tdigest 0.0.1

checksums.yaml

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+SHA1:
+  metadata.gz: e55c5378cfd6bb3f02ff04c45e4a8303f2d983da
+  data.tar.gz: 860b7f13d3d16cef3fa4b351a5e44fb56d4c987a
+SHA512:
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data/.gitignore

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

data/.travis.yml

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+language: ruby
+rvm:
+  - 2.2.3
+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

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
+
+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)
+```
+
+## 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/[USERNAME]/tdigest. This project is intended to be a safe, welcoming space for collaboration, and contributors are expected to adhere to the [Contributor Covenant](contributor-covenant.org) code of conduct.
+
+
+## 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/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(params = {})
+      params.each do |p, value|
+        send("#{p}=", value)
+      end
+    end
+  end
+end

data/lib/tdigest/tdigest.rb

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+require 'rbtree'
+require 'tdigest/centroid'
+
+module TDigest
+  class TDigest
+    def initialize(delta = 0.01, k = 25, cx = 1.1)
+      @delta = delta
+      @k = k
+      @cx = cx
+      @centroids = RBTree.new
+      @nreset = 0
+      reset!
+    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
+      lower = bounds[0]
+      upper = bounds[1]
+
+      [lower, upper]
+    end
+
+    def compress!
+      points = to_a
+      reset!
+      while points.length > 0
+        push_centroid(points.delete_at(rand(points.length)))
+      end
+      _cumulate(true)
+      nil
+    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 p_rank(x)
+      is_array = x.is_a? Array
+      x = [x] unless is_array
+      x.map! do |item|
+        if size == 0
+          nil
+        elsif item < @centroids.min[1].mean
+          0.0
+        elsif item > @centroids.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|
+        if size == 0
+          nil
+        else
+          _cumulate(true)
+          h = @n * item
+          lower, upper = bound_mean_cumn(h)
+          if 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
+      @centroids.count
+    end
+
+    def to_a
+      @centroids.map { |_, c| c }
+    end
+
+
+    private
+
+
+    def _add_weight(nearest, x, n)
+      unless x == nearest.mean
+        nearest.mean += n * (x - nearest.mean) / (nearest.n + n)
+      end
+
+      nearest.cumn += n
+      nearest.mean_cumn += n / 2
+      nearest.n += n
+      @n += n
+
+      nil
+    end
+
+    def _cumulate(exact = false)
+      factor = @last_cumulate == 0 ? Float::INFINITY : (@n / @last_cumulate)
+      if @n == @last_cumulate
+        return
+      end
+
+      cumn = 0
+      @centroids.each do |_, c|
+        c.mean_cumn = cumn + c.n / 2
+        cumn = c.cumn = cumn + c.n
+      end
+      @n = @last_cumulate = cumn
+      nil
+    end
+
+    def _digest(x, n)
+      min = @centroids.min
+      max = @centroids.max
+      min = min.nil? ? nil : min[1]
+      max = max.nil? ? nil : max[1]
+      nearest = find_nearest(x)
+
+      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)
+
+      nil
+    end
+
+    def _new_centroid(x, n, cumn)
+      c = Centroid.new({ mean: x, n: n, cumn: cumn })
+      @centroids[x] = c
+      @n += n
+      c
+    end
+  end
+end
+

data/lib/tdigest/version.rb

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+module TDigest
+  VERSION = "0.0.1"
+end

data/tdigest.gemspec

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+# coding: utf-8
+lib = File.expand_path('../lib', __FILE__)
+$LOAD_PATH.unshift(lib) unless $LOAD_PATH.include?(lib)
+require 'tdigest/version'
+
+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{Ruby implementation of Dunning's T-Digest for streaming quantile approximation}
+  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.add_runtime_dependency 'rbtree', '~> 0.4.2'
+
+  spec.add_development_dependency "bundler", "~> 1.10"
+  spec.add_development_dependency "rake", "~> 10.0"
+  spec.add_development_dependency "minitest"
+end

metadata

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+--- !ruby/object:Gem::Specification
+name: tdigest
+version: !ruby/object:Gem::Version
+  version: 0.0.1
+platform: ruby
+authors:
+- Sebastian Wallin
+autorequire: 
+bindir: exe
+cert_chain: []
+date: 2015-11-11 00:00:00.000000000 Z
+dependencies:
+- !ruby/object:Gem::Dependency
+  name: rbtree
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: 0.4.2
+  type: :runtime
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: 0.4.2
+- !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: '0'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+description: Ruby implementation of Dunning's T-Digest for streaming quantile approximation
+email:
+- sebastian.wallin@gmail.com
+executables: []
+extensions: []
+extra_rdoc_files: []
+files:
+- ".gitignore"
+- ".travis.yml"
+- Gemfile
+- LICENSE.txt
+- README.md
+- Rakefile
+- bin/console
+- bin/setup
+- 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: 2.4.5.1
+signing_key: 
+specification_version: 4
+summary: Ruby implementation of Dunning's T-Digest for streaming quantile approximation
+test_files: []