kscience/kmath
10
0
Fork 2
Code Issues Pull Requests6 Packages Projects Releases16 Wiki Activity

STUD-13. Improve numerical stability of mean statistic algorithm #525

Merged
altavir merged 1 commits from qwazer/kmath:STUD-13 into dev 2025-05-05 15:57:22 +03:00
Conversation 1 Commits 1 Files Changed 3 +45 -11
qwazer commented 2025-05-05 15:42:05 +03:00
Contributor

Replace naive summation that prone to floating-point errors (loss of precision) by Welford’s Online Algorithm which updates mean incrementally. The later algorithm is more numerically stable.
The cons is slightly higher computational overhead.

The test failed with previous implementation

    @Test
    fun numericalStability(){
        val data = doubleArrayOf(1.0e4, 1.0, 1.0, 1.0, 1.0);
        assertEquals(2000.8, Float64Field.mean.evaluateBlocking(Float64Buffer(data)));
    }
Replace naive summation that prone to floating-point errors (loss of precision) by Welford’s Online Algorithm which updates mean incrementally. The later algorithm is more numerically stable. The cons is slightly higher computational overhead. The test failed with previous implementation ``` @Test fun numericalStability(){ val data = doubleArrayOf(1.0e4, 1.0, 1.0, 1.0, 1.0); assertEquals(2000.8, Float64Field.mean.evaluateBlocking(Float64Buffer(data))); } ````
qwazer added 1 commit 2025-05-05 15:42:06 +03:00 
Replace naive summation that prone to floating-point errors (loss of precision) by Welford’s Online Algorithm which updates mean incrementally and more numerically stable.
 The cons is slightly higher computational overhead.
altavir approved these changes 2025-05-05 15:57:04 +03:00
altavir merged commit ce453129f0 into dev 2025-05-05 15:57:22 +03:00
Sign in to join this conversation.
No Reviewers
altavir
No Label
No Milestone
No project
No Assignees
2 Participants
Notifications
Due Date
No due date set.
Dependencies

No dependencies set.

Reference: kscience/kmath#525
No description provided.
Delete Branch "qwazer/kmath:STUD-13"

Deleting a branch is permanent. Although the deleted branch may continue to exist for a short time before it actually gets removed, it CANNOT be undone in most cases. Continue?