Skip to content

Calculate sum in Kahan summation algorithm in aggregations (#27807) #27848

New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Merged
merged 8 commits into from
Jan 22, 2018
Merged

Calculate sum in Kahan summation algorithm in aggregations (#27807) #27848

Show file tree
Hide file tree
Changes from 1 commit
Commits
Show all changes
8 commits
Select commit Hold shift + click to select a range
30f7228
Calculate sum in Kahan summation algorithm in aggregations (#27807)
liketic Dec 16, 2017
6c45e08
Compute summation with Kahan summation algorithm for internal aggrega…
liketic Dec 19, 2017
95aff79
Merge remote-tracking branch 'upstream/master' into feature/issues/27807
liketic Dec 31, 2017
15cdec2
Properly calculate sum of NaN and infinities
liketic Jan 1, 2018
1f07cca
Simplify summing up algorithm for aggregations
liketic Jan 3, 2018
594f750
Merge remote-tracking branch 'upstream/master' into feature/issues/27807
liketic Jan 15, 2018
b2ce7cb
Merge branch 'master' of https://github.com/elastic/elasticsearch int…
liketic Jan 16, 2018
176be1f
Add test case for summing up NaN and infinities
liketic Jan 16, 2018
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
18 changes: 14 additions & 4 deletions core/src/main/java/org/elasticsearch/search/aggregations/metrics/avg/AvgAggregator.java
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -46,6 +46,8 @@ public class AvgAggregator extends NumericMetricsAggregator.SingleValue {
DoubleArray sums;
DocValueFormat format;

private DoubleArray compensations;
Copy link
Contributor

@jpountz jpountz Dec 17, 2017

Choose a reason for hiding this comment

The reason will be displayed to describe this comment to others. Learn more.

please declare it next to sums and using the same modifiers


public AvgAggregator(String name, ValuesSource.Numeric valuesSource, DocValueFormat formatter, SearchContext context,
Aggregator parent, List<PipelineAggregator> pipelineAggregators, Map<String, Object> metaData) throws IOException {
super(name, context, parent, pipelineAggregators, metaData);
Expand All @@ -55,6 +57,7 @@ public AvgAggregator(String name, ValuesSource.Numeric valuesSource, DocValueFor
final BigArrays bigArrays = context.bigArrays();
counts = bigArrays.newLongArray(1, true);
sums = bigArrays.newDoubleArray(1, true);
compensations = bigArrays.newDoubleArray(1, true);
}
}

Expand All @@ -76,15 +79,22 @@ public LeafBucketCollector getLeafCollector(LeafReaderContext ctx,
public void collect(int doc, long bucket) throws IOException {
counts = bigArrays.grow(counts, bucket + 1);
sums = bigArrays.grow(sums, bucket + 1);
compensations = bigArrays.grow(compensations, bucket + 1);

if (values.advanceExact(doc)) {
final int valueCount = values.docValueCount();
counts.increment(bucket, valueCount);
double sum = 0;
double sum = sums.get(bucket);
double compensation = compensations.get(bucket);

for (int i = 0; i < valueCount; i++) {
sum += values.nextValue();
double corrected = values.nextValue() - compensation;
double newSum = sum + corrected;
compensation = (newSum - sum) - corrected;
sum = newSum;
Copy link
Contributor

@jpountz jpountz Dec 17, 2017

Choose a reason for hiding this comment

The reason will be displayed to describe this comment to others. Learn more.

can you add a comment saying this is Kahan summation?

Copy link
Author

@liketic liketic Dec 19, 2017

Choose a reason for hiding this comment

The reason will be displayed to describe this comment to others. Learn more.

Thanks @jpountz . I pushed 6c45e08

}
sums.increment(bucket, sum);
sums.set(bucket, sum);
compensations.set(bucket, compensation);
}
}
};
Expand Down Expand Up @@ -113,7 +123,7 @@ public InternalAggregation buildEmptyAggregation() {

@Override
public void doClose() {
Releasables.close(counts, sums);
Releasables.close(counts, sums, compensations);
}

}
18 changes: 14 additions & 4 deletions core/src/main/java/org/elasticsearch/search/aggregations/metrics/stats/StatsAggregator.java
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -48,6 +48,8 @@ public class StatsAggregator extends NumericMetricsAggregator.MultiValue {
DoubleArray mins;
DoubleArray maxes;

private DoubleArray compensations;


public StatsAggregator(String name, ValuesSource.Numeric valuesSource, DocValueFormat format,
SearchContext context,
Expand All @@ -59,6 +61,7 @@ public StatsAggregator(String name, ValuesSource.Numeric valuesSource, DocValueF
final BigArrays bigArrays = context.bigArrays();
counts = bigArrays.newLongArray(1, true);
sums = bigArrays.newDoubleArray(1, true);
compensations = bigArrays.newDoubleArray(1, true);
mins = bigArrays.newDoubleArray(1, false);
mins.fill(0, mins.size(), Double.POSITIVE_INFINITY);
maxes = bigArrays.newDoubleArray(1, false);
Expand Down Expand Up @@ -88,6 +91,7 @@ public void collect(int doc, long bucket) throws IOException {
final long overSize = BigArrays.overSize(bucket + 1);
counts = bigArrays.resize(counts, overSize);
sums = bigArrays.resize(sums, overSize);
compensations = bigArrays.resize(compensations, overSize);
mins = bigArrays.resize(mins, overSize);
maxes = bigArrays.resize(maxes, overSize);
mins.fill(from, overSize, Double.POSITIVE_INFINITY);
Expand All @@ -97,16 +101,22 @@ public void collect(int doc, long bucket) throws IOException {
if (values.advanceExact(doc)) {
final int valuesCount = values.docValueCount();
counts.increment(bucket, valuesCount);
double sum = 0;
double min = mins.get(bucket);
double max = maxes.get(bucket);
double sum = sums.get(bucket);
double compensation = compensations.get(bucket);

for (int i = 0; i < valuesCount; i++) {
double value = values.nextValue();
sum += value;
double corrected = value - compensation;
double newSum = sum + corrected;
compensation = (newSum - sum) - corrected;
sum = newSum;
min = Math.min(min, value);
max = Math.max(max, value);
}
sums.increment(bucket, sum);
sums.set(bucket, sum);
compensations.set(bucket, compensation);
mins.set(bucket, min);
maxes.set(bucket, max);
}
Expand Down Expand Up @@ -164,6 +174,6 @@ public InternalAggregation buildEmptyAggregation() {

@Override
public void doClose() {
Releasables.close(counts, maxes, mins, sums);
Releasables.close(counts, maxes, mins, sums, compensations);
}
}
17 changes: 13 additions & 4 deletions core/src/main/java/org/elasticsearch/search/aggregations/metrics/sum/SumAggregator.java
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -43,6 +43,7 @@ public class SumAggregator extends NumericMetricsAggregator.SingleValue {
private final DocValueFormat format;

private DoubleArray sums;
private DoubleArray compensations;

SumAggregator(String name, ValuesSource.Numeric valuesSource, DocValueFormat formatter, SearchContext context,
Aggregator parent, List<PipelineAggregator> pipelineAggregators, Map<String, Object> metaData) throws IOException {
Expand All @@ -51,6 +52,7 @@ public class SumAggregator extends NumericMetricsAggregator.SingleValue {
this.format = formatter;
if (valuesSource != null) {
sums = context.bigArrays().newDoubleArray(1, true);
compensations = context.bigArrays().newDoubleArray(1, true);
}
}

Expand All @@ -71,13 +73,20 @@ public LeafBucketCollector getLeafCollector(LeafReaderContext ctx,
@Override
public void collect(int doc, long bucket) throws IOException {
sums = bigArrays.grow(sums, bucket + 1);
compensations = bigArrays.grow(compensations, bucket + 1);

if (values.advanceExact(doc)) {
final int valuesCount = values.docValueCount();
double sum = 0;
double sum = sums.get(bucket);
double compensation = compensations.get(bucket);
for (int i = 0; i < valuesCount; i++) {
sum += values.nextValue();
double corrected = values.nextValue() - compensation;
double newSum = sum + corrected;
compensation = (newSum - sum) - corrected;
sum = newSum;
}
sums.increment(bucket, sum);
compensations.set(bucket, compensation);
sums.set(bucket, sum);
}
}
};
Expand Down Expand Up @@ -106,6 +115,6 @@ public InternalAggregation buildEmptyAggregation() {

@Override
public void doClose() {
Releasables.close(sums);
Releasables.close(sums, compensations);
}
}
24 changes: 24 additions & 0 deletions core/src/test/java/org/elasticsearch/search/aggregations/metrics/StatsAggregatorTests.java
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -19,6 +19,7 @@
package org.elasticsearch.search.aggregations.metrics;

import org.apache.lucene.document.Document;
import org.apache.lucene.document.DoubleDocValuesField;
import org.apache.lucene.document.SortedNumericDocValuesField;
import org.apache.lucene.index.IndexReader;
import org.apache.lucene.index.RandomIndexWriter;
Expand All @@ -36,6 +37,8 @@
import java.io.IOException;
import java.util.function.Consumer;

import static java.util.Collections.singleton;

public class StatsAggregatorTests extends AggregatorTestCase {
static final double TOLERANCE = 1e-10;

Expand Down Expand Up @@ -113,6 +116,27 @@ public void testRandomLongs() throws IOException {
);
}

public void testSummationAccuracy() throws IOException {
MappedFieldType ft = new NumberFieldMapper.NumberFieldType(NumberFieldMapper.NumberType.DOUBLE);
final String fieldName = "field";
ft.setName(fieldName);
testCase(ft,
iw -> {
double[] values = new double[]{0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.9, 1.1, 1.2, 1.3, 1.4, 1.5, 1.6, 1.7};
for (double value : values) {
iw.addDocument(singleton(new DoubleDocValuesField(fieldName, value)));
}
},
stats -> {
assertEquals(15, stats.getCount());
assertEquals(0.9, stats.getAvg(), 0d);
assertEquals(13.5, stats.getSum(), 0d);
assertEquals(1.7, stats.getMax(), 0d);
assertEquals(0.1, stats.getMin(), 0d);
}
);
}

public void testCase(MappedFieldType ft,
CheckedConsumer<RandomIndexWriter, IOException> buildIndex,
Consumer<InternalStats> verify) throws IOException {
Expand Down
21 changes: 20 additions & 1 deletion core/src/test/java/org/elasticsearch/search/aggregations/metrics/SumAggregatorTests.java
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -18,6 +18,7 @@
*/
package org.elasticsearch.search.aggregations.metrics;

import org.apache.lucene.document.DoubleDocValuesField;
import org.apache.lucene.document.Field;
import org.apache.lucene.document.NumericDocValuesField;
import org.apache.lucene.document.SortedDocValuesField;
Expand Down Expand Up @@ -116,10 +117,28 @@ public void testStringField() throws IOException {
"Re-index with correct docvalues type.", e.getMessage());
}

public void testSummationAccuracy() throws IOException {
testCase(new MatchAllDocsQuery(),
iw -> {
double[] values = new double[]{0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9, 1.0, 1.1, 1.2, 1.3, 1.4, 1.5, 1.6, 1.7};
for (double value : values) {
iw.addDocument(singleton(new DoubleDocValuesField(FIELD_NAME, value)));
}
},
count -> assertEquals(15.3, count.getValue(), 0d),
NumberFieldMapper.NumberType.DOUBLE);
}

private void testCase(Query query,
CheckedConsumer<RandomIndexWriter, IOException> indexer,
Consumer<Sum> verify) throws IOException {
testCase(query, indexer, verify, NumberFieldMapper.NumberType.LONG);
}

private void testCase(Query query,
CheckedConsumer<RandomIndexWriter, IOException> indexer,
Consumer<Sum> verify,
NumberFieldMapper.NumberType fieldNumberType) throws IOException {
try (Directory directory = newDirectory()) {
try (RandomIndexWriter indexWriter = new RandomIndexWriter(random(), directory)) {
indexer.accept(indexWriter);
Expand All @@ -128,7 +147,7 @@ private void testCase(Query query,
try (IndexReader indexReader = DirectoryReader.open(directory)) {
IndexSearcher indexSearcher = newSearcher(indexReader, true, true);

MappedFieldType fieldType = new NumberFieldMapper.NumberFieldType(NumberFieldMapper.NumberType.LONG);
MappedFieldType fieldType = new NumberFieldMapper.NumberFieldType(fieldNumberType);
fieldType.setName(FIELD_NAME);
fieldType.setHasDocValues(true);

Expand Down
30 changes: 24 additions & 6 deletions core/src/test/java/org/elasticsearch/search/aggregations/metrics/avg/AvgAggregatorTests.java
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -19,6 +19,7 @@

package org.elasticsearch.search.aggregations.metrics.avg;

import org.apache.lucene.document.DoubleDocValuesField;
import org.apache.lucene.document.IntPoint;
import org.apache.lucene.document.NumericDocValuesField;
import org.apache.lucene.document.SortedNumericDocValuesField;
Expand All @@ -34,9 +35,6 @@
import org.elasticsearch.index.mapper.MappedFieldType;
import org.elasticsearch.index.mapper.NumberFieldMapper;
import org.elasticsearch.search.aggregations.AggregatorTestCase;
import org.elasticsearch.search.aggregations.metrics.avg.AvgAggregationBuilder;
import org.elasticsearch.search.aggregations.metrics.avg.AvgAggregator;
import org.elasticsearch.search.aggregations.metrics.avg.InternalAvg;

import java.io.IOException;
import java.util.Arrays;
Expand Down Expand Up @@ -103,8 +101,28 @@ public void testQueryFiltersAll() throws IOException {
});
}

private void testCase(Query query, CheckedConsumer<RandomIndexWriter, IOException> buildIndex, Consumer<InternalAvg> verify)
throws IOException {
public void testSummationAccuracy() throws IOException {
testCase(new MatchAllDocsQuery(),
iw -> {
double[] values = new double[]{0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.9, 1.1, 1.2, 1.3, 1.4, 1.5, 1.6, 1.7};
for (double value : values) {
iw.addDocument(singleton(new DoubleDocValuesField("number", value)));
}
},
avg -> assertEquals(0.9, avg.getValue(), 0d),
NumberFieldMapper.NumberType.DOUBLE);
}

private void testCase(Query query,
CheckedConsumer<RandomIndexWriter, IOException> buildIndex,
Consumer<InternalAvg> verify) throws IOException {
testCase(query, buildIndex, verify, NumberFieldMapper.NumberType.LONG);
}

private void testCase(Query query,
CheckedConsumer<RandomIndexWriter, IOException> buildIndex,
Consumer<InternalAvg> verify,
NumberFieldMapper.NumberType fieldNumberType) throws IOException {
Directory directory = newDirectory();
RandomIndexWriter indexWriter = new RandomIndexWriter(random(), directory);
buildIndex.accept(indexWriter);
Expand All @@ -114,7 +132,7 @@ private void testCase(Query query, CheckedConsumer<RandomIndexWriter, IOExceptio
IndexSearcher indexSearcher = newSearcher(indexReader, true, true);

AvgAggregationBuilder aggregationBuilder = new AvgAggregationBuilder("_name").field("number");
MappedFieldType fieldType = new NumberFieldMapper.NumberFieldType(NumberFieldMapper.NumberType.LONG);
MappedFieldType fieldType = new NumberFieldMapper.NumberFieldType(fieldNumberType);
fieldType.setName("number");

AvgAggregator aggregator = createAggregator(aggregationBuilder, indexSearcher, fieldType);
Expand Down