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8252093: formula used to calculate decaying variance in numberSeq

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Reviewed-by: sjohanss, kbarrett
This commit is contained in:
Albert Mingkun Yang 2020-09-02 12:40:16 +02:00
parent f9e6f26ca4
commit f01e6261a2
1 changed files with 10 additions and 2 deletions
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12
src/hotspot/share/utilities/numberSeq.cpp
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@ -41,9 +41,17 @@ void AbsSeq::add(double val) {
_dvariance = 0.0;
} else {
// otherwise, calculate both
_davg = (1.0 - _alpha) * val + _alpha * _davg;
// Formula from "Incremental calculation of weighted mean and variance" by Tony Finch
// diff := x - mean
// incr := alpha * diff
// mean := mean + incr
// variance := (1 - alpha) * (variance + diff * incr)
// PDF available at https://fanf2.user.srcf.net/hermes/doc/antiforgery/stats.pdf
// Note: alpha is actually (1.0 - _alpha) in our code
double diff = val - _davg;
_dvariance = (1.0 - _alpha) * diff * diff + _alpha * _dvariance;
double incr = (1.0 - _alpha) * diff;
_davg += incr;
_dvariance = _alpha * (_dvariance + diff * incr);
}
}