Class TDigest

  • All Implemented Interfaces:
    java.io.Serializable
    Direct Known Subclasses:
    AbstractTDigest

    public abstract class TDigest
    extends java.lang.Object
    implements java.io.Serializable
    Adaptive histogram based on something like streaming k-means crossed with Q-digest. The special characteristics of this algorithm are: - smaller summaries than Q-digest - works on doubles as well as integers. - provides part per million accuracy for extreme quantiles and typically <1000 ppm accuracy for middle quantiles - fast - simple - test coverage roughly at 90% - easy to adapt for use with map-reduce
    See Also:
    Serialized Form
    • Field Summary

      Fields 
      Modifier and Type Field Description
      (package private) double max  
      (package private) double min  
    • Constructor Summary

      Constructors 
      Constructor Description
      TDigest()  
    • Method Summary

      All Methods Static Methods Instance Methods Abstract Methods Concrete Methods 
      Modifier and Type Method Description
      abstract void add​(double x)
      Add a sample to this TDigest.
      abstract void add​(double x, int w)
      Adds a sample to a histogram.
      abstract void add​(TDigest other)
      Add all of the centroids of another TDigest to this one.
      abstract void add​(java.util.List<? extends TDigest> others)  
      abstract void asBytes​(java.nio.ByteBuffer buf)
      Serialize this TDigest into a byte buffer.
      abstract void asSmallBytes​(java.nio.ByteBuffer buf)
      Serialize this TDigest into a byte buffer.
      abstract int byteSize()
      Returns the number of bytes required to encode this TDigest using #asBytes().
      abstract double cdf​(double x)
      Returns the fraction of all points added which are <= x.
      abstract int centroidCount()  
      abstract java.util.Collection<Centroid> centroids()
      A Collection that lets you go through the centroids in ascending order by mean.
      (package private) void checkValue​(double x)  
      abstract void compress()
      Re-examines a t-digest to determine whether some centroids are redundant.
      abstract double compression()
      Returns the current compression factor.
      static TDigest createAvlTreeDigest​(double compression)
      Creates an AVLTreeDigest.
      static TDigest createDigest​(double compression)
      Creates a TDigest of whichever type is the currently recommended type.
      static TDigest createMergingDigest​(double compression)
      Creates an MergingDigest.
      double getMax()  
      double getMin()  
      abstract boolean isRecording()  
      abstract double quantile​(double q)
      Returns an estimate of the cutoff such that a specified fraction of the data added to this TDigest would be less than or equal to the cutoff.
      abstract TDigest recordAllData()
      Tell this TDigest to record the original data as much as possible for test purposes.
      (package private) void setMinMax​(double min, double max)
      Over-ride the min and max values for testing purposes
      abstract long size()
      Returns the number of points that have been added to this TDigest.
      abstract int smallByteSize()
      Returns the number of bytes required to encode this TDigest using #asSmallBytes().
      • Methods inherited from class java.lang.Object

        clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
    • Field Detail

      • min

        double min
      • max

        double max
    • Constructor Detail

      • TDigest

        public TDigest()
    • Method Detail

      • createMergingDigest

        public static TDigest createMergingDigest​(double compression)
        Creates an MergingDigest. This is generally the best known implementation right now.
        Parameters:
        compression - The compression parameter. 100 is a common value for normal uses. 1000 is extremely large. The number of centroids retained will be a smallish (usually less than 10) multiple of this number.
        Returns:
        the MergingDigest
      • createAvlTreeDigest

        public static TDigest createAvlTreeDigest​(double compression)
        Creates an AVLTreeDigest. AVLTreeDigest is nearly the best known implementation right now.
        Parameters:
        compression - The compression parameter. 100 is a common value for normal uses. 1000 is extremely large. The number of centroids retained will be a smallish (usually less than 10) multiple of this number.
        Returns:
        the AvlTreeDigest
      • createDigest

        public static TDigest createDigest​(double compression)
        Creates a TDigest of whichever type is the currently recommended type. MergingDigest is generally the best known implementation right now.
        Parameters:
        compression - The compression parameter. 100 is a common value for normal uses. 1000 is extremely large. The number of centroids retained will be a smallish (usually less than 10) multiple of this number.
        Returns:
        the TDigest
      • add

        public abstract void add​(double x,
                                 int w)
        Adds a sample to a histogram.
        Parameters:
        x - The value to add.
        w - The weight of this point.
      • checkValue

        final void checkValue​(double x)
      • add

        public abstract void add​(java.util.List<? extends TDigest> others)
      • compress

        public abstract void compress()
        Re-examines a t-digest to determine whether some centroids are redundant. If your data are perversely ordered, this may be a good idea. Even if not, this may save 20% or so in space. The cost is roughly the same as adding as many data points as there are centroids. This is typically < 10 * compression, but could be as high as 100 * compression. This is a destructive operation that is not thread-safe.
      • size

        public abstract long size()
        Returns the number of points that have been added to this TDigest.
        Returns:
        The sum of the weights on all centroids.
      • cdf

        public abstract double cdf​(double x)
        Returns the fraction of all points added which are <= x.
      • quantile

        public abstract double quantile​(double q)
        Returns an estimate of the cutoff such that a specified fraction of the data added to this TDigest would be less than or equal to the cutoff.
        Parameters:
        q - The desired fraction
        Returns:
        The value x such that cdf(x) == q
      • centroids

        public abstract java.util.Collection<Centroid> centroids()
        A Collection that lets you go through the centroids in ascending order by mean. Centroids returned will not be re-used, but may or may not share storage with this TDigest.
        Returns:
        The centroids in the form of a Collection.
      • compression

        public abstract double compression()
        Returns the current compression factor.
        Returns:
        The compression factor originally used to set up the TDigest.
      • byteSize

        public abstract int byteSize()
        Returns the number of bytes required to encode this TDigest using #asBytes().
        Returns:
        The number of bytes required.
      • smallByteSize

        public abstract int smallByteSize()
        Returns the number of bytes required to encode this TDigest using #asSmallBytes(). Note that this is just as expensive as actually compressing the digest. If you don't care about time, but want to never over-allocate, this is fine. If you care about compression and speed, you pretty much just have to overallocate by using allocating #byteSize() bytes.
        Returns:
        The number of bytes required.
      • asBytes

        public abstract void asBytes​(java.nio.ByteBuffer buf)
        Serialize this TDigest into a byte buffer. Note that the serialization used is very straightforward and is considerably larger than strictly necessary.
        Parameters:
        buf - The byte buffer into which the TDigest should be serialized.
      • asSmallBytes

        public abstract void asSmallBytes​(java.nio.ByteBuffer buf)
        Serialize this TDigest into a byte buffer. Some simple compression is used such as using variable byte representation to store the centroid weights and using delta-encoding on the centroid means so that floats can be reasonably used to store the centroid means.
        Parameters:
        buf - The byte buffer into which the TDigest should be serialized.
      • recordAllData

        public abstract TDigest recordAllData()
        Tell this TDigest to record the original data as much as possible for test purposes.
        Returns:
        This TDigest so that configurations can be done in fluent style.
      • isRecording

        public abstract boolean isRecording()
      • add

        public abstract void add​(double x)
        Add a sample to this TDigest.
        Parameters:
        x - The data value to add
      • add

        public abstract void add​(TDigest other)
        Add all of the centroids of another TDigest to this one.
        Parameters:
        other - The other TDigest
      • centroidCount

        public abstract int centroidCount()
      • getMin

        public double getMin()
      • getMax

        public double getMax()
      • setMinMax

        void setMinMax​(double min,
                       double max)
        Over-ride the min and max values for testing purposes