library/cpp/linear_regression/welford.cpp


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#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();
}