Standard Deviation and Event-based Programming

Standard Deviation and Event-based Programming

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A couple weeks ago, I had the opportunity to do a really fun presentation on F# at the .NET Meetup in New York.  At the end, I got a great question, which I talked about a little at the presentation, but thought I’d talk about further in a blog post.

The following isn’t exactly how the conversation went - but roughly captures what we talked about, and covers a lot of fun F# topics.  There’s some allusions here to ideas from statistics, time-series analysis, CEP and FRP.

“How would you compute standard deviation over a stream of data in F#?”

Standard deviation is a pretty straightforward computation with F#.  There’s a few ways to write it, but with “average” and “averageBy” built-in, they provide a particularly simple option.

/// Square a number
let sqr x = x * x

/// Compute the standard deviation of a list of numbers
let stddev nums = 
    let mean = nums |> List.average
    let variance = nums |> List.averageBy (fun x -> sqr(x - mean))
    sqrt(variance)

“Okay – but what if I want the inputs to be long, potentially infinite sources of data?”

The previous function worked over lists.  We can change it to work over sequences (IEnumerables) instead.  Pleasantly, it’s basically the same code.  But the result of working over sequences is that this function will work with any sort of data.  It could be a sequence of numbers that result from a LINQ to SQL query, it could be a sequence of numbers read lazily from a very long file, etc. 

/// Compute the standard deviation of a sequence of numbers
let stddevSeq numSeq = 
    let mean = 
        numSeq |> Seq.average
    let variance = 
        numSeq |> Seq.averageBy (fun x -> sqr(x - mean))
    sqrt(variance)

“That’s computing what I want, but can I get all the partial results as my stream of data is processed? ”

This makes things more interesting.  Instead of just computing the standard deviation, we really want to do an “online” calculation, where we compute enough information so that as each new datapoint comes in, we can easily produce the new standard deviation.  This is a different algorithmic approach to the same mathematical formula.  Luckily, wikipedia has what we need- an on-line algorithm for standard deviation from Knuth.

/// Compute the running mean and standard deviation
/// over a sequence of numbers
let meanAndStdDev nums = 
    // A function which updates the on-line computation of 
    // n, mean and M2 given a new datapoint x
    let newValues (n, mean, M2) x = 
        let n' = n+1.
        let delta = x - mean
        let mean' = mean + delta/n'
        let M2' = M2 + delta*(x - mean')
        (n', mean', M2')
    // The initial vaues of n, mean and M2
    let startValues = (0., 0., 0.)
    // The resulting event stream is a scan over the input events 
    nums 
    |> Seq.scan newValues startValues
    |> Seq.map (fun (n, mean, M2) -> (mean, sqrt(M2/(n))))

This time the code has a few interesting features:

  1. A local function “newValues” updates n, mean and M2 based on old values and a new datapoint x.  Notice that (a) this is strikingly similar to the pseudo-code in the wikipedia article but (b) this is a functional implementation, so instead of changing the values, we just compute new ones.
  2. The function “Seq.scan” takes care of the heavy lifting.  This function, and the related “fold” and “reduce” can be used to capture many common design patterns seen in “programming in the small”.  Scan walks across an input collection applying a function to it’s current accumulator argument, and returning a collection of the results that it builds up as it goes.  If you’ve haven’t written code using these before, they can feel uncomfortable at first, but after you’ve used each of these once or twice, you’ll notice them as common patterns that you are currently encoding as for loops, if statements and local state in your programs.  “scan” and it’s related functions give us the ability to name that design pattern and then re-use it – resulting in more declarative code.

“Perfect!  But my actual stream of data (stock ticker prices) is long running, and will provide new data points periodically over minutes, days and weeks.”

Another fun twist on the problem!  Sequences (IEnumerables) have the property that the producer of the data offers up a way to ask for more, and the consumer is in charge of pulling it out.  While it’s doing so, it’s busy the whole time, so if the producer  doesn’t have the data yet, it will have to block waiting for it to be available.  This is not what you want in the long running case, where instead we want to think about the data stream as a sequence of events.  With events, the consumer offers up a way to deal with new data whenever it’s available, and the producer is in charge of pushing the new data points out.  For the same reasons that there is so much interest in smart phones with push email, we should all want our long-running data streams to be event based instead of sequence based.

let boundedMouseMax = 
    form.MouseMove 
    |> Event.filter (fun mea -> mea.X > 10 && mea.Y > 10 && mea.X < 90 && mea.Y < 90)
    |> Event.map (fun mea -> max mea.X mea.Y)
 
do boundedMouseMax |> Event.add (fun maxCoord -> printfn "max is: %A" maxCoord)

Events in F# are just standard .NET events.  But F# allows you to program with these events in a “first-class” way, meaning you can pass them around as data, and there are functions in the “Event” module for taking events and generating new events from them.  For instance, we could take a mouse move event and call “Event.filter” to filter out any time it is outside a bounding box, then “Event.map” to pick the larger of the X or Y coordinate of the mouse.  The result is then a new event which will fire only when the mouse is in the bounding box, and will produce the larger of it’s X and Y coordinate as it’s value. We can then hook up a listener to print out the values whenever this new event fires.

But how do we use this to solve the original problem?

/// Compute a running mean and standard deviation over the 
/// input event stream of floating point numbers
let meanAndStdDev nums = 
    // A function which updates the on-line computation of n, mean and M2
    let newValues (n, mean, M2) x = 
        let n' = n+1.
        let delta = x - mean
        let mean' = mean + delta/n'
        let M2' = M2 + delta*(x - mean')
        (n', mean', M2')
    // The initial vaues of n, mean and M2
    let startValues = (0., 0., 0.)
    // The resulting event stream is a scan over the input events 
    nums 
    |> Event.scan newValues startValues
    |> Event.map (fun (n, mean, M2) -> (mean, sqrt(M2/(n))))

It’s almost identical to the “on-line” algorithm over sequences! This is one of the important benefits of writing more declarative code using constructs like “scan”.  Although the implementations of “scan” over sequences and over events are quite different under the hood – the design pattern of scanning makes sense over both, and is the concept we can program with to tackle the problem at a higher-level.  It really makes you feel that we’ve succeeded in expressing the “what” in place of the “how”.

Here’s what it looks like to use this new function we’ve created:

// Create a new event – we would hook up to the stock ticker events if they were available
let numEvent = new Event<float>()
let numEventStream, fireNewNum = numEvent.Publish, numEvent.Trigger

// Derive a new event that computes the running mean and stddev 
// over the original event stream
let stddevEvents = meanAndStdDev numEventStream

// Hook up an event handler to print out the new mean and standard deviation 
do stddevEvents |> Event.add (fun (mean, stddev) -> printfn "Mean = %A, StdDev = %A" mean stddev)

do fireNewNum 3.
do fireNewNum 7.
do fireNewNum 7.
do fireNewNum 19.

Conclusion

This is a fun example that really shows off why it’s so valuable to use higher-level design patterns for programming in the small – like “map”, “average”, “averageBy” and “scan”.  First class events in F# are a unifying features which allows you to do the same kind of programming you use with sequences and apply it also to events.  This is really compelling, because it’s a case where two data sources which are conceptually very similar are often programmed in very different ways – but with higher-level programming models that functional programming and F# provide, you can program against both using the same techniques.

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