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source: trunk/sources/HeuristicLab.Problems.DataAnalysis/3.4/OnlineEvaluators/OnlineMeanAndVarianceCalculator.cs @ 5809

Last change on this file since 5809 was 5809, checked in by mkommend, 12 years ago

#1418: Reintegrated branch into trunk.

File size: 2.5 KB
Line 
1#region License Information
2/* HeuristicLab
3 * Copyright (C) 2002-2011 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
4 *
5 * This file is part of HeuristicLab.
6 *
7 * HeuristicLab is free software: you can redistribute it and/or modify
8 * it under the terms of the GNU General Public License as published by
9 * the Free Software Foundation, either version 3 of the License, or
10 * (at your option) any later version.
11 *
12 * HeuristicLab is distributed in the hope that it will be useful,
13 * but WITHOUT ANY WARRANTY; without even the implied warranty of
14 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
15 * GNU General Public License for more details.
16 *
17 * You should have received a copy of the GNU General Public License
18 * along with HeuristicLab. If not, see <http://www.gnu.org/licenses/>.
19 */
20#endregion
21
22using System;
23using System.Collections.Generic;
24
25namespace HeuristicLab.Problems.DataAnalysis {
26  public class OnlineMeanAndVarianceCalculator {
27
28    private double m_oldM, m_newM, m_oldS, m_newS;
29    private int n;
30
31    public double Variance {
32      get {
33        return (n > 1) ? m_newS / (n - 1) : 0.0;
34      }
35    }
36
37    public double PopulationVariance {
38      get {
39        return (n > 0) ? m_newS / n : 0.0;
40      }
41    }
42
43    public double Mean {
44      get {
45        return (n > 0) ? m_newM : 0.0;
46      }
47    }
48
49    public int Count {
50      get { return n; }
51    }
52
53    public OnlineMeanAndVarianceCalculator() {
54      Reset();
55    }
56
57    public void Reset() {
58      n = 0;
59    }
60
61    public void Add(double x) {
62      if (double.IsNaN(x) || double.IsInfinity(x)) {
63        throw new ArgumentException("Mean and variance are not defined for NaN or infinity elements");
64      } else {
65        n++;
66        // See Knuth TAOCP vol 2, 3rd edition, page 232
67        if (n == 1) {
68          m_oldM = m_newM = x;
69          m_oldS = 0.0;
70        } else {
71          m_newM = m_oldM + (x - m_oldM) / n;
72          m_newS = m_oldS + (x - m_oldM) * (x - m_newM);
73
74          // set up for next iteration
75          m_oldM = m_newM;
76          m_oldS = m_newS;
77        }
78      }
79    }
80
81    public static void Calculate(IEnumerable<double> x, out double mean, out double variance) {
82      OnlineMeanAndVarianceCalculator meanAndVarianceCalculator = new OnlineMeanAndVarianceCalculator();
83      foreach (double xi in x) {
84        meanAndVarianceCalculator.Add(xi);
85      }
86      mean = meanAndVarianceCalculator.Mean;
87      variance = meanAndVarianceCalculator.Variance;
88    }
89  }
90}
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