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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/trends_FIR/ilrs/Ilrs.cs
+28 -28
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@@ -10,6 +10,7 @@ namespace QuanTAlib;
/// Computes the linear regression slope over a rolling window, then accumulates
/// it via discrete integration (running sum) to reconstruct a smoothed price-level
/// signal. The integration step introduces a natural momentum quality.
/// Kahan compensated summation prevents floating-point drift without periodic resync.
///
/// Algorithm: slope via O(1) incremental linreg, then ILRS += slope.
/// Initialized to first price value.
@@ -32,16 +33,14 @@ public sealed class Ilrs : AbstractBase
[StructLayout(LayoutKind.Auto)]
private record struct State(
double SumY, double SumXY,
double SumYComp, double SumXYComp,
double Integral, double LastVal,
double LastValidValue, bool Initialized);
private State _s;
private State _ps;
private int _tickCount;
private bool _isNew;
private const int ResyncInterval = 1000;
public override bool IsHot => _buffer.IsFull;
public bool IsNew => _isNew;
@@ -175,18 +174,39 @@ public sealed class Ilrs : AbstractBase
double oldest = _buffer.Oldest;
double prevSumY = _s.SumY;
// O(1) update for SumXY (reversed-x convention)
_s.SumXY = Math.FusedMultiplyAdd(-_period, oldest, _s.SumXY + prevSumY);
_s.SumY = _s.SumY - oldest + val;
// Kahan compensated update for SumXY: sumXY += (prevSumY - period * oldest)
double deltaXY = Math.FusedMultiplyAdd(-_period, oldest, prevSumY);
double yXY = deltaXY - _s.SumXYComp;
double tXY = _s.SumXY + yXY;
_s.SumXYComp = (tXY - _s.SumXY) - yXY;
_s.SumXY = tXY;
// Kahan compensated update for SumY: sumY += (val - oldest)
double deltaY = val - oldest;
double yY = deltaY - _s.SumYComp;
double tY = _s.SumY + yY;
_s.SumYComp = (tY - _s.SumY) - yY;
_s.SumY = tY;
_buffer.Add(val);
}
else
{
if (_buffer.Count > 0)
{
_s.SumXY += _s.SumY;
// Kahan compensated addition for SumXY: sumXY += sumY
double yXY = _s.SumY - _s.SumXYComp;
double tXY = _s.SumXY + yXY;
_s.SumXYComp = (tXY - _s.SumXY) - yXY;
_s.SumXY = tXY;
}
_s.SumY += val;
// Kahan compensated addition for SumY
double yY = val - _s.SumYComp;
double tY = _s.SumY + yY;
_s.SumYComp = (tY - _s.SumY) - yY;
_s.SumY = tY;
_buffer.Add(val);
}
@@ -201,13 +221,6 @@ public sealed class Ilrs : AbstractBase
// Integrate: ILRS += slope
_s.Integral += ComputeSlope(_s);
}
_tickCount++;
if (_buffer.IsFull && _tickCount >= ResyncInterval)
{
_tickCount = 0;
Resync();
}
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
@@ -239,18 +252,6 @@ public sealed class Ilrs : AbstractBase
return -Math.FusedMultiplyAdd(n, state.SumXY, -sx * state.SumY) / denom;
}
private void Resync()
{
_s.SumY = _buffer.Sum;
_s.SumXY = 0;
var span = _buffer.GetSpan();
for (int i = 0; i < span.Length; i++)
{
int x = span.Length - 1 - i;
_s.SumXY = Math.FusedMultiplyAdd(x, span[i], _s.SumXY);
}
}
public override void Prime(ReadOnlySpan<double> source, TimeSpan? step = null)
{
foreach (var value in source)
@@ -401,7 +402,6 @@ public sealed class Ilrs : AbstractBase
_s.LastValidValue = double.NaN;
_ps = default;
Last = default;
_tickCount = 0;
}
protected override void Dispose(bool disposing)