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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/statistics/geomean/Geomean.cs
+18 -16
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@@ -13,8 +13,8 @@ namespace QuanTAlib;
/// multiplying many values directly.
///
/// The running sum of logs enables O(1) updates: add ln(new), subtract ln(old).
/// Kahan-Babuška summation prevents floating-point drift in the log accumulator.
/// Periodic resync (every 1000 ticks) guards against long-running drift.
/// Kahan-Babuška compensated summation prevents floating-point drift in the log accumulator,
/// eliminating the need for periodic resynchronization.
///
/// Non-positive values are replaced with the last valid positive value, since
/// ln(x) is undefined for x ≤ 0. For price series (always positive), this
@@ -23,7 +23,6 @@ namespace QuanTAlib;
/// Key Features:
/// - O(1) time complexity per update via running sum of logs
/// - Kahan-Babuška compensated summation for numerical stability
/// - Periodic resync every 1000 ticks to limit FP drift
/// - NaN/Infinity/non-positive substitution with last valid value
///
/// IsHot:
@@ -43,14 +42,11 @@ public sealed class Geomean : AbstractBase
public double C; // Kahan primary compensation
public double Cc; // Kahan secondary compensation (Babuška)
public double LastValidValue;
public int TickCount;
}
private State _s;
private State _ps;
private const int ResyncInterval = 1000;
public Geomean(int period)
{
if (period <= 0)
@@ -208,13 +204,6 @@ public sealed class Geomean : AbstractBase
_buffer.Add(val);
KahanAdd(logVal);
_s.TickCount++;
if (_buffer.IsFull && _s.TickCount >= ResyncInterval)
{
_s.TickCount = 0;
RecalculateSumLog();
}
}
else
{
@@ -295,8 +284,9 @@ public sealed class Geomean : AbstractBase
return;
}
// Use simple sliding-window log sum for batch
// Use Kahan compensated sliding-window log sum for batch
double sumLog = 0;
double sumLogComp = 0; // Kahan compensation
double lastValid = double.NaN;
int count = 0;
@@ -344,7 +334,11 @@ public sealed class Geomean : AbstractBase
if (count == period)
{
sumLog -= ring[head];
// Kahan subtract old log
double ys = -ring[head] - sumLogComp;
double ts = sumLog + ys;
sumLogComp = (ts - sumLog) - ys;
sumLog = ts;
}
else
{
@@ -352,7 +346,15 @@ public sealed class Geomean : AbstractBase
}
ring[head] = logVal;
sumLog += logVal;
// Kahan add new log
{
double ys = logVal - sumLogComp;
double ts = sumLog + ys;
sumLogComp = (ts - sumLog) - ys;
sumLog = ts;
}
head = (head + 1) % period;
output[i] = Math.Exp(sumLog / count);