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philipperemy/online_mean_std.py

Created January 13, 2021 23:06
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  1. philipperemy created this gist Jan 13, 2021.
    28 changes: 28 additions & 0 deletions online_mean_std.py
    View file
    Original file line number Diff line number Diff line change
    @@ -0,0 +1,28 @@
    import numpy as np

    # online computation of the mean and the variance.

    class RollingMean:

    def __init__(self):
    self.st = 0.0
    self.n = 0

    def update(self, x):
    self.st += x
    self.n += 1
    return self.st / self.n


    class RollingStd:

    def __init__(self):
    self.sst = 0.0
    self.st = 0.0
    self.n = 0

    def update(self, x):
    self.sst += x ** 2
    self.st += x
    self.n += 1
    return np.sqrt((self.sst - (self.st ** 2) / self.n) / self.n)