#pragma once #include #include #include #include #include #include namespace DB { namespace ErrorCodes { extern const int TOO_LARGE_ARRAY_SIZE; extern const int CANNOT_PARSE_INPUT_ASSERTION_FAILED; } /** The algorithm was implemented by Alexei Borzenkov https://github.com/snaury * He owns the authorship of the code and half the comments in this namespace, * except for merging, serialization, and sorting, as well as selecting types and other changes. * We thank Alexei Borzenkov for writing the original code. */ /** Implementation of t-digest algorithm (https://github.com/tdunning/t-digest). * This option is very similar to MergingDigest on java, however the decision about * the union is accepted based on the original condition from the article * (via a size constraint, using the approximation of the quantile of each * centroid, not the distance on the curve of the position of their boundaries). MergingDigest * on java gives significantly fewer centroids than this variant, that * negatively affects accuracy with the same compression factor, but gives * size guarantees. The author himself on the proposal for this variant said that * the size of the digest grows like O(log(n)), while the version on java * does not depend on the expected number of points. Also an variant on java * uses asin, which slows down the algorithm a bit. */ template class TDigest { using Value = Float32; using Count = Float32; using BetterFloat = Float64; // For intermediate results and sum(Count). Must have better precision, than Count /** The centroid stores the weight of points around their mean value */ struct Centroid { Value mean; Count count; Centroid() = default; explicit Centroid(Value mean_, Count count_) : mean(mean_) , count(count_) {} bool operator<(const Centroid & other) const { return mean < other.mean; } }; /** :param epsilon: value \delta from the article - error in the range * quantile 0.5 (default is 0.01, i.e. 1%) * if you change epsilon, you must also change max_centroids * :param max_centroids: depends on epsilon, the better accuracy, the more centroids you need * to describe data with this accuracy. Read article before changing. * :param max_unmerged: when accumulating count of new points beyond this * value centroid compression is triggered * (default is 2048, the higher the value - the * more memory is required, but amortization of execution time increases) * Change freely anytime. */ struct Params { Value epsilon = 0.01; size_t max_centroids = 2048; size_t max_unmerged = 2048; }; /** max_centroids_deserialize should be >= all max_centroids ever used in production. * This is security parameter, preventing allocation of too much centroids in deserialize, so can be relatively large. */ static constexpr size_t max_centroids_deserialize = 65536; static constexpr Params params{}; static constexpr size_t bytes_in_arena = 128 - sizeof(PODArray) - sizeof(BetterFloat) - sizeof(size_t); // If alignment is imperfect, sizeof(TDigest) will be more than naively expected using Centroids = PODArrayWithStackMemory; Centroids centroids; BetterFloat count = 0; size_t unmerged = 0; struct RadixSortTraits { using Element = Centroid; using Result = Element; using Key = Value; using CountType = UInt32; using KeyBits = UInt32; static constexpr size_t PART_SIZE_BITS = 8; using Transform = RadixSortFloatTransform; using Allocator = RadixSortMallocAllocator; /// The function to get the key from an array element. static Key & extractKey(Element & elem) { return elem.mean; } static Result & extractResult(Element & elem) { return elem; } }; /** Adds a centroid `c` to the digest * centroid must be valid, validity is checked in add(), deserialize() and is maintained by compress() */ void addCentroid(const Centroid & c) { centroids.push_back(c); count += c.count; ++unmerged; if (unmerged > params.max_unmerged) compress(); } void compressBrute() { if (centroids.size() <= params.max_centroids) return; const size_t batch_size = (centroids.size() + params.max_centroids - 1) / params.max_centroids; // at least 2 auto l = centroids.begin(); auto r = std::next(l); BetterFloat sum = 0; BetterFloat l_mean = l->mean; // We have high-precision temporaries for numeric stability BetterFloat l_count = l->count; size_t batch_pos = 0; for (;r != centroids.end(); ++r) { if (batch_pos < batch_size - 1) { /// The left column "eats" the right. Middle of the batch l_count += r->count; l_mean += r->count * (r->mean - l_mean) / l_count; // Symmetric algo (M1*C1 + M2*C2)/(C1+C2) is numerically better, but slower l->mean = l_mean; l->count = l_count; batch_pos += 1; } else { // End of the batch, start the next one sum += l->count; // Not l_count, otherwise actual sum of elements will be different ++l; /// We skip all the values "eaten" earlier. *l = *r; l_mean = l->mean; l_count = l->count; batch_pos = 0; } } count = sum + l_count; // Update count, it might be different due to += inaccuracy centroids.resize(l - centroids.begin() + 1); // Here centroids.size() <= params.max_centroids } public: /** Performs compression of accumulated centroids * When merging, the invariant is retained to the maximum size of each * centroid that does not exceed `4 q (1 - q) \ delta N`. */ void compress() { if (unmerged > 0 || centroids.size() > params.max_centroids) { // unmerged > 0 implies centroids.size() > 0, hence *l is valid below RadixSort::executeLSD(centroids.data(), centroids.size()); /// A pair of consecutive bars of the histogram. auto l = centroids.begin(); auto r = std::next(l); const BetterFloat count_epsilon_4 = count * params.epsilon * 4; // Compiler is unable to do this optimization BetterFloat sum = 0; BetterFloat l_mean = l->mean; // We have high-precision temporaries for numeric stability BetterFloat l_count = l->count; while (r != centroids.end()) { if (l->mean == r->mean) // Perfect aggregation (fast). We compare l->mean, not l_mean, to avoid identical elements after compress { l_count += r->count; l->count = l_count; ++r; continue; } // we use quantile which gives us the smallest error /// The ratio of the part of the histogram to l, including the half l to the entire histogram. That is, what level quantile in position l. BetterFloat ql = (sum + l_count * 0.5) / count; BetterFloat err = ql * (1 - ql); /// The ratio of the portion of the histogram to l, including l and half r to the entire histogram. That is, what level is the quantile in position r. BetterFloat qr = (sum + l_count + r->count * 0.5) / count; BetterFloat err2 = qr * (1 - qr); if (err > err2) err = err2; BetterFloat k = count_epsilon_4 * err; /** The ratio of the weight of the glued column pair to all values is not greater, * than epsilon multiply by a certain quadratic coefficient, which in the median is 1 (4 * 1/2 * 1/2), * and at the edges decreases and is approximately equal to the distance to the edge * 4. */ if (l_count + r->count <= k) { // it is possible to merge left and right /// The left column "eats" the right. l_count += r->count; l_mean += r->count * (r->mean - l_mean) / l_count; // Symmetric algo (M1*C1 + M2*C2)/(C1+C2) is numerically better, but slower l->mean = l_mean; l->count = l_count; } else { // not enough capacity, check the next pair sum += l->count; // Not l_count, otherwise actual sum of elements will be different ++l; /// We skip all the values "eaten" earlier. if (l != r) *l = *r; l_mean = l->mean; l_count = l->count; } ++r; } count = sum + l_count; // Update count, it might be different due to += inaccuracy /// At the end of the loop, all values to the right of l were "eaten". centroids.resize(l - centroids.begin() + 1); unmerged = 0; } // Ensures centroids.size() < max_centroids, independent of unprovable floating point blackbox above compressBrute(); } /** Adds to the digest a change in `x` with a weight of `cnt` (default 1) */ void add(T x, UInt64 cnt = 1) { auto vx = static_cast(x); if (cnt == 0 || std::isnan(vx)) return; // Count 0 breaks compress() assumptions, Nan breaks sort(). We treat them as no sample. addCentroid(Centroid{vx, static_cast(cnt)}); } void merge(const TDigest & other) { for (const auto & c : other.centroids) addCentroid(c); } void serialize(WriteBuffer & buf) { compress(); writeVarUInt(centroids.size(), buf); buf.write(reinterpret_cast(centroids.data()), centroids.size() * sizeof(centroids[0])); } void deserialize(ReadBuffer & buf) { size_t size = 0; readVarUInt(size, buf); if (size > max_centroids_deserialize) throw Exception("Too large t-digest centroids size", ErrorCodes::TOO_LARGE_ARRAY_SIZE); count = 0; unmerged = 0; centroids.resize(size); // From now, TDigest will be in invalid state if exception is thrown. buf.read(reinterpret_cast(centroids.data()), size * sizeof(centroids[0])); for (const auto & c : centroids) { if (c.count <= 0 || std::isnan(c.count) || std::isnan(c.mean)) // invalid count breaks compress(), invalid mean breaks sort() throw Exception("Invalid centroid " + std::to_string(c.count) + ":" + std::to_string(c.mean), ErrorCodes::CANNOT_PARSE_INPUT_ASSERTION_FAILED); count += c.count; } compress(); // Allows reading/writing TDigests with different epsilon/max_centroids params } Count getCount() { return count; } const Centroids & getCentroids() const { return centroids; } void reset() { centroids.resize(0); count = 0; unmerged = 0; } }; template class QuantileTDigest { using Value = Float32; using Count = Float32; TDigest main_tdigest; /** Linear interpolation at the point x on the line (x1, y1)..(x2, y2) */ static Value interpolate(Value x, Value x1, Value y1, Value x2, Value y2) { double k = (x - x1) / (x2 - x1); return y1 + k * (y2 - y1); } public: void add(T x, UInt64 cnt = 1) { main_tdigest.add(x, cnt); } void merge(const QuantileTDigest & other) { main_tdigest.merge(other.main_tdigest); } void serialize(WriteBuffer & buf) { main_tdigest.serialize(buf); } void deserialize(ReadBuffer & buf) { main_tdigest.deserialize(buf); } /** Calculates the quantile q [0, 1] based on the digest. * For an empty digest returns NaN. */ template ResultType getImpl(Float64 level) { auto & centroids = main_tdigest.getCentroids(); if (centroids.empty()) return std::is_floating_point_v ? NAN : 0; main_tdigest.compress(); if (centroids.size() == 1) return centroids.front().mean; Float64 x = level * main_tdigest.getCount(); Float64 prev_x = 0; Count sum = 0; Value prev_mean = centroids.front().mean; for (const auto & c : centroids) { Float64 current_x = sum + c.count * 0.5; if (current_x >= x) return interpolate(x, prev_x, prev_mean, current_x, c.mean); sum += c.count; prev_mean = c.mean; prev_x = current_x; } return centroids.back().mean; } /** Get multiple quantiles (`size` parts). * levels - an array of levels of the desired quantiles. They are in a random order. * levels_permutation - array-permutation levels. The i-th position will be the index of the i-th ascending level in the `levels` array. * result - the array where the results are added, in order of `levels`, */ template void getManyImpl(const Float64 * levels, const size_t * levels_permutation, size_t size, ResultType * result) { auto & centroids = main_tdigest.getCentroids(); if (centroids.empty()) { for (size_t result_num = 0; result_num < size; ++result_num) result[result_num] = std::is_floating_point_v ? NAN : 0; return; } main_tdigest.compress(); if (centroids.size() == 1) { for (size_t result_num = 0; result_num < size; ++result_num) result[result_num] = centroids.front().mean; return; } Float64 x = levels[levels_permutation[0]] * main_tdigest.getCount(); Float64 prev_x = 0; Count sum = 0; Value prev_mean = centroids.front().mean; size_t result_num = 0; for (const auto & c : centroids) { Float64 current_x = sum + c.count * 0.5; while (current_x >= x) { result[levels_permutation[result_num]] = interpolate(x, prev_x, prev_mean, current_x, c.mean); ++result_num; if (result_num >= size) return; x = levels[levels_permutation[result_num]] * main_tdigest.getCount(); } sum += c.count; prev_mean = c.mean; prev_x = current_x; } auto rest_of_results = centroids.back().mean; for (; result_num < size; ++result_num) result[levels_permutation[result_num]] = rest_of_results; } T get(Float64 level) { return getImpl(level); } Float32 getFloat(Float64 level) { return getImpl(level); } void getMany(const Float64 * levels, const size_t * indices, size_t size, T * result) { getManyImpl(levels, indices, size, result); } void getManyFloat(const Float64 * levels, const size_t * indices, size_t size, Float32 * result) { getManyImpl(levels, indices, size, result); } }; }