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// Copyright 2018 Hans Dembinski
//
// Distributed under the Boost Software License, version 1.0.
// (See accompanying file LICENSE_1_0.txt
// or copy at http://www.boost.org/LICENSE_1_0.txt)
#ifndef BOOST_HISTOGRAM_ACCUMULATORS_WEIGHTED_MEAN_HPP
#define BOOST_HISTOGRAM_ACCUMULATORS_WEIGHTED_MEAN_HPP
#include <boost/core/nvp.hpp>
#include <boost/histogram/fwd.hpp> // for weighted_mean<>
#include <boost/histogram/weight.hpp>
#include <cassert>
#include <type_traits>
namespace boost {
namespace histogram {
namespace accumulators {
/**
Calculates mean and variance of weighted sample.
Uses West's incremental algorithm to improve numerical stability
of mean and variance computation.
*/
template <class ValueType>
class weighted_mean {
public:
using value_type = ValueType;
using const_reference = const value_type&;
weighted_mean() = default;
/// Allow implicit conversion from other weighted_means
template <class T>
weighted_mean(const weighted_mean<T>& o)
: sum_of_weights_{o.sum_of_weights_}
, sum_of_weights_squared_{o.sum_of_weights_squared_}
, weighted_mean_{o.weighted_mean_}
, sum_of_weighted_deltas_squared_{o.sum_of_weighted_deltas_squared_} {}
/// Initialize to external sum of weights, sum of weights squared, mean, and variance
weighted_mean(const_reference wsum, const_reference wsum2, const_reference mean,
const_reference variance)
: sum_of_weights_(wsum)
, sum_of_weights_squared_(wsum2)
, weighted_mean_(mean)
, sum_of_weighted_deltas_squared_(
variance * (sum_of_weights_ - sum_of_weights_squared_ / sum_of_weights_)) {}
/// Insert sample x
void operator()(const_reference x) { operator()(weight(1), x); }
/// Insert sample x with weight w
void operator()(const weight_type<value_type>& w, const_reference x) {
sum_of_weights_ += w.value;
sum_of_weights_squared_ += w.value * w.value;
const auto delta = x - weighted_mean_;
weighted_mean_ += w.value * delta / sum_of_weights_;
sum_of_weighted_deltas_squared_ += w.value * delta * (x - weighted_mean_);
}
/// Add another weighted_mean
weighted_mean& operator+=(const weighted_mean& rhs) {
if (sum_of_weights_ != 0 || rhs.sum_of_weights_ != 0) {
const auto tmp =
weighted_mean_ * sum_of_weights_ + rhs.weighted_mean_ * rhs.sum_of_weights_;
sum_of_weights_ += rhs.sum_of_weights_;
sum_of_weights_squared_ += rhs.sum_of_weights_squared_;
weighted_mean_ = tmp / sum_of_weights_;
}
sum_of_weighted_deltas_squared_ += rhs.sum_of_weighted_deltas_squared_;
return *this;
}
/** Scale by value
This acts as if all samples were scaled by the value.
*/
weighted_mean& operator*=(const_reference s) {
weighted_mean_ *= s;
sum_of_weighted_deltas_squared_ *= s * s;
return *this;
}
bool operator==(const weighted_mean& rhs) const noexcept {
return sum_of_weights_ == rhs.sum_of_weights_ &&
sum_of_weights_squared_ == rhs.sum_of_weights_squared_ &&
weighted_mean_ == rhs.weighted_mean_ &&
sum_of_weighted_deltas_squared_ == rhs.sum_of_weighted_deltas_squared_;
}
bool operator!=(const weighted_mean& rhs) const noexcept { return !operator==(rhs); }
/// Return sum of weights
const_reference sum_of_weights() const noexcept { return sum_of_weights_; }
/// Return sum of weights squared (variance of weight distribution)
const_reference sum_of_weights_squared() const noexcept {
return sum_of_weights_squared_;
}
/// Return mean of accumulated weighted samples
const_reference value() const noexcept { return weighted_mean_; }
/// Return variance of accumulated weighted samples
value_type variance() const {
return sum_of_weighted_deltas_squared_ /
(sum_of_weights_ - sum_of_weights_squared_ / sum_of_weights_);
}
template <class Archive>
void serialize(Archive& ar, unsigned /* version */) {
ar& make_nvp("sum_of_weights", sum_of_weights_);
ar& make_nvp("sum_of_weights_squared", sum_of_weights_squared_);
ar& make_nvp("weighted_mean", weighted_mean_);
ar& make_nvp("sum_of_weighted_deltas_squared", sum_of_weighted_deltas_squared_);
}
private:
value_type sum_of_weights_{};
value_type sum_of_weights_squared_{};
value_type weighted_mean_{};
value_type sum_of_weighted_deltas_squared_{};
};
} // namespace accumulators
} // namespace histogram
} // namespace boost
#ifndef BOOST_HISTOGRAM_DOXYGEN_INVOKED
namespace std {
template <class T, class U>
/// Specialization for boost::histogram::accumulators::weighted_mean.
struct common_type<boost::histogram::accumulators::weighted_mean<T>,
boost::histogram::accumulators::weighted_mean<U>> {
using type = boost::histogram::accumulators::weighted_mean<common_type_t<T, U>>;
};
} // namespace std
#endif
#endif
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