Created
September 9, 2014 10:22
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Online mean and variance with generators
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def online_mean(): | |
""" | |
Return an initialised generator for online mean (next() has been called). | |
""" | |
omean = _online_mean() | |
next(omean) | |
return omean | |
def _online_mean(): | |
n = 0 | |
mean = 0 | |
while(True): | |
if (n < 1): | |
x = yield 0 | |
else: | |
x = yield mean | |
n = n + 1 | |
delta = x - mean | |
mean = mean + delta/n | |
def online_variance(): | |
""" | |
Return an initialised generator for online variance (next() has been called). | |
""" | |
ovar = _online_variance() | |
next(ovar) | |
return ovar | |
def _online_variance(): | |
n = 0 | |
mean = 0 | |
M2 = 0 | |
while(True): | |
if (n < 2): | |
x = yield 0 | |
else: | |
x = yield M2/(n - 1) | |
n = n + 1 | |
delta = x - mean | |
mean = mean + delta/n | |
M2 = M2 + delta*(x - mean) | |
omean = online_mean() | |
ommean = online_moving_mean() | |
ovar = online_variance() | |
for x in range(100): | |
print(x, omean.send(x), ommean.send(x), ovar.send(x)**0.5) |
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