ITERATIVELY CALCULATING STANDARD DEVIATION FOR STREAMED DATA

摘要

The present invention extends to methods, systems, and computer program products for iteratively calculating standard deviation for streamed data. Embodiments of the invention include iteratively calculating standard deviation in a current computation window based on the standard deviation calculation for a previous computation window. Iteratively calculating standard deviation avoids visiting all previous input and performing redundant computations thereby increasing calculation efficiency. In general, streaming data is added to a buffer of size n until the buffer is filled up. Once the buffer is filled, a sum and standard deviation are calculated for the first n data points. As new data elements are received, a new sum is calculated by reusing the prior sum and a new standard deviation is calculated by reusing the prior standard deviation.

主权项

1. A method for use at a computer system, the computer system including one or more processors and system memory, the computer system having a buffer for storing streamed data elements, the method for calculating standard deviation for streamed data elements in a computation window of the buffer, the method comprising:
calculating a standard deviation for a computation window of the buffer, the computation window including a streamed data element and one or more additional streamed data elements included in the buffer; adjusting the computation window of the buffer by adding a new streamed data element to the buffer; and iteratively calculating a further standard deviation for the adjusted computation window by reusing the standard deviation for the computation window, including:
mathematically removing any contribution of the streamed data element from the standard deviation; andmathematically adding a contribution of the new streamed data element to the standard deviation.