RobustScaler.h

/*
 * RobustScaler.h
 *
 * (c) 2025 Sofian Audry        :: info(@)sofianaudry(.)com
 *
 * This program is free software: you can redistribute it and/or modify
 * it under the terms of the GNU General Public License as published by
 * the Free Software Foundation, either version 3 of the License, or
 * (at your option) any later version.
 *
 * This program is distributed in the hope that it will be useful,
 * but WITHOUT ANY WARRANTY; without even the implied warranty of
 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
 * GNU General Public License for more details.
 *
 * You should have received a copy of the GNU General Public License
 * along with this program.  If not, see <http://www.gnu.org/licenses/>.
 *
 * (c) 2025 Sofian Audry
 *
 * Adaptive quantile-based scaler using Robbins–Monro updates.
 */
 
#ifndef SCALER_H_
#define SCALER_H_
 
#include "PqCore.h"
#include "MovingFilter.h"
#include "MovingAverage.h"
 
namespace pq {
 
// Default low quantile level (corresponds to 1% coverage of value in [0, 1]).
#define ROBUST_SCALER_DEFAULT_SPAN 0.99f
 
// Minimum value of base eta.
#define ROBUST_SCALER_MIN_ETA 1e-4f
 
class RobustScaler : public MovingFilter {
public:
  RobustScaler(Engine& engine = Engine::primary());
 
  RobustScaler(float timeWindow, Engine& engine = Engine::primary());
 
  RobustScaler(float timeWindow, float span, Engine& engine = Engine::primary());
 
  virtual ~RobustScaler() {}
 
  virtual void span(float span);
 
  virtual float span() const;
 
  virtual void lowQuantileLevel(float level);
 
  virtual float lowQuantileLevel() const { return _quantileLevel; }
 
  virtual void highQuantileLevel(float level);
 
  virtual float highQuantileLevel() const { return (1 - _quantileLevel); }
 
  virtual float lowQuantile() const { return _lowQuantile; }
 
  virtual float highQuantile() const { return _highQuantile; }
 
  virtual float stdDev() const { return _stdDev.constGet(); }
 
  virtual void reset();
 
  virtual void reset(float estimatedMeanValue);
 
  virtual void reset(float estimatedMinValue, float estimatedMaxValue);
 
  virtual float get() { return _value; }
 
  virtual float put(float value);
 
  virtual float filter(float value);
 
protected:
  virtual void step();
 
  // Internal quantile update (Robbins–Monro).
  inline void _updateQuantile(float& q, float level, float eta, float x);
 
  // Helper function to initialize range.
  void _initializeRange(float minValue, float maxValue);
 
protected:
  // Low quantile level (in [0, 0.5]).
  float _quantileLevel;
 
  // Quantile estimators.
  float _lowQuantile;  // q_low
  float _highQuantile; // q_high
 
  // Stddev estimator.
  MovingAverage _stdDev;
 
  // Variables used to compute current value average during a step (in case of multiple calls to put()).
  float _currentStdDevStep;
};
 
}
 
#endif