sparsemap/tests/tdigest.h

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#pragma once
#include <stdlib.h>
/**
* Adaptive histogram based on something like streaming k-means crossed with Q-digest.
* The implementation is a direct descendent of MergingDigest
* https://github.com/tdunning/t-digest/
*
* Copyright (c) 2021 Redis, All rights reserved.
* Copyright (c) 2018 Andrew Werner, All rights reserved.
*
* The special characteristics of this algorithm are:
*
* - smaller summaries than Q-digest
*
* - provides part per million accuracy for extreme quantiles and typically &lt;1000 ppm accuracy
* for middle quantiles
*
* - fast
*
* - simple
*
* - easy to adapt for use with map-reduce
*/
#define MM_PI 3.14159265358979323846
struct td_histogram {
// compression is a setting used to configure the size of centroids when merged.
double compression;
double min;
double max;
// cap is the total size of nodes
int cap;
// merged_nodes is the number of merged nodes at the front of nodes.
int merged_nodes;
// unmerged_nodes is the number of buffered nodes.
int unmerged_nodes;
// we run the merge in reverse every other merge to avoid left-to-right bias in merging
long long total_compressions;
long long merged_weight;
long long unmerged_weight;
double *nodes_mean;
long long *nodes_weight;
};
typedef struct td_histogram td_histogram_t;
#ifdef __cplusplus
extern "C" {
#endif
/**
* Allocate the memory, initialise the t-digest, and return the histogram as output parameter.
* @param compression The compression parameter.
* 100 is a common value for normal uses.
* 1000 is extremely large.
* The number of centroids retained will be a smallish (usually less than 10) multiple of this
* number.
* @return the histogram on success, NULL if allocation failed.
*/
td_histogram_t *td_new(double compression);
/**
* Allocate the memory and initialise the t-digest.
*
* @param compression The compression parameter.
* 100 is a common value for normal uses.
* 1000 is extremely large.
* The number of centroids retained will be a smallish (usually less than 10) multiple of this
* number.
* @param result Output parameter to capture allocated histogram.
* @return 0 on success, 1 if allocation failed.
*/
int td_init(double compression, td_histogram_t **result);
/**
* Frees the memory associated with the t-digest.
*
* @param h The histogram you want to free.
*/
void td_free(td_histogram_t *h);
/**
* Reset a histogram to zero - empty out a histogram and re-initialise it
*
* If you want to re-use an existing histogram, but reset everything back to zero, this
* is the routine to use.
*
* @param h The histogram you want to reset to empty.
*
*/
void td_reset(td_histogram_t *h);
/**
* Adds a sample to a histogram.
*
* @param val The value to add.
* @param weight The weight of this point.
* @return 0 on success, EDOM if overflow was detected as a consequence of adding the provided
* weight.
*
*/
int td_add(td_histogram_t *h, double val, long long weight);
/**
* Re-examines a t-digest to determine whether some centroids are redundant. If your data are
* perversely ordered, this may be a good idea. Even if not, this may save 20% or so in space.
*
* The cost is roughly the same as adding as many data points as there are centroids. This
* is typically &lt; 10 * compression, but could be as high as 100 * compression.
* This is a destructive operation that is not thread-safe.
*
* @param h The histogram you want to compress.
* @return 0 on success, EDOM if overflow was detected as a consequence of adding the provided
* weight. If overflow is detected the histogram is not changed.
*
*/
int td_compress(td_histogram_t *h);
/**
* Merges all of the values from 'from' to 'this' histogram.
*
* @param h "This" pointer
* @param from Histogram to copy values from.
* * @return 0 on success, EDOM if overflow was detected as a consequence of merging the the
* provided histogram. If overflow is detected the original histogram is not detected.
*/
int td_merge(td_histogram_t *h, td_histogram_t *from);
/**
* Returns the fraction of all points added which are &le; x.
*
* @param x The cutoff for the cdf.
* @return The fraction of all data which is less or equal to x.
*/
double td_cdf(td_histogram_t *h, double x);
/**
* Returns an estimate of the cutoff such that a specified fraction of the data
* added to this TDigest would be less than or equal to the cutoff.
*
* @param q The desired fraction
* @return The value x such that cdf(x) == q;
*/
double td_quantile(td_histogram_t *h, double q);
/**
* Returns an estimate of the cutoff such that a specified fraction of the data
* added to this TDigest would be less than or equal to the cutoffs.
*
* @param quantiles The ordered percentiles array to get the values for.
* @param values Destination array containing the values at the given quantiles.
* The values array should be allocated by the caller.
* @return 0 on success, ENOMEM if the provided destination array is null.
*/
int td_quantiles(td_histogram_t *h, const double *quantiles, double *values, size_t length);
/**
* Returns the trimmed mean ignoring values outside given cutoff upper and lower limits.
*
* @param leftmost_cut Fraction to cut off of the left tail of the distribution.
* @param rightmost_cut Fraction to cut off of the right tail of the distribution.
* @return The trimmed mean ignoring values outside given cutoff upper and lower limits;
*/
double td_trimmed_mean(td_histogram_t *h, double leftmost_cut, double rightmost_cut);
/**
* Returns the trimmed mean ignoring values outside given a symmetric cutoff limits.
*
* @param proportion_to_cut Fraction to cut off of the left and right tails of the distribution.
* @return The trimmed mean ignoring values outside given cutoff upper and lower limits;
*/
double td_trimmed_mean_symmetric(td_histogram_t *h, double proportion_to_cut);
/**
* Returns the current compression factor.
*
* @return The compression factor originally used to set up the TDigest.
*/
int td_compression(td_histogram_t *h);
/**
* Returns the number of points that have been added to this TDigest.
*
* @return The sum of the weights on all centroids.
*/
long long td_size(td_histogram_t *h);
/**
* Returns the number of centroids being used by this TDigest.
*
* @return The number of centroids being used.
*/
int td_centroid_count(td_histogram_t *h);
/**
* Get minimum value from the histogram. Will return __DBL_MAX__ if the histogram
* is empty.
*
* @param h "This" pointer
*/
double td_min(td_histogram_t *h);
/**
* Get maximum value from the histogram. Will return - __DBL_MAX__ if the histogram
* is empty.
*
* @param h "This" pointer
*/
double td_max(td_histogram_t *h);
/**
* Get the full centroids weight array for 'this' histogram.
*
* @param h "This" pointer
*
* @return The full centroids weight array.
*/
const long long *td_centroids_weight(td_histogram_t *h);
/**
* Get the full centroids mean array for 'this' histogram.
*
* @param h "This" pointer
*
* @return The full centroids mean array.
*/
const double *td_centroids_mean(td_histogram_t *h);
/**
* Get the centroid weight for 'this' histogram and 'pos'.
*
* @param h "This" pointer
* @param pos centroid position.
*
* @return The centroid weight.
*/
long long td_centroids_weight_at(td_histogram_t *h, int pos);
/**
* Get the centroid mean for 'this' histogram and 'pos'.
*
* @param h "This" pointer
* @param pos centroid position.
*
* @return The centroid mean.
*/
double td_centroids_mean_at(td_histogram_t *h, int pos);
#ifdef __cplusplus
}
#endif