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Re: [Help-gsl] use of recurrence relation while computing mean, variance

From: Brian Hawkins
Subject: Re: [Help-gsl] use of recurrence relation while computing mean, variance etc.
Date: Sun, 7 Aug 2011 10:32:42 -0700

Hi Awhan,

I didn't write the code, but I think it's safe to say that the
recurrence relations and use of long double is indeed motivated by
numerical concerns.  Running sums are a common cause of overflow.
Variables inside a loop have local scope but otherwise behave
similarly as other variables.  IMO this coding style is cleaner, and
it also makes parallelism simpler to implement.


> Date: Sun, 7 Aug 2011 04:22:49 +0530
> From: Awhan Patnaik <address@hidden>
> To: address@hidden
> Subject: [Help-gsl] use of recurrence relation while computing mean,
>        variance etc.
> Message-ID:
>        <address@hidden>
> Content-Type: text/plain; charset=ISO-8859-1
> hello all,
> i have 3 questions to bother you with.
> 1) what is the motivation behind using the recurrence relation for the
> computation of the mean ? seems to me that a division by the number of
> elements *after* the for loop will result in fewer division operations
> than the current implementation. i have noticed the use of recurrence
> type computation of variance as well.
> 2) many functions have a return type of double but the quantity of
> interest that is to be returned is declared as a long double inside
> the function body. why is this done? is it that conversion from a long
> double to double results in less loss of precision?
> 3) declaration of variables inside the for loop body e.g. delta in the
> following snippet from variance_source.c
> /* find the sum of the squares */
>  for (i = 0; i < n; i++)
>    {
>      const long double delta = (data[i * stride] - mean);
>      variance += (delta * delta - variance) / (i + 1);
>    }
> does the compiler keep creating a local delta each time control enters
> the loop or is it created once but treated as a local variable and
> valid only in the scope of the for loop?

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