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From "Phil Steitz (JIRA)" <j...@apache.org>
Subject [jira] [Commented] (MATH-418) add a storeless version of Percentile
Date Mon, 02 Jun 2014 03:13:02 GMT

    [ https://issues.apache.org/jira/browse/MATH-418?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=14015162#comment-14015162
] 

Phil Steitz commented on MATH-418:
----------------------------------

The last patch looks good to me, modulo a few typos in the javadoc that I can fix in the commit
and converting the random data generation to use a fixed seed (we like to do that to avoid
random test failures).

I will wait a day or two to see if there is other feedback; otherwise will commit.  Thanks
for the patch!

> add a storeless version of Percentile
> -------------------------------------
>
>                 Key: MATH-418
>                 URL: https://issues.apache.org/jira/browse/MATH-418
>             Project: Commons Math
>          Issue Type: New Feature
>    Affects Versions: 2.1
>            Reporter: Luc Maisonobe
>             Fix For: 4.0
>
>         Attachments: 30-may-2014-418-psquare-patch, 418-psquare-patch, psquare-patch
>
>
> The Percentile class can handle only in-memory data.
> It would be interesting to use an on-line algorithm to estimate quantiles as a storeless
statistic.
> An example of such an algorithm is the exponentially weighted stochastic approximation
 described in a 2000 paper by Fei Chen ,  Diane Lambert  and José C. Pinheiro "Incremental
Quantile Estimation for Massive Tracking" which can be retrieved from CiteSeerX at [http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.105.1580].



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