intermediate changes

ref:cde9a383711a11544ce7e107a78147fb96cc4029

1 files changed, 77 insertions, 0 deletions

diff --git a/library/cpp/linear_regression/welford.h b/library/cpp/linear_regression/welford.h
new file mode 100644
index 0000000000..ee865d6693
--- /dev/null
+++ b/library/cpp/linear_regression/welford.h
@@ -0,0 +1,77 @@
+#pragma once
+
+#include <library/cpp/accurate_accumulate/accurate_accumulate.h>
+
+#include <util/ysaveload.h>
+
+// accurately computes (w_1 * x_1 + w_2 * x_2 + ... + w_n * x_n) / (w_1 + w_2 + ... + w_n)
+class TMeanCalculator {
+private:
+    double Mean = 0.;
+    TKahanAccumulator<double> SumWeights;
+
+public:
+    Y_SAVELOAD_DEFINE(Mean, SumWeights);
+
+    void Multiply(const double value);
+    void Add(const double value, const double weight = 1.);
+    void Remove(const double value, const double weight = 1.);
+    double GetMean() const;
+    double GetSumWeights() const;
+    void Reset();
+
+    bool operator<(const TMeanCalculator& other) const {
+        return Mean < other.Mean;
+    }
+
+    bool operator>(const TMeanCalculator& other) const {
+        return Mean > other.Mean;
+    }
+};
+
+// accurately computes (w_1 * x_1 * y_1 + w_2 * x_2 * y_2 + ... + w_n * x_n * y_n) / (w_1 + w_2 + ... + w_n)
+class TCovariationCalculator {
+private:
+    double Covariation = 0.;
+
+    double FirstValueMean = 0.;
+    double SecondValueMean = 0.;
+
+    TKahanAccumulator<double> SumWeights;
+
+public:
+    Y_SAVELOAD_DEFINE(Covariation, FirstValueMean, SecondValueMean, SumWeights);
+
+    void Add(const double firstValue, const double secondValue, const double weight = 1.);
+    void Remove(const double firstValue, const double secondValue, const double weight = 1.);
+
+    double GetFirstValueMean() const;
+    double GetSecondValueMean() const;
+
+    double GetCovariation() const;
+
+    double GetSumWeights() const;
+
+    void Reset();
+};
+
+// accurately computes (w_1 * x_1 * x_1 + w_2 * x_2 * x_2 + ... + w_n * x_n * x_n) / (w_1 + w_2 + ... + w_n)
+class TDeviationCalculator {
+private:
+    double Deviation = 0.;
+    TMeanCalculator MeanCalculator;
+
+public:
+    Y_SAVELOAD_DEFINE(Deviation, MeanCalculator);
+
+    void Add(const double value, const double weight = 1.);
+    void Remove(const double value, const double weight = 1.);
+
+    double GetMean() const;
+    double GetDeviation() const;
+    double GetStdDev() const;
+
+    double GetSumWeights() const;
+
+    void Reset();
+};