tdigest 0.1.1-java

checksums.yaml

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+SHA1:
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data/.gitignore

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+/.bundle/
+/.yardoc
+/Gemfile.lock
+/_yardoc/
+/coverage/
+/doc/
+/pkg/
+/spec/reports/
+/tmp/

data/.ruby-version

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+2.3.1

data/.travis.yml

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+language: ruby
+rvm:
+  - 2.0.0
+  - 2.1.0
+  - 2.2.4
+  - 2.3.1
+  - jruby-9.1.3.0
+before_install: gem install bundler -v 1.10.6

data/Gemfile

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+source 'https://rubygems.org'
+
+# Specify your gem's dependencies in tdigest.gemspec
+gemspec
+
+platform :jruby do
+  gem 'rbtree-jruby'
+end
+
+platform :mri, :rbx do
+  gem 'rbtree'
+end

data/LICENSE.txt

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+The MIT License (MIT)
+
+Copyright (c) 2015 Sebastian Wallin
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in
+all copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN
+THE SOFTWARE.

data/README.md

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+# Tdigest
+
+[![Gem Version](https://badge.fury.io/rb/tdigest.svg)](https://badge.fury.io/rb/tdigest)
+[![Build Status](https://travis-ci.org/castle/tdigest.svg?branch=master)](https://travis-ci.org/castle/tdigest)
+[![Coverage Status](https://coveralls.io/repos/castle/tdigest/badge.svg?branch=master&service=github)](https://coveralls.io/github/castle/tdigest?branch=master)
+
+Ruby implementation of Ted Dunning's [t-digest](https://github.com/tdunning/t-digest) data structure.
+
+Inspired by the [Javascript implementation](https://github.com/welch/tdigest) by [Will Welch](https://github.com/welch)
+
+## Installation
+
+Add this line to your application's Gemfile:
+
+```ruby
+gem 'tdigest'
+```
+
+And then execute:
+
+    $ bundle
+
+Or install it yourself as:
+
+    $ gem install tdigest
+
+## Usage
+
+```ruby
+td = ::TDigest::TDigest.new
+1_000.times { td.push(rand) }
+td.compress!
+
+puts td.percentile(0.5)
+puts td.p_rank(0.95)
+```
+
+#### Serialization
+
+This gem offers the same serialization options as the original [Java implementation](https://github.com/tdunning/t-digest). You can read more about T-digest persistance in [Chapter 3 in the paper](https://github.com/tdunning/t-digest/blob/master/docs/t-digest-paper/histo.pdf).
+
+**Standard encoding**
+
+This encoding uses 8-byte Double for the means and a 4-byte integers for counts.
+Size per centroid is a fixed 12-bytes.
+
+```ruby
+bytes = tdigest.as_bytes
+```
+
+**Compressed encoding**
+
+This encoding uses delta encoding with 4-byte floats for the means and variable
+length encoding for the counts. Size per centroid is between 5-12 bytes.
+
+```ruby
+bytes = tdigest.as_small_bytes
+```
+
+**Deserializing**
+
+Deserialization will automatically detect compression format
+
+```ruby
+ tdigest = TDigest::TDigest.from_bytes(bytes)
+```
+
+## Development
+
+After checking out the repo, run `bin/setup` to install dependencies. Then, run `rake test` to run the tests. You can also run `bin/console` for an interactive prompt that will allow you to experiment.
+
+To install this gem onto your local machine, run `bundle exec rake install`. To release a new version, update the version number in `version.rb`, and then run `bundle exec rake release`, which will create a git tag for the version, push git commits and tags, and push the `.gem` file to [rubygems.org](https://rubygems.org).
+
+## Contributing
+
+Bug reports and pull requests are welcome on GitHub at https://github.com/castle/tdigest.
+
+
+## License
+
+The gem is available as open source under the terms of the [MIT License](http://opensource.org/licenses/MIT).
+

data/Rakefile

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+require "bundler/gem_tasks"
+require "rake/testtask"
+
+Rake::TestTask.new(:test) do |t|
+  t.libs << "test"
+  t.libs << "lib"
+  t.test_files = FileList['test/**/*_test.rb']
+end
+
+task :default => :test

data/bin/console

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+#!/usr/bin/env ruby
+
+require "bundler/setup"
+require "tdigest"
+
+# You can add fixtures and/or initialization code here to make experimenting
+# with your gem easier. You can also use a different console, if you like.
+
+# (If you use this, don't forget to add pry to your Gemfile!)
+# require "pry"
+# Pry.start
+
+require "irb"
+IRB.start

data/bin/setup

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+#!/bin/bash
+set -euo pipefail
+IFS=$'\n\t'
+
+bundle install
+
+# Do any other automated setup that you need to do here

data/ext/mkrf_conf.rb

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+require 'rubygems'
+require 'rubygems/command.rb'
+require 'rubygems/dependency_installer.rb'
+
+begin
+  Gem::Command.build_args = ARGV
+  rescue NoMethodError
+end
+inst = Gem::DependencyInstaller.new
+begin
+  if RUBY_PLATFORM =~ /java/
+    inst.install "rbtree-jruby"
+  else
+    inst.install "rbtree"
+  end
+rescue
+  exit(1)
+end
+
+f = File.open(File.join(File.dirname(__FILE__), "Rakefile"), "w")   # create dummy rakefile to indicate success
+f.write("task :default\n")
+f.close

data/lib/tdigest.rb

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+require "tdigest/version"
+require "tdigest/tdigest"
+
+module TDigest
+  # Your code goes here...
+end

data/lib/tdigest/centroid.rb

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+module TDigest
+  class Centroid
+    attr_accessor :mean, :n, :cumn, :mean_cumn
+    def initialize(mean, n, cumn, mean_cumn = nil)
+      @mean      = mean
+      @n         = n
+      @cumn      = cumn
+      @mean_cumn = mean_cumn
+    end
+
+    def as_json(_ = nil)
+      { m: mean, n: n }
+    end
+  end
+end

data/lib/tdigest/tdigest.rb

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+require 'rbtree'
+require 'tdigest/centroid'
+
+module TDigest
+  class TDigest
+    VERBOSE_ENCODING = 1
+    SMALL_ENCODING   = 2
+
+    attr_accessor :centroids
+    def initialize(delta = 0.01, k = 25, cx = 1.1)
+      @delta = delta
+      @k = k
+      @cx = cx
+      @centroids = RBTree.new
+      @nreset = 0
+      @n = 0
+      reset!
+    end
+
+    def +(other)
+      # Uses delta, k and cx from the caller
+      t = self.class.new(@delta, @k, @cx)
+      data = self.centroids.values + other.centroids.values
+      while data.length > 0
+        t.push_centroid(data.delete_at(rand(data.length)))
+      end
+      t
+    end
+
+    def as_bytes
+      # compression as defined by Java implementation
+      size = @centroids.size
+      output = [VERBOSE_ENCODING, compression, size]
+      output += @centroids.map { |_, c| c.mean }
+      output += @centroids.map { |_, c| c.n }
+      output.pack("LdLd#{size}L#{size}")
+    end
+
+    def as_small_bytes
+      size = @centroids.size
+      output = [SMALL_ENCODING, compression, size]
+      x = 0
+      # delta encoding allows saving 4-bytes floats
+      mean_arr = @centroids.map do |_, c|
+        val = c.mean - x
+        x = c.mean
+        val
+      end
+      output += mean_arr
+      # Variable length encoding of numbers
+      c_arr = @centroids.each_with_object([]) do |(_, c), arr|
+        k = 0
+        n = c.n
+        while n < 0 || n > 0x7f
+          b = 0x80 | (0x7f & n)
+          arr << b
+          n = n >> 7
+          k += 1
+          fail 'Unreasonable large number' if k > 6
+        end
+        arr << n
+      end
+      output += c_arr
+      output.pack("LdLf#{mean_arr.size}C#{c_arr.size}")
+    end
+
+    def as_json(_ = nil)
+      @centroids.map { |_, c| c.as_json }
+    end
+
+    def bound_mean(x)
+      upper = @centroids.upper_bound(x)
+      lower = @centroids.lower_bound(x)
+      [lower[1], upper[1]]
+    end
+
+    def bound_mean_cumn(cumn)
+      last_c = nil
+      bounds = []
+      matches = @centroids.each do |k, v|
+        if v.mean_cumn == cumn
+          bounds << v
+          break
+        elsif v.mean_cumn > cumn
+          bounds << last_c
+          bounds << v
+          break
+        else
+          last_c = v
+        end
+      end
+      # If still no results, pick lagging value if any
+      bounds << last_c if bounds.empty? && !last_c.nil?
+
+      bounds
+    end
+
+    def compress!
+      points = to_a
+      reset!
+      push_centroid(points.shuffle)
+      _cumulate(true, true)
+      nil
+    end
+
+    def compression
+      1 / @delta
+    end
+
+    def find_nearest(x)
+      return nil if size == 0
+
+      ceil  = @centroids.upper_bound(x)
+      floor = @centroids.lower_bound(x)
+
+      return floor[1] if ceil.nil?
+      return ceil[1]  if floor.nil?
+
+      ceil_key  = ceil[0]
+      floor_key = floor[0]
+
+      if (floor_key - x).abs < (ceil_key - x).abs
+        floor[1]
+      else
+        ceil[1]
+      end
+    end
+
+    def merge!(other)
+      push_centroid(other.centroids.values.shuffle)
+      self
+    end
+
+    def p_rank(x)
+      is_array = x.is_a? Array
+      x = [x] unless is_array
+
+      min = @centroids.first
+      max = @centroids.last
+
+      x.map! do |item|
+        if size == 0
+          nil
+        elsif item < min[1].mean
+          0.0
+        elsif item > max[1].mean
+          1.0
+        else
+          _cumulate(true)
+          bound = bound_mean(item)
+          lower, upper = bound
+          mean_cumn = lower.mean_cumn
+          if lower != upper
+            mean_cumn += (item - lower.mean) * (upper.mean_cumn - lower.mean_cumn) / (upper.mean - lower.mean)
+          end
+          mean_cumn / @n
+        end
+      end
+      is_array ? x : x.first
+    end
+
+    def percentile(p)
+      is_array = p.is_a? Array
+      p = [p] unless is_array
+      p.map! do |item|
+        unless (0..1).include? item
+          fail ArgumentError, "p should be in [0,1], got #{item}"
+        end
+        if size == 0
+          nil
+        else
+          _cumulate(true)
+          h = @n * item
+          lower, upper = bound_mean_cumn(h)
+          if lower.nil? && upper.nil?
+            nil
+          elsif upper == lower || lower.nil? || upper.nil?
+            (lower || upper).mean
+          elsif h == lower.mean_cumn
+            lower.mean
+          else
+            upper.mean
+          end
+        end
+      end
+      is_array ? p : p.first
+    end
+
+    def push(x, n = 1)
+      x = [x] unless x.is_a? Array
+      x.each { |value| _digest(value, n) }
+    end
+
+    def push_centroid(c)
+      c = [c] unless c.is_a? Array
+      c.each { |centroid| _digest(centroid.mean, centroid.n) }
+    end
+
+    def reset!
+      @centroids.clear
+      @n = 0
+      @nreset += 1
+      @last_cumulate = 0
+    end
+
+    def size
+      @n || 0
+    end
+
+    def to_a
+      @centroids.map { |_, c| c }
+    end
+
+    def self.from_bytes(bytes)
+      format, compression, size = bytes.unpack('LdL')
+      tdigest = new(1 / compression)
+
+      start_idx = 16 # after header
+      case format
+      when VERBOSE_ENCODING
+        array = bytes[start_idx..-1].unpack("d#{size}L#{size}")
+        means, counts = array.each_slice(size).to_a if array.size > 0
+      when SMALL_ENCODING
+        means = bytes[start_idx..(start_idx + 4 * size)].unpack("f#{size}")
+        # Decode delta encoding of means
+        x = 0
+        means.map! do |m|
+          m += x
+          x = m
+          m
+        end
+        counts_bytes = bytes[(start_idx + 4 * size)..-1].unpack('C*')
+        counts = []
+        # Decode variable length integer bytes
+        size.times do
+          v = counts_bytes.shift
+          z = 0x7f & v
+          shift = 7
+          while (v & 0x80) != 0
+            fail 'Shift too large in decode' if shift > 28
+            v = counts_bytes.shift || 0
+            z += (v & 0x7f) << shift
+            shift += 7
+          end
+          counts << z
+        end
+        # This shouldn't happen
+        fail 'Mismatch' unless counts.size == means.size
+      else
+        fail 'Unknown compression format'
+      end
+      if means && counts
+        means.zip(counts).each { |val| tdigest.push(val[0], val[1]) }
+      end
+      tdigest
+    end
+
+    def self.from_json(array)
+      tdigest = new
+      # Handle both string and symbol keys
+      array.each { |a| tdigest.push(a['m'] || a[:m], a['n'] || a[:n]) }
+      tdigest
+    end
+
+    private
+
+    def _add_weight(nearest, x, n)
+      unless x == nearest.mean
+        nearest.mean += n * (x - nearest.mean) / (nearest.n + n)
+      end
+
+      _cumulate(false, true) if nearest.mean_cumn.nil?
+
+      nearest.cumn += n
+      nearest.mean_cumn += n / 2.0
+      nearest.n += n
+
+      nil
+    end
+
+    def _cumulate(exact = false, force = false)
+      unless force
+        factor = if @last_cumulate == 0
+          Float::INFINITY
+        else
+          (@n.to_f / @last_cumulate)
+        end
+        return if @n == @last_cumulate || (!exact && @cx && @cx > (factor))
+      end
+
+      cumn = 0
+      @centroids.each do |_, c|
+        c.mean_cumn = cumn + c.n / 2.0
+        cumn = c.cumn = cumn + c.n
+      end
+      @n = @last_cumulate = cumn
+      nil
+    end
+
+    def _digest(x, n)
+      # Use 'first' and 'last' instead of min/max because of performance reasons
+      # This works because RBTree is sorted
+      min = @centroids.first
+      max = @centroids.last
+
+      min = min.nil? ? nil : min[1]
+      max = max.nil? ? nil : max[1]
+      nearest = find_nearest(x)
+
+      @n += n
+
+      if nearest && nearest.mean == x
+        _add_weight(nearest, x, n)
+      elsif nearest == min
+        _new_centroid(x, n, 0)
+      elsif nearest == max
+        _new_centroid(x, n, @n)
+      else
+        p = nearest.mean_cumn.to_f / @n
+        max_n = (4 * @n * @delta * p * (1 - p)).floor
+        if (max_n - nearest.n >= n)
+          _add_weight(nearest, x, n)
+        else
+          _new_centroid(x, n, nearest.cumn)
+        end
+      end
+
+      _cumulate(false)
+
+      # If the number of centroids has grown to a very large size,
+      # it may be due to values being inserted in sorted order.
+      # We combat that by replaying the centroids in random order,
+      # which is what compress! does
+      if @centroids.size > (@k / @delta)
+        compress!
+      end
+
+      nil
+    end
+
+    def _new_centroid(x, n, cumn)
+      c = Centroid.new(x, n, cumn)
+      @centroids[x] = c
+      c
+    end
+  end
+end

data/lib/tdigest/version.rb

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+module TDigest
+  VERSION = "0.1.1"
+end

data/tdigest.gemspec

@@ -0,0 +1,39 @@
+# coding: utf-8
+lib = File.expand_path('../lib', __FILE__)
+$LOAD_PATH.unshift(lib) unless $LOAD_PATH.include?(lib)
+require 'tdigest/version'
+
+java = (ENV['RUBY_PLATFORM'] == 'java')
+
+Gem::Specification.new do |spec|
+  spec.name          = "tdigest"
+  spec.version       = TDigest::VERSION
+  spec.authors       = ["Sebastian Wallin"]
+  spec.email         = ["sebastian.wallin@gmail.com"]
+
+  spec.summary       = %q{TDigest for Ruby}
+  spec.description   = %q{Ruby implementation of Dunning's T-Digest for streaming quantile approximation}
+  spec.homepage      = "https://github.com/castle/tdigest"
+  spec.license       = "MIT"
+
+  spec.files         = `git ls-files -z`.split("\x0").reject { |f| f.match(%r{^(test|spec|features)/}) }
+  spec.bindir        = "exe"
+  spec.executables   = spec.files.grep(%r{^exe/}) { |f| File.basename(f) }
+  spec.require_paths = ["lib"]
+  spec.platform      = java ? 'java' : 'ruby'
+
+
+  if java
+    spec.add_runtime_dependency 'rbtree-jruby', '~> 0.2.1'
+  else
+    spec.add_runtime_dependency 'rbtree', '~> 0.4.2'
+  end
+
+  spec.extensions << 'ext/mkrf_conf.rb'
+
+  spec.add_development_dependency 'bundler', '~> 1.10'
+  spec.add_development_dependency 'rake', '~> 10.0'
+  spec.add_development_dependency 'minitest', '~> 5.8'
+  spec.add_development_dependency 'coveralls', '~> 0.8.10'
+  spec.add_development_dependency 'simplecov', '~> 0.11.1'
+end

metadata

@@ -0,0 +1,144 @@
+--- !ruby/object:Gem::Specification
+name: tdigest
+version: !ruby/object:Gem::Version
+  version: 0.1.1
+platform: java
+authors:
+- Sebastian Wallin
+autorequire: 
+bindir: exe
+cert_chain: []
+date: 2016-10-12 00:00:00.000000000 Z
+dependencies:
+- !ruby/object:Gem::Dependency
+  name: rbtree-jruby
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: 0.2.1
+  type: :runtime
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: 0.2.1
+- !ruby/object:Gem::Dependency
+  name: bundler
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '1.10'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '1.10'
+- !ruby/object:Gem::Dependency
+  name: rake
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '10.0'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '10.0'
+- !ruby/object:Gem::Dependency
+  name: minitest
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '5.8'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '5.8'
+- !ruby/object:Gem::Dependency
+  name: coveralls
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: 0.8.10
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: 0.8.10
+- !ruby/object:Gem::Dependency
+  name: simplecov
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: 0.11.1
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: 0.11.1
+description: Ruby implementation of Dunning's T-Digest for streaming quantile approximation
+email:
+- sebastian.wallin@gmail.com
+executables: []
+extensions:
+- ext/mkrf_conf.rb
+extra_rdoc_files: []
+files:
+- ".gitignore"
+- ".ruby-version"
+- ".travis.yml"
+- Gemfile
+- LICENSE.txt
+- README.md
+- Rakefile
+- bin/console
+- bin/setup
+- ext/mkrf_conf.rb
+- lib/tdigest.rb
+- lib/tdigest/centroid.rb
+- lib/tdigest/tdigest.rb
+- lib/tdigest/version.rb
+- tdigest.gemspec
+homepage: https://github.com/castle/tdigest
+licenses:
+- MIT
+metadata: {}
+post_install_message: 
+rdoc_options: []
+require_paths:
+- lib
+required_ruby_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - ">="
+    - !ruby/object:Gem::Version
+      version: '0'
+required_rubygems_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - ">="
+    - !ruby/object:Gem::Version
+      version: '0'
+requirements: []
+rubyforge_project: 
+rubygems_version: 2.5.1
+signing_key: 
+specification_version: 4
+summary: TDigest for Ruby
+test_files: []