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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/sum/Sum.cs
+5 -37
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@@ -5,11 +5,13 @@ using System.Runtime.InteropServices;
namespace QuanTAlib;
/// <summary>
/// Sum: Summation over a rolling window using Kahan-Babuška algorithm
/// Sum: Summation over a rolling window using Kahan-Babuška compensated summation
/// </summary>
/// <remarks>
/// Sum calculates the sum of the last n values using the Kahan-Babuška summation
/// algorithm (also known as "improved Kahan") for maximum numerical precision.
/// No periodic resync is needed — Kahan-Babuška compensation maintains accuracy
/// indefinitely.
///
/// Kahan-Babuška fixes second-order rounding errors that classic Kahan misses:
/// - Tracks two compensation layers: primary (c) and secondary (cc)
@@ -52,14 +54,11 @@ public sealed class Sum : AbstractBase
public double Cc; // Second-order compensation
public double LastInput;
public double LastValidValue;
public int TickCount;
}
private State _state;
private State _p_state;
private const int ResyncInterval = 1000;
/// <summary>
/// Creates Sum with specified period.
/// </summary>
@@ -140,7 +139,7 @@ public sealed class Sum : AbstractBase
/// <summary>
/// Recalculates the sum from scratch using Kahan-Babuška.
/// Used for periodic resync to prevent drift.
/// Used for bar corrections to ensure accuracy.
/// </summary>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private void RecalculateSum()
@@ -235,13 +234,6 @@ public sealed class Sum : AbstractBase
_buffer.Add(val);
KahanBabuskaAdd(val);
_state.TickCount++;
if (_buffer.IsFull && _state.TickCount >= ResyncInterval)
{
_state.TickCount = 0;
RecalculateSum();
}
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
@@ -321,7 +313,7 @@ public sealed class Sum : AbstractBase
}
/// <summary>
/// Calculates Sum in-place using Kahan-Babuška summation.
/// Calculates Sum in-place using Kahan-Babuška compensated summation.
/// Zero-allocation method for maximum performance.
/// </summary>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
@@ -386,7 +378,6 @@ public sealed class Sum : AbstractBase
try
{
int bufferIndex = 0;
int tickCount = 0;
// Warmup phase
int warmupEnd = Math.Min(period, len);
@@ -462,29 +453,6 @@ public sealed class Sum : AbstractBase
}
output[i] = sum;
// Periodic resync for long sequences
tickCount++;
if (tickCount >= ResyncInterval)
{
tickCount = 0;
sum = 0;
c = 0;
cc = 0;
for (int k = 0; k < period; k++)
{
double bVal = buffer[k];
double yR = bVal - c;
double tR = sum + yR;
c = tR - sum - yR;
sum = tR;
double zR = c - cc;
double ttR = sum + zR;
cc = ttR - sum - zR;
sum = ttR;
}
}
}
}
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