Changeset 6095 for trunk/sources/HeuristicLab.Problems.DataAnalysis/3.4/OnlineCalculators

Timestamp:

05/02/11 14:46:08 (14 years ago)

Author:

gkronber

Message:

#1498: added check for very small and very large values in mean/variance calculator to fix numeric instability problems.

File:

• trunk/sources/HeuristicLab.Problems.DataAnalysis/3.4/OnlineCalculators/OnlineMeanAndVarianceCalculator.cs (modified) (2 diffs)

trunk/sources/HeuristicLab.Problems.DataAnalysis/3.4/OnlineCalculators/OnlineMeanAndVarianceCalculator.cs

@@ -73 +73 @@
 
     public void Add(double x) {
-      if (double.IsNaN(x) || double.IsInfinity(x) || (errorState & OnlineCalculatorError.InvalidValueAdded) > 0) {
+      if (double.IsNaN(x) || double.IsInfinity(x) || x > 1E13 || x < -1E13 || (errorState & OnlineCalculatorError.InvalidValueAdded) > 0) {
         errorState = errorState | OnlineCalculatorError.InvalidValueAdded;
         varianceErrorState = errorState | OnlineCalculatorError.InvalidValueAdded;
@@ -84 +84 @@
           errorState = errorState & (~OnlineCalculatorError.InsufficientElementsAdded);        // n >= 1
         } else {
+
           varianceErrorState = varianceErrorState & (~OnlineCalculatorError.InsufficientElementsAdded);        // n >= 2
           m_newM = m_oldM + (x - m_oldM) / n;