Merge pull request #9 from multiprocessio/pe/welfords-method-for-stddev

Online algorithm for stddev

README.md

@@ -94,7 +94,7 @@ func main() {
 ## Strings
 
 | Name(s)           | Notes                                                     | Example                                                        |
-|-------------------|-----------------------------------------------------------|----------------------------------------------------------------|
+| ----------------- | --------------------------------------------------------- | -------------------------------------------------------------- |
 | repeat, replicate |                                                           | `repeat('f', 5) = 'fffff'`                                     |
 | strpos, charindex | 0-indexed position of substring in string                 | `strpos('abc', 'b') = 1`                                       |
 | reverse           |                                                           | `reverse('abc') = 'cba'`                                       |

aggregate.go

@@ -34,17 +34,29 @@ func (m *mode) Done() any {
 }
 
 type stddev struct {
-	xs []float64
+	mean        float64
+	count       int
+	meanSquared float64
 }
 
 func newStddev() *stddev { return &stddev{} }
 
 func (s *stddev) Step(x any) {
-	s.xs = append(s.xs, floaty(x))
+	// Welford's method
+	// https://jonisalonen.com/2013/deriving-welfords-method-for-computing-variance/
+	xf := floaty(x)
+	s.count++
+	oldMean := s.mean
+	s.mean += (xf - s.mean) / float64(s.count)
+	s.meanSquared += (xf - s.mean) * (xf - oldMean)
 }
 
 func (s *stddev) Done() float64 {
-	return stat.PopStdDev(s.xs, nil)
+	if s.count < 2 {
+		return 0
+	}
+
+	return s.meanSquared / float64(s.count-1)
 }
 
 type percentile struct {