Computation of running average and variance using Welford's algorithm. More...

#include <running_stats.hpp>

Public Member Functions
void	addSample (T x)
	Add a new sample to the statistics. More...

size_t	getCount () const
	Get the number of stored samples. More...

T	getMean () const
	Get the mean of stored samples. More...

T	getSampleVariance () const
	Get the sample variance of stored samples (like variance, but divided by count-1 instead of count, should be unbiased estimator). More...

T	getStandardDeviation () const
	Get standard deviation of stored samples. More...

T	getVariance () const
	Get the variance of stored samples. More...

RunningStats< T >	operator+ (const RunningStats< T > &other) const
	Combine the two sequences represented by this and other and represent their joint stats. More...

RunningStats< T >	operator+ (const T &sample) const
	Return a copy of this with the added sample. More...

RunningStats< T > &	operator+= (const RunningStats< T > &other)
	Combine the two sequences represented by this and other and represent their joint stats. More...

RunningStats< T > &	operator+= (const T &sample)
	Add the sample to the stats. More...

RunningStats< T >	operator- (const RunningStats< T > &other) const
	Subtract the sequence represented by other from the sequence represented by this and return the updated stats. More...

RunningStats< T >	operator- (const T &sample) const
	Remove a sample from the statistics. More...

RunningStats< T > &	operator-= (const RunningStats< T > &other)
	Subtract the sequence represented by other from the sequence represented by this and update the stats. More...

RunningStats< T > &	operator-= (const T &sample)
	Remove a sample from the statistics. More...

void	removeSample (T x)
	Remove a sample from the statistics. More...

void	reset ()
	Reset the statistics to represent an empty sequence. More...

Protected Member Functions
template<>
ros::Duration	multiply (const ::ros::Duration &val1, const ::ros::Duration &val2)

template<>
ros::WallDuration	multiply (const ::ros::WallDuration &val1, const ::ros::WallDuration &val2)

template<>
ros::Duration	sqrt (const ::ros::Duration &val)

template<>
ros::WallDuration	sqrt (const ::ros::WallDuration &val)

template<>
ros::Duration	zero ()

template<>
ros::WallDuration	zero ()

Static Protected Member Functions
static T	multiply (const T &val1, const T &val2)
	val1 * val2 More...

static T	multiplyScalar (const T &val, double scalar)
	val * scalar More...

static T	sqrt (const T &val)
	Return the square root of the given value (whatever meaning that might have). More...

static T	zero ()
	Return a T value representing zero. More...

Protected Attributes
size_t	count {0u}
	Number of represented samples. More...

T	mean {RunningStats<T>::zero()}
	Mean of represented samples. More...

T	var {RunningStats<T>::zero()}
	Sk term of the computation such that var(X0...Xk) = this->var/this->count. More...

Detailed Description

template<typename T>
class cras::RunningStats< T >

Computation of running average and variance using Welford's algorithm.

Template Parameters

T	Type of the values. It has to support operator+ and operator- with T.

This class can keep track of mean and variance of a stream of data using an efficient online algorithm. The required memory is constant, and time to insert a new value and update the stats is also constant.

You can also add and subtract instances of this class which behaves as if you merged / diffed the streams that created the stats.

Definition at line 28 of file running_stats.hpp.

Member Function Documentation

◆ addSample()

template<typename T>

void cras::RunningStats< T >::addSample ( T x )

Add a new sample to the statistics.

Parameters

[in] x The sample to add.

Note: This function runs in O(1) time.

◆ getCount()

template<typename T>

size_t cras::RunningStats< T >::getCount ( ) const

Get the number of stored samples.

Returns: The number of samples.

◆ getMean()

template<typename T>

T cras::RunningStats< T >::getMean ( ) const

Get the mean of stored samples.

Returns: The mean.

Note: This function runs in O(1) time.

◆ getSampleVariance()

template<typename T>

T cras::RunningStats< T >::getSampleVariance ( ) const

Get the sample variance of stored samples (like variance, but divided by count-1 instead of count, should be unbiased estimator).

Returns: The sample variance.

Note: This function runs in O(1) time.

◆ getStandardDeviation()

template<typename T>

T cras::RunningStats< T >::getStandardDeviation ( ) const

Get standard deviation of stored samples.

Returns: The standard deviation.

Note: The standard deviation computation is based on the sample variance.; This function runs in O(1) time.

◆ getVariance()

template<typename T>

T cras::RunningStats< T >::getVariance ( ) const

Get the variance of stored samples.

Returns: The variance.

Note: This function runs in O(1) time.

◆ multiply() [1/3]

template<>

ros::Duration cras::RunningStats<::ros::Duration >::multiply	(	const ::ros::Duration &	val1,
		const ::ros::Duration &	val2
	)

protected

Definition at line 21 of file running_stats_duration.hpp.

◆ multiply() [2/3]

template<>

ros::WallDuration cras::RunningStats<::ros::WallDuration >::multiply	(	const ::ros::WallDuration &	val1,
		const ::ros::WallDuration &	val2
	)

protected

Definition at line 43 of file running_stats_duration.hpp.

◆ multiply() [3/3]

template<typename T>

static T cras::RunningStats< T >::multiply	(	const T &	val1,
		const T &	val2
	)

staticprotected

val1 * val2

Parameters

[in]	val1	Multiplicand.
[in]	val2	Multiplicand.

Returns: val1 * val2

◆ multiplyScalar()

template<typename T>

static T cras::RunningStats< T >::multiplyScalar	(	const T &	val,
		double	scalar
	)

staticprotected

val * scalar

Parameters

[in]	val	The value to multiply.
[in]	scalar	The scalar to multiply with.

Returns: val * scalar

◆ operator+() [1/2]

template<typename T>

RunningStats<T> cras::RunningStats< T >::operator+ ( const RunningStats< T > & other ) const

Combine the two sequences represented by this and other and represent their joint stats.

Parameters

[in] other The other stats to merge.

Returns: The combined stats.

Note: This function runs in O(1) time.

◆ operator+() [2/2]

template<typename T>

RunningStats<T> cras::RunningStats< T >::operator+ ( const T & sample ) const

Return a copy of this with the added sample.

Parameters

[in] sample The sample to add.

Returns: The new stats.

Note: This function runs in O(1) time.

◆ operator+=() [1/2]

template<typename T>

RunningStats<T>& cras::RunningStats< T >::operator+= ( const RunningStats< T > & other )

Combine the two sequences represented by this and other and represent their joint stats.

Parameters

[in] other The other stats to merge.

Returns: This.

Note: This function runs in O(1) time.

◆ operator+=() [2/2]

template<typename T>

RunningStats<T>& cras::RunningStats< T >::operator+= ( const T & sample )

Add the sample to the stats.

Parameters

[in] sample The sample to add.

Returns: This.

Note: This function runs in O(1) time.

◆ operator-() [1/2]

template<typename T>

RunningStats<T> cras::RunningStats< T >::operator- ( const RunningStats< T > & other ) const

Subtract the sequence represented by other from the sequence represented by this and return the updated stats.

Parameters

[in] other The stats to subtract.

Returns: The stats with other removed.

Note: If other is longer than this, empty stats will be returned.; This function runs in O(1) time.

◆ operator-() [2/2]

template<typename T>

RunningStats<T> cras::RunningStats< T >::operator- ( const T & sample ) const

Remove a sample from the statistics.

Parameters

[in] sample The sample to remove.

Returns: The stats with sample removed.

Note: This function runs in O(1) time.; It is the responsibility of the caller to make sure the sample being removed has actually been added before. If that is not true, the computed statistics will stop being valid.; Removing from an empty instance does nothing.

◆ operator-=() [1/2]

template<typename T>

RunningStats<T>& cras::RunningStats< T >::operator-= ( const RunningStats< T > & other )

Subtract the sequence represented by other from the sequence represented by this and update the stats.

Parameters

[in] other The stats to subtract.

Returns: This.

Note: If other is longer than this, empty stats will be returned.; This function runs in O(1) time.

◆ operator-=() [2/2]

template<typename T>

RunningStats<T>& cras::RunningStats< T >::operator-= ( const T & sample )

Remove a sample from the statistics.

Parameters

[in] sample The sample to remove.

Returns: This.

Note: This function runs in O(1) time.; It is the responsibility of the caller to make sure the sample being removed has actually been added before. If that is not true, the computed statistics will stop being valid.; Removing from an empty instance does nothing.

◆ removeSample()

template<typename T>

void cras::RunningStats< T >::removeSample ( T x )

Remove a sample from the statistics.

Parameters

[in] x The sample to remove.

Note: This function runs in O(1) time.; It is the responsibility of the caller to make sure the sample being removed has actually been added before. If that is not true, the computed statistics will stop being valid.; Removing from an empty instance does nothing.

◆ reset()

template<typename T>

void cras::RunningStats< T >::reset ( )

Reset the statistics to represent an empty sequence.

◆ sqrt() [1/3]

template<>

ros::Duration cras::RunningStats<::ros::Duration >::sqrt ( const ::ros::Duration & val )

protected

Definition at line 31 of file running_stats_duration.hpp.

◆ sqrt() [2/3]

template<>

ros::WallDuration cras::RunningStats<::ros::WallDuration >::sqrt ( const ::ros::WallDuration & val )

protected

Definition at line 54 of file running_stats_duration.hpp.

◆ sqrt() [3/3]

template<typename T>

static T cras::RunningStats< T >::sqrt ( const T & val )

staticprotected

Return the square root of the given value (whatever meaning that might have).

Parameters

[in] val The value to take root of.

Returns: The square root.

◆ zero() [1/3]

template<>

ros::Duration cras::RunningStats<::ros::Duration >::zero ( )

protected

Definition at line 37 of file running_stats_duration.hpp.

◆ zero() [2/3]

template<>

ros::WallDuration cras::RunningStats<::ros::WallDuration >::zero ( )

protected

Definition at line 60 of file running_stats_duration.hpp.

◆ zero() [3/3]

template<typename T>

static T cras::RunningStats< T >::zero ( )

staticprotected

Return a T value representing zero.

Returns: 0.

Member Data Documentation

◆ count

template<typename T>

size_t cras::RunningStats< T >::count {0u}

protected

Number of represented samples.

Definition at line 193 of file running_stats.hpp.

◆ mean

template<typename T>

T cras::RunningStats< T >::mean {RunningStats<T>::zero()}

protected

Mean of represented samples.

Definition at line 196 of file running_stats.hpp.

◆ var

template<typename T>

T cras::RunningStats< T >::var {RunningStats<T>::zero()}

protected

Sk term of the computation such that var(X0...Xk) = this->var/this->count.

Definition at line 199 of file running_stats.hpp.

The documentation for this class was generated from the following file:

running_stats.hpp

Public Member Functions

Protected Member Functions

Static Protected Member Functions

Protected Attributes

Detailed Description

template<typename T> class cras::RunningStats< T >

Member Function Documentation

◆ addSample()

◆ getCount()

◆ getMean()

◆ getSampleVariance()

◆ getStandardDeviation()

◆ getVariance()

◆ multiply() [1/3]

◆ multiply() [2/3]

◆ multiply() [3/3]

◆ multiplyScalar()

◆ operator+() [1/2]

◆ operator+() [2/2]

◆ operator+=() [1/2]

◆ operator+=() [2/2]

◆ operator-() [1/2]

◆ operator-() [2/2]

◆ operator-=() [1/2]

◆ operator-=() [2/2]

◆ removeSample()

◆ reset()

◆ sqrt() [1/3]

◆ sqrt() [2/3]

◆ sqrt() [3/3]

◆ zero() [1/3]

◆ zero() [2/3]

◆ zero() [3/3]

Member Data Documentation

◆ count

◆ mean

◆ var

template<typename T>
class cras::RunningStats< T >