001/*
002 * Licensed to the Apache Software Foundation (ASF) under one or more
003 * contributor license agreements.  See the NOTICE file distributed with
004 * this work for additional information regarding copyright ownership.
005 * The ASF licenses this file to You under the Apache License, Version 2.0
006 * (the "License"); you may not use this file except in compliance with
007 * the License.  You may obtain a copy of the License at
008 *
009 *      http://www.apache.org/licenses/LICENSE-2.0
010 *
011 * Unless required by applicable law or agreed to in writing, software
012 * distributed under the License is distributed on an "AS IS" BASIS,
013 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
014 * See the License for the specific language governing permissions and
015 * limitations under the License.
016 */
017package org.apache.commons.statistics.descriptive;
018
019/**
020 * Computes the standard deviation of the available values. The default implementation uses the
021 * following definition of the <em>sample standard deviation</em>:
022 *
023 * <p>\[ \sqrt{ \tfrac{1}{n-1} \sum_{i=1}^n (x_i-\overline{x})^2 } \]
024 *
025 * <p>where \( \overline{x} \) is the sample mean, and \( n \) is the number of samples.
026 *
027 * <ul>
028 *   <li>The result is {@code NaN} if no values are added.
029 *   <li>The result is zero if there is one value in the data set.
030 * </ul>
031 *
032 * <p>The use of the term \( n − 1 \) is called Bessel's correction. Omitting the square root,
033 * this provides an unbiased estimator of the variance of a hypothetical infinite population. If the
034 * {@link #setBiased(boolean) biased} option is enabled the normalisation factor is
035 * changed to \( \frac{1}{n} \) for a biased estimator of the <em>sample variance</em>.
036 * Note however that square root is a concave function and thus introduces negative bias
037 * (by Jensen's inequality), which depends on the distribution, and thus the corrected sample
038 * standard deviation (using Bessel's correction) is less biased, but still biased.
039 *
040 * <p>The implementation uses an exact integer sum to compute the scaled (by \( n \))
041 * sum of squared deviations from the mean; this is normalised by the scaled correction factor.
042 *
043 * <p>\[ \frac {n \times \sum_{i=1}^n x_i^2 - (\sum_{i=1}^n x_i)^2}{n \times (n - 1)} \]
044 *
045 * <p>Supports up to 2<sup>63</sup> (exclusive) observations.
046 * This implementation does not check for overflow of the count.
047 *
048 * <p>This class is designed to work with (though does not require)
049 * {@linkplain java.util.stream streams}.
050 *
051 * <p><strong>This implementation is not thread safe.</strong>
052 * If multiple threads access an instance of this class concurrently,
053 * and at least one of the threads invokes the {@link java.util.function.IntConsumer#accept(int) accept} or
054 * {@link StatisticAccumulator#combine(StatisticResult) combine} method, it must be synchronized externally.
055 *
056 * <p>However, it is safe to use {@link java.util.function.IntConsumer#accept(int) accept}
057 * and {@link StatisticAccumulator#combine(StatisticResult) combine}
058 * as {@code accumulator} and {@code combiner} functions of
059 * {@link java.util.stream.Collector Collector} on a parallel stream,
060 * because the parallel implementation of {@link java.util.stream.Stream#collect Stream.collect()}
061 * provides the necessary partitioning, isolation, and merging of results for
062 * safe and efficient parallel execution.
063 *
064 * @see <a href="https://en.wikipedia.org/wiki/Standard_deviation">Standard deviation (Wikipedia)</a>
065 * @see <a href="https://en.wikipedia.org/wiki/Bessel%27s_correction">Bessel&#39;s correction</a>
066 * @see <a href="https://en.wikipedia.org/wiki/Jensen%27s_inequality">Jensen&#39;s inequality</a>
067 * @see IntVariance
068 * @since 1.1
069 */
070public final class IntStandardDeviation implements IntStatistic, StatisticAccumulator<IntStandardDeviation> {
071
072    /** Sum of the squared values. */
073    private final UInt128 sumSq;
074    /** Sum of the values. */
075    private final Int128 sum;
076    /** Count of values that have been added. */
077    private long n;
078
079    /** Flag to control if the statistic is biased, or should use a bias correction. */
080    private boolean biased;
081
082    /**
083     * Create an instance.
084     */
085    private IntStandardDeviation() {
086        this(UInt128.create(), Int128.create(), 0);
087    }
088
089    /**
090     * Create an instance.
091     *
092     * @param sumSq Sum of the squared values.
093     * @param sum Sum of the values.
094     * @param n Count of values that have been added.
095     */
096    private IntStandardDeviation(UInt128 sumSq, Int128 sum, int n) {
097        this.sumSq = sumSq;
098        this.sum = sum;
099        this.n = n;
100    }
101
102    /**
103     * Creates an instance.
104     *
105     * <p>The initial result is {@code NaN}.
106     *
107     * @return {@code IntStandardDeviation} instance.
108     */
109    public static IntStandardDeviation create() {
110        return new IntStandardDeviation();
111    }
112
113    /**
114     * Returns an instance populated using the input {@code values}.
115     *
116     * @param values Values.
117     * @return {@code IntStandardDeviation} instance.
118     */
119    public static IntStandardDeviation of(int... values) {
120        return createFromRange(values, 0, values.length);
121    }
122
123    /**
124     * Returns an instance populated using the specified range of {@code values}.
125     *
126     * @param values Values.
127     * @param from Inclusive start of the range.
128     * @param to Exclusive end of the range.
129     * @return {@code IntStandardDeviation} instance.
130     * @throws IndexOutOfBoundsException if the sub-range is out of bounds
131     * @since 1.2
132     */
133    public static IntStandardDeviation ofRange(int[] values, int from, int to) {
134        Statistics.checkFromToIndex(from, to, values.length);
135        return createFromRange(values, from, to);
136    }
137
138    /**
139     * Create an instance using the specified range of {@code values}.
140     *
141     * <p>Warning: No range checks are performed.
142     *
143     * @param values Values.
144     * @param from Inclusive start of the range.
145     * @param to Exclusive end of the range.
146     * @return {@code IntStandardDeviation} instance.
147     */
148    static IntStandardDeviation createFromRange(int[] values, int from, int to) {
149        // Small arrays can be processed using the object
150        final int length = to - from;
151        if (length < IntVariance.SMALL_SAMPLE) {
152            final IntStandardDeviation stat = new IntStandardDeviation();
153            for (int i = from; i < to; i++) {
154                stat.accept(values[i]);
155            }
156            return stat;
157        }
158
159        // Arrays can be processed using specialised counts knowing the maximum limit
160        // for an array is 2^31 values.
161        long s = 0;
162        final UInt96 ss = UInt96.create();
163        // Process pairs as we know two maximum value int^2 will not overflow
164        // an unsigned long.
165        final int end = from + (length & ~0x1);
166        for (int i = from; i < end; i += 2) {
167            final long x = values[i];
168            final long y = values[i + 1];
169            s += x + y;
170            ss.addPositive(x * x + y * y);
171        }
172        if (end < to) {
173            final long x = values[end];
174            s += x;
175            ss.addPositive(x * x);
176        }
177
178        // Convert
179        return new IntStandardDeviation(UInt128.of(ss), Int128.of(s), length);
180    }
181
182    /**
183     * Updates the state of the statistic to reflect the addition of {@code value}.
184     *
185     * @param value Value.
186     */
187    @Override
188    public void accept(int value) {
189        sumSq.addPositive((long) value * value);
190        sum.add(value);
191        n++;
192    }
193
194    /**
195     * Gets the standard deviation of all input values.
196     *
197     * <p>When no values have been added, the result is {@code NaN}.
198     *
199     * @return standard deviation of all values.
200     */
201    @Override
202    public double getAsDouble() {
203        return IntVariance.computeVarianceOrStd(sumSq, sum, n, biased, true);
204    }
205
206    @Override
207    public IntStandardDeviation combine(IntStandardDeviation other) {
208        sumSq.add(other.sumSq);
209        sum.add(other.sum);
210        n += other.n;
211        return this;
212    }
213
214    /**
215     * Sets the value of the biased flag. The default value is {@code false}. The bias
216     * term refers to the computation of the variance; the standard deviation is returned
217     * as the square root of the biased or unbiased <em>sample variance</em>. For further
218     * details see {@link IntVariance#setBiased(boolean) IntVariance.setBiased}.
219     *
220     * <p>This flag only controls the final computation of the statistic. The value of
221     * this flag will not affect compatibility between instances during a
222     * {@link #combine(IntStandardDeviation) combine} operation.
223     *
224     * @param v Value.
225     * @return {@code this} instance
226     * @see IntVariance#setBiased(boolean)
227     */
228    public IntStandardDeviation setBiased(boolean v) {
229        biased = v;
230        return this;
231    }
232}