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T-Digest

Adaptive histogram based on something like streaming k-means crossed with Q-digest.

This implementation is a descendent of Ted MergingDigest, available at: https://github.com/tdunning/t-digest/

And contains the work of Andrew Werner originally available at: https://github.com/ajwerner/tdigestc

Description

The t-Digest construction algorithm uses a variant of 1-dimensional k-means clustering to produce a very compact data structure that allows accurate estimation of quantiles. This t-Digest data structure can be used to estimate quantiles, compute other rank statistics or even to estimate related measures like trimmed means. The advantage of the t-Digest over previous digests for this purpose is that the t-Digest handles data with full floating point resolution. The accuracy of quantile estimates produced by t-Digests can be orders of magnitude more accurate than those produced by previous digest algorithms. Methods are provided to create and update t-Digests and retrieve quantiles from the accumulated distributions.

See the original paper by Ted Dunning & Otmar Ertl for more details on t-Digests.

What’s Inside

The following functions are implemented:

• td_add: Add a value to the t-Digest with the specified count
• td_create: Allocate a new histogram
• td_reset: Empty out a histogram and re-initialize it
• td_free: Frees the memory associated with the t-Digest
• td_compress: Re-examines a the t-Digest to determine whether some centroids are redundant
• td_merge: Merge one t-Digest into another
• td_cdf: Returns the fraction of all points added which are ≤ x.
• td_quantile: Returns an estimate of the cutoff such that a specified fraction of the data added to the t-Digest would be less than or equal to the cutoff.
• td_quantiles: Returns an estimate of the cutoff such that a specified fraction of the data added to the t-Digest would be less than or equal to the given cutoffs.
• td_size: Return the number of points that have been added to the t-Digest
• td_centroid_count: Return the number of centroids being used by the t-Digest
• td_min: Get the minimum value from the histogram. Will return DBL_MAX if the histogram is empty
• td_max: Get the maximum value from the histogram. Will return DBL_MIN if the histogram is empty
• td_trimmed_mean: Returns the trimmed mean ignoring values outside given cutoff upper and lower limits
• td_trimmed_mean_symmetric: Returns the trimmed mean ignoring values outside given a symmetric cutoff limits

Build notes

# Build
git clone https://github.com/RedisBloom/t-digest-c.git
cd t-digest-c/
git submodule update --init --recursive
make

Testing

Assuming you've followed the previous build steps, it should be as easy as:

# Run the unit tests
make test

Benchmarking

Assuming you've followed the previous build steps, it should be as easy as:

# Run the benchmark
make bench

Code of Conduct

Please note that this project is released with a Contributor Code of Conduct. By participating in this project you agree to abide by its terms.