intermediate changes

ref:cde9a383711a11544ce7e107a78147fb96cc4029

1 files changed, 107 insertions, 0 deletions

diff --git a/library/cpp/linear_regression/welford.cpp b/library/cpp/linear_regression/welford.cpp
new file mode 100644
index 0000000000..e27b1994f6
--- /dev/null
+++ b/library/cpp/linear_regression/welford.cpp
@@ -0,0 +1,107 @@
+#include "welford.h"
+
+#include <util/generic/ymath.h>
+
+void TMeanCalculator::Multiply(const double value) {
+    SumWeights *= value;
+}
+
+void TMeanCalculator::Add(const double value, const double weight /*= 1.*/) {
+    SumWeights += weight;
+    if (SumWeights.Get()) {
+        Mean += weight * (value - Mean) / SumWeights.Get();
+    }
+}
+
+void TMeanCalculator::Remove(const double value, const double weight /*= 1.*/) {
+    SumWeights -= weight;
+    if (SumWeights.Get()) {
+        Mean -= weight * (value - Mean) / SumWeights.Get();
+    }
+}
+
+double TMeanCalculator::GetMean() const {
+    return Mean;
+}
+
+double TMeanCalculator::GetSumWeights() const {
+    return SumWeights.Get();
+}
+
+void TMeanCalculator::Reset() {
+    *this = TMeanCalculator();
+}
+
+void TCovariationCalculator::Add(const double firstValue, const double secondValue, const double weight /*= 1.*/) {
+    SumWeights += weight;
+    if (SumWeights.Get()) {
+        FirstValueMean += weight * (firstValue - FirstValueMean) / SumWeights.Get();
+        Covariation += weight * (firstValue - FirstValueMean) * (secondValue - SecondValueMean);
+        SecondValueMean += weight * (secondValue - SecondValueMean) / SumWeights.Get();
+    }
+}
+
+void TCovariationCalculator::Remove(const double firstValue, const double secondValue, const double weight /*= 1.*/) {
+    SumWeights -= weight;
+    if (SumWeights.Get()) {
+        FirstValueMean -= weight * (firstValue - FirstValueMean) / SumWeights.Get();
+        Covariation -= weight * (firstValue - FirstValueMean) * (secondValue - SecondValueMean);
+        SecondValueMean -= weight * (secondValue - SecondValueMean) / SumWeights.Get();
+    }
+}
+
+double TCovariationCalculator::GetFirstValueMean() const {
+    return FirstValueMean;
+}
+
+double TCovariationCalculator::GetSecondValueMean() const {
+    return SecondValueMean;
+}
+
+double TCovariationCalculator::GetCovariation() const {
+    return Covariation;
+}
+
+double TCovariationCalculator::GetSumWeights() const {
+    return SumWeights.Get();
+}
+
+void TCovariationCalculator::Reset() {
+    *this = TCovariationCalculator();
+}
+
+void TDeviationCalculator::Add(const double value, const double weight /*= 1.*/) {
+    const double lastMean = MeanCalculator.GetMean();
+    MeanCalculator.Add(value, weight);
+    Deviation += weight * (value - lastMean) * (value - MeanCalculator.GetMean());
+}
+
+void TDeviationCalculator::Remove(const double value, const double weight /*= 1.*/) {
+    const double lastMean = MeanCalculator.GetMean();
+    MeanCalculator.Remove(value, weight);
+    Deviation -= weight * (value - lastMean) * (value - MeanCalculator.GetMean());
+}
+
+double TDeviationCalculator::GetMean() const {
+    return MeanCalculator.GetMean();
+}
+
+double TDeviationCalculator::GetDeviation() const {
+    return Deviation;
+}
+
+double TDeviationCalculator::GetStdDev() const {
+    const double sumWeights = GetSumWeights();
+    if (!sumWeights) {
+        return 0.;
+    }
+    return sqrt(GetDeviation() / sumWeights);
+}
+
+double TDeviationCalculator::GetSumWeights() const {
+    return MeanCalculator.GetSumWeights();
+}
+
+void TDeviationCalculator::Reset() {
+    *this = TDeviationCalculator();
+}