94 lines
2.3 KiB
JavaScript
94 lines
2.3 KiB
JavaScript
/**
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* @license Apache-2.0
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*
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* Copyright (c) 2018 The Stdlib Authors.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at
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*
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* http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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'use strict';
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// MODULES //
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var isNonNegativeNumber = require( '@stdlib/assert/is-nonnegative-number' ).isPrimitive;
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// MAIN //
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/**
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* Returns an accumulator function which incrementally computes an exponentially weighted variance.
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*
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* @param {NonNegativeNumber} alpha - smoothing factor
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* @throws {TypeError} must provide a nonnegative number
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* @throws {RangeError} must be on the interval `[0,1]`
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* @returns {Function} accumulator function
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*
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* @example
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* var accumulator = increwvariance( 0.5 );
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*
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* var v = accumulator();
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* // returns null
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*
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* v = accumulator( 2.0 );
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* // returns 0.0
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*
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* v = accumulator( -5.0 );
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* // returns 12.25
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*
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* v = accumulator();
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* // returns 12.25
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*/
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function increwvariance( alpha ) {
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var incr;
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var s2;
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var r;
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var m;
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var c;
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if ( !isNonNegativeNumber( alpha ) ) {
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throw new TypeError( 'invalid argument. Must provide a nonnegative number. Value: `' + alpha + '`.' );
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}
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if ( alpha < 0.0 || alpha > 1.0 ) {
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throw new RangeError( 'invalid argument. Must provide a nonnegative number on the interval [0,1]. Value: `' + alpha + '`.' );
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}
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c = 1.0 - alpha;
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return accumulator;
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/**
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* If provided a value, the accumulator function returns an updated variance. If not provided a value, the accumulator function returns the current variance.
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*
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* @private
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* @param {number} [x] - new value
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* @returns {(number|null)} variance or null
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*/
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function accumulator( x ) {
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if ( arguments.length === 0 ) {
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return ( s2 === void 0 ) ? null : s2;
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}
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if ( s2 === void 0 ) {
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m = x;
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s2 = 0.0;
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} else {
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r = x - m;
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incr = alpha * r;
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m += incr;
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s2 = c * ( s2+(r*incr) );
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}
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return s2;
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}
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}
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// EXPORTS //
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module.exports = increwvariance;
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