< prev index next > src/hotspot/share/utilities/numberSeq.cpp
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_davg = val;
// and the variance is 0
_dvariance = 0.0;
} else {
// otherwise, calculate both
- _davg = (1.0 - _alpha) * val + _alpha * _davg;
+ // 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;
- _dvariance = (1.0 - _alpha) * diff * diff + _alpha * _dvariance;
+ double incr = (1.0 - _alpha) * diff;
+ _davg += incr;
+ _dvariance = _alpha * (_dvariance + diff * incr);
}
}
double AbsSeq::avg() const {
if (_num == 0)
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