| /* |
| * Copyright (C) 2018 Apple Inc. All rights reserved. |
| * |
| * Redistribution and use in source and binary forms, with or without |
| * modification, are permitted provided that the following conditions |
| * are met: |
| * 1. Redistributions of source code must retain the above copyright |
| * notice, this list of conditions and the following disclaimer. |
| * 2. Redistributions in binary form must reproduce the above copyright |
| * notice, this list of conditions and the following disclaimer in the |
| * documentation and/or other materials provided with the distribution. |
| * |
| * THIS SOFTWARE IS PROVIDED BY APPLE INC. ``AS IS'' AND ANY |
| * EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE |
| * IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR |
| * PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL APPLE INC. OR |
| * CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, |
| * EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO, |
| * PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR |
| * PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY |
| * OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT |
| * (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE |
| * OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE. |
| */ |
| |
| var Statistics = new (function () { |
| |
| this.min = function (values) { |
| return Math.min.apply(Math, values); |
| } |
| |
| this.max = function (values) { |
| return Math.max.apply(Math, values); |
| } |
| |
| this.sum = function (values) { |
| return values.length ? values.reduce(function (a, b) { return a + b; }) : 0; |
| } |
| |
| this.mean = function (values) { |
| return this.sum(values) / values.length; |
| } |
| |
| this.median = function (values) { |
| return values.sort(function (a, b) { return a - b; })[Math.floor(values.length / 2)]; |
| } |
| |
| this.squareSum = function (values) { |
| return values.length ? values.reduce(function (sum, value) { return sum + value * value;}, 0) : 0; |
| } |
| |
| // With sum and sum of squares, we can compute the sample standard deviation in O(1). |
| // See https://rniwa.com/2012-11-10/sample-standard-deviation-in-terms-of-sum-and-square-sum-of-samples/ |
| this.sampleStandardDeviation = function (numberOfSamples, sum, squareSum) { |
| if (numberOfSamples < 2) |
| return 0; |
| return Math.sqrt(squareSum / (numberOfSamples - 1) - sum * sum / (numberOfSamples - 1) / numberOfSamples); |
| } |
| |
| this.supportedConfidenceIntervalProbabilities = function () { |
| var supportedProbabilities = []; |
| for (var probability in tDistributionByOneSidedProbability) |
| supportedProbabilities.push(oneSidedToTwoSidedProbability(probability).toFixed(2)); |
| return supportedProbabilities |
| } |
| |
| this.supportedOneSideTTestProbabilities = function () { |
| return Object.keys(tDistributionByOneSidedProbability); |
| } |
| |
| // Computes the delta d s.t. (mean - d, mean + d) is the confidence interval with the specified probability in O(1). |
| this.confidenceIntervalDelta = function (probability, numberOfSamples, sum, squareSum) { |
| var oneSidedProbability = twoSidedToOneSidedProbability(probability); |
| if (!(oneSidedProbability in tDistributionByOneSidedProbability)) { |
| throw 'We only support ' + this.supportedConfidenceIntervalProbabilities().map(function (probability) |
| { return probability * 100 + '%'; } ).join(', ') + ' confidence intervals.'; |
| } |
| if (numberOfSamples - 2 < 0) |
| return NaN; |
| var deltas = tDistributionByOneSidedProbability[oneSidedProbability]; |
| var degreesOfFreedom = numberOfSamples - 1; |
| if (degreesOfFreedom > deltas.length) |
| throw 'We only support up to ' + deltas.length + ' degrees of freedom'; |
| |
| // d = c * S/sqrt(numberOfSamples) where c ~ t-distribution(degreesOfFreedom) and S is the sample standard deviation. |
| return deltas[degreesOfFreedom - 1] * this.sampleStandardDeviation(numberOfSamples, sum, squareSum) / Math.sqrt(numberOfSamples); |
| } |
| |
| this.confidenceInterval = function (values, probability) { |
| var sum = this.sum(values); |
| var mean = sum / values.length; |
| var delta = this.confidenceIntervalDelta(probability || 0.95, values.length, sum, this.squareSum(values)); |
| return [mean - delta, mean + delta]; |
| } |
| |
| // Welch's t-test (http://en.wikipedia.org/wiki/Welch%27s_t_test) |
| this.testWelchsT = function (values1, values2, probability) { |
| return this.computeWelchsT(values1, 0, values1.length, values2, 0, values2.length, probability).significantlyDifferent; |
| } |
| |
| this.probabilityRangeForWelchsT = function (values1, values2) { |
| var result = this.computeWelchsT(values1, 0, values1.length, values2, 0, values2.length); |
| if (isNaN(result.t) || isNaN(result.degreesOfFreedom)) |
| return {t: NaN, degreesOfFreedom:NaN, range: [null, null]}; |
| |
| var lowerBound = null; |
| var upperBound = null; |
| for (var probability in tDistributionByOneSidedProbability) { |
| var twoSidedProbability = oneSidedToTwoSidedProbability(probability); |
| if (result.t > tDistributionByOneSidedProbability[probability][Math.round(result.degreesOfFreedom - 1)]) |
| lowerBound = twoSidedProbability; |
| else if (lowerBound) { |
| upperBound = twoSidedProbability; |
| break; |
| } |
| } |
| return {t: result.t, degreesOfFreedom: result.degreesOfFreedom, range: [lowerBound, upperBound]}; |
| } |
| |
| this.computeWelchsT = function (values1, startIndex1, length1, values2, startIndex2, length2, probability) { |
| var stat1 = sampleMeanAndVarianceForValues(values1, startIndex1, length1); |
| var stat2 = sampleMeanAndVarianceForValues(values2, startIndex2, length2); |
| var sumOfSampleVarianceOverSampleSize = stat1.variance / stat1.size + stat2.variance / stat2.size; |
| var t = Math.abs((stat1.mean - stat2.mean) / Math.sqrt(sumOfSampleVarianceOverSampleSize)); |
| |
| // http://en.wikipedia.org/wiki/Welch–Satterthwaite_equation |
| var degreesOfFreedom = sumOfSampleVarianceOverSampleSize * sumOfSampleVarianceOverSampleSize |
| / (stat1.variance * stat1.variance / stat1.size / stat1.size / stat1.degreesOfFreedom |
| + stat2.variance * stat2.variance / stat2.size / stat2.size / stat2.degreesOfFreedom); |
| var minT = tDistributionByOneSidedProbability[twoSidedToOneSidedProbability(probability || 0.8)][Math.round(degreesOfFreedom - 1)]; |
| return { |
| t: t, |
| degreesOfFreedom: degreesOfFreedom, |
| significantlyDifferent: t > minT, |
| }; |
| } |
| |
| this.findRangesForChangeDetectionsWithWelchsTTest = function (values, segmentations, oneSidedPossibility=0.99) { |
| if (!values.length) |
| return []; |
| |
| const selectedRanges = []; |
| const twoSidedFromOneSidedPossibility = 2 * oneSidedPossibility - 1; |
| |
| for (let i = 1; i + 2 < segmentations.length; i += 2) { |
| let found = false; |
| const previousMean = segmentations[i].value; |
| const currentMean = segmentations[i + 1].value; |
| console.assert(currentMean != previousMean); |
| const currentChangePoint = segmentations[i].seriesIndex; |
| const start = segmentations[i - 1].seriesIndex; |
| const end = segmentations[i + 2].seriesIndex; |
| |
| for (let leftEdge = currentChangePoint - 2, rightEdge = currentChangePoint + 2; leftEdge >= start && rightEdge <= end; leftEdge--, rightEdge++) { |
| const result = this.computeWelchsT(values, leftEdge, currentChangePoint - leftEdge, values, currentChangePoint, rightEdge - currentChangePoint, twoSidedFromOneSidedPossibility); |
| if (result.significantlyDifferent) { |
| selectedRanges.push({ |
| startIndex: leftEdge, |
| endIndex: rightEdge - 1, |
| segmentationStartValue: previousMean, |
| segmentationEndValue: currentMean |
| }); |
| found = true; |
| break; |
| } |
| } |
| if (!found && Statistics.debuggingTestingRangeNomination) |
| console.log('Failed to find a testing range at', currentChangePoint, 'changing from', previousMean, 'to', currentMean); |
| } |
| |
| return selectedRanges; |
| }; |
| |
| function sampleMeanAndVarianceForValues(values, startIndex, length) { |
| var sum = 0; |
| for (var i = 0; i < length; i++) |
| sum += values[startIndex + i]; |
| var squareSum = 0; |
| for (var i = 0; i < length; i++) |
| squareSum += values[startIndex + i] * values[startIndex + i]; |
| var sampleMean = sum / length; |
| // FIXME: Maybe we should be using the biased sample variance. |
| var unbiasedSampleVariance = (squareSum - sum * sum / length) / (length - 1); |
| return { |
| mean: sampleMean, |
| variance: unbiasedSampleVariance, |
| size: length, |
| degreesOfFreedom: length - 1, |
| } |
| } |
| |
| this.movingAverage = function (values, backwardWindowSize, forwardWindowSize) { |
| var averages = new Array(values.length); |
| // We use naive O(n^2) algorithm for simplicy as well as to avoid accumulating round-off errors. |
| for (var i = 0; i < values.length; i++) { |
| var sum = 0; |
| var count = 0; |
| for (var j = i - backwardWindowSize; j <= i + forwardWindowSize; j++) { |
| if (j >= 0 && j < values.length) { |
| sum += values[j]; |
| count++; |
| } |
| } |
| averages[i] = sum / count; |
| } |
| return averages; |
| } |
| |
| this.cumulativeMovingAverage = function (values) { |
| var averages = new Array(values.length); |
| var sum = 0; |
| for (var i = 0; i < values.length; i++) { |
| sum += values[i]; |
| averages[i] = sum / (i + 1); |
| } |
| return averages; |
| } |
| |
| this.exponentialMovingAverage = function (values, smoothingFactor) { |
| var averages = new Array(values.length); |
| var movingAverage = values[0]; |
| averages[0] = movingAverage; |
| for (var i = 1; i < values.length; i++) { |
| movingAverage = smoothingFactor * values[i] + (1 - smoothingFactor) * movingAverage; |
| averages[i] = movingAverage; |
| } |
| return averages; |
| } |
| |
| // The return value is the starting indices of each segment. |
| this.segmentTimeSeriesGreedyWithStudentsTTest = function (values, minLength) { |
| if (values.length < 2) |
| return [0]; |
| var segments = new Array; |
| recursivelySplitIntoTwoSegmentsAtMaxTIfSignificantlyDifferent(values, 0, values.length, minLength, segments); |
| segments.push(values.length); |
| return segments; |
| } |
| |
| this.debuggingSegmentation = false; |
| this.segmentTimeSeriesByMaximizingSchwarzCriterion = function (values, segmentCountWeight, gridSize) { |
| // Split the time series into grids since splitIntoSegmentsUntilGoodEnough is O(n^2). |
| var gridLength = gridSize || 500; |
| var totalSegmentation = [0]; |
| for (var gridCount = 0; gridCount < Math.ceil(values.length / gridLength); gridCount++) { |
| var gridValues = values.slice(gridCount * gridLength, (gridCount + 1) * gridLength); |
| var segmentation = splitIntoSegmentsUntilGoodEnough(gridValues, segmentCountWeight); |
| |
| if (Statistics.debuggingSegmentation) |
| console.log('grid=' + gridCount, segmentation); |
| |
| for (var i = 1; i < segmentation.length - 1; i++) |
| totalSegmentation.push(gridCount * gridLength + segmentation[i]); |
| } |
| |
| if (Statistics.debuggingSegmentation) |
| console.log('Final Segmentation', totalSegmentation); |
| |
| totalSegmentation.push(values.length); |
| |
| return totalSegmentation; |
| } |
| |
| function recursivelySplitIntoTwoSegmentsAtMaxTIfSignificantlyDifferent(values, startIndex, length, minLength, segments) { |
| var tMax = 0; |
| var argTMax = null; |
| for (var i = 1; i < length - 1; i++) { |
| var firstLength = i; |
| var secondLength = length - i; |
| if (firstLength < minLength || secondLength < minLength) |
| continue; |
| var result = Statistics.computeWelchsT(values, startIndex, firstLength, values, startIndex + i, secondLength, 0.9); |
| if (result.significantlyDifferent && result.t > tMax) { |
| tMax = result.t; |
| argTMax = i; |
| } |
| } |
| if (!tMax) { |
| segments.push(startIndex); |
| return; |
| } |
| recursivelySplitIntoTwoSegmentsAtMaxTIfSignificantlyDifferent(values, startIndex, argTMax, minLength, segments); |
| recursivelySplitIntoTwoSegmentsAtMaxTIfSignificantlyDifferent(values, startIndex + argTMax, length - argTMax, minLength, segments); |
| } |
| |
| var tDistributionByOneSidedProbability = { |
| 0.9: [ |
| 3.077684, 1.885618, 1.637744, 1.533206, 1.475884, 1.439756, 1.414924, 1.396815, 1.383029, 1.372184, |
| 1.363430, 1.356217, 1.350171, 1.345030, 1.340606, 1.336757, 1.333379, 1.330391, 1.327728, 1.325341, |
| 1.323188, 1.321237, 1.319460, 1.317836, 1.316345, 1.314972, 1.313703, 1.312527, 1.311434, 1.310415, |
| 1.309464, 1.308573, 1.307737, 1.306952, 1.306212, 1.305514, 1.304854, 1.304230, 1.303639, 1.303077, |
| 1.302543, 1.302035, 1.301552, 1.301090, 1.300649, 1.300228, 1.299825, 1.299439, 1.299069, 1.298714, |
| |
| 1.298373, 1.298045, 1.297730, 1.297426, 1.297134, 1.296853, 1.296581, 1.296319, 1.296066, 1.295821, |
| 1.295585, 1.295356, 1.295134, 1.294920, 1.294712, 1.294511, 1.294315, 1.294126, 1.293942, 1.293763, |
| 1.293589, 1.293421, 1.293256, 1.293097, 1.292941, 1.292790, 1.292643, 1.292500, 1.292360, 1.292224, |
| 1.292091, 1.291961, 1.291835, 1.291711, 1.291591, 1.291473, 1.291358, 1.291246, 1.291136, 1.291029, |
| 1.290924, 1.290821, 1.290721, 1.290623, 1.290527, 1.290432, 1.290340, 1.290250, 1.290161, 1.290075], |
| 0.95: [ |
| 6.313752, 2.919986, 2.353363, 2.131847, 2.015048, 1.943180, 1.894579, 1.859548, 1.833113, 1.812461, |
| 1.795885, 1.782288, 1.770933, 1.761310, 1.753050, 1.745884, 1.739607, 1.734064, 1.729133, 1.724718, |
| 1.720743, 1.717144, 1.713872, 1.710882, 1.708141, 1.705618, 1.703288, 1.701131, 1.699127, 1.697261, |
| 1.695519, 1.693889, 1.692360, 1.690924, 1.689572, 1.688298, 1.687094, 1.685954, 1.684875, 1.683851, |
| 1.682878, 1.681952, 1.681071, 1.680230, 1.679427, 1.678660, 1.677927, 1.677224, 1.676551, 1.675905, |
| |
| 1.675285, 1.674689, 1.674116, 1.673565, 1.673034, 1.672522, 1.672029, 1.671553, 1.671093, 1.670649, |
| 1.670219, 1.669804, 1.669402, 1.669013, 1.668636, 1.668271, 1.667916, 1.667572, 1.667239, 1.666914, |
| 1.666600, 1.666294, 1.665996, 1.665707, 1.665425, 1.665151, 1.664885, 1.664625, 1.664371, 1.664125, |
| 1.663884, 1.663649, 1.663420, 1.663197, 1.662978, 1.662765, 1.662557, 1.662354, 1.662155, 1.661961, |
| 1.661771, 1.661585, 1.661404, 1.661226, 1.661052, 1.660881, 1.660715, 1.660551, 1.660391, 1.660234], |
| 0.975: [ |
| 12.706205, 4.302653, 3.182446, 2.776445, 2.570582, 2.446912, 2.364624, 2.306004, 2.262157, 2.228139, |
| 2.200985, 2.178813, 2.160369, 2.144787, 2.131450, 2.119905, 2.109816, 2.100922, 2.093024, 2.085963, |
| 2.079614, 2.073873, 2.068658, 2.063899, 2.059539, 2.055529, 2.051831, 2.048407, 2.045230, 2.042272, |
| 2.039513, 2.036933, 2.034515, 2.032245, 2.030108, 2.028094, 2.026192, 2.024394, 2.022691, 2.021075, |
| 2.019541, 2.018082, 2.016692, 2.015368, 2.014103, 2.012896, 2.011741, 2.010635, 2.009575, 2.008559, |
| |
| 2.007584, 2.006647, 2.005746, 2.004879, 2.004045, 2.003241, 2.002465, 2.001717, 2.000995, 2.000298, |
| 1.999624, 1.998972, 1.998341, 1.997730, 1.997138, 1.996564, 1.996008, 1.995469, 1.994945, 1.994437, |
| 1.993943, 1.993464, 1.992997, 1.992543, 1.992102, 1.991673, 1.991254, 1.990847, 1.990450, 1.990063, |
| 1.989686, 1.989319, 1.988960, 1.988610, 1.988268, 1.987934, 1.987608, 1.987290, 1.986979, 1.986675, |
| 1.986377, 1.986086, 1.985802, 1.985523, 1.985251, 1.984984, 1.984723, 1.984467, 1.984217, 1.983972], |
| 0.99: [ |
| 31.820516, 6.964557, 4.540703, 3.746947, 3.364930, 3.142668, 2.997952, 2.896459, 2.821438, 2.763769, |
| 2.718079, 2.680998, 2.650309, 2.624494, 2.602480, 2.583487, 2.566934, 2.552380, 2.539483, 2.527977, |
| 2.517648, 2.508325, 2.499867, 2.492159, 2.485107, 2.478630, 2.472660, 2.467140, 2.462021, 2.457262, |
| 2.452824, 2.448678, 2.444794, 2.441150, 2.437723, 2.434494, 2.431447, 2.428568, 2.425841, 2.423257, |
| 2.420803, 2.418470, 2.416250, 2.414134, 2.412116, 2.410188, 2.408345, 2.406581, 2.404892, 2.403272, |
| |
| 2.401718, 2.400225, 2.398790, 2.397410, 2.396081, 2.394801, 2.393568, 2.392377, 2.391229, 2.390119, |
| 2.389047, 2.388011, 2.387008, 2.386037, 2.385097, 2.384186, 2.383302, 2.382446, 2.381615, 2.380807, |
| 2.380024, 2.379262, 2.378522, 2.377802, 2.377102, 2.376420, 2.375757, 2.375111, 2.374482, 2.373868, |
| 2.373270, 2.372687, 2.372119, 2.371564, 2.371022, 2.370493, 2.369977, 2.369472, 2.368979, 2.368497, |
| 2.368026, 2.367566, 2.367115, 2.366674, 2.366243, 2.365821, 2.365407, 2.365002, 2.364606, 2.364217] |
| }; |
| function oneSidedToTwoSidedProbability(probability) { return 2 * probability - 1; } |
| function twoSidedToOneSidedProbability(probability) { return (1 - (1 - probability) / 2); } |
| |
| function splitIntoSegmentsUntilGoodEnough(values, BirgeAndMassartC) { |
| if (values.length < 2) |
| return [0, values.length]; |
| |
| var matrix = new SampleVarianceUpperTriangularMatrix(values); |
| |
| var SchwarzCriterionBeta = Math.log1p(values.length - 1) / values.length; |
| |
| BirgeAndMassartC = BirgeAndMassartC || 2.5; // Suggested by the authors. |
| var BirgeAndMassartPenalization = function (segmentCount) { |
| return segmentCount * (1 + BirgeAndMassartC * Math.log1p(values.length / segmentCount - 1)); |
| } |
| |
| var segmentation; |
| var minTotalCost = Infinity; |
| var maxK = Math.min(50, values.length); |
| |
| for (var k = 1; k < maxK; k++) { |
| var start = Date.now(); |
| var result = findOptimalSegmentation(values, matrix, k); |
| var cost = result.cost / values.length; |
| var penalty = SchwarzCriterionBeta * BirgeAndMassartPenalization(k); |
| if (cost + penalty < minTotalCost) { |
| minTotalCost = cost + penalty; |
| segmentation = result.segmentation; |
| } else |
| maxK = Math.min(maxK, k + 3); |
| if (Statistics.debuggingSegmentation) |
| console.log('splitIntoSegmentsUntilGoodEnough', k, Date.now() - start, cost + penalty); |
| } |
| |
| return segmentation; |
| } |
| |
| function allocateCostUpperTriangularForSegmentation(values, segmentCount) |
| { |
| // Dynamic programming. cost[i][k] = The cost to segmenting values up to i into k segments. |
| var cost = new Array(values.length); |
| for (var segmentEnd = 0; segmentEnd < values.length; segmentEnd++) |
| cost[segmentEnd] = new Float32Array(segmentCount + 1); |
| return cost; |
| } |
| |
| function allocatePreviousNodeForSegmentation(values, segmentCount) |
| { |
| // previousNode[i][k] = The start of the last segment in an optimal segmentation that ends at i with k segments. |
| var previousNode = new Array(values.length); |
| for (var i = 0; i < values.length; i++) |
| previousNode[i] = new Array(segmentCount + 1); |
| return previousNode; |
| } |
| |
| function findOptimalSegmentationInternal(cost, previousNode, values, costMatrix, segmentCount) |
| { |
| cost[0] = [0]; // The cost of segmenting single value is always 0. |
| previousNode[0] = [-1]; |
| for (var segmentStart = 0; segmentStart < values.length; segmentStart++) { |
| var costOfOptimalSegmentationThatEndAtCurrentStart = cost[segmentStart]; |
| for (var k = 0; k < segmentCount; k++) { |
| var noSegmentationOfLenghtKEndsAtCurrentStart = previousNode[segmentStart][k] === undefined; |
| if (noSegmentationOfLenghtKEndsAtCurrentStart) |
| continue; |
| for (var segmentEnd = segmentStart + 1; segmentEnd < values.length; segmentEnd++) { |
| var costOfOptimalSegmentationOfLengthK = costOfOptimalSegmentationThatEndAtCurrentStart[k]; |
| var costOfCurrentSegment = costMatrix.costBetween(segmentStart, segmentEnd); |
| var totalCost = costOfOptimalSegmentationOfLengthK + costOfCurrentSegment; |
| if (previousNode[segmentEnd][k + 1] === undefined || totalCost < cost[segmentEnd][k + 1]) { |
| cost[segmentEnd][k + 1] = totalCost; |
| previousNode[segmentEnd][k + 1] = segmentStart; |
| } |
| } |
| } |
| } |
| } |
| |
| function findOptimalSegmentation(values, costMatrix, segmentCount) { |
| var cost = allocateCostUpperTriangularForSegmentation(values, segmentCount); |
| var previousNode = allocatePreviousNodeForSegmentation(values, segmentCount); |
| |
| findOptimalSegmentationInternal(cost, previousNode, values, costMatrix, segmentCount); |
| |
| if (Statistics.debuggingSegmentation) { |
| console.log('findOptimalSegmentation with', segmentCount, 'segments'); |
| for (var end = 0; end < values.length; end++) { |
| for (var k = 0; k <= segmentCount; k++) { |
| var start = previousNode[end][k]; |
| if (start === undefined) |
| continue; |
| console.log(`C(segment=[${start}, ${end + 1}], segmentCount=${k})=${cost[end][k]}`); |
| } |
| } |
| } |
| |
| var segmentEnd = values.length - 1; |
| var segmentation = new Array(segmentCount + 1); |
| segmentation[segmentCount] = values.length; |
| for (var k = segmentCount; k > 0; k--) { |
| segmentEnd = previousNode[segmentEnd][k]; |
| segmentation[k - 1] = segmentEnd; |
| } |
| var costOfOptimalSegmentation = cost[values.length - 1][segmentCount]; |
| |
| if (Statistics.debuggingSegmentation) |
| console.log('Optimal segmentation:', segmentation, 'with cost =', costOfOptimalSegmentation); |
| |
| return {segmentation: segmentation, cost: costOfOptimalSegmentation}; |
| } |
| |
| function SampleVarianceUpperTriangularMatrix(values) { |
| // The cost of segment (i, j]. |
| var costMatrix = new Array(values.length - 1); |
| for (var i = 0; i < values.length - 1; i++) { |
| var remainingValueCount = values.length - i - 1; |
| costMatrix[i] = new Float32Array(remainingValueCount); |
| var sum = values[i]; |
| var squareSum = sum * sum; |
| costMatrix[i][0] = 0; |
| for (var j = i + 1; j < values.length; j++) { |
| var currentValue = values[j]; |
| sum += currentValue; |
| squareSum += currentValue * currentValue; |
| var sampleSize = j - i + 1; |
| var stdev = Statistics.sampleStandardDeviation(sampleSize, sum, squareSum); |
| costMatrix[i][j - i - 1] = stdev > 0 ? sampleSize * Math.log(stdev * stdev) : 0; |
| } |
| } |
| this.costMatrix = costMatrix; |
| } |
| |
| SampleVarianceUpperTriangularMatrix.prototype.costBetween = function(from, to) { |
| if (from >= this.costMatrix.length || from == to) |
| return 0; // The cost of the segment that starts at the last data point is 0. |
| return this.costMatrix[from][to - from - 1]; |
| } |
| |
| })(); |
| |
| if (typeof module != 'undefined') |
| module.exports = Statistics; |
| |
| class AsyncTask { |
| |
| constructor(method, args) |
| { |
| this._method = method; |
| this._args = args; |
| } |
| |
| execute() |
| { |
| if (!(this._method in Statistics)) |
| throw `${this._method} is not a valid method of Statistics`; |
| |
| AsyncTask._asyncMessageId++; |
| |
| var startTime = Date.now(); |
| var method = this._method; |
| var args = this._args; |
| return new Promise(function (resolve, reject) { |
| AsyncTaskWorker.waitForAvailableWorker(function (worker) { |
| worker.sendTask({id: AsyncTask._asyncMessageId, method: method, args: args}).then(function (data) { |
| var startLatency = data.workerStartTime - startTime; |
| var totalTime = Date.now() - startTime; |
| var callback = data.status == 'resolve' ? resolve : reject; |
| callback({result: data.result, workerId: worker.id(), startLatency: startLatency, totalTime: totalTime, workerTime: data.workerTime}); |
| }); |
| }); |
| }); |
| } |
| |
| static isAvailable() |
| { |
| return typeof Worker !== 'undefined'; |
| } |
| } |
| |
| AsyncTask._asyncMessageId = 0; |
| |
| class AsyncTaskWorker { |
| |
| // Takes a callback instead of returning a promise because a worker can become unavailable before the end of the current microtask. |
| static waitForAvailableWorker(callback) |
| { |
| var worker = this._makeWorkerEventuallyAvailable(); |
| if (worker) |
| callback(worker); |
| this._queue.push(callback); |
| } |
| |
| static _makeWorkerEventuallyAvailable() |
| { |
| var worker = this._findAvailableWorker(); |
| if (worker) |
| return worker; |
| |
| var canStartMoreWorker = this._workerSet.size < this._maxWorkerCount; |
| if (!canStartMoreWorker) |
| return null; |
| |
| if (this._latestStartTime > Date.now() - 50) { |
| setTimeout(function () { |
| var worker = AsyncTaskWorker._findAvailableWorker(); |
| if (worker) |
| AsyncTaskWorker._queue.pop()(worker); |
| }, 50); |
| return null; |
| } |
| return new AsyncTaskWorker; |
| } |
| |
| static _findAvailableWorker() |
| { |
| for (var worker of this._workerSet) { |
| if (!worker._currentTaskId) |
| return worker; |
| } |
| return null; |
| } |
| |
| constructor() |
| { |
| this._webWorker = new Worker('async-task.js'); |
| this._webWorker.onmessage = this._didRecieveMessage.bind(this); |
| this._id = AsyncTaskWorker._workerId; |
| this._startTime = Date.now(); |
| this._currentTaskId = null; |
| this._callback = null; |
| |
| AsyncTaskWorker._latestStartTime = this._startTime; |
| AsyncTaskWorker._workerId++; |
| AsyncTaskWorker._workerSet.add(this); |
| } |
| |
| id() { return this._id; } |
| |
| sendTask(task) |
| { |
| console.assert(!this._currentTaskId); |
| console.assert(task.id); |
| var self = this; |
| this._currentTaskId = task.id; |
| return new Promise(function (resolve) { |
| self._webWorker.postMessage(task); |
| self._callback = resolve; |
| }); |
| } |
| |
| _didRecieveMessage(event) |
| { |
| var callback = this._callback; |
| |
| console.assert(this._currentTaskId); |
| this._currentTaskId = null; |
| this._callback = null; |
| |
| if (AsyncTaskWorker._queue.length) |
| AsyncTaskWorker._queue.pop()(this); |
| else { |
| var self = this; |
| setTimeout(function () { |
| if (self._currentTaskId == null) |
| AsyncTaskWorker._workerSet.delete(self); |
| }, 1000); |
| } |
| |
| callback(event.data); |
| } |
| |
| static workerDidRecieveMessage(event) |
| { |
| var data = event.data; |
| var id = data.id; |
| var method = Statistics[data.method]; |
| var startTime = Date.now(); |
| try { |
| var returnValue = method.apply(Statistics, data.args); |
| postMessage({'id': id, 'status': 'resolve', 'result': returnValue, 'workerStartTime': startTime, 'workerTime': Date.now() - startTime}); |
| } catch (error) { |
| postMessage({'id': id, 'status': 'reject', 'result': error.toString(), 'workerStartTime': startTime, 'workerTime': Date.now() - startTime}); |
| throw error; |
| } |
| } |
| } |
| |
| AsyncTaskWorker._maxWorkerCount = 4; |
| AsyncTaskWorker._workerSet = new Set; |
| AsyncTaskWorker._queue = []; |
| AsyncTaskWorker._workerId = 1; |
| AsyncTaskWorker._latestStartTime = 0; |
| |
| if (typeof module == 'undefined' && typeof window == 'undefined' && typeof importScripts != 'undefined') { // Inside a worker |
| //importScripts('/shared/statistics.js'); |
| onmessage = AsyncTaskWorker.workerDidRecieveMessage.bind(AsyncTaskWorker); |
| } |
| |
| if (typeof module != 'undefined') |
| module.exports.AsyncTask = AsyncTask; |