From 9efcd08ea355dc5b37e90e6fcb7c43029a5232ef Mon Sep 17 00:00:00 2001
From: Jordan Woyak <jordan.woyak@gmail.com>
Date: Wed, 12 Feb 2020 19:15:02 -0600
Subject: [PATCH] MathUtil: Add RunningMean/RunningVariance classes.

---
 Source/Core/Common/MathUtil.h | 40 +++++++++++++++++++++++++++++++++++
 1 file changed, 40 insertions(+)

diff --git a/Source/Core/Common/MathUtil.h b/Source/Core/Common/MathUtil.h
index 3ad01bc9fe..0e4b840524 100644
--- a/Source/Core/Common/MathUtil.h
+++ b/Source/Core/Common/MathUtil.h
@@ -5,6 +5,7 @@
 #pragma once
 
 #include <algorithm>
+#include <cmath>
 #include <vector>
 
 #include "Common/CommonTypes.h"
@@ -93,6 +94,45 @@ struct Rectangle
   }
 };
 
+template <typename T>
+class RunningMean
+{
+public:
+  constexpr void Clear() { *this = {}; }
+
+  constexpr void Push(T x) { m_mean = m_mean + (x - m_mean) / ++m_count; }
+
+  constexpr size_t Count() const { return m_count; }
+  constexpr T Mean() const { return m_mean; }
+
+private:
+  size_t m_count = 0;
+  T m_mean{};
+};
+
+template <typename T>
+class RunningVariance
+{
+public:
+  constexpr void Clear() { *this = {}; }
+
+  constexpr void Push(T x)
+  {
+    const auto old_mean = m_running_mean.Mean();
+    m_running_mean.Push(x);
+    m_variance += (x - old_mean) * (x - m_running_mean.Mean());
+  }
+
+  constexpr size_t Count() const { return m_running_mean.Count(); }
+  constexpr T Mean() const { return m_running_mean.Mean(); }
+  constexpr T Variance() const { return m_variance / (Count() - 1); }
+  constexpr T StandardDeviation() const { return std::sqrt(Variance()); }
+
+private:
+  RunningMean<T> m_running_mean;
+  T m_variance{};
+};
+
 }  // namespace MathUtil
 
 float MathFloatVectorSum(const std::vector<float>&);