Welford's online algorithm for calculating variance

welford.h

#pragma once

#include <cmath>

// https://en.wikipedia.org/wiki/Algorithms_for_calculating_variance#Welford's_online_algorithm
template <typename T>
class WelfordMeanStddevCalculator {
 public:
  WelfordMeanStddevCalculator() = default;
  virtual ~WelfordMeanStddevCalculator() = default;

  void Add(T x) {
    ++count_;
    const T delta = x - mean_;
    mean_ += delta / T(count_);
    const T delta2 = x - mean_;
    sum_of_squares_ += delta * delta2;
    if (count_ > 1) {
      stddev_ = std::sqrt(sum_of_squares_ / T(count_ - 1));
    }
  }

  T mean() const { return mean_; }
  T stddev() const { return stddev_; }
  int count() const { return count_; }

 private:
  T mean_ = T(0);
  T sum_of_squares_ = T(0);
  T stddev_ = T(0);
  int count_ = 0;

  // Shallow copy is allowed.
};

welford_test.cc

#include "welford.h"

#include <vector>

#include "gtest/gtest.h"

TEST(WelfordMeanStddevCalculatorTest, Basic) {
  const std::vector<double> values = {
      0.0, 3.0, 2.0, 11.0, 100.1, 54.3, -20.0,
  };
  const MeanAndStddev mean_stddev = CalMeanAndStddev(values);
  WelfordMeanStddevCalculator<double> calculator;
  for (double value : values) {
    calculator.Add(value);
  }
  EXPECT_NEAR(calculator.mean(), mean_stddev.mean, 1e-5);
  EXPECT_NEAR(calculator.stddev(), mean_stddev.stddev, 1e-5);
}