Github user cestella commented on a diff in the pull request:
https://github.com/apache/incubator-metron/pull/250#discussion_r78632699
--- Diff:
metron-platform/metron-common/src/main/java/org/apache/metron/common/math/stats/OnlineStatisticsProvider.java
---
@@ -0,0 +1,243 @@
+/*
+ *
+ * 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 org.apache.metron.common.math.stats;
+
+import com.tdunning.math.stats.TDigest;
+import org.apache.commons.math3.util.FastMath;
+
+/**
+ * A (near) constant memory implementation of a statistics provider.
+ * For first order statistics, simple terms are stored and composed
+ * to return the statistics results. This is intended to provide a
+ * mergeable implementation for a statistics provider.
+ */
+public class OnlineStatisticsProvider implements StatisticsProvider {
+ /**
+ * A sensible default for compression to use in the T-Digest.
+ * As per
https://github.com/tdunning/t-digest/blob/master/src/main/java/com/tdunning/math/stats/TDigest.java#L86
+ * 100 is a sensible default and the number of centroids retained (to
construct the sketch)
+ * is usually a smallish (usually < 10) multiple of the compression.
+ */
+ public static final int COMPRESSION = 100;
+
+
+ /**
+ * A distributional sketch that uses a variant of 1-D k-means to
construct a tree of ranges
+ * that sketches the distribution. See
https://github.com/tdunning/t-digest#t-digest for
+ * more detail.
+ */
+ private TDigest digest;
+
+ private long n = 0;
+ private double sum = 0;
+ private double sumOfSquares = 0;
+ private double sumOfLogs = 0;
+ private Double min = null;
+ private Double max = null;
+
+ //\mu_1, E[X]
+ private double M1 = 0;
+ //\mu_2: E[(X - \mu)^2]
+ private double M2 = 0;
+ //\mu_3: E[(X - \mu)^3]
+ private double M3 = 0;
+ //\mu_4: E[(X - \mu)^4]
+ private double M4 = 0;
+
+ public OnlineStatisticsProvider() {
+ digest = TDigest.createAvlTreeDigest(COMPRESSION);
+ }
+
+ /**
+ * Add a value.
+ * NOTE: This does not store the point, but only updates internal state.
+ * NOTE: This is NOT threadsafe.
+ * @param value
+ */
+ @Override
+ public void addValue(double value) {
+ long n1 = n;
+ min = min == null?value:Math.min(min, value);
+ max = max == null?value:Math.max(max, value);
+ sum += value;
+ sumOfLogs += Math.log(value);
+ sumOfSquares += value*value;
--- End diff --
Yeah, I'd prefer to avoid `BigDecimal` if at all possible due to
performance concerns. Also, I will point out that Commons Math also
[uses](https://github.com/apache/commons-math/blob/050dfa6f0850174fdf958ce6751d2f06900201f8/src/main/java/org/apache/commons/math4/stat/descriptive/summary/SumOfSquares.java)
`double` for its accumulation, so I think we're pretty safe for some large
amount of headroom. That being said, I will do the math ops via `ExactMath` so
it throws an exception on overflow. Good catch.
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