variance.h

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#pragma once

#include <cugar/basic/types.h>


namespace cugar {

template <typename T>
struct Variance_estimator
{
    CUGAR_HOST_DEVICE
    Variance_estimator() : m_mean(0.0f), m_M2(0.0f), m_n(0.0f) {}

    CUGAR_HOST_DEVICE
    Variance_estimator& operator=(const Variance_estimator& other)
    {
        m_n     = other.m_n;
        m_mean  = other.m_mean;
        m_M2    = other.m_M2;
        return *this;
    }

    CUGAR_HOST_DEVICE
    Variance_estimator& operator+=(const float x)
    {
        m_n += 1.0f;
        const T delta = x - m_mean;
        m_mean += delta / m_n;
        const T delta2 = x - m_mean;
        m_M2 += delta*delta2;
        return *this;
    }

    CUGAR_HOST_DEVICE
    float mean()     const { return m_mean; }

    CUGAR_HOST_DEVICE
    float variance() const { return m_n > 1 ? m_M2 / (m_n - 1) : 0.0f; }

    T       m_mean;
    T       m_M2;
    float   m_n;
};

} // namespace cugar