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95 lines
2.2 KiB
95 lines
2.2 KiB
5 years ago
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import numpy as np
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_DESC_FMT = """
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{} (n={}):
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MEAN={}
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VAR={}
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MIN={}
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MAX={}
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"""
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class StatTracker():
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def __init__(self, name):
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self._name = name
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self._mean = 0.
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self._var = 0.
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self._n = 0
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self._min = -float("-inf")
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self._max = -float("inf")
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@property
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def mean(self):
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return self._mean
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@property
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def var(self):
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return (self._n * self._var) / (self._n - 1.)
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@property
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def min(self):
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return self._min
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@property
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def max(self):
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return self._max
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def update(self, samples):
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# https://en.wikipedia.org/wiki/Algorithms_for_calculating_variance#Parallel_algorithm
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data = samples.reshape(-1)
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n_a = data.size
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mean_a = np.mean(data)
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var_a = np.var(data, ddof=0)
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n_b = self._n
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mean_b = self._mean
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delta = mean_b - mean_a
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m_a = var_a * (n_a - 1)
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m_b = self._var * (n_b - 1)
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m2 = m_a + m_b + delta**2 * n_a * n_b / (n_a + n_b)
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self._var = m2 / (n_a + n_b)
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self._mean = (n_a * mean_a + n_b * mean_b) / (n_a + n_b)
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self._n = n_a + n_b
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self._min = min(self._min, np.min(data))
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self._max = max(self._max, np.max(data))
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def __str__(self):
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return _DESC_FMT.format(self._name, self._n, self._mean, self.var, self._min,
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self._max)
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# FIXME(mgraczyk): The variance computation does not work with 1 sample batches.
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class VectorStatTracker(StatTracker):
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def __init__(self, name, dim):
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self._name = name
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self._mean = np.zeros((dim, ))
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self._var = np.zeros((dim, dim))
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self._n = 0
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self._min = np.full((dim, ), -float("-inf"))
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self._max = np.full((dim, ), -float("inf"))
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@property
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def cov(self):
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return self.var
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def update(self, samples):
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n_a = samples.shape[0]
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mean_a = np.mean(samples, axis=0)
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var_a = np.cov(samples, ddof=0, rowvar=False)
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n_b = self._n
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mean_b = self._mean
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delta = mean_b - mean_a
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m_a = var_a * (n_a - 1)
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m_b = self._var * (n_b - 1)
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m2 = m_a + m_b + delta**2 * n_a * n_b / (n_a + n_b)
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self._var = m2 / (n_a + n_b)
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self._mean = (n_a * mean_a + n_b * mean_b) / (n_a + n_b)
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self._n = n_a + n_b
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self._min = np.minimum(self._min, np.min(samples, axis=0))
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self._max = np.maximum(self._max, np.max(samples, axis=0))
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