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/*
chronyd/chronyc - Programs for keeping computer clocks accurate.
**********************************************************************
* Copyright (C) Miroslav Lichvar 2022
*
* This program is free software; you can redistribute it and/or modify
* it under the terms of version 2 of the GNU General Public License as
* published by the Free Software Foundation.
*
* This program is distributed in the hope that it will be useful, but
* WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
* General Public License for more details.
*
* You should have received a copy of the GNU General Public License along
* with this program; if not, write to the Free Software Foundation, Inc.,
* 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301, USA.
*
**********************************************************************
=======================================================================
Estimation of quantiles using the Frugal-2U streaming algorithm
(https://arxiv.org/pdf/1407.1121v1.pdf)
*/
#include "config.h"
#include "logging.h"
#include "memory.h"
#include "quantiles.h"
#include "regress.h"
#include "util.h"
/* Maximum number of repeated estimates for stabilisation */
#define MAX_REPEAT 64
struct Quantile {
double est;
double step;
int sign;
};
struct QNT_Instance_Record {
struct Quantile *quants;
int n_quants;
int repeat;
int q;
int min_k;
double min_step;
int n_set;
};
/* ================================================== */
QNT_Instance
QNT_CreateInstance(int min_k, int max_k, int q, int repeat, double min_step)
{
QNT_Instance inst;
long seed;
if (q < 2 || min_k > max_k || min_k < 1 || max_k >= q ||
repeat < 1 || repeat > MAX_REPEAT || min_step <= 0.0)
assert(0);
inst = MallocNew(struct QNT_Instance_Record);
inst->n_quants = (max_k - min_k + 1) * repeat;
inst->quants = MallocArray(struct Quantile, inst->n_quants);
inst->repeat = repeat;
inst->q = q;
inst->min_k = min_k;
inst->min_step = min_step;
QNT_Reset(inst);
/* Seed the random number generator, which will not be isolated from
other instances and other random() users */
UTI_GetRandomBytes(&seed, sizeof (seed));
srandom(seed);
return inst;
}
/* ================================================== */
void
QNT_DestroyInstance(QNT_Instance inst)
{
Free(inst->quants);
Free(inst);
}
/* ================================================== */
void
QNT_Reset(QNT_Instance inst)
{
int i;
inst->n_set = 0;
for (i = 0; i < inst->n_quants; i++) {
inst->quants[i].est = 0.0;
inst->quants[i].step = inst->min_step;
inst->quants[i].sign = 1;
}
}
/* ================================================== */
static void
insert_initial_value(QNT_Instance inst, double value)
{
int i, j, r = inst->repeat;
if (inst->n_set * r >= inst->n_quants)
assert(0);
/* Keep the initial estimates repeated and ordered */
for (i = inst->n_set; i > 0 && inst->quants[(i - 1) * r].est > value; i--) {
for (j = 0; j < r; j++)
inst->quants[i * r + j].est = inst->quants[(i - 1) * r].est;
}
for (j = 0; j < r; j++)
inst->quants[i * r + j].est = value;
inst->n_set++;
/* Duplicate the largest value in unset quantiles */
for (i = inst->n_set * r; i < inst->n_quants; i++)
inst->quants[i].est = inst->quants[i - 1].est;
}
/* ================================================== */
static void
update_estimate(struct Quantile *quantile, double value, double p, double rand,
double min_step)
{
if (value > quantile->est && rand > (1.0 - p)) {
quantile->step += quantile->sign > 0 ? min_step : -min_step;
quantile->est += quantile->step > 0.0 ? fabs(quantile->step) : min_step;
if (quantile->est > value) {
quantile->step += value - quantile->est;
quantile->est = value;
}
if (quantile->sign < 0 && quantile->step > min_step)
quantile->step = min_step;
quantile->sign = 1;
} else if (value < quantile->est && rand > p) {
quantile->step += quantile->sign < 0 ? min_step : -min_step;
quantile->est -= quantile->step > 0.0 ? fabs(quantile->step) : min_step;
if (quantile->est < value) {
quantile->step += quantile->est - value;
quantile->est = value;
}
if (quantile->sign > 0 && quantile->step > min_step)
quantile->step = min_step;
quantile->sign = -1;
}
}
/* ================================================== */
void
QNT_Accumulate(QNT_Instance inst, double value)
{
double p, rand;
int i;
/* Initialise the estimates with first received values */
if (inst->n_set * inst->repeat < inst->n_quants) {
insert_initial_value(inst, value);
return;
}
for (i = 0; i < inst->n_quants; i++) {
p = (double)(i / inst->repeat + inst->min_k) / inst->q;
rand = (double)random() / ((1U << 31) - 1);
update_estimate(&inst->quants[i], value, p, rand, inst->min_step);
}
}
/* ================================================== */
int
QNT_GetMinK(QNT_Instance inst)
{
return inst->min_k;
}
/* ================================================== */
double
QNT_GetQuantile(QNT_Instance inst, int k)
{
double estimates[MAX_REPEAT];
int i;
if (k < inst->min_k || k - inst->min_k >= inst->n_quants)
assert(0);
for (i = 0; i < inst->repeat; i++)
estimates[i] = inst->quants[(k - inst->min_k) * inst->repeat + i].est;
return RGR_FindMedian(estimates, inst->repeat);
}
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