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quantile.go
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quantile.go
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package sketch
import (
"errors"
"fmt"
"sync"
"github.com/DataDog/sketches-go/ddsketch"
"github.com/DataDog/sketches-go/ddsketch/mapping"
"github.com/DataDog/sketches-go/ddsketch/store"
"github.com/influxdata/tdigest"
"github.com/grafana/loki/v3/pkg/logproto"
)
// QuantileSketch estimates quantiles over time.
type QuantileSketch interface {
Add(float64) error
Quantile(float64) (float64, error)
Merge(QuantileSketch) (QuantileSketch, error)
ToProto() *logproto.QuantileSketch
Release()
}
type QuantileSketchFactory func() QuantileSketch
func QuantileSketchFromProto(proto *logproto.QuantileSketch) (QuantileSketch, error) {
switch concrete := proto.Sketch.(type) {
case *logproto.QuantileSketch_Tdigest:
return TDigestQuantileFromProto(concrete.Tdigest), nil
case *logproto.QuantileSketch_Ddsketch:
return DDSketchQuantileFromProto(concrete.Ddsketch)
}
return nil, fmt.Errorf("unknown quantile sketch type: %T", proto.Sketch)
}
// DDSketchQuantile is a QuantileSketch implementation based on DataDog's
// "DDSketch: A fast and fully-mergeable quantile sketch with relative-error
// guarantees." paper.
type DDSketchQuantile struct {
*ddsketch.DDSketch
}
const relativeAccuracy = 0.01
var ddsketchPool = sync.Pool{
New: func() any {
m, _ := mapping.NewCubicallyInterpolatedMapping(relativeAccuracy)
return ddsketch.NewDDSketch(m, store.NewCollapsingLowestDenseStore(2048), store.NewCollapsingLowestDenseStore(2048))
},
}
func NewDDSketch() *DDSketchQuantile {
s := ddsketchPool.Get().(*ddsketch.DDSketch)
return &DDSketchQuantile{s}
}
func (d *DDSketchQuantile) Quantile(quantile float64) (float64, error) {
if quantile >= 1.0 || quantile <= 0 {
return 0.0, errors.New("invalid quantile value, must be between 0.0 and 1.0 ")
}
return d.GetValueAtQuantile(quantile)
}
func (d *DDSketchQuantile) Merge(other QuantileSketch) (QuantileSketch, error) {
cast, ok := other.(*DDSketchQuantile)
if !ok {
return nil, fmt.Errorf("invalid sketch type: want %T, got %T", d, cast)
}
err := d.MergeWith(cast.DDSketch)
return d, err
}
func (d *DDSketchQuantile) ToProto() *logproto.QuantileSketch {
sketch := &logproto.QuantileSketch_Ddsketch{}
d.DDSketch.Encode(&sketch.Ddsketch, false)
return &logproto.QuantileSketch{
Sketch: sketch,
}
}
func (d *DDSketchQuantile) Release() {
d.DDSketch.Clear()
ddsketchPool.Put(d.DDSketch)
}
func DDSketchQuantileFromProto(buf []byte) (*DDSketchQuantile, error) {
sketch := NewDDSketch()
err := sketch.DDSketch.DecodeAndMergeWith(buf)
return sketch, err
}
type TDigestQuantile struct {
*tdigest.TDigest
}
func NewTDigestSketch() QuantileSketch {
s := tdigest.New()
return &TDigestQuantile{s}
}
func (d *TDigestQuantile) Add(count float64) error {
d.TDigest.Add(count, 1)
return nil
}
func (d *TDigestQuantile) Quantile(quantile float64) (float64, error) {
if quantile >= 1.0 || quantile <= 0 {
return 0.0, errors.New("invalid quantile value, must be between 0.0 and 1.0 ")
}
return d.TDigest.Quantile(quantile), nil
}
func (d *TDigestQuantile) Merge(other QuantileSketch) (QuantileSketch, error) {
cast, ok := other.(*TDigestQuantile)
if !ok {
return nil, fmt.Errorf("invalid sketch type: want %T, got %T", d, cast)
}
d.TDigest.Merge(cast.TDigest)
return d, nil
}
func (d *TDigestQuantile) ToProto() *logproto.QuantileSketch {
centroids := make(tdigest.CentroidList, 0)
centroids = d.Centroids(centroids)
processed := make([]*logproto.TDigest_Centroid, len(centroids))
for i, c := range centroids {
processed[i] = &logproto.TDigest_Centroid{
Mean: c.Mean,
Weight: c.Weight,
}
}
return &logproto.QuantileSketch{
Sketch: &logproto.QuantileSketch_Tdigest{
Tdigest: &logproto.TDigest{
Compression: d.Compression,
Processed: processed,
},
},
}
}
func (d *TDigestQuantile) Release() {}
func TDigestQuantileFromProto(proto *logproto.TDigest) *TDigestQuantile {
q := &TDigestQuantile{tdigest.NewWithCompression(proto.Compression)}
centroids := make([]tdigest.Centroid, len(proto.Processed))
for i, c := range proto.Processed {
centroids[i] = tdigest.Centroid{Mean: c.Mean, Weight: c.Weight}
}
q.AddCentroidList(centroids)
return q
}