File size: 1,416 Bytes
a89d35f | 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 | from typing import Tuple
import numpy as np
class RunningMeanStd(object):
def __init__(self, epsilon: float = 1e-4, shape: Tuple[int, ...] = ()):
"""
Calulates the running mean and std of a data stream
https://en.wikipedia.org/wiki/Algorithms_for_calculating_variance#Parallel_algorithm
:param epsilon: helps with arithmetic issues
:param shape: the shape of the data stream's output
"""
self.mean = np.zeros(shape, np.float64)
self.var = np.ones(shape, np.float64)
self.count = epsilon
def update(self, arr: np.ndarray) -> None:
batch_mean = np.mean(arr, axis=0)
batch_var = np.var(arr, axis=0)
batch_count = arr.shape[0]
self.update_from_moments(batch_mean, batch_var, batch_count)
def update_from_moments(self, batch_mean: np.ndarray, batch_var: np.ndarray, batch_count: int) -> None:
delta = batch_mean - self.mean
tot_count = self.count + batch_count
new_mean = self.mean + delta * batch_count / tot_count
m_a = self.var * self.count
m_b = batch_var * batch_count
m_2 = m_a + m_b + np.square(delta) * self.count * batch_count / (self.count + batch_count)
new_var = m_2 / (self.count + batch_count)
new_count = batch_count + self.count
self.mean = new_mean
self.var = new_var
self.count = new_count
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