4 Commits

Author SHA1 Message Date
Miroslav Lichvar
d22c8fbcb2 quantiles: add parameter to limit negative step
Add a new parameter to limit the negative value of the step state
variable. It's set as a maximum delay in number of updates before the
actual step applied to the quantile estimate starts growing from the
minimum step when the input value is consistently larger or smaller than
the estimate.

This prevents the algorithm from effectively becoming the slower 1U
variant if the quantile estimate is stable most of the time.

Set it to 100 updates for the NTP delay and 1000 updates for the hwclock
delay. An option could be added later to make it configurable.
2024-11-21 16:00:23 +01:00
Miroslav Lichvar
77962bb527 quantiles: add functions to get max k and min step 2024-11-21 09:05:58 +01:00
Miroslav Lichvar
df80274644 quantiles: add function to get minimum k 2022-07-21 15:33:35 +02:00
Miroslav Lichvar
b428f901c7 quantiles: add support for quantile estimation
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.
2022-06-09 16:01:19 +02:00