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src/hotspot/share/utilities/numberSeq.cpp

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*** 39,13 ***
      _davg = val;
      // and the variance is 0
      _dvariance = 0.0;
    } else {
      // otherwise, calculate both
!     _davg = (1.0 - _alpha) * val + _alpha * _davg;
      double diff = val - _davg;
!     _dvariance = (1.0 - _alpha) * diff * diff + _alpha * _dvariance;
    }
  }
  
  double AbsSeq::avg() const {
    if (_num == 0)
--- 39,21 ---
      _davg = val;
      // and the variance is 0
      _dvariance = 0.0;
    } else {
      // otherwise, calculate both
!     // Formula from "Incremental calculation of weighted mean and variance" by Tony Finch
+     // diff := x - mean
+     // incr := alpha * diff
+     // mean := mean + incr
+     // variance := (1 - alpha) * (variance + diff * incr)
+     // PDF available at https://fanf2.user.srcf.net/hermes/doc/antiforgery/stats.pdf
+     // Note: alpha is actually (1.0 - _alpha) in our code
      double diff = val - _davg;
!     double incr = (1.0 - _alpha) * diff;
+     _davg += incr;
+     _dvariance = _alpha * (_dvariance + diff * incr);
    }
  }
  
  double AbsSeq::avg() const {
    if (_num == 0)
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