/** * @license Apache-2.0 * * Copyright (c) 2019 The Stdlib Authors. * * Licensed under the Apache License, Version 2.0 (the "License"); * you may not use this file except in compliance with the License. * You may obtain a copy of the License at * * http://www.apache.org/licenses/LICENSE-2.0 * * Unless required by applicable law or agreed to in writing, software * distributed under the License is distributed on an "AS IS" BASIS, * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. * See the License for the specific language governing permissions and * limitations under the License. */ 'use strict'; /** * Returns an accumulator function which incrementally computes a weighted arithmetic mean. * * ## Method * * - The weighted arithmetic mean is defined as * * ```tex * \mu = \frac{\sum_{i=0}^{n-1} w_i x_i}{\sum_{i=0}^{n-1} w_i} * ``` * * where \\( w_i \\) are the weights. * * - The weighted arithmetic mean is equivalent to the simple arithmetic mean when all weights are equal. * * ```tex * \begin{align*} * \mu &= \frac{\sum_{i=0}^{n-1} w x_i}{\sum_{i=0}^{n-1} w} \\ * &= \frac{w\sum_{i=0}^{n-1} x_i}{nw} \\ * &= \frac{1}{n} \sum_{i=0}^{n-1} * \end{align*} * ``` * * - If the weights are different, then one can view weights either as sample frequencies or as a means to calculate probabilities where \\( p_i = w_i / \sum w_i \\). * * - To derive an incremental formula for computing a weighted arithmetic mean, let * * ```tex * W_n = \sum_{i=1}^{n} w_i * ``` * * - Accordingly, * * ```tex * \begin{align*} * \mu_n &= \frac{1}{W_n} \sum_{i=1}^{n} w_i x_i \\ * &= \frac{1}{W_n} \biggl(w_n x_n + \sum_{i=1}^{n-1} w_i x_i \biggr) \\ * &= \frac{1}{W_n} (w_n x_n + W_{n-1} \mu_{n-1}) \\ * &= \frac{1}{W_n} (w_n x_n + (W_n - w_n) \mu_{n-1}) \\ * &= \frac{1}{W_n} (W_n \mu_{n-1} + w_n x_n - w_n\mu_{n-1}) \\ * &= \mu_{n-1} + \frac{w_n}{W_n} (x_n - \mu_{n-1}) * \end{align*} * ``` * * @returns {Function} accumulator function * * @example * var accumulator = incrwmean(); * * var mu = accumulator(); * // returns null * * mu = accumulator( 2.0, 1.0 ); * // returns 2.0 * * mu = accumulator( 2.0, 0.5 ); * // returns 2.0 * * mu = accumulator( 3.0, 1.5 ); * // returns 2.5 * * mu = accumulator(); * // returns 2.5 */ function incrwmean() { var wsum; var FLG; var mu; wsum = 0.0; mu = 0.0; return accumulator; /** * If provided arguments, the accumulator function returns an updated weighted mean. If not provided arguments, the accumulator function returns the current weighted mean. * * @private * @param {number} [x] - value * @param {number} [w] - weight * @returns {(number|null)} weighted mean or null */ function accumulator( x, w ) { if ( arguments.length === 0 ) { if ( FLG === void 0 ) { return null; } return mu; } FLG = true; wsum += w; mu += ( w/wsum ) * ( x-mu ); return mu; } } // EXPORTS // module.exports = incrwmean;