sorted rolling window

Author: qchateau

include/boost/accumulators/statistics/sorted_rolling_window.hpp

@@ -0,0 +1,99 @@
+///////////////////////////////////////////////////////////////////////////////
+// sorted_rolling_window.hpp
+//
+// Copyright 2018 Quentin Chateau. Distributed under the Boost
+// Software License, Version 1.0. (See accompanying file
+// LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt)
+
+#ifndef BOOST_ACCUMULATORS_STATISTICS_SORTED_ROLLING_WINDOW_HPP_QC_20_12_2018
+#define BOOST_ACCUMULATORS_STATISTICS_SORTED_ROLLING_WINDOW_HPP_QC_20_12_2018
+
+#include <boost/container/set.hpp>
+#include <boost/range/iterator_range.hpp>
+#include <boost/accumulators/accumulators_fwd.hpp>
+#include <boost/accumulators/framework/extractor.hpp>
+#include <boost/accumulators/framework/depends_on.hpp>
+#include <boost/accumulators/framework/accumulator_base.hpp>
+#include <boost/accumulators/framework/parameters/sample.hpp>
+#include <boost/accumulators/framework/parameters/accumulator.hpp>
+#include <boost/accumulators/statistics_fwd.hpp>
+#include <boost/accumulators/statistics/rolling_window.hpp>
+
+namespace boost { namespace accumulators
+{
+
+namespace impl
+{
+    ///////////////////////////////////////////////////////////////////////////////
+    // sorted_rolling_window
+    //    stores the latest N samples, where N is specified at construction time
+    //    with the rolling_window_size named parameter. samples are sorted
+    //    on insersion
+    template<typename Sample>
+    struct sorted_rolling_window_impl
+      : accumulator_base
+    {
+        typedef typename container::multiset<Sample>::const_iterator const_iterator;
+        typedef iterator_range<const_iterator> result_type;
+
+        template<typename Args>
+        sorted_rolling_window_impl(Args const &)
+        {}
+
+        template<typename Args>
+        void operator ()(Args const &args)
+        {
+            if(is_rolling_window_plus1_full(args))
+            {
+                const_iterator it = this->sorted_buffer_.find(rolling_window_plus1(args).front());
+                this->sorted_buffer_.erase(it);
+            }
+            this->sorted_buffer_.insert(args[sample]);
+        }
+
+        result_type result(dont_care) const
+        {
+            return result_type(this->sorted_buffer_.begin(), this->sorted_buffer_.end());
+        }
+
+    private:
+        container::multiset<Sample> sorted_buffer_;
+    };
+
+} // namespace impl
+
+///////////////////////////////////////////////////////////////////////////////
+// tag::sorted_rolling_window
+//
+namespace tag
+{
+    struct sorted_rolling_window
+      : depends_on< rolling_window_plus1 >
+    {
+        /// INTERNAL ONLY
+        ///
+        typedef accumulators::impl::sorted_rolling_window_impl< mpl::_1 > impl;
+
+        #ifdef BOOST_ACCUMULATORS_DOXYGEN_INVOKED
+        /// tag::sorted_rolling_window::size named parameter
+        static boost::parameter::keyword<tag::rolling_window_size> const window_size;
+        #endif
+    };
+
+} // namespace tag
+
+///////////////////////////////////////////////////////////////////////////////
+// extract::sorted_rolling_window
+//
+namespace extract
+{
+    extractor<tag::sorted_rolling_window> const sorted_rolling_window = {};
+
+    BOOST_ACCUMULATORS_IGNORE_GLOBAL(sorted_rolling_window)
+}
+
+using extract::sorted_rolling_window;
+
+}} // namespace boost::accumulators
+
+#endif

test/Jamfile.v2

@@ -49,6 +49,7 @@ test-suite "accumulators"
       [ run rolling_sum.cpp ]
       [ run rolling_mean.cpp ]
       [ run skewness.cpp ]
+      [ run sorted_rolling_window.cpp ]
       [ run sum.cpp ]
       [ run sum_kahan.cpp ]
       [ run tail.cpp ]

test/sorted_rolling_window.cpp

@@ -0,0 +1,68 @@
+//  (C) Copyright Quentin Chateau 2018.
+//  Use, modification and distribution are subject to the
+//  Boost Software License, Version 1.0. (See accompanying file
+//  LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt)
+
+#include <boost/test/unit_test.hpp>
+#include <boost/container/set.hpp>
+#include <boost/accumulators/accumulators.hpp>
+#include <boost/accumulators/statistics/stats.hpp>
+#include <boost/accumulators/statistics/sorted_rolling_window.hpp>
+
+using namespace boost;
+using namespace unit_test;
+using namespace accumulators;
+using namespace container;
+
+typedef accumulator_set<int, stats<tag::sorted_rolling_window> > SortedAccumulator;
+
+///////////////////////////////////////////////////////////////////////////////
+// check_equal
+//
+void check_equal(const multiset<int>& expected, const SortedAccumulator& acc)
+{
+    BOOST_CHECK_EQUAL_COLLECTIONS(expected.begin(), expected.end(), sorted_rolling_window(acc).begin(), sorted_rolling_window(acc).end());
+}
+
+///////////////////////////////////////////////////////////////////////////////
+// test_stat
+//
+void test_stat()
+{
+    SortedAccumulator acc(tag::rolling_window::window_size = 3);
+
+    check_equal({}, acc);
+
+    acc(1);
+    check_equal({1}, acc);
+
+    acc(3);
+    check_equal({1, 3}, acc);
+
+    acc(5);
+    check_equal({1, 3, 5}, acc);
+
+    acc(7);
+    check_equal({3, 5, 7}, acc);
+
+    acc(6);
+    check_equal({5, 6, 7}, acc);
+
+    acc(7);
+    check_equal({6, 7, 7}, acc);
+
+    acc(1);
+    check_equal({1, 6, 7}, acc);
+}
+
+///////////////////////////////////////////////////////////////////////////////
+// init_unit_test_suite
+//
+test_suite* init_unit_test_suite( int argc, char* argv[] )
+{
+    test_suite *test = BOOST_TEST_SUITE("sorted rolling window test");
+
+    test->add(BOOST_TEST_CASE(&test_stat));
+
+    return test;
+}