IncrementalAverage.java

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package rlpark.plugin.rltoys.math.averages;

import zephyr.plugin.core.api.monitoring.annotations.Monitor;

public class IncrementalAverage implements MeanVar {
  private static final long serialVersionUID = -5821860314203393858L;
  @Monitor
  private double mean = 0.0;
  @Monitor
  private double var = 1.0;
  private int n = 0;
  private double m2 = 0.0;

  // http://en.wikipedia.org/wiki/Algorithms_for_calculating_variance#On-line_algorithm
  @Override
  public void update(double x) {
    n++;
    double delta = x - mean;
    mean = mean + delta / n;
    m2 = m2 + delta * (x - mean);
    if (n > 1)
      var = variance(1);
  }

  public int nbSample() {
    return n;
  }

  @Override
  public double mean() {
    return mean;
  }

  @Override
  public double var() {
    return var;
  }

  public double variance(int ddf) {
    assert ddf >= 0;
    return m2 / (n - ddf);
  }

  public double stdError() {
    return Math.sqrt(variance(1));
  }

  @Override
  public MeanVar newInstance() {
    return new IncrementalAverage();
  }
}