/** * @license Apache-2.0 * * Copyright (c) 2018 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 isNumber = require( '@stdlib/assert/is-number' ).isPrimitive; var isnan = require( '@stdlib/math/base/assert/is-nan' ); // MAIN // /** * Returns an accumulator function which incrementally computes a variance-to-mean ratio (VMR). * * ## Method * * - This implementation uses [Welford's method][algorithms-variance] 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}) * ``` * * [algorithms-variance]: https://en.wikipedia.org/wiki/Algorithms_for_calculating_variance * * @param {number} [mean] - mean value * @throws {TypeError} must provide a number primitive * @returns {Function} accumulator function * * @example * var accumulator = incrvmr(); * * var D = accumulator(); * // returns null * * D = accumulator( 2.0 ); * // returns 0.0 * * D = accumulator( 1.0 ); * // returns ~0.33 * * D = accumulator(); * // returns ~0.33 * * @example * var accumulator = incrvmr( 3.14 ); */ function incrvmr( mean ) { var delta; var mu; var M2; var N; M2 = 0.0; N = 0; if ( arguments.length ) { if ( !isNumber( mean ) ) { throw new TypeError( 'invalid argument. Must provide a number primitive. Value: `' + mean + '`.' ); } mu = mean; return accumulator2; } mu = 0.0; return accumulator1; /** * If provided a value, the accumulator function returns an updated accumulated value. If not provided a value, the accumulator function returns the current accumulated value. * * @private * @param {number} [x] - new value * @returns {(number|null)} accumulated value or null */ function accumulator1( x ) { if ( arguments.length === 0 ) { if ( N === 0 ) { return null; } if ( N === 1 ) { return ( isnan( M2 ) ) ? NaN : 0.0/mu; } return ( M2/(N-1) ) / mu; } N += 1; delta = x - mu; mu += delta / N; M2 += delta * ( x - mu ); if ( N < 2 ) { return ( isnan( M2 ) ) ? NaN : 0.0/mu; } return ( M2/(N-1) ) / mu; } /** * If provided a value, the accumulator function returns an updated accumulated value. If not provided a value, the accumulator function returns the current accumulated value. * * @private * @param {number} [x] - new value * @returns {(number|null)} accumulated value or null */ function accumulator2( x ) { if ( arguments.length === 0 ) { if ( N === 0 ) { return null; } return ( M2/N ) / mu; } N += 1; delta = x - mu; M2 += delta * delta; return ( M2/N ) / mu; } } // EXPORTS // module.exports = incrvmr;