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quantiles: add support for quantile estimation

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Add estimation of quantiles using the Frugal-2U streaming algorithm
(https://arxiv.org/pdf/1407.1121v1.pdf). It does not need to save
previous samples and adapts to changes in the distribution.

Allow multiple estimates of the same quantile and select the median for
better stability.
This commit is contained in:
Miroslav Lichvar
2022-05-18 12:16:33 +02:00
parent 09b7f77f9a
commit b428f901c7
3 changed files with 307 additions and 0 deletions
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66
test/unit/quantiles.c Normal file
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/*
**********************************************************************
* Copyright (C) Miroslav Lichvar 2022
*
* This program is free software; you can redistribute it and/or modify
* it under the terms of version 2 of the GNU General Public License as
* published by the Free Software Foundation.
*
* This program is distributed in the hope that it will be useful, but
* WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
* General Public License for more details.
*
* You should have received a copy of the GNU General Public License along
* with this program; if not, write to the Free Software Foundation, Inc.,
* 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301, USA.
*
**********************************************************************
*/
#include <local.h>
#include "test.h"
#include <quantiles.c>
void
test_unit(void)
{
int i, j, k, min_k, max_k, q, r, in_order, out_order;
QNT_Instance inst;
double x;
in_order = out_order = 0;
for (i = 0; i < 100; i++) {
r = random() % 10 + 1;
q = random() % 20 + 2;
do {
min_k = random() % (q - 1) + 1;
max_k = random() % (q - 1) + 1;
} while (min_k > max_k);
inst = QNT_CreateInstance(min_k, max_k, q, r, 1e-9);
for (j = 0; j < 3000; j++) {
x = TST_GetRandomDouble(0.0, 2e-6);
QNT_Accumulate(inst, x);
for (k = min_k; k < max_k; k++)
if (j < max_k - min_k) {
TEST_CHECK(QNT_GetQuantile(inst, k) <= QNT_GetQuantile(inst, k + 1));
} else if (j > 1000) {
if (QNT_GetQuantile(inst, k) <= QNT_GetQuantile(inst, k + 1))
in_order++;
else
out_order++;
}
}
QNT_Reset(inst);
TEST_CHECK(inst->n_set == 0);
QNT_DestroyInstance(inst);
}
TEST_CHECK(in_order > 100 * out_order);
}