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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/harmean/Harmean.cs
+18 -16
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@@ -14,8 +14,8 @@ namespace QuanTAlib;
/// ratios, and price/earnings multiples.
///
/// The running sum of reciprocals enables O(1) updates: add 1/new, subtract 1/old.
/// Kahan-Babuška summation prevents floating-point drift in the reciprocal accumulator.
/// Periodic resync (every 1000 ticks) guards against long-running drift.
/// Kahan-Babuška compensated summation prevents floating-point drift in the reciprocal accumulator,
/// eliminating the need for periodic resynchronization.
///
/// Non-positive values are replaced with the last valid positive value, since
/// 1/x is undefined for x = 0 and negative reciprocals break the mean.
@@ -24,7 +24,6 @@ namespace QuanTAlib;
/// Key Features:
/// - O(1) time complexity per update via running sum of reciprocals
/// - 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:
@@ -46,14 +45,11 @@ public sealed class Harmean : 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 Harmean(int period)
{
if (period <= 0)
@@ -215,13 +211,6 @@ public sealed class Harmean : AbstractBase
_buffer.Add(val);
KahanAdd(reciprocal);
_s.TickCount++;
if (_buffer.IsFull && _s.TickCount >= ResyncInterval)
{
_s.TickCount = 0;
RecalculateSumReciprocal();
}
}
else
{
@@ -304,8 +293,9 @@ public sealed class Harmean : AbstractBase
return;
}
// Use simple sliding-window reciprocal sum for batch
// Use Kahan compensated sliding-window reciprocal sum for batch
double sumReciprocal = 0;
double sumReciprocalComp = 0; // Kahan compensation
double lastValid = double.NaN;
int count = 0;
@@ -353,7 +343,11 @@ public sealed class Harmean : AbstractBase
if (count == period)
{
sumReciprocal -= ring[head];
// Kahan subtract old reciprocal
double ys = -ring[head] - sumReciprocalComp;
double ts = sumReciprocal + ys;
sumReciprocalComp = (ts - sumReciprocal) - ys;
sumReciprocal = ts;
}
else
{
@@ -361,7 +355,15 @@ public sealed class Harmean : AbstractBase
}
ring[head] = reciprocal;
sumReciprocal += reciprocal;
// Kahan add new reciprocal
{
double ys = reciprocal - sumReciprocalComp;
double ts = sumReciprocal + ys;
sumReciprocalComp = (ts - sumReciprocal) - ys;
sumReciprocal = ts;
}
head = (head + 1) % period;
output[i] = (sumReciprocal > 1e-300) ? count / sumReciprocal : double.NaN;