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https://github.com/tdunning/t-digest
A new data structure for accurate on-line accumulation of rank-based statistics such as quantiles and trimmed means
https://github.com/tdunning/t-digest
accuracy online-algorithms quantile t-digest
Last synced: 14 days ago
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A new data structure for accurate on-line accumulation of rank-based statistics such as quantiles and trimmed means
- Host: GitHub
- URL: https://github.com/tdunning/t-digest
- Owner: tdunning
- License: apache-2.0
- Created: 2013-11-19T00:07:15.000Z (almost 11 years ago)
- Default Branch: main
- Last Pushed: 2023-12-19T21:20:19.000Z (11 months ago)
- Last Synced: 2024-10-14T15:24:04.379Z (28 days ago)
- Topics: accuracy, online-algorithms, quantile, t-digest
- Language: Java
- Size: 41.6 MB
- Stars: 1,980
- Watchers: 67
- Forks: 226
- Open Issues: 44
-
Metadata Files:
- Readme: README.md
- License: LICENSE
- Citation: CITATION.cff
Awesome Lists containing this project
README
t-digest · [](https://github.com/tdunning/t-digest/actions/workflows/maven.yml)
========
A new data structure for accurate online accumulation of rank-based statistics such as quantiles
and trimmed means. The t-digest algorithm is also very friendly to parallel programs making it
useful in map-reduce and parallel streaming applications implemented using, say, Apache Spark.
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. With small
changes, the _t_-digest can handle values from any ordered set for which we can compute something akin to a mean.
The accuracy of quantile estimates produced by t-digests can be orders of magnitude more accurate than
those produced by alternative digest algorithms in spite of the fact that t-digests are much more
compact, particularly when serialized.
In summary, the particularly interesting characteristics of the t-digest are that it
* has smaller summaries when serialized
* works on double precision floating point as well as integers.
* provides part per million accuracy for extreme quantiles and typically <1000 ppm accuracy for middle quantiles
* is very fast (~ 140 ns per add)
* is very simple (~ 5000 lines of code total, <1000 for the most advanced implementation alone)
* has a reference implementation that has > 90% test coverage
* can be used with map-reduce very easily because digests can be merged
* requires no dynamic allocation after initial creation (`MergingDigest` only)
* has no runtime dependencies
Recent News
-----------
There is a [new article (open access!)](https://www.sciencedirect.com/science/article/pii/S2665963820300403) in Software Impacts on
the t-digest, focussed particularly on this reference implementation.
Lots has happened in t-digest lately. Most recently, with the help of people
posting their observations of subtle misbehavior over the last 2 years, I figured
out that the sort in the `MergingDigest` really needed to be stable. This helps
particularly with repeated values. Stabilizing the sort appears to have no
negative impact on accuracy nor significant change in speed, but testing is
continuing. As part of introducing this change to the sort, I made the core
implementation pickier about enforcing the size invariants which forced updates
to a number of tests.
The basic gist of other recent changes is that the core algorithms have been
made much more rigorous and the associated papers in the docs directory have
been updated to match the reality of the most advanced implementations.
The general areas of improvement include substantial speedups, a new
framework for dealing with scale functions, real proofs of size bounds
and invariants for all current scale functions, much improved interpolation
algorithms, better accuracy testing and splitting the entire distribution
into parts for the core algorithms, quality testing, benchmarking and
documentation.
I am working on a 4.0 release that incorporates all of these
improvements. The remaining punch list for the release is roughly:
* ~~verify all tests are clean and not disabled~~ (done!)
* ~~integrate all scale functions into AVLTreeDigest~~ (done!)
* describe accuracy using the quality suite
* extend benchmarks to include `AVLTreeDigest` as first-class alternative
* measure merging performance
* consider [issue #87](https://github.com/tdunning/t-digest/issues/87)
* review all outstanding issues (add unit tests if necessary or close if not)
Publication work is now centered around comparisons with the KLL digest
(spoiler, the t-digest is much smaller and possibly 2 orders of
magnitude more accurate than KLL). I would still like to see potential
co-authors who could accelerate these submissions are encouraged to
speak up! In the meantime, an
[archived pre-print of the main paper is available](https://arxiv.org/abs/1902.04023).
In research areas, there are some ideas being thrown around about how to bring
strict guarantees similar to the GK or KLL algorithms to the t-digest. There is
some promise here, but nothing real yet. If you are interested in a research
project, this could be an interesting one.
### Scale Functions
The idea of scale functions is the heart of the t-digest. But things
don't quite work the way that we originally thought. Originally, it
was presumed that accuracy should be proportional to the square of the
size of a cluster. That isn't true in practice. That means that scale
functions need to be much more aggressive about controlling cluster
sizes near the tails. We now have 4 scale functions supported for both
major digest forms (`MergingDigest` and `AVLTreeDigest`) to allow
different trade-offs in terms of accuracy.
These scale functions now have associated proofs that they all
[preserve the key invariants](https://github.com/tdunning/t-digest/blob/master/docs/proofs/invariant-preservation.pdf)
necessary to build an accurate digest and that they all give
[tight bounds on the size of a digest](https://github.com/tdunning/t-digest/blob/master/docs/proofs/sizing.pdf).
Having new scale functions means that we can get much better tail
accuracy than before without losing much in terms of median accuracy.
It also means that insertion into a `MergingDigest` is faster than
before since we have been able to eliminate all fancy functions like
sqrt, log or sin from the critical path (although sqrt _is_ faster
than you might think).
There are also suggestions that asymmetric scale functions would be useful.
These would allow good single-tailed accuracy with (slightly) smaller digests.
A paper has been submitted on this by the developer who came up with the idea
and feedback from users about the utility of such scale functions would be
welcome.
### Better Interpolation
The better accuracy achieved by the new scale functions partly comes
from the fact that the most extreme clusters near _q_=0 or _q_=1 are
limited to only a single sample. Handling these singletons well makes
a huge difference in the accuracy of tail estimates. Handling the
transition to non-singletons is also very important.
Both cases are handled much better than before.
The better interpolation has been fully integrated and tested in both
the `MergingDigest` and `AVLTreeDigest` with very good improvements in
accuracy. The bug detected in the `AVLTreeDigest` that affected data
with many repeated values has also been fixed.
### Two-level Merging
We now have a trick for the `MergingDigest` that uses a higher value
of the compression parameter (delta) while we are accumulating a
t-digest and a lower value when we are about to store or display a
t-digest. This two-level merging has a small (negative) effect on
speed, but a substantial (positive) effect on accuracy because
clusters are ordered more strictly. This better ordering of clusters
means that the effects of the improved interpolation are much easier
to observe.
Extending this to `AVLTreeDigest` is theoretically possible, but it
isn't clear the effect it will have.
### Repo Reorg
The t-digest repository is now split into different functional
areas. This is important because it simplifies the code used in
production by extracting the (slow) code that generates data for
accuracy testing, but also because it lets us avoid any dependencies
on GPL code (notably the jmh benchmarking tools) in the released
artifacts.
The major areas are
* core - this is where the t-digest and unit tests live
* docs - the main paper and auxiliary proofs live here
* benchmarks - this is the code that tests the speed of the digest algos
* quality - this is the code that generates and analyzes accuracy information
Within the docs sub-directory, proofs of invariant preservation and size
bounds are moved to `docs/proofs` and all figures in `docs/t-digest-paper`
are collected into a single directory to avoid cluster.
LogHistogram and FloatHistogram
--------------
This package also has an implementation of `FloatHistogram` which is
another way to look at distributions where all measurements are
positive and where you want relative accuracy in the measurement space
instead of accuracy defined in quantiles. This `FloatHistogram` makes
use of the floating point hardware to implement variable width bins so
that adding data is very fast (5ns/data point in benchmarks) and the
resulting sketch is small for reasonable accuracy levels. For
instance, if you require dynamic range of a million and are OK with
about bins being about ±10%, then you only need 80 counters.
Since the bins for `FloatHistogram`'s are static rather than adaptive,
they can be combined very easily. Thus you can store a histogram for
short periods of time and combined them at query time if you are
looking at metrics for your system. You can also reweight histograms
to avoid errors due to structured omission.
Another class called `LogHistogram` is also available in
`t-digest`. The `LogHistogram` is very much like the `FloatHistogram`,
but it incorporates a clever quadratic update step (thanks to Otmar
Ertl) so that the bucket widths vary more precisely and thus the
number of buckets can be decreased by about 40% while getting the same
accuracy. This is particularly important when you are maintaining only
modest accuracy and want small histograms.
In the future, I will incorporate some of the interpolation tricks
from the main _t_-digest into the `LogHistogram` implementation.
Compile and Test
================
You have to have Java 1.8 to compile and run this code. You will also
need maven (3+ preferred) to compile and test this software. In order
to build the figures that go into the theory paper, you will need R.
In order to format the paper, you will need latex. Pre-built pdf
versions of all figures and papers are provided so you won't need latex
if you don't need to make changes to these documents.
On Ubuntu, you can get the necessary pre-requisites for compiling the
code with the following:
sudo apt-get install openjdk-8-jdk git maven
Once you have these installed, use this to build and test the software:
cd t-digest; mvn test
Most of the very slow tests are in the `quality` module so if you just run
the tests in `core` module, you can save considerable time.
Testing Accuracy and Comparing to Q-digest
================
The normal test suite produces a number of diagnostics that describe
the scaling and accuracy characteristics of t-digests. In order to
produce nice visualizations of these properties, you need to have many more
samples. To get this enhanced view, run the tests in the `quality` module
by running the full test suite once or, subsequently, by running just the
tests in the quality sub-directory.
cd quality; mvn test
The data from these tests are stored in a variety of data files in the
`quality` directory. Some of these files are quite large.
I have prepared [detailed instructions on producing all of the figures](https://github.com/tdunning/t-digest/blob/master/docs/t-digest-paper/figure-doc.pdf)
used in the main paper.
Most of these scripts will complete almost instantaneously; one or two
will take a few tens of seconds.
The output of these scripts are a collection of PDF files that can be
viewed with any suitable viewer such as Preview on a Mac. Many of
these images are used as figures in the
[main t-digest paper](https://github.com/tdunning/t-digest/blob/master/docs/t-digest-paper/histo.pdf).
Implementations in Other Languages
=================
The t-digest algorithm has been ported to other languages:
- Python: [tdigest](https://github.com/CamDavidsonPilon/tdigest)
- Go: [github.com/spenczar/tdigest](https://github.com/spenczar/tdigest) [github.com/influxdata/tdigest](https://github.com/influxdata/tdigest)
- JavaScript: [tdigest](https://github.com/welch/tdigest)
- C++: [CPP TDigest](https://github.com/gpichot/cpp-tdigest), [FB's Folly Implementation (high performance)](https://github.com/facebook/folly/blob/master/folly/stats/TDigest.h)
- C++: [TDigest](https://github.com/apache/arrow/blob/master/cpp/src/arrow/util/tdigest.h
) as part of [Apache Arrow](https://arrow.apache.org/)
- CUDA C++: [tdigest.cu](https://github.com/rapidsai/cudf/blob/branch-22.10/cpp/src/quantiles/tdigest/tdigest.cu) as part of `libcudf` in [RAPIDS](https://rapids.ai/) powering the [`approx_percentile` and `percentile_approx`](https://github.com/NVIDIA/spark-rapids/blob/b35311f7c6950fd5d8f7f6ed66aeffa87c480850/sql-plugin/src/main/scala/com/nvidia/spark/rapids/GpuApproximatePercentile.scala#L123-L130) expressions in Spark SQL with [RAPIDS Accelerator for Apache Spark](https://nvidia.github.io/spark-rapids/)
- Rust: [t-digest](https://github.com/MnO2/t-digest) and its modified version in [Apache Arrow Datafusion](https://github.com/apache/arrow-datafusion/blob/ca952bd33402816dbb1550debb9b8cac3b13e8f2/datafusion-physical-expr/src/tdigest/mod.rs#L19-L28)
- Scala: [TDigest.scala](https://github.com/stripe-archive/brushfire/blob/master/brushfire-training/src/main/scala/com/stripe/brushfire/TDigest.scala)
- C: [tdigestc (w/ bindings to Go, Java, Python, JS via wasm)](https://github.com/ajwerner/tdigestc)
- C: [t-digest-c](https://github.com/RedisBloom/t-digest-c) as part of [RedisBloom](https://redisbloom.io/)
- Clojure: [t-digest for Clojure](https://github.com/henrygarner/t-digest)
- C#: [t-digest-csharp (.NET Core)](https://github.com/Cyral/t-digest-csharp)
- Kotlin multiplatform: [tdigest_kotlin_multiplatform](https://github.com/beyondeye/tdigest_kotlin_multiplatform)
- OCaml: [tdigest](https://github.com/SGrondin/tdigest). Purely functional, can also compile to JS via js_of_ocaml.
- Redis: [Redis Stack](https://redis.io/docs/data-types/probabilistic/t-digest/) supports t-digest.
Continuous Integration
=================
The t-digest project makes use of Travis integration with Github for testing whenever a change is made.
You can see the reports at:
https://travis-ci.org/tdunning/t-digest
travis update
Installation
===============
The t-Digest library Jars are released via [Maven Central Repository](http://repo1.maven.org/maven2/com/tdunning/).
The current version is 3.3.
```xml
com.tdunning
t-digest
3.3
```