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@ -4,6 +4,10 @@ documented here.
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This project adheres to [Semantic Versioning](https://semver.org/).
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## Unreleased
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### Fixed
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- Fixed severe catastrophic cancellation issue in variance calculation.
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## [0.32.2] (07 March 2023)
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@ -111,6 +111,7 @@ serde_json = "1.0"
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rand_xorshift = "0.3"
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rand_isaac = "0.3"
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criterion = { version = "0.4", features = ["html_reports"] }
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nalgebra = { path = ".", features = ["debug", "compare", "rand", "macros"]}
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# For matrix comparison macro
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matrixcompare = "0.3.0"
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@ -335,12 +335,12 @@ impl<T: Scalar, R: Dim, C: Dim, S: RawStorage<T, R, C>> Matrix<T, R, C, S> {
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if self.is_empty() {
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T::zero()
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} else {
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let val = self.iter().cloned().fold((T::zero(), T::zero()), |a, b| {
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(a.0 + b.clone() * b.clone(), a.1 + b)
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});
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let denom = T::one() / crate::convert::<_, T>(self.len() as f64);
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let vd = val.1 * denom.clone();
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val.0 * denom - vd.clone() * vd
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let n_elements: T = crate::convert(self.len() as f64);
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let mean = self.mean();
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self.iter().cloned().fold(T::zero(), |acc, x| {
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acc + (x.clone() - mean.clone()) * (x.clone() - mean.clone())
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}) / n_elements
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}
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}
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@ -11,6 +11,7 @@ mod reshape;
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#[cfg(feature = "rkyv-serialize-no-std")]
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mod rkyv;
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mod serde;
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mod variance;
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#[cfg(feature = "compare")]
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mod matrixcompare;
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@ -0,0 +1,18 @@
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use nalgebra::DVector;
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#[test]
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fn test_variance_catastrophic_cancellation() {
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let long_repeating_vector = DVector::repeat(10_000, 100000000.0);
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assert_eq!(long_repeating_vector.variance(), 0.0);
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let short_vec = DVector::from_vec(vec![1., 2., 3.]);
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assert_eq!(short_vec.variance(), 2.0 / 3.0);
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let short_vec =
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DVector::<f64>::from_vec(vec![1.0e8 + 4.0, 1.0e8 + 7.0, 1.0e8 + 13.0, 1.0e8 + 16.0]);
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assert_eq!(short_vec.variance(), 22.5);
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let short_vec =
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DVector::<f64>::from_vec(vec![1.0e9 + 4.0, 1.0e9 + 7.0, 1.0e9 + 13.0, 1.0e9 + 16.0]);
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assert_eq!(short_vec.variance(), 22.5);
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}
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