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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/lsma/Lsma.cs
+26 -31
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@@ -8,6 +8,7 @@ namespace QuanTAlib;
/// </summary>
/// <remarks>
/// Linear regression endpoint with O(1) updates using running sums.
/// Kahan compensated summation prevents floating-point drift without periodic resync.
/// Projects trend line value at current bar (or offset position).
///
/// Calculation: <c>LSMA = b - m × offset</c> where <c>m = (n×Σxy - Σx×Σy) / denom</c>.
@@ -27,15 +28,12 @@ public sealed class Lsma : AbstractBase
private int _disposed;
[StructLayout(LayoutKind.Auto)]
private record struct State(double SumY, double SumXY, double LastVal, double LastValidValue);
private record struct State(double SumY, double SumXY, double SumYComp, double SumXYComp, double LastVal, double LastValidValue);
private State _state;
private State _p_state;
private int _tickCount;
private bool _isNew;
private const int ResyncInterval = 1000;
public override bool IsHot => _buffer.IsFull;
public bool IsNew => _isNew;
@@ -97,12 +95,19 @@ public sealed class Lsma : AbstractBase
double oldest = _buffer.Oldest;
double prev_sum_y = _state.SumY;
// O(1) update for sum_xy
// sum_xy_new = sum_xy_old + sum_y_prev - n * oldest
_state.SumXY = Math.FusedMultiplyAdd(-_period, oldest, _state.SumXY + prev_sum_y);
// Kahan compensated update for SumXY: sumXY += (prev_sum_y - period * oldest)
double deltaXY = Math.FusedMultiplyAdd(-_period, oldest, prev_sum_y);
double yXY = deltaXY - _state.SumXYComp;
double tXY = _state.SumXY + yXY;
_state.SumXYComp = (tXY - _state.SumXY) - yXY;
_state.SumXY = tXY;
// O(1) update for sum_y
_state.SumY = _state.SumY - oldest + val;
// Kahan compensated update for SumY: sumY += (val - oldest)
double deltaY = val - oldest;
double yY = deltaY - _state.SumYComp;
double tY = _state.SumY + yY;
_state.SumYComp = (tY - _state.SumY) - yY;
_state.SumY = tY;
_buffer.Add(val);
}
@@ -110,30 +115,21 @@ public sealed class Lsma : AbstractBase
{
if (_buffer.Count > 0)
{
_state.SumXY += _state.SumY;
// Kahan compensated addition for SumXY: sumXY += sumY (shift existing values)
double yXY = _state.SumY - _state.SumXYComp;
double tXY = _state.SumXY + yXY;
_state.SumXYComp = (tXY - _state.SumXY) - yXY;
_state.SumXY = tXY;
}
_state.SumY += val;
// Kahan compensated addition for SumY
double yY = val - _state.SumYComp;
double tY = _state.SumY + yY;
_state.SumYComp = (tY - _state.SumY) - yY;
_state.SumY = tY;
_buffer.Add(val);
}
_tickCount++;
if (_buffer.IsFull && _tickCount >= ResyncInterval)
{
_tickCount = 0;
Resync();
}
}
private void Resync()
{
_state.SumY = _buffer.Sum;
_state.SumXY = 0;
var span = _buffer.GetSpan();
for (int i = 0; i < span.Length; i++)
{
int x = span.Length - 1 - i;
_state.SumXY = Math.FusedMultiplyAdd(x, span[i], _state.SumXY);
}
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
@@ -412,7 +408,6 @@ public sealed class Lsma : AbstractBase
_state.LastValidValue = double.NaN;
_p_state = default;
Last = default;
_tickCount = 0;
}
/// <summary>