Re: [boost] Review Request: Accumulators Framework and Statistical Accumulators Library

From: Michael Stevens (list-boost_at_[hidden])
Date: 2006-11-20 03:44:23

I an very interested in this framework so I have started to take a look.

General Accumulators are something I could make use of myself. I really like 
the conceptual design of the framework, and how it allows accumulators to be 
inter-dependant..

After a quick browse through the documentation I decided to take a look at the 
code. In particular I was interested in the numerics.

I think the current implementation has some serious numerical weaknesses. I 
looked at 2 algorithms 'sum' and 'variance':

In 'sum' I expected to see a compensated summation, this is numerically a lot 
better then just adding the numbers together.

The 'variance' accumulator has a lazy calculation of variance using the 
formula     \sigma_n^2 = M_n^{(2)} - \mu_n^2. This formal is specifically 
cited for it poor performance in the presence of rounding error. Indeed it 
may even return negative results.

Any chance of getting your statistics guys to take a look at the numerics of 
the solutions? If people were to use library as is they would be in for nasty 
surprised!

All the best,
        Michael
-- 
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Michael Stevens Systems Engineering
34128 Kassel, Germany
Phone/Fax: [phone]
Navigation Systems, Estimation  and
                 Bayesian Filtering
    http://bayesclasses.sf.net
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