quantile 0.0.1
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- data/LICENSE +191 -0
- data/README.md +4 -0
- data/lib/quantile.rb +17 -0
- data/lib/quantile/estimator.rb +184 -0
- data/lib/quantile/quantile.rb +54 -0
- data/lib/quantile/version.rb +16 -0
- metadata +84 -0
data/LICENSE
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data/README.md
ADDED
data/lib/quantile.rb
ADDED
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# Copyright 2013 Matt T. Proud
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at
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#
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# http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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require_relative 'quantile/quantile'
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require_relative 'quantile/estimator'
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require_relative 'quantile/version'
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# Copyright 2013 Matt T. Proud
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at
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#
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# http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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module Quantile
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#
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# Estimate quantile values efficiently where both the rank and the inaccuracy
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# allowance are known a priori. This is accomplished via Graham Cormode and
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# S\. Muthukrishnan's Effective Computation of Biased Quantiles over Data
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# Streams in ICDE’05.
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#
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#
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# @note {Estimator} is not concurrency safe.
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#
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# @see http://www.cs.rutgers.edu/~muthu/bquant.pdf Effective Computation of
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# Biased Quantiles over Data Streams
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#
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class Estimator
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#
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# Create a streaming quantile estimator.
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#
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# @param invariants [Quantile] The quantile estimation targets that are provided a priori.
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# @return [Estimator] An initialized {Estimator} for the given targets.
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#
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def initialize(*invariants)
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if invariants.empty?
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invariants = [Quantile.new(0.5, 0.05), Quantile.new(0.90, 0.01), Quantile.new(0.99, 0.001)]
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end
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@invariants = invariants
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@buffer = []
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@head = nil
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@observations = 0
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@items = 0
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end
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#
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# Observe a sample value with this {Estimator}.
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#
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# @param value [Numeric] The value to catalog for later analysis.
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#
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def observe(value)
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@buffer << value
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if @buffer.size == BUFFER_SIZE
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flush
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end
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end
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#
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# Get a quantile value for a given rank.
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#
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# @param rank [Float] The target quantile to retrieve. It *must* be one of
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# the invariants provided in the constructor.
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#
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# @return [Numeric] The quantile value for the rank.
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#
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def query(rank)
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flush
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current = @head
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if current.nil?
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return 0
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end
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mid_rank = (rank * @observations).floor
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max_rank = mid_rank + (invariant(mid_rank, @observations) / 2).floor
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rank = 0.0
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while !current.successor.nil?
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rank += current.rank
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if rank + current.successor.rank + current.successor.delta > max_rank
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return current.value
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end
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current = current.successor
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end
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return current.value
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end
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private
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def flush
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@buffer.sort!
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replace_batch
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@buffer.clear
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compress
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end
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def replace_batch
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if @head.nil?
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@head = record(@buffer.shift, 1, 0, nil)
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end
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rank = 0.0
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current = @head
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@buffer.each do |s|
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if s < @head.value
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@head = record(s, 1, 0, @head)
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end
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while !current.successor.nil? && current.successor.value < s
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rank += current.rank
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current = current.successor
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end
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if current.successor.nil?
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current.successor = record(s, 1, 0, nil)
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end
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current.successor = record(s, 1, invariant(rank, @observations)-1, current.successor)
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end
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end
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def record(value, rank, delta, successor)
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@observations += 1
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@items += 1
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return Sample.new(value,rank,delta, successor)
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end
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def invariant(rank, n)
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min = n + 1
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@invariants.each do |i|
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delta = i.delta(rank, n)
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if delta < min
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min = delta
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end
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end
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return min.floor
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end
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def compress
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rank = 0.0
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current = @head
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while !(current.nil? || current.successor.nil?)
|
151
|
+
if current.rank + current.successor.rank + current.successor.delta <= invariant(rank, @observations)
|
152
|
+
removed = current.successor
|
153
|
+
|
154
|
+
current.value = removed.value
|
155
|
+
current.rank += removed.rank
|
156
|
+
current.delta = removed.delta
|
157
|
+
current.successor = removed.successor
|
158
|
+
end
|
159
|
+
|
160
|
+
rank += current.rank
|
161
|
+
current = current.successor
|
162
|
+
end
|
163
|
+
end
|
164
|
+
end
|
165
|
+
|
166
|
+
private
|
167
|
+
|
168
|
+
BUFFER_SIZE = 512
|
169
|
+
|
170
|
+
class Sample
|
171
|
+
attr_accessor :value
|
172
|
+
attr_accessor :rank
|
173
|
+
attr_accessor :delta
|
174
|
+
attr_accessor :successor
|
175
|
+
|
176
|
+
def initialize(value, rank, delta, successor)
|
177
|
+
@value = value
|
178
|
+
@rank = rank
|
179
|
+
@delta = delta
|
180
|
+
@successor = successor
|
181
|
+
end
|
182
|
+
end
|
183
|
+
end
|
184
|
+
|
@@ -0,0 +1,54 @@
|
|
1
|
+
# Copyright 2013 Matt T. Proud
|
2
|
+
# Licensed under the Apache License, Version 2.0 (the "License");
|
3
|
+
# you may not use this file except in compliance with the License.
|
4
|
+
# You may obtain a copy of the License at
|
5
|
+
#
|
6
|
+
# http://www.apache.org/licenses/LICENSE-2.0
|
7
|
+
#
|
8
|
+
# Unless required by applicable law or agreed to in writing, software
|
9
|
+
# distributed under the License is distributed on an "AS IS" BASIS,
|
10
|
+
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
11
|
+
# See the License for the specific language governing permissions and
|
12
|
+
# limitations under the License.
|
13
|
+
|
14
|
+
module Quantile
|
15
|
+
#
|
16
|
+
# A known quantile rank invariant for {Estimator}.
|
17
|
+
#
|
18
|
+
# @note {Quantile} is concurrency-safe.
|
19
|
+
#
|
20
|
+
class Quantile
|
21
|
+
attr_reader :quantile
|
22
|
+
attr_reader :inaccuracy
|
23
|
+
|
24
|
+
#
|
25
|
+
# Create a known quantile estimator invariant.
|
26
|
+
#
|
27
|
+
# @param quantile [Float] The target quantile value expressed along the
|
28
|
+
# interval [0, 1]. For instance, 0.5, would
|
29
|
+
# generate a precomputed median value and 0.99
|
30
|
+
# would provide the 99th percentile.
|
31
|
+
# @param inaccuracy [Float] The target error allowance expressed along the
|
32
|
+
# interval [0, 1]. For instance, 0.05 sets an
|
33
|
+
# error allowance of 5 percent and 0.001 of 0.1
|
34
|
+
# percent.
|
35
|
+
#
|
36
|
+
# @return [Quantile] an initialized {Quantile} for the given targets.
|
37
|
+
def initialize(quantile, inaccuracy)
|
38
|
+
@quantile = quantile
|
39
|
+
@inaccuracy = inaccuracy
|
40
|
+
|
41
|
+
@coefficient_i = (2.0 * inaccuracy) / (1.0 - quantile)
|
42
|
+
@coefficient_ii = 2.0 * inaccuracy / quantile
|
43
|
+
end
|
44
|
+
|
45
|
+
def delta(rank, n)
|
46
|
+
if rank <= (@quantile * n).floor
|
47
|
+
return @coefficient_i * (n - rank)
|
48
|
+
end
|
49
|
+
|
50
|
+
return @coefficient_ii * rank
|
51
|
+
end
|
52
|
+
end
|
53
|
+
end
|
54
|
+
|
@@ -0,0 +1,16 @@
|
|
1
|
+
# Copyright 2013 Matt T. Proud
|
2
|
+
# Licensed under the Apache License, Version 2.0 (the "License");
|
3
|
+
# you may not use this file except in compliance with the License.
|
4
|
+
# You may obtain a copy of the License at
|
5
|
+
#
|
6
|
+
# http://www.apache.org/licenses/LICENSE-2.0
|
7
|
+
#
|
8
|
+
# Unless required by applicable law or agreed to in writing, software
|
9
|
+
# distributed under the License is distributed on an "AS IS" BASIS,
|
10
|
+
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
11
|
+
# See the License for the specific language governing permissions and
|
12
|
+
# limitations under the License.
|
13
|
+
|
14
|
+
module Quantile
|
15
|
+
VERSION = '0.0.1'
|
16
|
+
end
|
metadata
ADDED
@@ -0,0 +1,84 @@
|
|
1
|
+
--- !ruby/object:Gem::Specification
|
2
|
+
name: quantile
|
3
|
+
version: !ruby/object:Gem::Version
|
4
|
+
version: 0.0.1
|
5
|
+
prerelease:
|
6
|
+
platform: ruby
|
7
|
+
authors:
|
8
|
+
- Matt T. Proud
|
9
|
+
autorequire:
|
10
|
+
bindir: bin
|
11
|
+
cert_chain: []
|
12
|
+
date: 2013-07-22 00:00:00.000000000 Z
|
13
|
+
dependencies:
|
14
|
+
- !ruby/object:Gem::Dependency
|
15
|
+
name: rake
|
16
|
+
requirement: !ruby/object:Gem::Requirement
|
17
|
+
none: false
|
18
|
+
requirements:
|
19
|
+
- - ! '>='
|
20
|
+
- !ruby/object:Gem::Version
|
21
|
+
version: '0'
|
22
|
+
type: :runtime
|
23
|
+
prerelease: false
|
24
|
+
version_requirements: !ruby/object:Gem::Requirement
|
25
|
+
none: false
|
26
|
+
requirements:
|
27
|
+
- - ! '>='
|
28
|
+
- !ruby/object:Gem::Version
|
29
|
+
version: '0'
|
30
|
+
- !ruby/object:Gem::Dependency
|
31
|
+
name: rspec
|
32
|
+
requirement: !ruby/object:Gem::Requirement
|
33
|
+
none: false
|
34
|
+
requirements:
|
35
|
+
- - ! '>='
|
36
|
+
- !ruby/object:Gem::Version
|
37
|
+
version: 2.0.0
|
38
|
+
type: :development
|
39
|
+
prerelease: false
|
40
|
+
version_requirements: !ruby/object:Gem::Requirement
|
41
|
+
none: false
|
42
|
+
requirements:
|
43
|
+
- - ! '>='
|
44
|
+
- !ruby/object:Gem::Version
|
45
|
+
version: 2.0.0
|
46
|
+
description: Graham Cormode and S. Muthukrishnan's Effective Computation of Biased
|
47
|
+
Quantiles over Data Streams in ICDE’05
|
48
|
+
email: matt.proud@gmail.com
|
49
|
+
executables: []
|
50
|
+
extensions: []
|
51
|
+
extra_rdoc_files: []
|
52
|
+
files:
|
53
|
+
- lib/quantile.rb
|
54
|
+
- lib/quantile/quantile.rb
|
55
|
+
- lib/quantile/estimator.rb
|
56
|
+
- lib/quantile/version.rb
|
57
|
+
- README.md
|
58
|
+
- LICENSE
|
59
|
+
homepage: http://github.com/matttproud/ruby_quantile_estimation
|
60
|
+
licenses: []
|
61
|
+
post_install_message:
|
62
|
+
rdoc_options: []
|
63
|
+
require_paths:
|
64
|
+
- lib
|
65
|
+
required_ruby_version: !ruby/object:Gem::Requirement
|
66
|
+
none: false
|
67
|
+
requirements:
|
68
|
+
- - ! '>='
|
69
|
+
- !ruby/object:Gem::Version
|
70
|
+
version: '0'
|
71
|
+
required_rubygems_version: !ruby/object:Gem::Requirement
|
72
|
+
none: false
|
73
|
+
requirements:
|
74
|
+
- - ! '>='
|
75
|
+
- !ruby/object:Gem::Version
|
76
|
+
version: '0'
|
77
|
+
requirements: []
|
78
|
+
rubyforge_project:
|
79
|
+
rubygems_version: 1.8.24
|
80
|
+
signing_key:
|
81
|
+
specification_version: 3
|
82
|
+
summary: Streaming Quantile Estimation
|
83
|
+
test_files: []
|
84
|
+
has_rdoc:
|