mirror of https://github.com/prometheus/prometheus
use kahan summation for numerical stability
Signed-off-by: darshanime <deathbullet@gmail.com>pull/9588/head
parent
be2599c853
commit
0a9deb9597
|
@ -439,11 +439,14 @@ func funcMinOverTime(vals []parser.Value, args parser.Expressions, enh *EvalNode
|
|||
// === sum_over_time(Matrix parser.ValueTypeMatrix) Vector ===
|
||||
func funcSumOverTime(vals []parser.Value, args parser.Expressions, enh *EvalNodeHelper) Vector {
|
||||
return aggrOverTime(vals, enh, func(values []Point) float64 {
|
||||
var sum float64
|
||||
var sum, c float64
|
||||
for _, v := range values {
|
||||
sum += v.V
|
||||
sum, c = kahanSummationIter(v.V, sum, c)
|
||||
}
|
||||
return sum
|
||||
if math.IsInf(sum, 0) {
|
||||
return sum
|
||||
}
|
||||
return sum + c
|
||||
})
|
||||
}
|
||||
|
||||
|
@ -675,23 +678,52 @@ func funcTimestamp(vals []parser.Value, args parser.Expressions, enh *EvalNodeHe
|
|||
return enh.Out
|
||||
}
|
||||
|
||||
func kahanSummation(samples []float64) float64 {
|
||||
sum, c := 0.0, 0.0
|
||||
|
||||
for _, v := range samples {
|
||||
sum, c = kahanSummationIter(v, sum, c)
|
||||
}
|
||||
return sum + c
|
||||
}
|
||||
|
||||
func kahanSummationIter(v, sum, c float64) (float64, float64) {
|
||||
t := sum + v
|
||||
// using Neumaier improvement, swap if next term larger than sum
|
||||
if math.Abs(sum) >= math.Abs(v) {
|
||||
c += (sum - t) + v
|
||||
} else {
|
||||
c += (v - t) + sum
|
||||
}
|
||||
sum = t
|
||||
return sum, c
|
||||
}
|
||||
|
||||
// linearRegression performs a least-square linear regression analysis on the
|
||||
// provided SamplePairs. It returns the slope, and the intercept value at the
|
||||
// provided time.
|
||||
func linearRegression(samples []Point, interceptTime int64) (slope, intercept float64) {
|
||||
var (
|
||||
n float64
|
||||
sumX, sumY float64
|
||||
sumXY, sumX2 float64
|
||||
n float64
|
||||
sumX, cX float64
|
||||
sumY, cY float64
|
||||
sumXY, cXY float64
|
||||
sumX2, cX2 float64
|
||||
)
|
||||
for _, sample := range samples {
|
||||
x := float64(sample.T-interceptTime) / 1e3
|
||||
n += 1.0
|
||||
sumY += sample.V
|
||||
sumX += x
|
||||
sumXY += x * sample.V
|
||||
sumX2 += x * x
|
||||
x := float64(sample.T-interceptTime) / 1e3
|
||||
sumX, cX = kahanSummationIter(x, sumX, cX)
|
||||
sumY, cY = kahanSummationIter(sample.V, sumY, cY)
|
||||
sumXY, cXY = kahanSummationIter(x*sample.V, sumXY, cXY)
|
||||
sumX2, cX2 = kahanSummationIter(x*x, sumX2, cX2)
|
||||
}
|
||||
|
||||
sumX = sumX + cX
|
||||
sumY = sumY + cY
|
||||
sumXY = sumXY + cXY
|
||||
sumX2 = sumX2 + cX2
|
||||
|
||||
covXY := sumXY - sumX*sumY/n
|
||||
varX := sumX2 - sumX*sumX/n
|
||||
|
||||
|
|
|
@ -15,6 +15,7 @@ package promql
|
|||
|
||||
import (
|
||||
"context"
|
||||
"math"
|
||||
"testing"
|
||||
"time"
|
||||
|
||||
|
@ -71,3 +72,9 @@ func TestFunctionList(t *testing.T) {
|
|||
require.True(t, ok, "function %s exists in parser package, but not in promql package", i)
|
||||
}
|
||||
}
|
||||
|
||||
func TestKahanSummation(t *testing.T) {
|
||||
vals := []float64{1.0, math.Pow(10, 100), 1.0, -1 * math.Pow(10, 100)}
|
||||
expected := 2.0
|
||||
require.Equal(t, expected, kahanSummation(vals))
|
||||
}
|
||||
|
|
Loading…
Reference in New Issue