package statsd import ( "math" "math/rand" "sort" ) const defaultPercentileLimit = 1000 const defaultMedianLimit = 1000 // RunningStats calculates a running mean, variance, standard deviation, // lower bound, upper bound, count, and can calculate estimated percentiles. // It is based on the incremental algorithm described here: // // https://en.wikipedia.org/wiki/Algorithms_for_calculating_variance type RunningStats struct { k float64 n int64 ex float64 ex2 float64 // Array used to calculate estimated percentiles // We will store a maximum of PercLimit values, at which point we will start // randomly replacing old values, hence it is an estimated percentile. perc []float64 PercLimit int sum float64 lower float64 upper float64 // cache if we have sorted the list so that we never re-sort a sorted list, // which can have very bad performance. SortedPerc bool // Array used to calculate estimated median values // We will store a maximum of MedLimit values, at which point we will start // slicing old values med []float64 MedLimit int MedInsertIndex int } func (rs *RunningStats) AddValue(v float64) { // Whenever a value is added, the list is no longer sorted. rs.SortedPerc = false if rs.n == 0 { rs.k = v rs.upper = v rs.lower = v if rs.PercLimit == 0 { rs.PercLimit = defaultPercentileLimit } if rs.MedLimit == 0 { rs.MedLimit = defaultMedianLimit rs.MedInsertIndex = 0 } rs.perc = make([]float64, 0, rs.PercLimit) rs.med = make([]float64, 0, rs.MedLimit) } // These are used for the running mean and variance rs.n++ rs.ex += v - rs.k rs.ex2 += (v - rs.k) * (v - rs.k) // add to running sum rs.sum += v // track upper and lower bounds if v > rs.upper { rs.upper = v } else if v < rs.lower { rs.lower = v } if len(rs.perc) < rs.PercLimit { rs.perc = append(rs.perc, v) } else { // Reached limit, choose random index to overwrite in the percentile array rs.perc[rand.Intn(len(rs.perc))] = v //nolint:gosec // G404: not security critical } if len(rs.med) < rs.MedLimit { rs.med = append(rs.med, v) } else { // Reached limit, start over rs.med[rs.MedInsertIndex] = v } rs.MedInsertIndex = (rs.MedInsertIndex + 1) % rs.MedLimit } func (rs *RunningStats) Mean() float64 { return rs.k + rs.ex/float64(rs.n) } func (rs *RunningStats) Median() float64 { // Need to sort for median, but keep temporal order var values []float64 values = append(values, rs.med...) sort.Float64s(values) count := len(values) if count == 0 { return 0 } else if count%2 == 0 { return (values[count/2-1] + values[count/2]) / 2 } return values[count/2] } func (rs *RunningStats) Variance() float64 { return (rs.ex2 - (rs.ex*rs.ex)/float64(rs.n)) / float64(rs.n) } func (rs *RunningStats) Stddev() float64 { return math.Sqrt(rs.Variance()) } func (rs *RunningStats) Sum() float64 { return rs.sum } func (rs *RunningStats) Upper() float64 { return rs.upper } func (rs *RunningStats) Lower() float64 { return rs.lower } func (rs *RunningStats) Count() int64 { return rs.n } func (rs *RunningStats) Percentile(n float64) float64 { if n > 100 { n = 100 } if !rs.SortedPerc { sort.Float64s(rs.perc) rs.SortedPerc = true } i := float64(len(rs.perc)) * n / float64(100) return rs.perc[max(0, min(int(i), len(rs.perc)-1))] }