Re: [boost] Time Series review

From: Paul A Bristow (pbristow_at_[hidden])
Date: 2007-08-09 08:00:04

>-----Original Message-----
>From: boost-bounces_at_[hidden] 
>[mailto:boost-bounces_at_[hidden]] On Behalf Of John Phillips
>Sent: 31 July 2007 13:31
>To: boost_at_[hidden]
>Cc: boost-users_at_[hidden]
>Subject: [boost] Time Series review - 7/30-8/8

    * What is your evaluation of the design?

Fundamentally sound and potentially useful in many domains, not just the finance one for which it was designed. 

    * What is your evaluation of the implementation?

Looks OK.  Some details of difficult areas like FP that can almost certainly be improved. (See also some detailed notes and
questions below)

    * What is your evaluation of the documentation?

Good, but far too steep to tempt most potential users.  Needs an outline, a tutorial, and more examples, especially several outside
finance.

    * What is your evaluation of the potential usefulness of the library?

Although there are many problem for which a plain C array of doubles will suffice, it is surprisingly how soon more complicated data
structures emerge, and that is where I see this package making the difficult much easier.

    * Did you try to use the library?  With what compiler?  Did you have any problems?

No, time/ priorities did not permit, but I hope to.

    * How much effort did you put into your evaluation? 

A quicker reading than I would wish.

    * Are you knowledgeable about the problem domain?

Somewhat, but with physical measurements, not finance.

    * Am I confident that the library will be maintained.

Yes, definitely.

    * Do you think the library should be accepted as a Boost library?

Definitely.

I note that a number of critical comments have been made of the library:  I don't think any of these are showstoppers and I think it
would be unfortunate if this prevented acceptance of the library.  I am confident that these criticisms can be addressed.  

(As an aside, I think it would also set an unfortunate example to reject a high quality library that has been kindly 'donated' by a
commercial organisation.  No doubt it took some effort to persuade them to do this, and that it took a *lot of effort for them to
make a decision to do so*! I believe we want to encourage other organisations to make freely available, through Boost, work that
they have funded.)

Some detailed observations:

1  Is the Time series is restricted to time? - the series time unit could be anything, voltage, age, - so not an ideal name?

So I am tempted to suggest Data_series or even Boost.Series? 

But a rose by any other name would smell as sweet ;-)

(Can I claim a brownie point for the first Shakespeare quote in a Boost review? ;-)

However there is plenty of precedent as you give http://en.wikipedia.org/wiki/Time_series
and time is the most common 'variable'.

2  How would one signify missing data???  Use NaN? as zero?

3  The series types are rather tersely defined.
The learning curve would be flattened by more explanation
and examples at the point of definition, aiming for lucidity as well as accuracy.

4  The delta_series should at least mention Dirac! Why does Heaviside get his name on a series and Dirac not? Wikipedia link would
be good.

3  Despite the warning, I am sure many will make the mistake of not committing.
A stronger admonishment might be useful?

"You must .commit()  the returned inserter when you are done with it."

4  I'd like to see examples with each definition, and preferably not all from finance, lest people imagin that it is only suitable
for finance when it is actually at least as useful for all things physical and even sociological.

5  It may astonish Boosters to know that there are very many potential users who will not understand "This operation is amortized
O(1)".  Links like [@http://en.wikipedia.org/wiki/Amortized_analysis amortized 0(1)] would help them.

6  A proof of application using circular buffer would be most valuable.  There are very many people with an endless torrent of data
hitting them, without an infinite supply of memory.  Showing how to get information from the data flood could sell time_series to
them.  

7  A single example, in a single finance arena (nice and commented) is really not enough.

8  The docs really needed a much more gentle tutorial introduction, so that users can see the wood for the metaprocessing-trees.

Typos - I only spotted one in Zeros and Sparse Data

accomlish should be accomplish.

Paul

---
Paul A Bristow
Prizet Farmhouse, Kendal, Cumbria UK LA8 8AB
[phone] & SMS, Mobile [phone] & SMS
pbristow_at_[hidden]