#pragma once #include #include #include #include #include #include namespace DB { namespace ErrorCodes { extern const int TOO_LARGE_ARRAY_SIZE; } /** 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 QuantileTDigest { using Value = Float32; using Count = Float32; /** 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_) {} Centroid & operator+=(const Centroid & other) { count += other.count; mean += other.count * (other.mean - mean) / count; return *this; } 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%) * :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) */ struct Params { Value epsilon = 0.01; size_t max_unmerged = 2048; }; Params params; /// The memory will be allocated to several elements at once, so that the state occupies 64 bytes. static constexpr size_t bytes_in_arena = 128 - sizeof(PODArray) - sizeof(Count) - sizeof(UInt32); using Summary = PODArrayWithStackMemory; Summary summary; Count count = 0; UInt32 unmerged = 0; /** 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); } struct RadixSortTraits { using Element = Centroid; 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; } }; /** Adds a centroid `c` to the digest */ void addCentroid(const Centroid & c) { summary.push_back(c); count += c.count; ++unmerged; if (unmerged >= params.max_unmerged) compress(); } /** 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) { RadixSort::executeLSD(summary.data(), summary.size()); if (summary.size() > 3) { /// A pair of consecutive bars of the histogram. auto l = summary.begin(); auto r = std::next(l); Count sum = 0; while (r != summary.end()) { // 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. Value ql = (sum + l->count * 0.5) / count; Value 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. Value qr = (sum + l->count + r->count * 0.5) / count; Value err2 = qr * (1 - qr); if (err > err2) err = err2; Value k = 4 * count * err * params.epsilon; /** 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 += *r; } else { // not enough capacity, check the next pair sum += l->count; ++l; /// We skip all the values "eaten" earlier. if (l != r) *l = *r; } ++r; } /// At the end of the loop, all values to the right of l were "eaten". summary.resize(l - summary.begin() + 1); } unmerged = 0; } } public: /** Adds to the digest a change in `x` with a weight of `cnt` (default 1) */ void add(T x, UInt64 cnt = 1) { addCentroid(Centroid(Value(x), Count(cnt))); } void merge(const QuantileTDigest & other) { for (const auto & c : other.summary) addCentroid(c); } void serialize(WriteBuffer & buf) { compress(); writeVarUInt(summary.size(), buf); buf.write(reinterpret_cast(summary.data()), summary.size() * sizeof(summary[0])); } void deserialize(ReadBuffer & buf) { size_t size = 0; readVarUInt(size, buf); if (size > params.max_unmerged) throw Exception("Too large t-digest summary size", ErrorCodes::TOO_LARGE_ARRAY_SIZE); summary.resize(size); buf.read(reinterpret_cast(summary.data()), size * sizeof(summary[0])); count = 0; for (const auto & c : summary) count += c.count; } /** Calculates the quantile q [0, 1] based on the digest. * For an empty digest returns NaN. */ template ResultType getImpl(Float64 level) { if (summary.empty()) return std::is_floating_point_v ? NAN : 0; compress(); if (summary.size() == 1) return summary.front().mean; Float64 x = level * count; Float64 prev_x = 0; Count sum = 0; Value prev_mean = summary.front().mean; for (const auto & c : summary) { 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 summary.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) { if (summary.empty()) { for (size_t result_num = 0; result_num < size; ++result_num) result[result_num] = std::is_floating_point_v ? NAN : 0; return; } compress(); if (summary.size() == 1) { for (size_t result_num = 0; result_num < size; ++result_num) result[result_num] = summary.front().mean; return; } Float64 x = levels[levels_permutation[0]] * count; Float64 prev_x = 0; Count sum = 0; Value prev_mean = summary.front().mean; size_t result_num = 0; for (const auto & c : summary) { 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]] * count; } sum += c.count; prev_mean = c.mean; prev_x = current_x; } auto rest_of_results = summary.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); } }; }