andreacavalli/rust-average
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README.md

average

Calculate the average of a sequence and its error iteratively, using constant memory and avoiding numerical problems. The calculation can be easily parallelized by using Average::merge.

Documentation | crates.io

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Advantages over naive calculation of average and variance

  • Avoids loss of precision due to cancellation.
  • Only needs a single pass over the samples, at the cost of a division inside the loop.