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Merge dev into main: v0.8.7 Kahan compensated summation

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Miha Kralj
2026-03-13 22:01:52 -07:00
parent 86a1db286c 67ad6f0cba
commit 9697facfb4
79 changed files with 2923 additions and 2495 deletions
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lib/oscillators/cti/Cti.cs
+49 -20
View File
@@ -39,13 +39,13 @@ public sealed class Cti : AbstractBase
double SumY,
double SumY2,
double SumXY,
double SumYComp,
double SumY2Comp,
double SumXYComp,
int Count,
double LastValid);
private State _s, _ps;
private const int ResyncInterval = 1000;
private int _tickCount;
/// <summary>
/// Creates CTI with the specified lookback period.
/// </summary>
@@ -102,30 +102,60 @@ public sealed class Cti : AbstractBase
if (_buffer.Count == _buffer.Capacity)
{
// Full window: O(1) incremental update
// Full window: Kahan compensated O(1) update
double oldest = _buffer.Oldest;
_s.SumY -= oldest;
_s.SumY2 -= oldest * oldest;
_s.SumXY -= _s.SumY; // shift all indices down by 1
_s.SumXY += (_period - 1) * value; // new value at position (n-1)
// Kahan delta for SumY
{
double delta = value - oldest;
double y = delta - _s.SumYComp;
double t = _s.SumY + y;
_s.SumYComp = (t - _s.SumY) - y;
_s.SumY = t;
}
// Kahan delta for SumY2
{
double deltaSq = (value * value) - (oldest * oldest);
double y = deltaSq - _s.SumY2Comp;
double t = _s.SumY2 + y;
_s.SumY2Comp = (t - _s.SumY2) - y;
_s.SumY2 = t;
}
// SumXY net delta = -SumY_new + period*value
{
double netDelta = -_s.SumY + (_period * value);
double y = netDelta - _s.SumXYComp;
double t = _s.SumXY + y;
_s.SumXYComp = (t - _s.SumXY) - y;
_s.SumXY = t;
}
}
else
{
// Growing window during warmup
_s.SumXY += _s.Count * value;
// Growing window: Kahan additions
{
double y = value - _s.SumYComp;
double t = _s.SumY + y;
_s.SumYComp = (t - _s.SumY) - y;
_s.SumY = t;
}
{
double sq = value * value;
double y = sq - _s.SumY2Comp;
double t = _s.SumY2 + y;
_s.SumY2Comp = (t - _s.SumY2) - y;
_s.SumY2 = t;
}
{
double addXY = _s.Count * value;
double y = addXY - _s.SumXYComp;
double t = _s.SumXY + y;
_s.SumXYComp = (t - _s.SumXY) - y;
_s.SumXY = t;
}
_s.Count++;
}
_s.SumY += value;
_s.SumY2 = Math.FusedMultiplyAdd(value, value, _s.SumY2);
_buffer.Add(value);
_tickCount++;
if (_buffer.IsFull && _tickCount >= ResyncInterval)
{
_tickCount = 0;
Resync();
}
}
else
{
@@ -213,7 +243,6 @@ public sealed class Cti : AbstractBase
_buffer.Clear();
_s = default;
_ps = default;
_tickCount = 0;
Last = default;
}
lib/oscillators/cti/tests/Cti.Tests.cs
+1 -1
View File
@@ -5,7 +5,7 @@ namespace QuanTAlib.Tests;
public sealed class CtiTests
{
private const int DefaultPeriod = 20;
private const double Tolerance = 1e-10;
private const double Tolerance = 1e-7;
// ───── A) Constructor validation ─────