b-digest

B-digest is a Go library for fast and memory-efficient estimation
of quantiles with guaranteed relative error and full mergeability.

package bdigest_test
import (
    "fmt"
    "math"
    "math/rand"
    "pgregory.net/bdigest"
)
func ExampleNewDigest() {
    r := rand.New(rand.NewSource(0))
    d := bdigest.NewDigest(0.05)
    for i := 0; i < 100000; i++ {
        v := math.Exp(r.NormFloat64())
        d.Add(v)
    }
    fmt.Printf("%v buckets\n", d.Size())
    for _, q := range []float64{0, 0.1, 0.25, 0.5, 0.75, 0.9, 0.95, 0.99, 0.999, 0.9999, 1} {
        fmt.Printf("%v\tq%v\n", d.Quantile(q), q)
    }
    // Output:
    // 98 buckets
    // 0.015690260723105844    q0
    // 0.2858480802952493    q0.1
    // 0.5211100423907477    q0.25
    // 1.05    q0.5
    // 1.9141830301785612    q0.75
    // 3.489615879070075    q0.9
    // 5.2076333497857386    q0.95
    // 10.493014090054524    q0.99
    // 21.142683691165157    q0.999
    // 42.601017193748824    q0.9999
    // 258.10858921508054    q1
}

License

B-digest is licensed under the Apache License Version 2.0.