OnlineVariance.java

/*
 * Licensed to the Apache Software Foundation (ASF) under one
 * or more contributor license agreements.  See the NOTICE file
 * distributed with this work for additional information
 * regarding copyright ownership.  The ASF licenses this file
 * to you under the Apache License, Version 2.0 (the
 * "License"); you may not use this file except in compliance
 * with the License.  You may obtain a copy of the License at
 *
 *   http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing,
 * software distributed under the License is distributed on an
 * "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY
 * KIND, either express or implied.  See the License for the
 * specific language governing permissions and limitations
 * under the License.
 */
package hivemall.common;

/**
 * @see http://en.wikipedia.org/wiki/Algorithms_for_calculating_variance
 */
public final class OnlineVariance {

    private long n;
    private double mean;
    private double m2;

    public OnlineVariance() {
        reset();
    }

    public void reset() {
        this.n = 0L;
        this.mean = 0.d;
        this.m2 = 0.d;
    }

    public void handle(double x) {
        ++n;
        double delta = x - mean;
        mean += delta / n;
        m2 += delta * (x - mean);
    }

    public void unhandle(double x) {
        if (n == 0L) {
            return; // nop
        }
        if (n == 1L) {
            reset();
            return;
        }
        double old_mean = (n * mean - x) / (n - 1L);
        m2 -= (x - mean) * (x - old_mean);
        mean = old_mean;
        --n;
    }

    public long numSamples() {
        return n;
    }

    public double mean() {
        return mean;
    }

    public double variance() {
        return n > 1 ? (m2 / (n - 1)) : 0.d;
    }

    public double stddev() {
        return Math.sqrt(variance());
    }

}