Stats for streaming values(mean,variance, standard_deviation)

StreamingStats.rb

# Check: http://www.johndcook.com/standard_deviation.html
module OmniRPC
  module Util
    class StreamingStats
      attr_reader :min, :max

      def initialize
        @m_n = 0.0
        @max = -Float::INFINITY
        @min = Float::INFINITY
      end

      def clear
        @total = 0
        @m_n = 0.0
        @max = -Float::INFINITY
        @min = Float::INFINITY
      end

      def push(value)
        value = value.to_f
        @max = [value, @max].max
        @min = [value, @min].min

        @m_n += 1
        # See Knuth TAOCP vol 2, 3rd edition, page 232
        if @m_n == 1
          @m_oldM = @m_newM = value
          @m_oldS = 0.0
        else
          @m_newM = @m_oldM + (value - @m_oldM)/@m_n
          @m_newS = @m_oldS + (value - @m_oldM)*(value - @m_newM)

          # set up for next iteration
          @m_oldM = @m_newM
          @m_oldS = @m_newS
        end
      end

      def total
        @m_n.to_i
      end

      def mean
        @m_n > 0 ? @m_newM : 0.0
      end

      def variance
        ((@m_n > 1) ? @m_newS/(@m_n - 1) : 0.0)
      end

      def standard_deviation
        Math.sqrt(variance())
      end

      def standard_error
        1.96 * Math.sqrt(variance / total)
      end
    end
  end
end