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/**
* @brief Update state with a new data point
*/
template <class OtherHandle>
AvgVarTransitionState &operator+=(const double x){
double diff = (x - avg);
double normalizer = static_cast<double>(numRows + 1);
// online update mean
this->avg += diff / normalizer;
// online update variance
double new_diff = (x - avg);
double a = static_cast<double>(numRows) / normalizer;
this->var = (var * a) + (diff * new_diff) / normalizer;
}
/**
* @brief Merge with another State object
*
* We update mean and variance in a online fashion
* to avoid intermediate large sum.
*/
template <class OtherHandle>
AvgVarTransitionState &operator+=(
const AvgVarTransitionState<OtherHandle> &inOtherState) {
if (mStorage.size() != inOtherState.mStorage.size())
throw std::logic_error("Internal error: Incompatible transition "
"states");
double avg_ = inOtherState.avg;
double var_ = inOtherState.var;
uint64_t numRows_ = static_cast<uint64_t>(inOtherState.numRows);
double totalNumRows = static_cast<double>(numRows + numRows_);
double p = static_cast<double>(numRows) / totalNumRows;
double p_ = static_cast<double>(numRows_) / totalNumRows;
double totalAvg = avg * p + avg_ * p_;
double a = avg - totalAvg;
double a_ = avg_ - totalAvg;
numRows += numRows_;
var = p * var + p_ * var_ + p * a * a + p_ * a_ * a_;
avg = totalAvg;
return *this;
} |
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