/** * @license Apache-2.0 * * Copyright (c) 2020 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'; // MODULES // var float64ToFloat32 = require( '@stdlib/number/float64/base/to-float32' ); // MAIN // /** * Computes the variance of a single-precision floating-point strided array using Welford's algorithm. * * ## Method * * - This implementation uses Welford's algorithm for efficient computation, which can be derived as follows. Let * * ```tex * \begin{align*} * S_n &= n \sigma_n^2 \\ * &= \sum_{i=1}^{n} (x_i - \mu_n)^2 \\ * &= \biggl(\sum_{i=1}^{n} x_i^2 \biggr) - n\mu_n^2 * \end{align*} * ``` * * Accordingly, * * ```tex * \begin{align*} * S_n - S_{n-1} &= \sum_{i=1}^{n} x_i^2 - n\mu_n^2 - \sum_{i=1}^{n-1} x_i^2 + (n-1)\mu_{n-1}^2 \\ * &= x_n^2 - n\mu_n^2 + (n-1)\mu_{n-1}^2 \\ * &= x_n^2 - \mu_{n-1}^2 + n(\mu_{n-1}^2 - \mu_n^2) \\ * &= x_n^2 - \mu_{n-1}^2 + n(\mu_{n-1} - \mu_n)(\mu_{n-1} + \mu_n) \\ * &= x_n^2 - \mu_{n-1}^2 + (\mu_{n-1} - x_n)(\mu_{n-1} + \mu_n) \\ * &= x_n^2 - \mu_{n-1}^2 + \mu_{n-1}^2 - x_n\mu_n - x_n\mu_{n-1} + \mu_n\mu_{n-1} \\ * &= x_n^2 - x_n\mu_n - x_n\mu_{n-1} + \mu_n\mu_{n-1} \\ * &= (x_n - \mu_{n-1})(x_n - \mu_n) \\ * &= S_{n-1} + (x_n - \mu_{n-1})(x_n - \mu_n) * \end{align*} * ``` * * where we use the identity * * ```tex * x_n - \mu_{n-1} = n (\mu_n - \mu_{n-1}) * ``` * * ## References * * - Welford, B. P. 1962. "Note on a Method for Calculating Corrected Sums of Squares and Products." _Technometrics_ 4 (3). Taylor & Francis: 419–20. doi:[10.1080/00401706.1962.10490022](https://doi.org/10.1080/00401706.1962.10490022). * - van Reeken, A. J. 1968. "Letters to the Editor: Dealing with Neely's Algorithms." _Communications of the ACM_ 11 (3): 149–50. doi:[10.1145/362929.362961](https://doi.org/10.1145/362929.362961). * * @param {PositiveInteger} N - number of indexed elements * @param {number} correction - degrees of freedom adjustment * @param {Float32Array} x - input array * @param {integer} stride - stride length * @param {NonNegativeInteger} offset - starting index * @returns {number} variance * * @example * var Float32Array = require( '@stdlib/array/float32' ); * var floor = require( '@stdlib/math/base/special/floor' ); * * var x = new Float32Array( [ 2.0, 1.0, 2.0, -2.0, -2.0, 2.0, 3.0, 4.0 ] ); * var N = floor( x.length / 2 ); * * var v = svariancewd( N, 1, x, 2, 1 ); * // returns 6.25 */ function svariancewd( N, correction, x, stride, offset ) { var delta; var mu; var M2; var ix; var v; var n; var i; n = N - correction; if ( N <= 0 || n <= 0.0 ) { return NaN; } if ( N === 1 || stride === 0 ) { return 0.0; } ix = offset; M2 = 0.0; mu = 0.0; for ( i = 0; i < N; i++ ) { v = x[ ix ]; delta = float64ToFloat32( v - mu ); mu = float64ToFloat32( mu + float64ToFloat32( delta / (i+1) ) ); M2 = float64ToFloat32( M2 + float64ToFloat32( delta * float64ToFloat32( v - mu ) ) ); // eslint-disable-line max-len ix += stride; } return float64ToFloat32( M2 / n ); } // EXPORTS // module.exports = svariancewd;