Add support for weighted fraction accumulator

include/boost/histogram/accumulators.hpp

@@ -19,6 +19,7 @@
 
 #include <boost/histogram/accumulators/count.hpp>
 #include <boost/histogram/accumulators/fraction.hpp>
+#include <boost/histogram/accumulators/weighted_fraction.hpp>
 #include <boost/histogram/accumulators/mean.hpp>
 #include <boost/histogram/accumulators/sum.hpp>
 #include <boost/histogram/accumulators/weighted_mean.hpp>

include/boost/histogram/accumulators/fraction.hpp

@@ -10,6 +10,7 @@
 #include <boost/core/nvp.hpp>
 #include <boost/histogram/fwd.hpp> // for fraction<>
 #include <boost/histogram/utility/wilson_interval.hpp>
+#include <boost/histogram/weight.hpp>
 #include <type_traits> // for std::common_type
 
 namespace boost {
@@ -36,7 +37,8 @@ class fraction {
   using const_reference = const value_type&;
   using real_type = typename std::conditional<std::is_floating_point<value_type>::value,
                                               value_type, double>::type;
-  using interval_type = typename utility::wilson_interval<real_type>::interval_type;
+  using score_type = typename utility::wilson_interval<real_type>;
+  using interval_type = typename score_type::interval_type;
 
   fraction() noexcept = default;
 
@@ -51,11 +53,14 @@ class fraction {
                  static_cast<value_type>(e.failures())} {}
 
   /// Insert boolean sample x.
-  void operator()(bool x) noexcept {
+  void operator()(bool x) noexcept { operator()(weight(1), x); }
+
+  /// Insert boolean sample x with weight w.
+  void operator()(const weight_type<value_type>& w, bool x) noexcept {
     if (x)
-      ++succ_;
+      succ_ += w.value;
     else
-      ++fail_;
+      fail_ += w.value;
   }
 
   /// Add another accumulator.
@@ -79,18 +84,23 @@ class fraction {
 
   /// Return variance of the success fraction.
   real_type variance() const noexcept {
+    return variance_for_p_and_n_eff(value(), count());
+  }
+
+  /// Calculate the variance for a given success fraction and effective number of samples.
+  template <class T>
+  static real_type variance_for_p_and_n_eff(const real_type& p, const T& n_eff) noexcept {
     // We want to compute Var(p) for p = X / n with Var(X) = n p (1 - p)
     // For Var(X) see
     // https://en.wikipedia.org/wiki/Binomial_distribution#Expected_value_and_variance
     // Error propagation: Var(p) = p'(X)^2 Var(X) = p (1 - p) / n
-    const real_type p = value();
-    return p * (1 - p) / count();
+    return p * (1 - p) / n_eff;
   }
 
   /// Return standard interval with 68.3 % confidence level (Wilson score interval).
   interval_type confidence_interval() const noexcept {
-    return utility::wilson_interval<real_type>()(static_cast<real_type>(successes()),
-                                                 static_cast<real_type>(failures()));
+    return score_type()(static_cast<real_type>(successes()),
+                        static_cast<real_type>(failures()));
   }
 
   bool operator==(const fraction& rhs) const noexcept {

include/boost/histogram/accumulators/ostream.hpp

@@ -101,6 +101,14 @@ std::basic_ostream<CharT, Traits>& operator<<(std::basic_ostream<CharT, Traits>&
   return detail::handle_nonzero_width(os, x);
 }
 
+template <class CharT, class Traits, class U>
+std::basic_ostream<CharT, Traits>& operator<<(std::basic_ostream<CharT, Traits>& os,
+                                              const weighted_fraction<U>& x) {
+  if (os.width() == 0)
+    return os << "weighted_fraction(" << x.get_fraction() << ", " << x.sum_w2() << ")";
+  return detail::handle_nonzero_width(os, x);
+}
+
 } // namespace accumulators
 } // namespace histogram
 } // namespace boost

include/boost/histogram/accumulators/weighted_fraction.hpp

@@ -0,0 +1,193 @@
+// Copyright 2022 Jay Gohil, Hans Dembinski
+//
+// 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_HISTOGRAM_ACCUMULATORS_WEIGHTED_FRACTION_HPP
+#define BOOST_HISTOGRAM_ACCUMULATORS_WEIGHTED_FRACTION_HPP
+
+#include <boost/core/nvp.hpp>
+#include <boost/histogram/accumulators/fraction.hpp>
+#include <boost/histogram/detail/square.hpp>
+#include <boost/histogram/fwd.hpp> // for weighted_fraction<>
+#include <boost/histogram/weight.hpp>
+#include <type_traits> // for std::common_type
+
+namespace boost {
+namespace histogram {
+namespace accumulators {
+
+namespace internal {
+
+// Accumulates the sum of weights squared.
+template <class ValueType>
+class sum_of_weights_squared {
+public:
+  using value_type = ValueType;
+  using const_reference = const value_type&;
+
+  sum_of_weights_squared() = default;
+
+  // Allow implicit conversion from sum_of_weights_squared<T>
+  template <class T>
+  sum_of_weights_squared(const sum_of_weights_squared<T>& o) noexcept
+      : sum_of_weights_squared(o.sum_of_weights_squared_) {}
+
+  // Initialize to external sum of weights squared.
+  sum_of_weights_squared(const_reference sum_w2) noexcept
+      : sum_of_weights_squared_(sum_w2) {}
+
+  // Increment by one.
+  sum_of_weights_squared& operator++() {
+    ++sum_of_weights_squared_;
+    return *this;
+  }
+
+  // Increment by weight.
+  sum_of_weights_squared& operator+=(const weight_type<value_type>& w) {
+    sum_of_weights_squared_ += detail::square(w.value);
+    return *this;
+  }
+
+  // Added another sum_of_weights_squared.
+  sum_of_weights_squared& operator+=(const sum_of_weights_squared& rhs) {
+    sum_of_weights_squared_ += rhs.sum_of_weights_squared_;
+    return *this;
+  }
+
+  bool operator==(const sum_of_weights_squared& rhs) const noexcept {
+    return sum_of_weights_squared_ == rhs.sum_of_weights_squared_;
+  }
+
+  bool operator!=(const sum_of_weights_squared& rhs) const noexcept {
+    return !operator==(rhs);
+  }
+
+  // Return sum of weights squared.
+  const_reference value() const noexcept { return sum_of_weights_squared_; }
+
+  template <class Archive>
+  void serialize(Archive& ar, unsigned /* version */) {
+    ar& make_nvp("sum_of_weights_squared", sum_of_weights_squared_);
+  }
+
+private:
+  ValueType sum_of_weights_squared_{};
+};
+
+} // namespace internal
+
+/// Accumulates weighted boolean samples and computes the fraction of true samples.
+template <class ValueType>
+class weighted_fraction {
+public:
+  using value_type = ValueType;
+  using const_reference = const value_type&;
+  using fraction_type = fraction<ValueType>;
+  using real_type = typename fraction_type::real_type;
+  using score_type = typename fraction_type::score_type;
+  using interval_type = typename score_type::interval_type;
+
+  weighted_fraction() noexcept = default;
+
+  /// Initialize to external fraction and sum of weights squared.
+  weighted_fraction(const fraction_type& f, const_reference sum_w2) noexcept
+      : f_(f), sum_w2_(sum_w2) {}
+
+  /// Convert the weighted_fraction class to a different type T.
+  template <class T>
+  operator weighted_fraction<T>() const noexcept {
+    return weighted_fraction<T>(static_cast<fraction<T>>(f_),
+                                static_cast<T>(sum_w2_.value()));
+  }
+
+  /// Insert boolean sample x with weight 1.
+  void operator()(bool x) noexcept { operator()(weight(1), x); }
+
+  /// Insert boolean sample x with weight w.
+  void operator()(const weight_type<value_type>& w, bool x) noexcept {
+    f_(w, x);
+    sum_w2_ += w;
+  }
+
+  /// Add another weighted_fraction.
+  weighted_fraction& operator+=(const weighted_fraction& rhs) noexcept {
+    f_ += rhs.f_;
+    sum_w2_ += rhs.sum_w2_;
+    return *this;
+  }
+
+  bool operator==(const weighted_fraction& rhs) const noexcept {
+    return f_ == rhs.f_ && sum_w2_ == rhs.sum_w2_;
+  }
+
+  bool operator!=(const weighted_fraction& rhs) const noexcept {
+    return !operator==(rhs);
+  }
+
+  /// Return number of boolean samples that were true.
+  const_reference successes() const noexcept { return f_.successes(); }
+
+  /// Return number of boolean samples that were false.
+  const_reference failures() const noexcept { return f_.failures(); }
+
+  /// Return effective number of boolean samples.
+  real_type count() const noexcept {
+    return static_cast<real_type>(detail::square(f_.count())) / sum_w2_.value();
+  }
+
+  /// Return success weighted_fraction of boolean samples.
+  real_type value() const noexcept { return f_.value(); }
+
+  /// Return variance of the success weighted_fraction.
+  real_type variance() const noexcept {
+    return fraction_type::variance_for_p_and_n_eff(value(), count());
+  }
+
+  /// Return the sum of weights squared.
+  value_type sum_of_weights_squared() const noexcept { return sum_w2_.value(); }
+
+  /// Return standard interval with 68.3 % confidence level (Wilson score interval).
+  interval_type confidence_interval() const noexcept {
+    const real_type n_eff = count();
+    const real_type p_hat = value();
+    const real_type correction = score_type::third_order_correction(n_eff);
+    return score_type().wilson_solve_for_neff_phat_correction(n_eff, p_hat, correction);
+  }
+
+  /// Return the fraction.
+  const fraction_type& get_fraction() const noexcept { return f_; }
+
+  /// Return the sum of weights squared.
+  const value_type& sum_w2() const noexcept { return sum_w2_.value(); }
+
+  template <class Archive>
+  void serialize(Archive& ar, unsigned /* version */) {
+    ar& make_nvp("fraction", f_);
+    ar& make_nvp("sum_of_weights_squared", sum_w2_);
+  }
+
+private:
+  fraction_type f_;
+  internal::sum_of_weights_squared<ValueType> sum_w2_;
+};
+
+} // namespace accumulators
+} // namespace histogram
+} // namespace boost
+
+#ifndef BOOST_HISTOGRAM_DOXYGEN_INVOKED
+
+namespace std {
+template <class T, class U>
+/// Specialization for boost::histogram::accumulators::weighted_fraction.
+struct common_type<boost::histogram::accumulators::weighted_fraction<T>,
+                   boost::histogram::accumulators::weighted_fraction<U>> {
+  using type = boost::histogram::accumulators::weighted_fraction<common_type_t<T, U>>;
+};
+} // namespace std
+
+#endif
+
+#endif

include/boost/histogram/fwd.hpp

@@ -97,6 +97,16 @@ class count;
 template <class ValueType = double>
 class fraction;
 
+namespace internal {
+
+template <class ValueType = double>
+class sum_of_weights_squared;
+
+} // namespace internal
+
+template <class ValueType = double>
+class weighted_fraction;
+
 template <class ValueType = double>
 class sum;
 

include/boost/histogram/utility/wilson_interval.hpp

@@ -75,7 +75,72 @@ class wilson_interval : public binomial_proportion_interval<ValueType> {
     return {t1 - t2, t1 + t2};
   }
 
+  /// Returns the third order correction for n_eff.
+  static value_type third_order_correction(value_type n_eff) noexcept {
+    // The approximate formula reads:
+    //   f(n) = (n³ + n² + 2n + 6) / n³
+    //
+    // Applying the substitution x = 1 / n gives:
+    //   f(n) = 1 + x + 2x² + 6x³
+    //
+    // Using Horner's method to evaluate this polynomial gives:
+    //   f(n) = 1 + x (1 + x (2 + 6x))
+    if (n_eff == 0) return 1;
+    const value_type x = 1 / n_eff;
+    return 1 + x * (1 + x * (2 + 6 * x));
+  }
+
+  /** Computer the confidence interval for the provided problem.
+
+    @param p The problem to solve.
+  */
+  interval_type wilson_solve_for_neff_phat_correction(
+      const value_type& n_eff, const value_type& p_hat,
+      const value_type& correction) const noexcept {
+    // Equation 41 from this paper: https://arxiv.org/abs/2110.00294
+    //      (p̂ - p)² = p (1 - p) (z² f(n) / n)
+    // Multiply by n to avoid floating point error when n = 0.
+    //    n (p̂ - p)² = p (1 - p) z² f(n)
+    // Expand.
+    //    np² - 2np̂p + np̂² = pz²f(n) - p²z²f(n)
+    // Collect terms of p.
+    //    p²(n + z²f(n)) + p(-2np̂ - z²f(n)) + (np̂²) = 0
+    //
+    // This is a quadratic equation ap² + bp + c = 0 where
+    //    a = n + z²f(n)
+    //    b = -2np̂ - z²f(n)
+    //    c = np̂²
+
+    const value_type zz_correction = (z_ * z_) * correction;
+
+    const value_type a = n_eff + zz_correction;
+    const value_type b = -2 * n_eff * p_hat - zz_correction;
+    const value_type c = n_eff * (p_hat * p_hat);
+
+    return quadratic_roots(a, b, c);
+  }
+
 private:
+  // Finds the roots of the quadratic equation ax² + bx + c = 0.
+  static interval_type quadratic_roots(const value_type& a, const value_type& b,
+                                       const value_type& c) noexcept {
+    // https://people.csail.mit.edu/bkph/articles/Quadratics.pdf
+
+    const value_type two_a = 2 * a;
+    const value_type two_c = 2 * c;
+    const value_type sqrt_bb_4ac = std::sqrt(b * b - two_a * two_c);
+
+    if (b >= 0) {
+      const value_type root1 = (-b - sqrt_bb_4ac) / two_a;
+      const value_type root2 = two_c / (-b - sqrt_bb_4ac);
+      return {root1, root2};
+    } else {
+      const value_type root1 = two_c / (-b + sqrt_bb_4ac);
+      const value_type root2 = (-b + sqrt_bb_4ac) / two_a;
+      return {root1, root2};
+    }
+  }
+
   value_type z_;
 };
 

test/CMakeLists.txt

@@ -41,6 +41,8 @@ boost_test(TYPE compile-fail SOURCES histogram_fail4.cpp)
 set(BOOST_TEST_LINK_LIBRARIES Boost::histogram Boost::core)
 
 boost_test(TYPE run SOURCES accumulators_count_test.cpp)
+boost_test(TYPE run SOURCES accumulators_fraction_test.cpp)
+boost_test(TYPE run SOURCES accumulators_weighted_fraction_test.cpp)
 boost_test(TYPE run SOURCES accumulators_mean_test.cpp)
 boost_test(TYPE run SOURCES accumulators_sum_test.cpp)
 boost_test(TYPE run SOURCES accumulators_weighted_mean_test.cpp)
@@ -96,7 +98,6 @@ boost_test(TYPE run SOURCES unlimited_storage_test.cpp)
 boost_test(TYPE run SOURCES tools_test.cpp)
 boost_test(TYPE run SOURCES issue_327_test.cpp)
 boost_test(TYPE run SOURCES issue_353_test.cpp)
-boost_test(TYPE run SOURCES accumulators_fraction_test.cpp)
 boost_test(TYPE run SOURCES utility_binomial_proportion_interval_test.cpp)
 boost_test(TYPE run SOURCES utility_wald_interval_test.cpp)
 boost_test(TYPE run SOURCES utility_wilson_interval_test.cpp)

test/Jamfile

@@ -41,6 +41,7 @@ alias odr :
 alias cxx14 :
     [ run accumulators_count_test.cpp ]
     [ run accumulators_fraction_test.cpp ]
+    [ run accumulators_weighted_fraction_test.cpp ]
     [ run accumulators_mean_test.cpp ]
     [ run accumulators_sum_test.cpp : : :
       # make sure sum accumulator works even with -ffast-math and optimizations