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* @license Apache-2.0
*
* Copyright (c) 2018 The Stdlib Authors.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at
*
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
'use strict';
// MODULES //
var isNonNegativeNumber = require( '@stdlib/assert/is-nonnegative-number' ).isPrimitive;
var format = require( '@stdlib/string/format' );
// MAIN //
/**
* Returns an accumulator function which incrementally computes an exponentially weighted variance.
*
* @param {NonNegativeNumber} alpha - smoothing factor
* @throws {TypeError} must provide a nonnegative number
* @throws {RangeError} must be on the interval `[0,1]`
* @returns {Function} accumulator function
*
* @example
* var accumulator = increwvariance( 0.5 );
*
* var v = accumulator();
* // returns null
*
* v = accumulator( 2.0 );
* // returns 0.0
*
* v = accumulator( -5.0 );
* // returns 12.25
*
* v = accumulator();
* // returns 12.25
*/
function increwvariance( alpha ) {
var incr;
var s2;
var r;
var m;
var c;
if ( !isNonNegativeNumber( alpha ) ) {
throw new TypeError( format( 'invalid argument. Must provide a nonnegative number. Value: `%s`.', alpha ) );
}
if ( alpha < 0.0 || alpha > 1.0 ) {
throw new RangeError( format( 'invalid argument. Must provide a nonnegative number on the interval: [0, 1]. Value: `%f`.', alpha ) );
}
c = 1.0 - alpha;
return accumulator;
/**
* If provided a value, the accumulator function returns an updated variance. If not provided a value, the accumulator function returns the current variance.
*
* @private
* @param {number} [x] - new value
* @returns {(number|null)} variance or null
*/
function accumulator( x ) {
if ( arguments.length === 0 ) {
return ( s2 === void 0 ) ? null : s2;
}
if ( s2 === void 0 ) {
m = x;
s2 = 0.0;
} else {
r = x - m;
incr = alpha * r;
m += incr;
s2 = c * ( s2+(r*incr) );
}
return s2;
}
}
// EXPORTS //
module.exports = increwvariance;
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