Rust-Rolling-Stats

The rolling-stats library offers rolling statistics calculations (minimum, maximum, mean, standard deviation) over arbitrary floating point numbers. It uses Welford's Online Algorithm for these computations. This crate is no_std compatible.

For more information on the algorithm, visit Algorithms for calculating variance on Wikipedia.

Status

Usage

Single Thread Example

Below is an example of using rust-rolling-stats in a single-threaded context:

use rolling_stats::Stats;
use rand_distr::{Distribution, Normal};
use rand::SeedableRng;

type T = f64;

const MEAN: T = 0.0;
const STD_DEV: T = 1.0;
const NUM_SAMPLES: usize = 10_000;
const SEED: u64 = 42;

let mut stats: Stats<T> = Stats::new();
let mut rng = rand::rngs::StdRng::seed_from_u64(SEED); // Seed the RNG for reproducibility
let normal = Normal::<T>::new(MEAN, STD_DEV).unwrap();

// Generate random data
let random_data: Vec<T> = (0..NUM_SAMPLES).map(|_x| normal.sample(&mut rng)).collect();

// Update the stats one by one
random_data.iter().for_each(|v| stats.update(*v));

// Print the stats
println!("{}", stats);
// Output: (avg: 0.00, std_dev: 1.00, min: -3.53, max: 4.11, count: 10000)

Multi Thread Example

This example showcases the usage of rust-rolling-stats in a multi-threaded context with the help of the rayon crate:

use rolling_stats::Stats;
use rand_distr::{Distribution, Normal};
use rand::SeedableRng;
use rayon::prelude::*;

type T = f64;

const MEAN: T = 0.0;
const STD_DEV: T = 1.0;
const NUM_SAMPLES: usize = 500_000;
const SEED: u64 = 42;
const CHUNK_SIZE: usize = 1000;

let mut stats: Stats<T> = Stats::new();
let mut rng = rand::rngs::StdRng::seed_from_u64(SEED); // Seed the RNG for reproducibility
let normal = Normal::<T>::new(MEAN, STD_DEV).unwrap();

// Generate random data
let random_data: Vec<T> = (0..NUM_SAMPLES).map(|_x| normal.sample(&mut rng)).collect();

// Update the stats in parallel. New stats objects are created for each chunk of data.
let stats: Vec<Stats<T>> = random_data
    .par_chunks(CHUNK_SIZE) // Multi-threaded parallelization via Rayon
    .map(|chunk| {
        let mut s: Stats<T> = Stats::new();
        chunk.iter().for_each(|v| s.update(*v));
        s
    })
    .collect();

// Check if there's more than one stat object
assert!(stats.len() > 1);

// Accumulate the stats using the reduce method
let merged_stats = stats.into_iter().reduce(|acc, s| acc.merge(&s)).unwrap();

// Print the stats
println!("{}", merged_stats);
// Output: (avg: -0.00, std_dev: 1.00, min: -4.53, max: 4.57, count: 500000)

Feature Flags

The following feature flags are available:

• serde: Enables serialization and deserialization of the Stats struct via the serde crate.

License

The rolling-stats library is dual-licensed under the MIT and Apache License 2.0. By opening a pull request, you are implicitly agreeing to these licensing terms.