quantile 0.0.1

data/LICENSE

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data/README.md

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+ruby_quantile_estimation
+========================
+
+Ruby Implementation of Graham Cormode and S. Muthukrishnan's Effective Computation of Biased Quantiles over Data Streams in ICDE’05

data/lib/quantile.rb

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+# Copyright 2013 Matt T. Proud
+# Licensed 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.
+
+require_relative 'quantile/quantile'
+require_relative 'quantile/estimator'
+require_relative 'quantile/version'
+

data/lib/quantile/estimator.rb

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+# Copyright 2013 Matt T. Proud
+# Licensed 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.
+
+module Quantile
+  #
+  # Estimate quantile values efficiently where both the rank and the inaccuracy
+  # allowance are known a priori.  This is accomplished via Graham Cormode and
+  # S\. Muthukrishnan's Effective Computation of Biased Quantiles over Data
+  # Streams in ICDE’05.
+  #
+  #
+  # @note {Estimator} is not concurrency safe.
+  #
+  # @see http://www.cs.rutgers.edu/~muthu/bquant.pdf Effective Computation of
+  #      Biased Quantiles over Data Streams
+  #
+  class Estimator
+    #
+    # Create a streaming quantile estimator.
+    #
+    # @param invariants [Quantile] The quantile estimation targets that are provided a priori.
+    # @return [Estimator] An initialized {Estimator} for the given targets.
+    #
+    def initialize(*invariants)
+      if invariants.empty?
+        invariants = [Quantile.new(0.5, 0.05), Quantile.new(0.90, 0.01), Quantile.new(0.99, 0.001)]
+      end
+
+      @invariants = invariants
+      @buffer = []
+      @head = nil
+
+      @observations = 0
+      @items = 0
+    end
+
+    #
+    # Observe a sample value with this {Estimator}.
+    #
+    # @param value [Numeric] The value to catalog for later analysis.
+    #
+    def observe(value)
+      @buffer << value
+      if @buffer.size == BUFFER_SIZE
+        flush
+      end
+    end
+
+    #
+    # Get a quantile value for a given rank.
+    #
+    # @param rank [Float] The target quantile to retrieve.  It *must* be one of
+    #                     the invariants provided in the constructor.
+    #
+    # @return [Numeric]  The quantile value for the rank.
+    #
+    def query(rank)
+      flush
+
+      current = @head
+      if current.nil?
+        return 0
+      end
+
+      mid_rank = (rank * @observations).floor
+      max_rank = mid_rank + (invariant(mid_rank, @observations) / 2).floor
+
+      rank = 0.0
+      while !current.successor.nil?
+        rank += current.rank
+        if rank + current.successor.rank + current.successor.delta > max_rank
+          return current.value
+        end
+
+        current = current.successor
+      end
+
+      return current.value
+    end
+
+    private
+
+    def flush
+      @buffer.sort!
+      replace_batch
+      @buffer.clear
+      compress
+    end
+
+    def replace_batch
+      if @head.nil?
+        @head = record(@buffer.shift, 1, 0, nil)
+      end
+
+      rank = 0.0
+      current = @head
+
+      @buffer.each do |s|
+        if s < @head.value
+          @head = record(s, 1, 0, @head)
+        end
+
+        while !current.successor.nil? && current.successor.value < s
+          rank += current.rank
+          current = current.successor
+        end
+
+        if current.successor.nil?
+          current.successor = record(s, 1, 0, nil)
+        end
+
+        current.successor = record(s, 1, invariant(rank, @observations)-1, current.successor)
+      end
+    end
+
+    def record(value, rank, delta, successor)
+      @observations += 1
+      @items += 1
+
+      return Sample.new(value,rank,delta, successor)
+    end
+
+    def invariant(rank, n)
+      min = n + 1
+
+      @invariants.each do |i|
+        delta = i.delta(rank, n)
+        if delta < min
+          min = delta
+        end
+      end
+
+      return min.floor
+    end
+
+    def compress
+      rank = 0.0
+      current = @head
+
+      while !(current.nil? || current.successor.nil?)
+        if current.rank + current.successor.rank + current.successor.delta <= invariant(rank, @observations)
+          removed = current.successor
+
+          current.value = removed.value
+          current.rank += removed.rank
+          current.delta = removed.delta
+          current.successor = removed.successor
+        end
+
+        rank += current.rank
+        current = current.successor
+      end
+    end
+  end
+
+  private
+
+  BUFFER_SIZE = 512
+
+  class Sample
+    attr_accessor :value
+    attr_accessor :rank
+    attr_accessor :delta
+    attr_accessor :successor
+
+    def initialize(value, rank, delta, successor)
+      @value = value
+      @rank = rank
+      @delta = delta
+      @successor = successor
+    end
+  end
+end
+

data/lib/quantile/quantile.rb

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+# Copyright 2013 Matt T. Proud
+# Licensed 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.
+
+module Quantile
+  #
+  # A known quantile rank invariant for {Estimator}.
+  #
+  # @note {Quantile} is concurrency-safe.
+  #
+  class Quantile
+    attr_reader :quantile
+    attr_reader :inaccuracy
+
+    #
+    # Create a known quantile estimator invariant.
+    #
+    # @param quantile [Float] The target quantile value expressed along the
+    #                         interval [0, 1].  For instance, 0.5, would
+    #                         generate a precomputed median value and 0.99
+    #                         would provide the 99th percentile.
+    # @param inaccuracy [Float] The target error allowance expressed along the
+    #                           interval [0, 1].  For instance, 0.05 sets an
+    #                           error allowance of 5 percent and 0.001 of 0.1
+    #                           percent.
+    #
+    # @return [Quantile] an initialized {Quantile} for the given targets.
+    def initialize(quantile, inaccuracy)
+      @quantile = quantile
+      @inaccuracy = inaccuracy
+
+      @coefficient_i  = (2.0 * inaccuracy) / (1.0 - quantile)
+      @coefficient_ii = 2.0 * inaccuracy / quantile
+    end
+
+    def delta(rank, n)
+      if rank <= (@quantile * n).floor
+        return @coefficient_i * (n - rank)
+      end
+
+      return @coefficient_ii * rank
+    end
+  end
+end
+

data/lib/quantile/version.rb

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+# Copyright 2013 Matt T. Proud
+# Licensed 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.
+
+module Quantile
+  VERSION = '0.0.1'
+end

metadata

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+--- !ruby/object:Gem::Specification
+name: quantile
+version: !ruby/object:Gem::Version
+  version: 0.0.1
+  prerelease: 
+platform: ruby
+authors:
+- Matt T. Proud
+autorequire: 
+bindir: bin
+cert_chain: []
+date: 2013-07-22 00:00:00.000000000 Z
+dependencies:
+- !ruby/object:Gem::Dependency
+  name: rake
+  requirement: !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - ! '>='
+      - !ruby/object:Gem::Version
+        version: '0'
+  type: :runtime
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - ! '>='
+      - !ruby/object:Gem::Version
+        version: '0'
+- !ruby/object:Gem::Dependency
+  name: rspec
+  requirement: !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - ! '>='
+      - !ruby/object:Gem::Version
+        version: 2.0.0
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - ! '>='
+      - !ruby/object:Gem::Version
+        version: 2.0.0
+description: Graham Cormode and S. Muthukrishnan's Effective Computation of Biased
+  Quantiles over Data Streams in ICDE’05
+email: matt.proud@gmail.com
+executables: []
+extensions: []
+extra_rdoc_files: []
+files:
+- lib/quantile.rb
+- lib/quantile/quantile.rb
+- lib/quantile/estimator.rb
+- lib/quantile/version.rb
+- README.md
+- LICENSE
+homepage: http://github.com/matttproud/ruby_quantile_estimation
+licenses: []
+post_install_message: 
+rdoc_options: []
+require_paths:
+- lib
+required_ruby_version: !ruby/object:Gem::Requirement
+  none: false
+  requirements:
+  - - ! '>='
+    - !ruby/object:Gem::Version
+      version: '0'
+required_rubygems_version: !ruby/object:Gem::Requirement
+  none: false
+  requirements:
+  - - ! '>='
+    - !ruby/object:Gem::Version
+      version: '0'
+requirements: []
+rubyforge_project: 
+rubygems_version: 1.8.24
+signing_key: 
+specification_version: 3
+summary: Streaming Quantile Estimation
+test_files: []
+has_rdoc: