { serverError 43 }
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SELECT covarSamp(a, a), covarSamp(b, b), covarSamp(c, c) FROM test.decimal; -- { serverError 43 }
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SELECT corr(a, a), corr(b, b), corr(c, c) FROM test.decimal; -- { serverError 43 }
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SELECT 1 LIMIT 0;
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-- TODO: sumMap
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-- TODO: other quantile(s)
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-- TODO: groupArray, groupArrayInsertAt, groupUniqArray
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