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feat(statistics): add Variance indicator with O(1) calculation and usage example

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Miha Kralj
2025-12-25 17:18:41 -08:00
parent 9ba89812cd
commit 4ff6dc0ad9
61 changed files with 6069 additions and 99 deletions
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lib/trends/pwma/Pwma.cs
+14 -14
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@@ -80,15 +80,15 @@ public sealed class Pwma : AbstractBase
double oldest = _buffer.Oldest;
_state.Sum = _state.Sum - oldest + val;
_state.WSum = _state.WSum - oldSum + (_period * val);
_state.PSum = _state.PSum - 2 * oldWSum + oldSum + ((double)_period * _period * val);
_state.WSum = Math.FusedMultiplyAdd(_period, val, _state.WSum - oldSum);
_state.PSum = Math.FusedMultiplyAdd((double)_period * _period, val, _state.PSum - 2 * oldWSum + oldSum);
}
else
{
int count = _buffer.Count + 1;
_state.Sum += val;
_state.WSum += count * val;
_state.PSum += (double)count * count * val;
_state.WSum = Math.FusedMultiplyAdd(count, val, _state.WSum);
_state.PSum = Math.FusedMultiplyAdd((double)count * count, val, _state.PSum);
}
_buffer.Add(val);
@@ -104,8 +104,8 @@ public sealed class Pwma : AbstractBase
foreach (double item in _buffer)
{
recalcSum += item;
recalcWsum += i * item;
recalcPsum += (double)i * i * item;
recalcWsum = Math.FusedMultiplyAdd(i, item, recalcWsum);
recalcPsum = Math.FusedMultiplyAdd((double)i * i, item, recalcPsum);
i++;
}
_state.Sum = recalcSum;
@@ -143,8 +143,8 @@ public sealed class Pwma : AbstractBase
double diff = val - _state.LastInput;
_state.Sum += diff;
_state.WSum += n * diff;
_state.PSum += (double)n * n * diff;
_state.WSum = Math.FusedMultiplyAdd(n, diff, _state.WSum);
_state.PSum = Math.FusedMultiplyAdd((double)n * n, diff, _state.PSum);
_buffer.UpdateNewest(val);
}
@@ -264,8 +264,8 @@ public sealed class Pwma : AbstractBase
val = lastValid;
sum += val;
wsum += (i + 1) * val;
psum += (double)(i + 1) * (i + 1) * val;
wsum = Math.FusedMultiplyAdd(i + 1, val, wsum);
psum = Math.FusedMultiplyAdd((double)(i + 1) * (i + 1), val, psum);
buffer[i] = val;
double currentDivisor = (double)(i + 1) * (i + 2) * (2 * (i + 1) + 1) / 6.0;
@@ -286,8 +286,8 @@ public sealed class Pwma : AbstractBase
double oldest = buffer[bufferIdx];
sum = sum - oldest + val;
wsum = wsum - oldSum + (period * val);
psum = psum - 2 * oldWSum + oldSum + ((double)period * period * val);
wsum = Math.FusedMultiplyAdd(period, val, wsum - oldSum);
psum = Math.FusedMultiplyAdd((double)period * period, val, psum - 2 * oldWSum + oldSum);
buffer[bufferIdx] = val;
bufferIdx++;
@@ -309,8 +309,8 @@ public sealed class Pwma : AbstractBase
double v = buffer[idx];
recalcSum += v;
recalcWsum += (k + 1) * v;
recalcPsum += (double)(k + 1) * (k + 1) * v;
recalcWsum = Math.FusedMultiplyAdd(k + 1, v, recalcWsum);
recalcPsum = Math.FusedMultiplyAdd((double)(k + 1) * (k + 1), v, recalcPsum);
}
sum = recalcSum;
wsum = recalcWsum;