Rolling min max

doc/accumulators.qbk

@@ -2077,6 +2077,99 @@ The rolling count is the current number of elements in the rolling window.
 
 [endsect]
 
+[section:rolling_max rolling_max]
+
+The rolling sum is the sum of the last /N/ samples.
+
+[variablelist
+    [[Result Type] [``_sample_type_``]]
+    [[Depends On] [`sorted_rolling_window`]]
+    [[Variants] [['none]]]
+    [[Initialization Parameters] [`tag::rolling_window::window_size`]]
+    [[Accumulator Parameters] [['none]]]
+    [[Extractor Parameters] [['none]]]
+    [[Accumulator Complexity] [O(log N), where N is the window size]]
+    [[Extractor Complexity] [O(1)]]
+]
+
+[*Header]
+[def _ROLLING_MAX_HPP_ [headerref boost/accumulators/statistics/rolling_max.hpp]]
+
+    #include <_ROLLING_MAX_HPP_>
+
+[*Example]
+
+    accumulator_set<int, stats<tag::rolling_max> > acc(tag::rolling_window::window_size = 3);
+
+    acc(1);
+    BOOST_CHECK_EQUAL(1, rolling_max(acc));
+
+    acc(2);
+    BOOST_CHECK_EQUAL(2, rolling_max(acc));
+
+    acc(3);
+    BOOST_CHECK_EQUAL(3, rolling_max(acc));
+
+    acc(1);
+    BOOST_CHECK_EQUAL(3, rolling_max(acc));
+
+    acc(-1);
+    BOOST_CHECK_EQUAL(1, rolling_max(acc));
+
+    acc(0);
+    BOOST_CHECK_EQUAL(1, rolling_max(acc));
+
+[*See also]
+
+* [classref boost::accumulators::impl::rolling_max_impl [^rolling_max_impl]]
+
+[endsect]
+
+[section:rolling_min rolling_min]
+
+The rolling sum is the sum of the last /N/ samples.
+
+[variablelist
+    [[Result Type] [``_sample_type_``]]
+    [[Depends On] [`sorted_rolling_window`]]
+    [[Variants] [['none]]]
+    [[Initialization Parameters] [`tag::rolling_window::window_size`]]
+    [[Accumulator Parameters] [['none]]]
+    [[Extractor Parameters] [['none]]]
+    [[Accumulator Complexity] [O(log N), where N is the window size]]
+    [[Extractor Complexity] [O(1)]]
+]
+
+[*Header]
+[def _ROLLING_MIN_HPP_ [headerref boost/accumulators/statistics/rolling_min.hpp]]
+
+    #include <_ROLLING_MIN_HPP_>
+
+[*Example]
+
+    accumulator_set<int, stats<tag::rolling_min> > acc(tag::rolling_window::window_size = 3);
+
+    acc(1);
+    BOOST_CHECK_EQUAL(1, rolling_min(acc));
+
+    acc(2);
+    BOOST_CHECK_EQUAL(1, rolling_min(acc));
+
+    acc(3);
+    BOOST_CHECK_EQUAL(1, rolling_min(acc));
+
+    acc(4);
+    BOOST_CHECK_EQUAL(2, rolling_min(acc));
+
+    acc(-1);
+    BOOST_CHECK_EQUAL(-1, rolling_min(acc));
+
+[*See also]
+
+* [classref boost::accumulators::impl::rolling_min_impl [^rolling_min_impl]]
+
+[endsect]
+
 [section:rolling_sum rolling_sum]
 
 The rolling sum is the sum of the last /N/ samples. 

include/boost/accumulators/statistics/rolling_max.hpp

@@ -0,0 +1,77 @@
+///////////////////////////////////////////////////////////////////////////////
+// rolling_max.hpp
+//
+//  Copyright 2018 Quentin Chateau. Distributed under the Boost
+//  Software License, Version 1.0. (See accompanying file
+//  LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt)
+
+#ifndef BOOST_ACCUMULATORS_STATISTICS_ROLLING_MAX_HPP_QC_20_12_2018
+#define BOOST_ACCUMULATORS_STATISTICS_ROLLING_MAX_HPP_QC_20_12_2018
+
+#include <boost/accumulators/framework/accumulator_base.hpp>
+#include <boost/accumulators/framework/extractor.hpp>
+#include <boost/accumulators/framework/parameters/sample.hpp>
+#include <boost/accumulators/framework/depends_on.hpp>
+#include <boost/accumulators/statistics_fwd.hpp>
+#include <boost/accumulators/statistics/sorted_rolling_window.hpp>
+
+namespace boost { namespace accumulators
+{
+
+namespace impl
+{
+    ///////////////////////////////////////////////////////////////////////////////
+    // rolling_max_impl
+    template<typename Sample>
+    struct rolling_max_impl
+      : accumulator_base
+    {
+        // for boost::result_of
+        typedef Sample result_type;
+
+        rolling_max_impl(dont_care)
+        {
+        }
+
+        template<typename Args>
+        result_type result(Args const &args) const
+        {
+            if (sorted_rolling_window(args).empty())
+            {
+                return numeric::as_min(Sample());
+            }
+            return sorted_rolling_window(args).back();
+        }
+    };
+
+} // namespace impl
+
+///////////////////////////////////////////////////////////////////////////////
+// tag::rolling_max
+//
+namespace tag
+{
+    struct rolling_max
+      : depends_on< sorted_rolling_window >
+    {
+        /// INTERNAL ONLY
+        ///
+        typedef accumulators::impl::rolling_max_impl<mpl::_1> impl;
+    };
+}
+
+///////////////////////////////////////////////////////////////////////////////
+// extract::rolling_max
+//
+namespace extract
+{
+    extractor<tag::rolling_max> const rolling_max = {};
+
+    BOOST_ACCUMULATORS_IGNORE_GLOBAL(rolling_max)
+}
+
+using extract::rolling_max;
+
+}} // namespace boost::accumulators
+
+#endif

include/boost/accumulators/statistics/rolling_min.hpp

@@ -0,0 +1,77 @@
+///////////////////////////////////////////////////////////////////////////////
+// rolling_min.hpp
+//
+//  Copyright 2018 Quentin Chateau. Distributed under the Boost
+//  Software License, Version 1.0. (See accompanying file
+//  LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt)
+
+#ifndef BOOST_ACCUMULATORS_STATISTICS_ROLLING_MIN_HPP_QC_20_12_2018
+#define BOOST_ACCUMULATORS_STATISTICS_ROLLING_MIN_HPP_QC_20_12_2018
+
+#include <boost/accumulators/framework/accumulator_base.hpp>
+#include <boost/accumulators/framework/extractor.hpp>
+#include <boost/accumulators/framework/parameters/sample.hpp>
+#include <boost/accumulators/framework/depends_on.hpp>
+#include <boost/accumulators/statistics_fwd.hpp>
+#include <boost/accumulators/statistics/sorted_rolling_window.hpp>
+
+namespace boost { namespace accumulators
+{
+
+namespace impl
+{
+    ///////////////////////////////////////////////////////////////////////////////
+    // rolling_min_impl
+    template<typename Sample>
+    struct rolling_min_impl
+      : accumulator_base
+    {
+        // for boost::result_of
+        typedef Sample result_type;
+
+        rolling_min_impl(dont_care)
+        {
+        }
+
+        template<typename Args>
+        result_type result(Args const &args) const
+        {
+            if (sorted_rolling_window(args).empty())
+            {
+                return numeric::as_max(Sample());
+            }
+            return sorted_rolling_window(args).front();
+        }
+    };
+
+} // namespace impl
+
+///////////////////////////////////////////////////////////////////////////////
+// tag::rolling_min
+//
+namespace tag
+{
+    struct rolling_min
+      : depends_on< sorted_rolling_window >
+    {
+        /// INTERNAL ONLY
+        ///
+        typedef accumulators::impl::rolling_min_impl<mpl::_1> impl;
+    };
+}
+
+///////////////////////////////////////////////////////////////////////////////
+// extract::rolling_min
+//
+namespace extract
+{
+    extractor<tag::rolling_min> const rolling_min = {};
+
+    BOOST_ACCUMULATORS_IGNORE_GLOBAL(rolling_min)
+}
+
+using extract::rolling_min;
+
+}} // namespace boost::accumulators
+
+#endif

include/boost/accumulators/statistics/sorted_rolling_window.hpp

@@ -0,0 +1,99 @@
+///////////////////////////////////////////////////////////////////////////////
+// sorted_rolling_window.hpp
+//
+// Copyright 2018 Quentin Chateau. Distributed under the Boost
+// Software License, Version 1.0. (See accompanying file
+// LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt)
+
+#ifndef BOOST_ACCUMULATORS_STATISTICS_SORTED_ROLLING_WINDOW_HPP_QC_20_12_2018
+#define BOOST_ACCUMULATORS_STATISTICS_SORTED_ROLLING_WINDOW_HPP_QC_20_12_2018
+
+#include <boost/container/set.hpp>
+#include <boost/range/iterator_range.hpp>
+#include <boost/accumulators/accumulators_fwd.hpp>
+#include <boost/accumulators/framework/extractor.hpp>
+#include <boost/accumulators/framework/depends_on.hpp>
+#include <boost/accumulators/framework/accumulator_base.hpp>
+#include <boost/accumulators/framework/parameters/sample.hpp>
+#include <boost/accumulators/framework/parameters/accumulator.hpp>
+#include <boost/accumulators/statistics_fwd.hpp>
+#include <boost/accumulators/statistics/rolling_window.hpp>
+
+namespace boost { namespace accumulators
+{
+
+namespace impl
+{
+    ///////////////////////////////////////////////////////////////////////////////
+    // sorted_rolling_window
+    //    stores the latest N samples, where N is specified at construction time
+    //    with the rolling_window_size named parameter. samples are sorted
+    //    on insersion
+    template<typename Sample>
+    struct sorted_rolling_window_impl
+      : accumulator_base
+    {
+        typedef typename container::multiset<Sample>::const_iterator const_iterator;
+        typedef iterator_range<const_iterator> result_type;
+
+        template<typename Args>
+        sorted_rolling_window_impl(Args const &)
+        {}
+
+        template<typename Args>
+        void operator ()(Args const &args)
+        {
+            if(is_rolling_window_plus1_full(args))
+            {
+                const_iterator it = this->sorted_buffer_.find(rolling_window_plus1(args).front());
+                this->sorted_buffer_.erase(it);
+            }
+            this->sorted_buffer_.insert(args[sample]);
+        }
+
+        result_type result(dont_care) const
+        {
+            return result_type(this->sorted_buffer_.begin(), this->sorted_buffer_.end());
+        }
+
+    private:
+        container::multiset<Sample> sorted_buffer_;
+    };
+
+} // namespace impl
+
+///////////////////////////////////////////////////////////////////////////////
+// tag::sorted_rolling_window
+//
+namespace tag
+{
+    struct sorted_rolling_window
+      : depends_on< rolling_window_plus1 >
+    {
+        /// INTERNAL ONLY
+        ///
+        typedef accumulators::impl::sorted_rolling_window_impl< mpl::_1 > impl;
+
+        #ifdef BOOST_ACCUMULATORS_DOXYGEN_INVOKED
+        /// tag::sorted_rolling_window::size named parameter
+        static boost::parameter::keyword<tag::rolling_window_size> const window_size;
+        #endif
+    };
+
+} // namespace tag
+
+///////////////////////////////////////////////////////////////////////////////
+// extract::sorted_rolling_window
+//
+namespace extract
+{
+    extractor<tag::sorted_rolling_window> const sorted_rolling_window = {};
+
+    BOOST_ACCUMULATORS_IGNORE_GLOBAL(sorted_rolling_window)
+}
+
+using extract::sorted_rolling_window;
+
+}} // namespace boost::accumulators
+
+#endif

test/Jamfile.v2

@@ -47,8 +47,11 @@ test-suite "accumulators"
       [ run reference.cpp ]
       [ run rolling_count.cpp ]
       [ run rolling_sum.cpp ]
+      [ run rolling_max.cpp ]
       [ run rolling_mean.cpp ]
+      [ run rolling_min.cpp ]
       [ run skewness.cpp ]
+      [ run sorted_rolling_window.cpp ]
       [ run sum.cpp ]
       [ run sum_kahan.cpp ]
       [ run tail.cpp ]