Abstract:
An example of using algebraic transformations for code optimization.

Created by Peter Kankowski
Last changed
Contributors: Orib, Greg Wiszkowitz, James Mayfield, and Ace
Filed under Low-level code optimization

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Calculating standard deviation in one pass

Standard deviation is a statistic parameter that helps to estimate the dispersion of data series. It's usually calculated in two passes: first, you find a mean, and second, you calculate a square deviation of values from the mean:

double std_dev1(double a[], int n) {
    if(n == 0)
        return 0.0;
    double sum = 0;
    for(int i = 0; i < n; ++i)
       sum += a[i];
    double mean = sum / n;
    double sq_diff_sum = 0;
    for(int i = 0; i < n; ++i) {
       double diff = a[i] - mean;
       sq_diff_sum += diff * diff;
    }
    double variance = sq_diff_sum / n;
    return sqrt(variance);
}

But you can do the same thing in one pass. Rewrite the formula in the following way:

s_x^2 = 1/N * sum(x_i - x_mean)^2 = 1/N * sum(x_i^2 - 2*x_i*x_mean + x_mean^2) = 1/N * sum(x_i^2) - 2*x_mean/N * sum(x_i) + N*x_mean^2/N = 1/N * sum(x_i^2) - 2*x_mean^2 + x_mean^2 = 1/N * sum(x_i^2) - x_mean^2
double std_dev2(double a[], int n) {
    if(n == 0)
        return 0.0;
    double sum = 0;
    double sq_sum = 0;
    for(int i = 0; i < n; ++i) {
       sum += a[i];
       sq_sum += a[i] * a[i];
    }
    double mean = sum / n;
    double variance = sq_sum / n - mean * mean;
    return sqrt(variance);
}

Unfortunately, the result will be inaccurate when the array contains large numbers (see the comments below).

This trick is mentioned in an old Soviet book about programmable calculators (here is the reference for Russian readers: Финк Л. Папа, мама, я и микрокалькулятор. — М.: Радио и связь, 1988).

Peter Kankowski
Peter Kankowski

About the author

Peter is the developer of Aba Search and Replace, a tool for replacing text in multiple files. He likes to program in C with a bit of C++, also in x86 assembly language, Python, and PHP.

Created by Peter Kankowski
Last changed
Contributors: Orib, Greg Wiszkowitz, James Mayfield, and Ace

19 comments

Ten recent comments are shown below. Show all comments

ace,

Arne, thank you for your algorithm. I've already seen similar algorithms but I don't know how they are derived. I'd greatly appreciate if you would point me to some source which explains derivation of this and/or similar algorithms. According to some experiments I made for some similar calculations the algorithms like the one you presented here give significantly better results compared to the "one pass, full squares" (which can produce even completely wrong results for "inconvenient" input) but they can still be noticeably less accurate than the real two pass algorithm. Do you know of any source where such error analysis is shown? Thank you.

David Jones,
As documented in previous comments, the error can be large for the one-pass method.

But sometimes the input to sqrt can be negative, resulting in... well, who knows what, given that you're coding in C.

Try a list with 3 copies of 1.4592859018312442e+63 for example.
Peter Kankowski,
Thank you for the example. There seems to be a problem with very large values and little or no difference between them. std_dev1 works fine, while std_dev2 gives incorrect results.
Thanks for your stimulating input!,
typedef struct statistics_s {
    size_t k; // sample count
    double Mk; // mean
    double Qk; // standard variance
} statistics_t;

static void statistics_record (statistics_t *stats, double x) {
    stats->k++;
    if (1 == stats->k) {
        stats->Mk = x;
        stats->Qk = 0;
    } else {
        double d = x - stats->Mk; // is actually xk - M_{k-1},
                                  // as Mk was not yet updated
        stats->Qk += (stats->k-1)*d*d/stats->k;
        stats->Mk += d/stats->k;
    }
}

static double statistics_stdev (statistics_t *stats)
{
    return sqrt (stats->Qk/stats->k);
}

static size_t statistics_nsamples (statistics_t *stats)
{
    return stats->k;
}

static double statistics_variance (statistics_t *stats)
{
    return stats->Qk / (stats->k - 1);
}

static double statistics_stdvar (statistics_t *stats)
{
    return stats->Qk / stats->k;
}

static double statistics_init (statistics_t *stats)
{
    stats->k = 0;
}
Ildar,

Knuth actually has one pass algorithm like this

for N=1
_M = x
_C = 0.0;
for N>1
delta = x - _M;
_M += delta / N;
_C += delta*(x-_M)

_M gets you mean, _C / (N-1) is variance

  
ammendes,

I've come across a problem using this algorithm where the variance calculation step outputs a negative zero (in OpenCL). Then the standard deviation step becomes the sqrt of a negative number, which results in NaN.

It might be wise to use the absolute value of the variance to avoid this.

Peter Kankowski,

ammendes, thank you so much

Chief Bridge Fuser,

Thank you! Your derivation saved me thinking!

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