Uploaded image for project: 'Commons Math'
  1. Commons Math
  2. MATH-418

add a storeless version of Percentile

    Details

    • Type: New Feature
    • Status: Closed
    • Priority: Major
    • Resolution: Fixed
    • Affects Version/s: 2.1
    • Fix Version/s: 3.4
    • Labels:
      None

      Description

      The Percentile class can handle only in-memory data.
      It would be interesting to use an on-line algorithm to estimate quantiles as a storeless statistic.
      An example of such an algorithm is the exponentially weighted stochastic approximation described in a 2000 paper by Fei Chen , Diane Lambert and José C. Pinheiro "Incremental Quantile Estimation for Massive Tracking" which can be retrieved from CiteSeerX at http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.105.1580.

        Attachments

        1. psquare-patch
          99 kB
          Venkatesha Murthy TS
        2. 418-psquare-patch
          96 kB
          Venkatesha Murthy TS
        3. 30-may-2014-418-psquare-patch
          66 kB
          Venkatesha Murthy TS
        4. psquare-23-june.patch
          2 kB
          Venkatesha Murthy TS

          Issue Links

            Activity

              People

              • Assignee:
                Unassigned
                Reporter:
                luc Luc Maisonobe
              • Votes:
                0 Vote for this issue
                Watchers:
                9 Start watching this issue

                Dates

                • Created:
                  Updated:
                  Resolved: