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2da4e3ce53
The algorithm was designed for estimating quantiles in streams of integer values. When the estimate is equal to the input value, the step state variable does not change. This causes problems for the floating-point adaptation used for measurents of delay in chrony. One problem is numerical instability due to the strict comparison of the input value and the current estimate. Another problem is with signals that are so stable that the nanosecond resolution of the system functions becomes the limitation. There is a large difference in the value of the step state variable, which determines how quickly the estimate will adapt to a new distribution, between signals that are constant in the nanosecond resolution and signals that can move in two nanoseconds. Change the estimate update to never consider the input value equal to the current estimate and don't set the estimate exactly to the input value. Keep it off by a quarter of the minimum step to force jumping around the input value if it's constant and decreasing the step variable to negative values. Also fix the initial adjustment to step at least by the minimum step (the original algorithm is described with ceil(), not fabs()).
97 lines
2.8 KiB
C
97 lines
2.8 KiB
C
/*
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**********************************************************************
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* Copyright (C) Miroslav Lichvar 2022
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*
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* This program is free software; you can redistribute it and/or modify
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* it under the terms of version 2 of the GNU General Public License as
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* published by the Free Software Foundation.
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*
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* This program is distributed in the hope that it will be useful, but
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* WITHOUT ANY WARRANTY; without even the implied warranty of
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* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
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* General Public License for more details.
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*
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* You should have received a copy of the GNU General Public License along
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* with this program; if not, write to the Free Software Foundation, Inc.,
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* 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301, USA.
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*
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**********************************************************************
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*/
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#include <local.h>
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#include "test.h"
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#include <quantiles.c>
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void
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test_unit(void)
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{
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int i, j, k, min_k, max_k, q, r, in_order, out_order;
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QNT_Instance inst;
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double x, x2;
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in_order = out_order = 0;
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for (i = 0; i < 100; i++) {
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r = random() % 10 + 1;
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q = random() % 20 + 2;
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do {
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min_k = random() % (q - 1) + 1;
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max_k = random() % (q - 1) + 1;
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} while (min_k > max_k);
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inst = QNT_CreateInstance(min_k, max_k, q, r, 1e-9);
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TEST_CHECK(min_k == QNT_GetMinK(inst));
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TEST_CHECK(max_k == QNT_GetMaxK(inst));
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TEST_CHECK(fabs(QNT_GetMinStep(inst) - 1e-9) < 1e-12);
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for (j = 0; j < 3000; j++) {
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x = TST_GetRandomDouble(0.0, 2e-6);
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QNT_Accumulate(inst, x);
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for (k = min_k; k < max_k; k++)
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if (j < max_k - min_k) {
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TEST_CHECK(QNT_GetQuantile(inst, k) <= QNT_GetQuantile(inst, k + 1));
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} else if (j > 1000) {
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if (QNT_GetQuantile(inst, k) <= QNT_GetQuantile(inst, k + 1))
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in_order++;
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else
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out_order++;
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}
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}
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QNT_Reset(inst);
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TEST_CHECK(inst->n_set == 0);
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for (j = 0; j < 3; j++) {
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QNT_Reset(inst);
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x = (i + 950) / 1e9;
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if (random() % 10)
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x2 = (i + 951) / 1e9;
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else
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x2 = x;
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for (k = 0; k < 1000; k++)
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QNT_Accumulate(inst, random() % 2 ? x : x2);
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for (k = 0; k < inst->n_quants; k++) {
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TEST_CHECK(inst->quants[k].est > x - 0.4e-9);
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TEST_CHECK(inst->quants[k].est < x2 + 0.4e-9);
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TEST_CHECK(inst->quants[k].step < -15e-9);
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TEST_CHECK(inst->quants[k].step > -1000e-9);
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if (min_k * 2 == q && k < inst->repeat) {
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if (x == x2) {
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TEST_CHECK(inst->quants[k].step < -750e-9);
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TEST_CHECK(inst->quants[k].step > -1000e-9);
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} else {
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TEST_CHECK(inst->quants[k].step < -350e-9);
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TEST_CHECK(inst->quants[k].step > -600e-9);
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}
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}
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}
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}
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QNT_DestroyInstance(inst);
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}
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TEST_CHECK(in_order > 100 * out_order);
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}
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