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sketches-go

This repo contains Go implementations of the distributed quantile sketch algorithm DDSketch [1]. DDSketch has relative-error guarantees for any quantile q in [0, 1]. That is if the true value of the qth-quantile is x then DDSketch returns a value y such that |x-y| / x < e where e is the relative error parameter. DDSketch is also fully mergeable, meaning that multiple sketches from distributed systems can be combined in a central node.

Our default implementation, returned from NewDefaultDDSketch(relativeAccuracy), is guaranteed [1] not to grow too large in size for any data that can be described by a distribution whose tails are sub-exponential.

We also provide implementations, returned by LogCollapsingLowestDenseDDSketch(relativeAccuracy, maxNumBins) and LogCollapsingHighestDenseDDSketch(relativeAccuracy, maxNumBins), where the q-quantile will be accurate up to the specified relative error for q that is not too small (or large). Concretely, the q-quantile will be accurate up to the specified relative error as long as it belongs to one of the m bins kept by the sketch. For instance, If the values are time in seconds, maxNumBins = 2048 covers a time range from 80 microseconds to 1 year.

Usage

import "github.com/DataDog/sketches-go/ddsketch"

relativeAccuracy := 0.01
sketch := ddsketch.NewDefaultDDSketch(relativeAccuracy)

Add values to the sketch.

import "math/rand"

for i := 0; i < 500; i++ {
  v := rand.NormFloat64()
  sketch.Add(v)
}

Find the quantiles to within alpha relative error.

qs := []float64{0.5, 0.75, 0.9, 1}
quantiles, err := sketch.GetValuesAtQuantiles(qs)

Merge another DDSketch into sketch.

anotherSketch := ddsketch.NewDefaultDDSketch(relativeAccuracy)
for i := 0; i < 500; i++ {
  v := rand.NormFloat64()
  anotherSketch.Add(v)
}
sketch.MergeWith(anotherSketch)

The quantiles are in sketch are still accurate to within relativeAccuracy.

References

[1] Charles Masson and Jee E Rim and Homin K. Lee. DDSketch: A fast and fully-mergeable quantile sketch with relative-error guarantees. PVLDB, 12(12): 2195-2205, 2019. (The code referenced in the paper, including our implementation of the the Greenwald-Khanna (GK) algorithm, can be found at: https://github.com/DataDog/sketches-go/releases/tag/v0.0.1 )