Greetings! Recently I stumbled into the Commons math project; nice design, good abstractions, "smart updates" and even unit tests! :-)
the Smart updates are a key feature for event stream processing / time series simulation. The only piece that is missing from a time series analysis and simulation perspective is the ability to supply a lag that defines a fixed sample size and perform rolling calculations. I was very happy to see this as an item on the wish list. A ThoughtWorks colleague (Yaxin Wang) and I are prototyping a java time series simulation engine and we are considering the commons math as the base of our numerical libraries. In order to do this we need to complete the rolling calculations, so here is our first spike (spike means prototype that can be thrown away / not a real patch.) We thought we would start with an easy case; mean, which uses sum. We have already combined the rolling calculations with the smart update algorithms before in the numerical libraries for our previous time series simulation engine. As you have mentioned in the wish list notes, our past experience is that some of the algorithms can not avoid using queues for rolling updates case. Obviously it is something pretty fundamental to the design and requires a bit of work across a lot of places to do this for all the statistics (at least starting with summary statistics.) Please give feedback on the design, any issues with performance (better data structure than the queue we used), etc! If the community is OK with this initial spike, then we can start submitting patches. :-) /brad
statistics.tar.gz
Description: GNU Zip compressed data
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