performance_tests: better stats, and keep track of timing history

2 files changed, 417 insertions, 0 deletions

diff --git a/contrib/epee/include/stats.h b/contrib/epee/include/stats.h
new file mode 100644
index 000000000..1cf9c68fb
--- /dev/null
+++ b/contrib/epee/include/stats.h
@@ -0,0 +1,58 @@
+#pragma once
+
+#include <vector>
+
+template<typename T, typename Tpod = T>
+class Stats
+{
+public:
+  Stats(const std::vector<T> &v): values(v), cached(0) {}
+  ~Stats() {}
+
+  size_t get_size() const;
+  Tpod get_min() const;
+  Tpod get_max() const;
+  Tpod get_median() const;
+  double get_mean() const;
+  double get_confidence_interval_95() const;
+  double get_confidence_interval_99() const;
+  double get_standard_deviation() const;
+  double get_standard_error() const;
+  double get_variance() const;
+  double get_kurtosis() const;
+  double get_non_parametric_skew() const;
+  double get_t_test(T t) const;
+  double get_t_test(size_t npoints, double mean, double stddev) const;
+  double get_t_test(const Stats<T> &other) const;
+  double get_z_test(const Stats<T> &other) const;
+  double get_test(const Stats<T> &other) const;
+  std::vector<Tpod> get_quantiles(unsigned int quantiles) const;
+  std::vector<size_t> get_bins(unsigned int bins) const;
+  bool is_same_distribution_95(size_t npoints, double mean, double stddev) const;
+  bool is_same_distribution_95(const Stats<T> &other) const;
+  bool is_same_distribution_99(size_t npoints, double mean, double stddev) const;
+  bool is_same_distribution_99(const Stats<T> &other) const;
+
+  double get_cdf95(size_t df) const;
+  double get_cdf95(const Stats<T> &other) const;
+  double get_cdf99(size_t df) const;
+  double get_cdf99(const Stats<T> &other) const;
+
+private:
+  inline bool is_cached(int bit) const;
+  inline void set_cached(int bit) const;
+
+  const std::vector<T> &values;
+
+  mutable uint64_t cached;
+  mutable Tpod min;
+  mutable Tpod max;
+  mutable Tpod median;
+  mutable double mean;
+  mutable double standard_deviation;
+  mutable double standard_error;
+  mutable double variance;
+  mutable double kurtosis;
+};
+
+#include "stats.inl"
diff --git a/contrib/epee/include/stats.inl b/contrib/epee/include/stats.inl
new file mode 100644
index 000000000..5a5cd0b93
--- /dev/null
+++ b/contrib/epee/include/stats.inl
@@ -0,0 +1,359 @@
+#include <math.h>
+#include <limits>
+#include <algorithm>
+#include "stats.h"
+
+enum
+{
+  bit_min = 0,
+  bit_max,
+  bit_median,
+  bit_mean,
+  bit_standard_deviation,
+  bit_standard_error,
+  bit_variance,
+  bit_kurtosis,
+};
+
+static inline double square(double x)
+{
+  return x * x;
+}
+
+template<typename T>
+static inline double interpolate(T v, T v0, double i0, T v1, double i1)
+{
+  return i0 + (i1 - i0) * (v - v0) / (v1 - v0);
+}
+
+template<typename T, typename Tpod>
+inline bool Stats<T, Tpod>::is_cached(int bit) const
+{
+  return cached & (1<<bit);
+}
+
+template<typename T, typename Tpod>
+inline void Stats<T, Tpod>::set_cached(int bit) const
+{
+  cached |= 1<<bit;
+}
+
+template<typename T, typename Tpod>
+size_t Stats<T, Tpod>::get_size() const
+{
+  return values.size();
+}
+
+template<typename T, typename Tpod>
+Tpod Stats<T, Tpod>::get_min() const
+{
+  if (!is_cached(bit_min))
+  {
+    min = std::numeric_limits<Tpod>::max();
+    for (const T &v: values)
+      min = std::min<Tpod>(min, v);
+    set_cached(bit_min);
+  }
+  return min;
+}
+
+template<typename T, typename Tpod>
+Tpod Stats<T, Tpod>::get_max() const
+{
+  if (!is_cached(bit_max))
+  {
+    max = std::numeric_limits<Tpod>::min();
+    for (const T &v: values)
+      max = std::max<Tpod>(max, v);
+    set_cached(bit_max);
+  }
+  return max;
+}
+
+template<typename T, typename Tpod>
+Tpod Stats<T, Tpod>::get_median() const
+{
+  if (!is_cached(bit_median))
+  {
+    std::vector<Tpod> sorted;
+    sorted.reserve(values.size());
+    for (const T &v: values)
+      sorted.push_back(v);
+    std::sort(sorted.begin(), sorted.end());
+    if (sorted.size() & 1)
+    {
+      median = sorted[sorted.size() / 2];
+    }
+    else
+    {
+      median = (sorted[(sorted.size() - 1) / 2] + sorted[sorted.size() / 2]) / 2;
+    }
+    set_cached(bit_median);
+  }
+  return median;
+}
+
+template<typename T, typename Tpod>
+double Stats<T, Tpod>::get_mean() const
+{
+  if (values.empty())
+    return 0.0;
+  if (!is_cached(bit_mean))
+  {
+    mean = 0.0;
+    for (const T &v: values)
+      mean += v;
+    mean /= values.size();
+    set_cached(bit_mean);
+  }
+  return mean;
+}
+
+template<typename T, typename Tpod>
+double Stats<T, Tpod>::get_cdf95(size_t df) const
+{
+  static const double p[101] = {
+    -1, 12.706, 4.3027, 3.1824, 2.7765, 2.5706, 2.4469, 2.3646, 2.3060, 2.2622, 2.2281, 2.2010, 2.1788, 2.1604, 2.1448, 2.1315,
+    2.1199, 2.1098, 2.1009, 2.0930, 2.0860, 2.0796, 2.0739, 2.0687, 2.0639, 2.0595, 2.0555, 2.0518, 2.0484, 2.0452, 2.0423, 2.0395,
+    2.0369, 2.0345, 2.0322, 2.0301, 2.0281, 2.0262, 2.0244, 2.0227, 2.0211, 2.0195, 2.0181, 2.0167, 2.0154, 2.0141, 2.0129, 2.0117,
+    2.0106, 2.0096, 2.0086, 2.0076, 2.0066, 2.0057, 2.0049, 2.0040, 2.0032, 2.0025, 2.0017, 2.0010, 2.0003, 1.9996, 1.9990, 1.9983,
+    1.9977, 1.9971, 1.9966, 1.9960, 1.9955, 1.9949, 1.9944, 1.9939, 1.9935, 1.9930, 1.9925, 1.9921, 1.9917, 1.9913, 1.9908, 1.9905,
+    1.9901, 1.9897, 1.9893, 1.9890, 1.9886, 1.9883, 1.9879, 1.9876, 1.9873, 1.9870, 1.9867, 1.9864, 1.9861, 1.9858, 1.9855, 1.9852,
+    1.9850, 1.9847, 1.9845, 1.9842, 1.9840,
+  };
+  if (df <= 100)
+    return p[df];
+  if (df <= 120)
+    return interpolate<size_t>(df, 100, 1.9840, 120, 1.98);
+  return 1.96;
+}
+
+template<typename T, typename Tpod>
+double Stats<T, Tpod>::get_cdf95(const Stats<T> &other) const
+{
+  return get_cdf95(get_size() + other.get_size() - 2);
+}
+
+template<typename T, typename Tpod>
+double Stats<T, Tpod>::get_cdf99(size_t df) const
+{
+  static const double p[101] = {
+    -1, 9.9250, 5.8408, 4.6041, 4.0321, 3.7074, 3.4995, 3.3554, 3.2498, 3.1693, 3.1058, 3.0545, 3.0123, 2.9768, 2.9467, 2.9208, 2.8982,
+     2.8784, 2.8609, 2.8453, 2.8314, 2.8188, 2.8073, 2.7970, 2.7874, 2.7787, 2.7707, 2.7633, 2.7564, 2.7500, 2.7440, 2.7385, 2.7333,
+     2.7284, 2.7238, 2.7195, 2.7154, 2.7116, 2.7079, 2.7045, 2.7012, 2.6981, 2.6951, 2.6923, 2.6896, 2.6870, 2.6846, 2.6822, 2.6800,
+     2.6778, 2.6757, 2.6737, 2.6718, 2.6700, 2.6682, 2.6665, 2.6649, 2.6633, 2.6618, 2.6603, 2.6589, 2.6575, 2.6561, 2.6549, 2.6536,
+     2.6524, 2.6512, 2.6501, 2.6490, 2.6479, 2.6469, 2.6458, 2.6449, 2.6439, 2.6430, 2.6421, 2.6412, 2.6403, 2.6395, 2.6387, 2.6379,
+     2.6371, 2.6364, 2.6356, 2.6349, 2.6342, 2.6335, 2.6329, 2.6322, 2.6316, 2.6309, 2.6303, 2.6297, 2.6291, 2.6286, 2.6280, 2.6275,
+     2.6269, 2.6264, 2.6259,
+  };
+  if (df <= 100)
+    return p[df];
+  if (df <= 120)
+    return interpolate<size_t>(df, 100, 2.6529, 120, 2.617);
+  return 2.576;
+}
+
+template<typename T, typename Tpod>
+double Stats<T, Tpod>::get_cdf99(const Stats<T> &other) const
+{
+  return get_cdf99(get_size() + other.get_size() - 2);
+}
+
+template<typename T, typename Tpod>
+double Stats<T, Tpod>::get_confidence_interval_95() const
+{
+  const size_t df = get_size() - 1;
+  return get_standard_error() * get_cdf95(df);
+}
+
+template<typename T, typename Tpod>
+double Stats<T, Tpod>::get_confidence_interval_99() const
+{
+  const size_t df = get_size() - 1;
+  return get_standard_error() * get_cdf99(df);
+}
+
+template<typename T, typename Tpod>
+bool Stats<T, Tpod>::is_same_distribution_95(size_t npoints, double mean, double stddev) const
+{
+  return fabs(get_t_test(npoints, mean, stddev)) < get_cdf95(get_size() + npoints - 2);
+}
+
+template<typename T, typename Tpod>
+bool Stats<T, Tpod>::is_same_distribution_95(const Stats<T> &other) const
+{
+  return fabs(get_t_test(other)) < get_cdf95(other);
+}
+
+template<typename T, typename Tpod>
+bool Stats<T, Tpod>::is_same_distribution_99(size_t npoints, double mean, double stddev) const
+{
+  return fabs(get_t_test(npoints, mean, stddev)) < get_cdf99(get_size() + npoints - 2);
+}
+
+template<typename T, typename Tpod>
+bool Stats<T, Tpod>::is_same_distribution_99(const Stats<T> &other) const
+{
+  return fabs(get_t_test(other)) < get_cdf99(other);
+}
+
+template<typename T, typename Tpod>
+double Stats<T, Tpod>::get_standard_deviation() const
+{
+  if (values.size() <= 1)
+    return 0.0;
+  if (!is_cached(bit_standard_deviation))
+  {
+    Tpod m = get_mean(), t = 0;
+    for (const T &v: values)
+      t += ((T)v - m) * ((T)v - m);
+    standard_deviation = sqrt(t / ((double)values.size() - 1));
+    set_cached(bit_standard_deviation);
+  }
+  return standard_deviation;
+}
+
+template<typename T, typename Tpod>
+double Stats<T, Tpod>::get_standard_error() const
+{
+  if (!is_cached(bit_standard_error))
+  {
+    standard_error = get_standard_deviation() / sqrt(get_size());
+    set_cached(bit_standard_error);
+  }
+  return standard_error;
+}
+
+template<typename T, typename Tpod>
+double Stats<T, Tpod>::get_variance() const
+{
+  if (!is_cached(bit_variance))
+  {
+    double stddev = get_standard_deviation();
+    variance = stddev * stddev;
+    set_cached(bit_variance);
+  }
+  return variance;
+}
+
+template<typename T, typename Tpod>
+double Stats<T, Tpod>::get_kurtosis() const
+{
+  if (values.empty())
+    return 0.0;
+  if (!is_cached(bit_kurtosis))
+  {
+    double m = get_mean();
+    double n = 0, d = 0;
+    for (const T &v: values)
+    {
+      T p2 = (v - m) * (v - m);
+      T p4 = p2 * p2;
+      n += p4;
+      d += p2;
+    }
+    n /= values.size();
+    d /= values.size();
+    d *= d;
+    kurtosis = n / d;
+    set_cached(bit_kurtosis);
+  }
+  return kurtosis;
+}
+
+template<typename T, typename Tpod>
+double Stats<T, Tpod>::get_non_parametric_skew() const
+{
+  return (get_mean() - get_median()) / get_standard_deviation();
+}
+
+template<typename T, typename Tpod>
+double Stats<T, Tpod>::get_t_test(T t) const
+{
+  const double n = get_mean() - t;
+  const double d = get_standard_deviation() / sqrt(get_size());
+  return n / d;
+}
+
+template<typename T, typename Tpod>
+double Stats<T, Tpod>::get_t_test(size_t npoints, double mean, double stddev) const
+{
+  const double n = get_mean() - mean;
+  const double d = sqrt(get_variance() / get_size() + square(stddev) / npoints);
+  return n / d;
+}
+
+template<typename T, typename Tpod>
+double Stats<T, Tpod>::get_t_test(const Stats<T> &other) const
+{
+  const double n = get_mean() - other.get_mean();
+  const double d = sqrt(get_variance() / get_size() + other.get_variance() / other.get_size());
+  return n / d;
+}
+
+template<typename T, typename Tpod>
+double Stats<T, Tpod>::get_z_test(const Stats<T> &other) const
+{
+  const double m0 = get_mean();
+  const double m1 = other.get_mean();
+  const double sd0 = get_standard_deviation();
+  const double sd1 = other.get_standard_deviation();
+  const size_t s0 = get_size();
+  const size_t s1 = other.get_size();
+
+  const double n = m0 - m1;
+  const double d = sqrt(square(sd0 / sqrt(s0)) + square(sd1 / sqrt(s1)));
+
+  return n / d;
+}
+
+template<typename T, typename Tpod>
+double Stats<T, Tpod>::get_test(const Stats<T> &other) const
+{
+  if (get_size() >= 30 && other.get_size() >= 30)
+    return get_z_test(other);
+  else
+    return get_t_test(other);
+}
+
+template<typename T, typename Tpod>
+std::vector<Tpod> Stats<T, Tpod>::get_quantiles(unsigned int quantiles) const
+{
+  std::vector<Tpod> sorted;
+  sorted.reserve(values.size());
+  for (const T &v: values)
+    sorted.push_back(v);
+  std::sort(sorted.begin(), sorted.end());
+  std::vector<Tpod> q(quantiles + 1, 0);
+  for (unsigned int i = 1; i <= quantiles; ++i)
+  {
+    unsigned idx = (unsigned)ceil(values.size() * i / (double)quantiles);
+    q[i] = sorted[idx - 1];
+  }
+  if (!is_cached(bit_min))
+  {
+    min = sorted.front();
+    set_cached(bit_min);
+  }
+  q[0] = min;
+  if (!is_cached(bit_max))
+  {
+    max = sorted.back();
+    set_cached(bit_max);
+  }
+  return q;
+}
+
+template<typename T, typename Tpod>
+std::vector<size_t> Stats<T, Tpod>::get_bins(unsigned int bins) const
+{
+  std::vector<size_t> b(bins, 0);
+  const double scale = 1.0 / (get_max() - get_min());
+  const T base = get_min();
+  for (const T &v: values)
+  {
+    unsigned int idx = (v - base) * scale;
+    ++b[idx];
+  }
+  return b;
+}