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Improve/fix Welford variance calculation

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emir-signal 2026-01-15 15:50:09 -05:00 committed by GitHub
parent 1c3157139f
commit aa7eb193df
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1 changed files with 5 additions and 8 deletions
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13
src/rust/src/core/call_summary.rs
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@ -151,12 +151,9 @@ macro_rules! impl_sample_trait {
/// Running variance and mean (Welford's method).
fn variance(variance: Self, mean: Self, count: usize, sample: Self) -> (Self, Self) {
let n = count as $type;
let new_mean = mean + (sample - mean) / (n + 1.0);
let new_variance = if n > 1.0 {
((n - 1.0) / n) * variance + (sample - mean) * (sample - new_mean) / (n + 1.0)
} else {
0.0
};
let new_mean = mean + (sample - mean) / n;
let new_variance =
variance + ((sample - mean) * (sample - new_mean) - variance) / n;
(new_variance, new_mean)
}
}
@ -199,10 +196,10 @@ impl<T: Sample> DistributionSummary<T> {
if self.max_val < sample {
self.max_val = sample;
}
self.count += 1;
let (variance, mean) = T::variance(self.variance, self.mean, self.count, sample);
self.mean = mean;
self.variance = variance;
self.count += 1;
}
}
}
@ -1268,7 +1265,7 @@ mod test {
.iter()
.enumerate()
.fold((0.0, 0.0), |(variance, mean), (i, sample)| {
f32::variance(variance, mean, i, *sample)
f32::variance(variance, mean, i + 1, *sample)
});
println!(