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fix!: statistical functions should return null when provided a vector of only null values #5606

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merged 19 commits into from
Jun 19, 2024
Merged

fix!: statistical functions should return null when provided a vector of only null values #5606

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076e286
Updated Numeric calculations and tests, corrected median and percenti…
lbooker42 Jun 11, 2024
dd9f507
Correct Numeric avg() function and tests.
lbooker42 Jun 12, 2024
5bf465e
UpdateBy corrections for all-NULL vectors
lbooker42 Jun 12, 2024
ad2675d
Agg corrections for avg,var,std
lbooker42 Jun 12, 2024
50667f2
Agg test changes to reflect new output.
lbooker42 Jun 13, 2024
ff6f010
Spotless
lbooker42 Jun 13, 2024
9ff3cf6
Tiny change for correctness.
lbooker42 Jun 13, 2024
8753267
Addressed PR comments.
lbooker42 Jun 17, 2024
4481f79
Addressed another round of PR comments.
lbooker42 Jun 17, 2024
9422488
More comments addressed.
lbooker42 Jun 17, 2024
5750546
Bug fix to pass OOB.
lbooker42 Jun 18, 2024
b06a063
Merge branch 'main' into lab-numeric-harmony
lbooker42 Jun 18, 2024
35c03d1
Spotless
lbooker42 Jun 18, 2024
0f150ac
Undo test commenting.
lbooker42 Jun 18, 2024
4e01d9d
Better testing and coverage, fix to wvar() and misc cleanup.
lbooker42 Jun 18, 2024
2ea6418
Test correction.
lbooker42 Jun 18, 2024
e00e49a
Removed dead code.
lbooker42 Jun 18, 2024
6bf8bb9
Update engine/function/src/templates/Numeric.ftl
lbooker42 Jun 18, 2024
cf1f22e
Update engine/function/src/templates/Numeric.ftl
lbooker42 Jun 18, 2024
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123 changes: 112 additions & 11 deletions engine/function/src/templates/Numeric.ftl
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Original file line number Diff line number Diff line change
Expand Up @@ -14,6 +14,7 @@ import java.util.Arrays;
import static io.deephaven.base.CompareUtils.compare;
import static io.deephaven.util.QueryConstants.*;
import static io.deephaven.function.Basic.*;
import static io.deephaven.function.Sort.*;
import static io.deephaven.function.Cast.castDouble;

/**
Expand Down Expand Up @@ -364,6 +365,7 @@ public class Numeric {

double sum = 0;
double count = 0;
long nullCount = 0;

try ( final ${pt.vectorIterator} vi = values.iterator() ) {
while ( vi.hasNext() ) {
Expand All @@ -374,10 +376,16 @@ public class Numeric {
if (!isNull(c)) {
sum += c;
count++;
} else {
nullCount++;
}
}
}

if (nullCount == values.size()) {
return NULL_DOUBLE;
}

return sum / count;
}

Expand Down Expand Up @@ -418,6 +426,7 @@ public class Numeric {

double sum = 0;
double count = 0;
long nullCount = 0;

try ( final ${pt.vectorIterator} vi = values.iterator() ) {
while ( vi.hasNext() ) {
Expand All @@ -431,10 +440,16 @@ public class Numeric {
if (!isNull(c)) {
sum += Math.abs(c);
count++;
} else {
nullCount++;
}
}
}

if (nullCount == values.size()) {
return NULL_DOUBLE;
}

return sum / count;
}

Expand Down Expand Up @@ -485,6 +500,7 @@ public class Numeric {
double sum = 0;
double sum2 = 0;
long count = 0;
long nullCount = 0;
try ( final ${pt.vectorIterator} vi = values.iterator() ) {
while ( vi.hasNext() ) {
final ${pt.primitive} c = vi.${pt.iteratorNext}();
Expand All @@ -495,10 +511,16 @@ public class Numeric {
sum += (double)c;
sum2 += (double)c * (double)c;
count++;
} else {
nullCount++;
}
}
}

if (nullCount == values.size()) {
return NULL_DOUBLE;
}

// Return NaN if overflow or too few values to compute variance.
if (count <= 1 || Double.isInfinite(sum) || Double.isInfinite(sum2)) {
return Double.NaN;
Expand Down Expand Up @@ -596,6 +618,7 @@ public class Numeric {
double sum2 = 0;
double count = 0;
double count2 = 0;
long nullCount = 0;

try (
final ${pt.vectorIterator} vi = values.iterator();
Expand All @@ -615,10 +638,16 @@ public class Numeric {
sum2 += w * c * c;
count += w;
count2 += w * w;
} else {
nullCount++;
}
}
}

if (nullCount == values.size()) {
return NULL_DOUBLE;
}

// Return NaN if overflow or too few values to compute variance.
if (count <= 1 || Double.isInfinite(sum) || Double.isInfinite(sum2)) {
return Double.NaN;
Expand Down Expand Up @@ -868,6 +897,11 @@ public class Numeric {
throw new IllegalArgumentException("Incompatible input sizes: " + values.size() + ", " + weights.size());
}

final double s = wstd(values, weights);
if (s == NULL_DOUBLE) {
return NULL_DOUBLE;
}

// see https://stats.stackexchange.com/questions/25895/computing-standard-error-in-weighted-mean-estimation
double sumw = 0;
double sumw2 = 0;
Expand All @@ -887,7 +921,6 @@ public class Numeric {
}
}

final double s = wstd(values, weights);
return s == NULL_DOUBLE ? NULL_DOUBLE : s * Math.sqrt(sumw2/sumw/sumw);
}

Expand Down Expand Up @@ -996,7 +1029,15 @@ public class Numeric {
}

final double a = wavg(values, weights);
if (a == NULL_DOUBLE) {
return NULL_DOUBLE;
}

final double s = wste(values, weights);
if (s == NULL_DOUBLE) {
return NULL_DOUBLE;
}

return a / s;
}

Expand Down Expand Up @@ -1226,13 +1267,38 @@ public class Numeric {
int n = values.intSize("median");

if (n == 0) {
return Double.NaN;
return NULL_DOUBLE;
} else {
${pt.primitive}[] copy = values.copyToArray();
Arrays.sort(copy);
if (n % 2 == 0)
return 0.5 * (copy[n / 2 - 1] + copy[n / 2]);
else return copy[n / 2];
// NULL values sorted to beginning of the array.
${pt.primitive}[] copy = sort(values.toArray());
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@rcaudy rcaudy Jun 14, 2024 •
edited
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This is not ideal. The implementation of sort is sub-optimal:

  1. We make one toArray() call internally.
  2. Then we make an array of boxed values.
  3. Then we sort using a comparator.
  4. Then we make a third copy wherein we unbox the values.

Sorting on the vector at least let's us skip one of the copies.

We should write a separate ticket for updating the sort kernels in io.deephaven.engine.table.impl.sort to have a version that does not bother with a valuesToPermute chunk, and use that version for the implementation of sort. This way we make exactly one copyToArray() and we're done. Note copyToArray(), not toArray(): we mustn't sort our backing array.


// Determine if there are any NULL in the array.
int nullCount = 0;
for (int i = 0; i < n; i++) {
if (isNull(copy[i])) {
nullCount++;
} else {
break;
}
}

if (nullCount == 0) {
// No NULL, so we can just compute the median and return.
if (n % 2 == 0)
return 0.5 * (copy[n / 2 - 1] + copy[n / 2]);
else return copy[n / 2];
} else if (nullCount < n) {
// Some NULL, reduce the count and compute the median of the non-null values.
n -= nullCount;
if (n % 2 == 0) {
int index = n / 2;
return 0.5 * (copy[n / 2 - 1 + nullCount] + copy[n / 2 + nullCount]);
}
else return copy[n / 2 + nullCount];
} else {
// All values are NULL.
return NULL_DOUBLE;
}
}
}

Expand Down Expand Up @@ -1268,11 +1334,32 @@ public class Numeric {
}

int n = values.intSize("percentile");
${pt.primitive}[] copy = values.copyToArray();
Arrays.sort(copy);
// NULL values sorted to beginning of the array.
${pt.primitive}[] copy = sort(values.toArray());

int idx = (int) Math.round(percentile * (n - 1));
return copy[idx];
// Determine if there are any NULL in the array.
int nullCount = 0;
for (int i = 0; i < n; i++) {
if (isNull(copy[i])) {
nullCount++;
} else {
break;
}
}

if (nullCount == 0) {
// No NULL, so we can just compute the index and return.
int idx = (int) Math.round(percentile * (n - 1));
return copy[idx];
} else if (nullCount < n) {
// Some NULL, reduce the count and compute the median of the non-null values.
n -= nullCount;
int idx = (int) Math.round(percentile * (n - 1));
return copy[idx + nullCount];
} else {
// All values are NULL.
return ${pt.null};
}
}


Expand Down Expand Up @@ -1344,6 +1431,7 @@ public class Numeric {
double sum1 = 0;
double sum01 = 0;
double count = 0;
long nullCount = 0;

try (
final ${pt.vectorIterator} v0i = values0.iterator();
Expand All @@ -1364,10 +1452,16 @@ public class Numeric {
sum1 += v1;
sum01 += v0 * v1;
count++;
} else {
nullCount++;
}
}
}

if (nullCount == values0.size()) {
return NULL_DOUBLE;
}

return sum01 / count - sum0 * sum1 / count / count;
}

Expand Down Expand Up @@ -1438,6 +1532,7 @@ public class Numeric {
double sum1Sq = 0;
double sum01 = 0;
double count = 0;
long nullCount = 0;

try (
final ${pt.vectorIterator} v0i = values0.iterator();
Expand All @@ -1460,10 +1555,16 @@ public class Numeric {
sum1Sq += v1 * v1;
sum01 += v0 * v1;
count++;
} else {
nullCount++;
}
}
}

if (nullCount == values0.size()) {
return NULL_DOUBLE;
}

double cov = sum01 / count - sum0 * sum1 / count / count;
double var0 = sum0Sq / count - sum0 * sum0 / count / count;
double var1 = sum1Sq / count - sum1 * sum1 / count / count;
Expand Down
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