Blob tdigest_test.go
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package tdigest
import (
"math"
"math/rand"
"sort"
"testing"
"github.com/leesper/go_rng"
)
func init() {
rand.Seed(0xDEADBEE)
}
func uncheckedNew(options ...tdigestOption) *TDigest {
t, _ := New(options...)
return t
}
// Test of tdigest internals and accuracy. Note no t.Parallel():
// during tests the default random seed is consistent, but varying
// concurrency scheduling mixes up the random values used in each test.
// Since there's a random number call inside tdigest this breaks repeatability
// for all tests. So, no test concurrency here.
func TestTInternals(t *testing.T) {
tdigest := uncheckedNew()
if !math.IsNaN(tdigest.Quantile(0.1)) {
t.Errorf("Quantile() on an empty digest should return NaN. Got: %.4f", tdigest.Quantile(0.1))
}
if !math.IsNaN(tdigest.CDF(1)) {
t.Errorf("CDF() on an empty digest should return NaN. Got: %.4f", tdigest.CDF(1))
}
_ = tdigest.Add(0.4)
if tdigest.Quantile(0.1) != 0.4 {
t.Errorf("Quantile() on a single-sample digest should return the samples's mean. Got %.4f", tdigest.Quantile(0.1))
}
if tdigest.CDF(0.3) != 0 {
t.Errorf("CDF(x) on digest with a single centroid should return 0 if x < mean")
}
if tdigest.CDF(0.5) != 1 {
t.Errorf("CDF(x) on digest with a single centroid should return 1 if x >= mean")
}
_ = tdigest.Add(0.5)
if tdigest.summary.Len() != 2 {
t.Errorf("Expected size 2, got %d", tdigest.summary.Len())
}
err := tdigest.AddWeighted(0, 0)
if err == nil {
t.Errorf("Expected AddWeighted() to error out with input (0,0)")
}
}
func closeEnough(a float64, b float64) bool {
const EPS = 0.000001
if (a-b < EPS) && (b-a < EPS) {
return true
}
return false
}
func assertDifferenceSmallerThan(tdigest *TDigest, p float64, m float64, t *testing.T) {
tp := tdigest.Quantile(p)
if math.Abs(tp-p) >= m {
t.Errorf("T-Digest.Quantile(%.4f) = %.4f. Diff (%.4f) >= %.4f", p, tp, math.Abs(tp-p), m)
}
}
func TestUniformDistribution(t *testing.T) {
tdigest := uncheckedNew()
for i := 0; i < 100000; i++ {
_ = tdigest.Add(rand.Float64())
}
assertDifferenceSmallerThan(tdigest, 0.5, 0.02, t)
assertDifferenceSmallerThan(tdigest, 0.1, 0.01, t)
assertDifferenceSmallerThan(tdigest, 0.9, 0.01, t)
assertDifferenceSmallerThan(tdigest, 0.01, 0.005, t)
assertDifferenceSmallerThan(tdigest, 0.99, 0.005, t)
assertDifferenceSmallerThan(tdigest, 0.001, 0.001, t)
assertDifferenceSmallerThan(tdigest, 0.999, 0.001, t)
}
// Asserts quantile p is no greater than absolute m off from "true"
// fractional quantile for supplied data. So m must be scaled
// appropriately for source data range.
func assertDifferenceFromQuantile(data []float64, tdigest *TDigest, p float64, m float64, t *testing.T) {
q := quantile(p, data)
tp := tdigest.Quantile(p)
if math.Abs(tp-q) >= m {
t.Fatalf("T-Digest.Quantile(%.4f) = %.4f vs actual %.4f. Diff (%.4f) >= %.4f", p, tp, q, math.Abs(tp-q), m)
}
}
func TestSequentialInsertion(t *testing.T) {
tdigest := uncheckedNew()
data := make([]float64, 10000)
for i := 0; i < len(data); i++ {
data[i] = float64(i)
}
for i := 0; i < len(data); i++ {
_ = tdigest.Add(data[i])
assertDifferenceFromQuantile(data[:i+1], tdigest, 0.001, 1.0+0.001*float64(i), t)
assertDifferenceFromQuantile(data[:i+1], tdigest, 0.01, 1.0+0.005*float64(i), t)
assertDifferenceFromQuantile(data[:i+1], tdigest, 0.05, 1.0+0.01*float64(i), t)
assertDifferenceFromQuantile(data[:i+1], tdigest, 0.25, 1.0+0.03*float64(i), t)
assertDifferenceFromQuantile(data[:i+1], tdigest, 0.5, 1.0+0.03*float64(i), t)
assertDifferenceFromQuantile(data[:i+1], tdigest, 0.75, 1.0+0.03*float64(i), t)
assertDifferenceFromQuantile(data[:i+1], tdigest, 0.95, 1.0+0.01*float64(i), t)
assertDifferenceFromQuantile(data[:i+1], tdigest, 0.99, 1.0+0.005*float64(i), t)
assertDifferenceFromQuantile(data[:i+1], tdigest, 0.999, 1.0+0.001*float64(i), t)
}
}
func TestNonSequentialInsertion(t *testing.T) {
tdigest := uncheckedNew()
// Not quite a uniform distribution, but close.
data := make([]float64, 1000)
for i := 0; i < len(data); i++ {
tmp := (i * 1627) % len(data)
data[i] = float64(tmp)
}
sorted := make([]float64, 0, len(data))
for i := 0; i < len(data); i++ {
_ = tdigest.Add(data[i])
sorted = append(sorted, data[i])
// Estimated quantiles are all over the place for low counts, which is
// OK given that something like P99 is not very meaningful when there are
// 25 samples. To account for this, increase the error tolerance for
// smaller counts.
if i == 0 {
continue
}
max := float64(len(data))
fac := 1.0 + max/float64(i)
sort.Float64s(sorted)
assertDifferenceFromQuantile(sorted, tdigest, 0.001, fac+0.001*max, t)
assertDifferenceFromQuantile(sorted, tdigest, 0.01, fac+0.005*max, t)
assertDifferenceFromQuantile(sorted, tdigest, 0.05, fac+0.01*max, t)
assertDifferenceFromQuantile(sorted, tdigest, 0.25, fac+0.01*max, t)
assertDifferenceFromQuantile(sorted, tdigest, 0.5, fac+0.02*max, t)
assertDifferenceFromQuantile(sorted, tdigest, 0.75, fac+0.01*max, t)
assertDifferenceFromQuantile(sorted, tdigest, 0.95, fac+0.01*max, t)
assertDifferenceFromQuantile(sorted, tdigest, 0.99, fac+0.005*max, t)
assertDifferenceFromQuantile(sorted, tdigest, 0.999, fac+0.001*max, t)
}
}
func TestSingletonInACrowd(t *testing.T) {
tdigest := uncheckedNew()
for i := 0; i < 10000; i++ {
_ = tdigest.Add(10)
}
_ = tdigest.Add(20)
_ = tdigest.Compress()
for _, q := range []float64{0, 0.5, 0.8, 0.9, 0.99, 0.999} {
if q == 0.999 {
// Test for 0.999 disabled since it doesn't
// pass in the reference implementation
continue
}
result := tdigest.Quantile(q)
if !closeEnough(result, 10) {
t.Errorf("Expected Quantile(%.3f) = 10, but got %.4f (size=%d)", q, result, tdigest.summary.Len())
}
}
result := tdigest.Quantile(1)
if result != 20 {
t.Errorf("Expected Quantile(1) = 20, but got %.4f (size=%d)", result, tdigest.summary.Len())
}
}
func TestRespectBounds(t *testing.T) {
tdigest := uncheckedNew(Compression(10))
data := []float64{0, 279, 2, 281}
for _, f := range data {
_ = tdigest.Add(f)
}
quantiles := []float64{0.01, 0.25, 0.5, 0.75, 0.999}
for _, q := range quantiles {
result := tdigest.Quantile(q)
if result < 0 {
t.Errorf("q(%.3f) = %.4f < 0", q, result)
}
if tdigest.Quantile(q) > 281 {
t.Errorf("q(%.3f) = %.4f > 281", q, result)
}
}
}
func TestWeights(t *testing.T) {
tdigest := uncheckedNew(Compression(10))
// Create data slice with repeats matching weights we gave to tdigest
data := []float64{}
for i := 0; i < 100; i++ {
_ = tdigest.AddWeighted(float64(i), uint32(i))
for j := 0; j < i; j++ {
data = append(data, float64(i))
}
}
assertDifferenceFromQuantile(data, tdigest, 0.001, 1.0+0.001*100.0, t)
assertDifferenceFromQuantile(data, tdigest, 0.01, 1.0+0.005*100.0, t)
assertDifferenceFromQuantile(data, tdigest, 0.05, 1.0+0.01*100.0, t)
assertDifferenceFromQuantile(data, tdigest, 0.25, 1.0+0.01*100.0, t)
assertDifferenceFromQuantile(data, tdigest, 0.5, 1.0+0.02*100.0, t)
assertDifferenceFromQuantile(data, tdigest, 0.75, 1.0+0.01*100.0, t)
assertDifferenceFromQuantile(data, tdigest, 0.95, 1.0+0.01*100.0, t)
assertDifferenceFromQuantile(data, tdigest, 0.99, 1.0+0.005*100.0, t)
assertDifferenceFromQuantile(data, tdigest, 0.999, 1.0+0.001*100.0, t)
}
func TestIntegers(t *testing.T) {
tdigest := uncheckedNew()
_ = tdigest.Add(1)
_ = tdigest.Add(2)
_ = tdigest.Add(3)
if tdigest.Quantile(0.5) != 2 {
t.Errorf("Expected p(0.5) = 2, Got %.2f instead", tdigest.Quantile(0.5))
}
tdigest = uncheckedNew()
for _, i := range []float64{1, 2, 2, 2, 2, 2, 2, 2, 3} {
_ = tdigest.Add(i)
}
if tdigest.Quantile(0.5) != 2 {
t.Errorf("Expected p(0.5) = 2, Got %.2f instead", tdigest.Quantile(0.5))
}
var tot uint32
tdigest.ForEachCentroid(func(mean float64, count uint32) bool {
tot += count
return true
})
if tot != 9 {
t.Errorf("Expected the centroid count to be 9, Got %d instead", tot)
}
}
func cdf(x float64, data []float64) float64 {
var n1, n2 int
for i := 0; i < len(data); i++ {
if data[i] < x {
n1++
}
if data[i] <= x {
n2++
}
}
return float64(n1+n2) / 2.0 / float64(len(data))
}
func quantile(q float64, data []float64) float64 {
if len(data) == 0 {
return math.NaN()
}
if q == 1 || len(data) == 1 {
return data[len(data)-1]
}
index := q * (float64(len(data)) - 1)
return data[int(index)+1]*(index-float64(int(index))) + data[int(index)]*(float64(int(index)+1)-index)
}
func TestMerge(t *testing.T) {
if testing.Short() {
t.Skipf("Skipping merge test. Short flag is on")
}
const numItems = 100000
for _, numSubs := range []int{2, 5, 10, 20, 50, 100} {
data := make([]float64, numItems)
subs := make([]*TDigest, numSubs)
for i := 0; i < numSubs; i++ {
subs[i] = uncheckedNew()
}
dist := uncheckedNew()
for i := 0; i < numItems; i++ {
num := rand.Float64()
data[i] = num
_ = dist.Add(num)
_ = subs[i%numSubs].Add(num)
}
_ = dist.Compress()
dist2 := uncheckedNew()
for i := 0; i < numSubs; i++ {
_ = dist2.Merge(subs[i])
}
if dist.Count() != dist2.Count() {
t.Errorf("Expected the number of centroids to be the same. %d != %d", dist.Count(), dist2.Count())
}
if dist2.Count() != numItems {
t.Errorf("Items shouldn't have disappeared. %d != %d", dist2.Count(), numItems)
}
sort.Float64s(data)
for _, q := range []float64{0.001, 0.01, 0.1, 0.2, 0.3, 0.5} {
z := quantile(q, data)
p1 := dist.Quantile(q)
p2 := dist2.Quantile(q)
e1 := p1 - z
e2 := p2 - z
if math.Abs(e2)/q >= 0.3 {
t.Errorf("rel >= 0.3: parts=%3d q=%.3f e1=%.4f e2=%.4f rel=%.3f real=%.3f",
numSubs, q, e1, e2, math.Abs(e2)/q, z-q)
}
if math.Abs(e2) >= 0.015 {
t.Errorf("e2 >= 0.015: parts=%3d q=%.3f e1=%.4f e2=%.4f rel=%.3f real=%.3f",
numSubs, q, e1, e2, math.Abs(e2)/q, z-q)
}
z = cdf(q, data)
e1 = dist.CDF(q) - z
e2 = dist2.CDF(q) - z
if math.Abs(e2)/q > 0.3 {
t.Errorf("CDF e2 < 0.015: parts=%3d q=%.3f e1=%.4f e2=%.4f rel=%.3f",
numSubs, q, e1, e2, math.Abs(e2)/q)
}
if math.Abs(e2) >= 0.015 {
t.Errorf("CDF e2 < 0.015: parts=%3d q=%.3f e1=%.4f e2=%.4f rel=%.3f",
numSubs, q, e1, e2, math.Abs(e2)/q)
}
}
}
}
func TestCompressDoesntChangeCount(t *testing.T) {
tdigest := uncheckedNew()
for i := 0; i < 1000; i++ {
_ = tdigest.Add(rand.Float64())
}
initialCount := tdigest.Count()
err := tdigest.Compress()
if err != nil {
t.Errorf("Compress() triggered an unexpected error: %s", err)
}
if tdigest.Count() != initialCount {
t.Errorf("Compress() should not change count. Wanted %d, got %d", initialCount, tdigest.Count())
}
}
func TestGammaDistribution(t *testing.T) {
const numItems = 100000
digest := uncheckedNew()
gammaRNG := rng.NewGammaGenerator(0xDEADBEE)
data := make([]float64, numItems)
for i := 0; i < numItems; i++ {
data[i] = gammaRNG.Gamma(0.1, 0.1)
_ = digest.Add(data[i])
}
sort.Float64s(data)
softErrors := 0
for _, q := range []float64{0.001, 0.01, 0.1, 0.5, 0.9, 0.99, 0.999} {
ix := float64(len(data))*q - 0.5
index := int(math.Floor(ix))
p := ix - float64(index)
realQuantile := data[index]*(1-p) + data[index+1]*p
// estimated cdf of real quantile(x)
if math.Abs(digest.CDF(realQuantile)-q) > 0.005 {
t.Errorf("Error in estimated CDF too high")
}
// real cdf of estimated quantile(x)
error := math.Abs(q - cdf(digest.Quantile(q), data))
if error > 0.005 {
softErrors++
}
if error > 0.012 {
t.Errorf("Error in estimated Quantile too high")
}
}
if softErrors >= 3 {
t.Errorf("Too many soft errors")
}
}
func shouldPanic(f func(), t *testing.T, message string) {
defer func() {
tryRecover := recover()
if tryRecover == nil {
t.Errorf(message)
}
}()
f()
}
func TestPanic(t *testing.T) {
tdigest := uncheckedNew()
shouldPanic(func() {
tdigest.Quantile(-42)
}, t, "Quantile < 0 should panic!")
shouldPanic(func() {
tdigest.Quantile(42)
}, t, "Quantile > 1 should panic!")
}
func TestForEachCentroid(t *testing.T) {
tdigest := uncheckedNew(Compression(10))
for i := 0; i < 100; i++ {
_ = tdigest.Add(float64(i))
}
// Iterate limited number.
means := []float64{}
tdigest.ForEachCentroid(func(mean float64, count uint32) bool {
means = append(means, mean)
return len(means) != 3
})
if len(means) != 3 {
t.Errorf("ForEachCentroid handled incorrect number of data items")
}
// Iterate all datapoints.
means = []float64{}
tdigest.ForEachCentroid(func(mean float64, count uint32) bool {
means = append(means, mean)
return true
})
if len(means) != tdigest.summary.Len() {
t.Errorf("ForEachCentroid did not handle all data")
}
}
func benchmarkAdd(compression uint32, b *testing.B) {
t := uncheckedNew(Compression(compression))
data := make([]float64, b.N)
for n := 0; n < b.N; n++ {
data[n] = rand.Float64()
}
b.ReportAllocs()
b.ResetTimer()
for n := 0; n < b.N; n++ {
err := t.AddWeighted(data[n], 1)
if err != nil {
b.Error(err)
}
}
b.StopTimer()
}
func BenchmarkAdd1(b *testing.B) {
benchmarkAdd(1, b)
}
func BenchmarkAdd10(b *testing.B) {
benchmarkAdd(10, b)
}
func BenchmarkAdd100(b *testing.B) {
benchmarkAdd(100, b)
}
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