xkrogen opened a new pull request, #4844:
URL: https://github.com/apache/hadoop/pull/4844
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### Description of PR
This is presented as an alternative to #4811. That PR partially undoes
HADOOP-13804 by falling back to using the rolling mean maintained by Welford's
algorithm, which is less sensitive to numerical
instability. However it breaks the behavior of the variance calculation to
some extent, since the mean is updated to accommodate the weighted sample but
the variance is not. I believe the right approach
is to modify `SampleStat` to use the [weighted incremental
algorithm](https://en.wikipedia.org/wiki/Algorithms_for_calculating_variance#Weighted_incremental_algorithm)
variant of Welford's, which
correctly handles weights for both mean and variance.
I took the opportunity to clean up some of the code in `SampleStat`, which
maintains substantially more state than is necessary (intermediate variables
`a0`/`s0` are needed only during the computation).
Variable names were updated to be more descriptive (`mean` instead of `a`).
### How was this patch tested?
Unit test is enhanced.
### For code changes:
- [ ] Does the title or this PR starts with the corresponding JIRA issue id
(e.g. 'HADOOP-17799. Your PR title ...')?
- [ ] Object storage: have the integration tests been executed and the
endpoint declared according to the connector-specific documentation?
- [ ] If adding new dependencies to the code, are these dependencies
licensed in a way that is compatible for inclusion under [ASF
2.0](http://www.apache.org/legal/resolved.html#category-a)?
- [ ] If applicable, have you updated the `LICENSE`, `LICENSE-binary`,
`NOTICE-binary` files?
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