public void TestEdgeCases() { // No elements TDigest digest = new TDigest(); try { digest.Quantile(.5); Assert.Fail("Didn't throw exception when quantile() called before adding any elements"); } catch (InvalidOperationException) { } // one element digest.Add(50); var v = digest.Quantile(.5); Assert.AreEqual(50, v); v = digest.Quantile(0); Assert.AreEqual(50, v); v = digest.Quantile(1); Assert.AreEqual(50, v); // Two elements digest.Add(100); v = digest.Quantile(1); Assert.AreEqual(100, v); }
public void Quantile() { var digest = new TDigest(); for (var i = 0; i <= 9; i++) { digest.Add(i); } Assert.Equal(2, digest.Quantile(.29999999)); Assert.Equal(3, digest.Quantile(.3)); Assert.Equal(3, digest.Quantile(.39999999)); Assert.Equal(8, digest.Quantile(.8)); Assert.Equal(9, digest.Quantile(.99999999)); }
private double GetAvgPercentileError(IList <double> all, TDigest digest) { return(Enumerable.Range(1, 999) .Select(n => n / 1000.0) .Select(q => Math.Abs(all.Quantile(q) - digest.Quantile(q))) .Average()); }
public void TestSerialization() { Random r = new Random(); TDigest digestA = new TDigest(); for (int i = 0; i < 10000; i++) { var n = (r.Next() % 50) + (r.Next() % 50); digestA.Add(n); } byte[] s = digestA.Serialize(); TDigest digestB = new TDigest(s); var a = digestA.GetDistribution(); var b = digestB.GetDistribution(); for (int i = 0; i < a.Length; i++) { var ce = a[i].Count == b[i].Count; var me = a[i].Value == b[i].Value; Assert.IsTrue(ce && me, "Centroid means or counts are not equal after serialization"); } Assert.AreEqual(digestA.Average, digestB.Average, "Averages are not equal after serialization"); Assert.AreEqual(digestA.Count, digestB.Count, "Counts are not equal after serialization"); Assert.AreEqual(digestA.CentroidCount, digestB.CentroidCount, "Centroid Counts are not equal after serialization"); Assert.AreEqual(digestA.CompressionConstant, digestB.CompressionConstant, "Compression Constants are not equal after serialization"); Assert.AreEqual(digestA.Accuracy, digestB.Accuracy, "Accuracies are not equal after serialization"); var differences = Enumerable.Range(1, 999) .Select(n => n / 1000.0) .Where(q => digestA.Quantile(q) != digestB.Quantile(q)) .Select(q => new { q, A = digestA.Quantile(q), B = digestB.Quantile(q) }) .ToList(); var areEqual = !differences.Any(); Assert.IsTrue(areEqual, "Serialized TDigest is not the same as original"); }
public void QuantileEdges() { var digest = new TDigest(); var min = Double.MaxValue; var max = Double.MinValue; for (var i = 100; i > 0; i--) { var value = new Random().NextDouble(); if (value > max) { max = value; } if (value < min) { min = value; } digest.Add(value); } Assert.Equal(min, digest.Quantile(0.001)); Assert.Equal(max, digest.Quantile(1)); }
public void TestFixForNegativeQuantileBug() { var r = new Random(); var numbers = new List <int>(); var digest = new TDigest(); for (var i = 0; i < 10 * 1000; i++) { var n = r.NextDouble() < 0.001 ? 10001 : r.Next(0, 100); digest.Add(n); numbers.Add(n); var q99 = digest.Quantile(0.99); Assert.IsTrue(q99 >= 0, string.Format("q99: {0}, numbers: {1}", q99, string.Join(",", numbers))); } }
public void TestNormalDistribution() { Random r = new Random(); TDigest digest = new TDigest(); List <double> actual = new List <double>(); for (int i = 0; i < 10000; i++) { var n = (r.Next() % 100) + (r.Next() % 100); digest.Add(n); actual.Add(n); } actual.Sort(); var z = digest.Quantile(0); Assert.IsTrue(GetAvgError(actual, digest) < .01); Assert.IsTrue(MaxIsEqual(actual, digest)); Assert.IsTrue(MinIsEqual(actual, digest)); var avgError = GetAvgPercentileError(actual, digest); Assert.IsTrue(avgError < .5); }
/// <summary> /// Gets an estimate of the specified quantile of the distribution. /// </summary> /// <returns>The estimated value of the quantile.</returns> /// <param name="quantile">The quantile.</param> public double GetValue(double quantile) { return(Count == 0 ? Double.NaN : distribution.Quantile(quantile)); }