mirror of
https://github.com/ClickHouse/ClickHouse.git
synced 2024-11-24 16:42:05 +00:00
286 lines
12 KiB
C++
286 lines
12 KiB
C++
#pragma once
|
|
|
|
#include <cmath>
|
|
|
|
#include <base/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
|
|
{
|
|
struct Settings;
|
|
|
|
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<is_decimal<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 = ColumnVectorOrDecimal<T1>;
|
|
using ColVecT2 = ColumnVectorOrDecimal<T2>;
|
|
using ResultType = typename StatFunc::ResultType;
|
|
using ColVecResult = ColumnVector<ResultType>;
|
|
|
|
explicit 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";
|
|
UNREACHABLE();
|
|
}
|
|
|
|
DataTypePtr getReturnType() const override
|
|
{
|
|
return std::make_shared<DataTypeNumber<ResultType>>();
|
|
}
|
|
|
|
bool allocatesMemoryInArena() const override { return false; }
|
|
|
|
void add(AggregateDataPtr __restrict 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 (is_decimal<T1>)
|
|
{
|
|
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 __restrict place, ConstAggregateDataPtr rhs, Arena *) const override
|
|
{
|
|
this->data(place).merge(this->data(rhs));
|
|
}
|
|
|
|
void serialize(ConstAggregateDataPtr __restrict place, WriteBuffer & buf, std::optional<size_t> /* version */) const override
|
|
{
|
|
this->data(place).write(buf);
|
|
}
|
|
|
|
void deserialize(AggregateDataPtr __restrict place, ReadBuffer & buf, std::optional<size_t> /* version */, Arena *) const override
|
|
{
|
|
this->data(place).read(buf);
|
|
}
|
|
|
|
void insertResultInto(AggregateDataPtr __restrict place, IColumn & to, Arena *) const override
|
|
{
|
|
const auto & data = this->data(place);
|
|
auto & dst = static_cast<ColVecResult &>(to).getData();
|
|
|
|
if constexpr (is_decimal<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(static_cast<ResultType>(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(static_cast<ResultType>(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(static_cast<ResultType>(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(static_cast<ResultType>(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>>;
|
|
|
|
}
|