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Repair roundoff-error problem for stddev/variance results near zero,

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per complaint from Kemin Zhou.
Fix lack of precision in numeric stddev/variance.
This commit is contained in:
Tom Lane 2001-12-11 02:02:12 +00:00
parent 63cc56de54
commit 07009651ce
2 changed files with 98 additions and 41 deletions
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24
src/backend/utils/adt/float.c
View File

@ -8,7 +8,7 @@
*
*
* IDENTIFICATION
* $Header: /cvsroot/pgsql/src/backend/utils/adt/float.c,v 1.77 2001/11/05 17:46:29 momjian Exp $
* $Header: /cvsroot/pgsql/src/backend/utils/adt/float.c,v 1.78 2001/12/11 02:02:12 tgl Exp $
*
*-------------------------------------------------------------------------
*/
@ -1580,7 +1580,8 @@ float8_variance(PG_FUNCTION_ARGS)
float8 *transvalues;
float8 N,
sumX,
sumX2;
sumX2,
numerator;
transvalues = check_float8_array(transarray, "float8_variance");
N = transvalues[0];
@ -1594,7 +1595,13 @@ float8_variance(PG_FUNCTION_ARGS)
if (N <= 1.0)
PG_RETURN_FLOAT8(0.0);
PG_RETURN_FLOAT8((N * sumX2 - sumX * sumX) / (N * (N - 1.0)));
numerator = N * sumX2 - sumX * sumX;
/* Watch out for roundoff error producing a negative numerator */
if (numerator <= 0.0)
PG_RETURN_FLOAT8(0.0);
PG_RETURN_FLOAT8(numerator / (N * (N - 1.0)));
}
Datum
@ -1604,7 +1611,8 @@ float8_stddev(PG_FUNCTION_ARGS)
float8 *transvalues;
float8 N,
sumX,
sumX2;
sumX2,
numerator;
transvalues = check_float8_array(transarray, "float8_stddev");
N = transvalues[0];
@ -1618,7 +1626,13 @@ float8_stddev(PG_FUNCTION_ARGS)
if (N <= 1.0)
PG_RETURN_FLOAT8(0.0);
PG_RETURN_FLOAT8(sqrt((N * sumX2 - sumX * sumX) / (N * (N - 1.0))));
numerator = N * sumX2 - sumX * sumX;
/* Watch out for roundoff error producing a negative numerator */
if (numerator <= 0.0)
PG_RETURN_FLOAT8(0.0);
PG_RETURN_FLOAT8(sqrt(numerator / (N * (N - 1.0))));
}

115
src/backend/utils/adt/numeric.c
View File

@ -5,7 +5,7 @@
*
* 1998 Jan Wieck
*
* $Header: /cvsroot/pgsql/src/backend/utils/adt/numeric.c,v 1.48 2001/11/05 17:46:29 momjian Exp $
* $Header: /cvsroot/pgsql/src/backend/utils/adt/numeric.c,v 1.49 2001/12/11 02:02:12 tgl Exp $
*
* ----------
*/
@ -159,6 +159,7 @@ static void add_var(NumericVar *var1, NumericVar *var2, NumericVar *result);
static void sub_var(NumericVar *var1, NumericVar *var2, NumericVar *result);
static void mul_var(NumericVar *var1, NumericVar *var2, NumericVar *result);
static void div_var(NumericVar *var1, NumericVar *var2, NumericVar *result);
static int select_div_scale(NumericVar *var1, NumericVar *var2);
static void mod_var(NumericVar *var1, NumericVar *var2, NumericVar *result);
static void ceil_var(NumericVar *var, NumericVar *result);
static void floor_var(NumericVar *var, NumericVar *result);
@ -999,28 +1000,7 @@ numeric_div(PG_FUNCTION_ARGS)
set_var_from_num(num1, &arg1);
set_var_from_num(num2, &arg2);
/* ----------
* The result scale of a division isn't specified in any
* SQL standard. For Postgres it is the following (where
* SR, DR are the result- and display-scales of the returned
* value, S1, D1, S2 and D2 are the scales of the two arguments,
* The minimum and maximum scales are compile time options from
* numeric.h):
*
* DR = MIN(MAX(D1 + D2, MIN_DISPLAY_SCALE), MAX_DISPLAY_SCALE)
* SR = MIN(MAX(MAX(S1 + S2, MIN_RESULT_SCALE), DR + 4), MAX_RESULT_SCALE)
*
* By default, any result is computed with a minimum of 34 digits
* after the decimal point or at least with 4 digits more than
* displayed.
* ----------
*/
res_dscale = MAX(arg1.dscale + arg2.dscale, NUMERIC_MIN_DISPLAY_SCALE);
res_dscale = MIN(res_dscale, NUMERIC_MAX_DISPLAY_SCALE);
global_rscale = MAX(arg1.rscale + arg2.rscale,
NUMERIC_MIN_RESULT_SCALE);
global_rscale = MAX(global_rscale, res_dscale + 4);
global_rscale = MIN(global_rscale, NUMERIC_MAX_RESULT_SCALE);
res_dscale = select_div_scale(&arg1, &arg2);
/*
* Do the divide, set the display scale and return the result
@ -1884,6 +1864,7 @@ numeric_variance(PG_FUNCTION_ARGS)
vsumX,
vsumX2,
vNminus1;
int div_dscale;
/* We assume the input is array of numeric */
deconstruct_array(transarray,
@ -1924,10 +1905,21 @@ numeric_variance(PG_FUNCTION_ARGS)
mul_var(&vsumX, &vsumX, &vsumX); /* now vsumX contains sumX * sumX */
mul_var(&vN, &vsumX2, &vsumX2); /* now vsumX2 contains N * sumX2 */
sub_var(&vsumX2, &vsumX, &vsumX2); /* N * sumX2 - sumX * sumX */
mul_var(&vN, &vNminus1, &vNminus1); /* N * (N - 1) */
div_var(&vsumX2, &vNminus1, &vsumX); /* variance */
res = make_result(&vsumX);
if (cmp_var(&vsumX2, &const_zero) <= 0)
{
/* Watch out for roundoff error producing a negative numerator */
res = make_result(&const_zero);
}
else
{
mul_var(&vN, &vNminus1, &vNminus1); /* N * (N - 1) */
div_dscale = select_div_scale(&vsumX2, &vNminus1);
div_var(&vsumX2, &vNminus1, &vsumX); /* variance */
vsumX.dscale = div_dscale;
res = make_result(&vsumX);
}
free_var(&vN);
free_var(&vNminus1);
@ -1951,6 +1943,7 @@ numeric_stddev(PG_FUNCTION_ARGS)
vsumX,
vsumX2,
vNminus1;
int div_dscale;
/* We assume the input is array of numeric */
deconstruct_array(transarray,
@ -1991,11 +1984,22 @@ numeric_stddev(PG_FUNCTION_ARGS)
mul_var(&vsumX, &vsumX, &vsumX); /* now vsumX contains sumX * sumX */
mul_var(&vN, &vsumX2, &vsumX2); /* now vsumX2 contains N * sumX2 */
sub_var(&vsumX2, &vsumX, &vsumX2); /* N * sumX2 - sumX * sumX */
mul_var(&vN, &vNminus1, &vNminus1); /* N * (N - 1) */
div_var(&vsumX2, &vNminus1, &vsumX); /* variance */
sqrt_var(&vsumX, &vsumX); /* stddev */
res = make_result(&vsumX);
if (cmp_var(&vsumX2, &const_zero) <= 0)
{
/* Watch out for roundoff error producing a negative numerator */
res = make_result(&const_zero);
}
else
{
mul_var(&vN, &vNminus1, &vNminus1); /* N * (N - 1) */
div_dscale = select_div_scale(&vsumX2, &vNminus1);
div_var(&vsumX2, &vNminus1, &vsumX); /* variance */
vsumX.dscale = div_dscale;
sqrt_var(&vsumX, &vsumX); /* stddev */
res = make_result(&vsumX);
}
free_var(&vN);
free_var(&vNminus1);
@ -3318,6 +3322,50 @@ div_var(NumericVar *var1, NumericVar *var2, NumericVar *result)
}
/*
* Default scale selection for division
*
* Returns the appropriate display scale for the division result,
* and sets global_rscale to the result scale to use during div_var.
*
* Note that this must be called before div_var.
*/
static int
select_div_scale(NumericVar *var1, NumericVar *var2)
{
int res_dscale;
int res_rscale;
/* ----------
* The result scale of a division isn't specified in any
* SQL standard. For Postgres it is the following (where
* SR, DR are the result- and display-scales of the returned
* value, S1, D1, S2 and D2 are the scales of the two arguments,
* The minimum and maximum scales are compile time options from
* numeric.h):
*
* DR = MIN(MAX(D1 + D2, MIN_DISPLAY_SCALE), MAX_DISPLAY_SCALE)
* SR = MIN(MAX(MAX(S1 + S2, DR + 4), MIN_RESULT_SCALE), MAX_RESULT_SCALE)
*
* By default, any result is computed with a minimum of 34 digits
* after the decimal point or at least with 4 digits more than
* displayed.
* ----------
*/
res_dscale = var1->dscale + var2->dscale;
res_dscale = MAX(res_dscale, NUMERIC_MIN_DISPLAY_SCALE);
res_dscale = MIN(res_dscale, NUMERIC_MAX_DISPLAY_SCALE);
res_rscale = var1->rscale + var2->rscale;
res_rscale = MAX(res_rscale, res_dscale + 4);
res_rscale = MAX(res_rscale, NUMERIC_MIN_RESULT_SCALE);
res_rscale = MIN(res_rscale, NUMERIC_MAX_RESULT_SCALE);
global_rscale = res_rscale;
return res_dscale;
}
/* ----------
* mod_var() -
*
@ -3343,12 +3391,7 @@ mod_var(NumericVar *var1, NumericVar *var2, NumericVar *result)
*/
save_global_rscale = global_rscale;
div_dscale = MAX(var1->dscale + var2->dscale, NUMERIC_MIN_DISPLAY_SCALE);
div_dscale = MIN(div_dscale, NUMERIC_MAX_DISPLAY_SCALE);
global_rscale = MAX(var1->rscale + var2->rscale,
NUMERIC_MIN_RESULT_SCALE);
global_rscale = MAX(global_rscale, div_dscale + 4);
global_rscale = MIN(global_rscale, NUMERIC_MAX_RESULT_SCALE);
div_dscale = select_div_scale(var1, var2);
div_var(var1, var2, &tmp);