public SimpleMovingQuantileEstimator(int windowSize, int k,
MovingQuantileEstimatorInitStrategy initStrategy = MovingQuantileEstimatorInitStrategy.QuantileApproximation)
{
Assertion.Positive(nameof(windowSize), windowSize);
Assertion.InRangeInclusive(nameof(k), k, 0, windowSize - 1);
this.windowSize = windowSize;
this.k = k;
this.initStrategy = initStrategy;
values = new double[windowSize];
}
private void DoTest(ISequentialQuantileEstimator estimator, MovingQuantileEstimatorInitStrategy initStrategy, int totalElementCount,
int windowSize, int k,
Func <int, double> generator)
{
double[] source = Enumerable.Range(0, totalElementCount).Select(generator).ToArray();
var outputBuilder = new StringBuilder();
for (int i = 0; i < source.Length; i++)
{
double[] windowElements = source.Take(i + 1).TakeLast(windowSize).ToArray();
estimator.Add(source[i]);
if (DiagnosticsMode)
{
outputBuilder.AppendLine($"i = {i}");
outputBuilder.AppendLine(
$"Data = [{string.Join(", ", windowElements.Select(x => x.ToString(TestCultureInfo.Instance)))}]");
if (estimator is PartitioningHeapsMovingQuantileEstimator partitioningHeapsMovingQuantileEstimator)
{
outputBuilder.AppendLine($"Heap = [{partitioningHeapsMovingQuantileEstimator.Dump()}]");
}
outputBuilder.AppendLine();
}
if (initStrategy == MovingQuantileEstimatorInitStrategy.OrderStatistics && k >= windowElements.Length)
{
Assert.Throws <IndexOutOfRangeException>(() => estimator.GetQuantile());
}
else
{
double actual = estimator.GetQuantile();
Array.Sort(windowElements);
double expected = initStrategy switch
{
MovingQuantileEstimatorInitStrategy.QuantileApproximation => windowElements[windowElements.Length * k / windowSize],
MovingQuantileEstimatorInitStrategy.OrderStatistics => windowElements[Math.Min(windowElements.Length - 1, k)],
_ => throw new ArgumentOutOfRangeException()
};
Assert.Equal(expected, actual);
}
}
if (DiagnosticsMode)
{
Output.WriteLine(outputBuilder.ToString());
}
}
}
public PartitioningHeapsMovingQuantileEstimator(int windowSize, int k,
MovingQuantileEstimatorInitStrategy initStrategy = MovingQuantileEstimatorInitStrategy.QuantileApproximation)
{
Assertion.Positive(nameof(windowSize), windowSize);
Assertion.InRangeInclusive(nameof(k), k, 0, windowSize - 1);
this.windowSize = windowSize;
this.k = k;
probability = Probability.NaN;
h = new double[windowSize];
heapToElementIndex = new int[windowSize];
elementToHeapIndex = new int[windowSize];
lowerHeapMaxSize = k;
this.initStrategy = initStrategy;
rootHeapIndex = k;
}
protected override ISequentialQuantileEstimator CreateEstimator(int windowSize, int k,
MovingQuantileEstimatorInitStrategy initStrategy)
{
return(new PartitioningHeapsMovingQuantileEstimator(windowSize, k, initStrategy));
}
protected abstract ISequentialQuantileEstimator CreateEstimator(int windowSize, int k,
MovingQuantileEstimatorInitStrategy initStrategy);
