Support constructing TDigest from centroids and getting centroids from TDigest

Summary:
To implement tdigest aggregation in scuba, we need to be able to deserialize and serialize the digests.
I added a getter for the centroids so that we can serialize the tdigest, and added a constructor to create one from the list of centroids.

Last diff was reverted because of a build error :(
We were seeing an error only in opt mode because it's an error in gcc but not in clang.

Differential Revision: D8381617

fbshipit-source-id: 768a12795aeb02737eb9b060f80d01608685c91d

folly/stats/TDigest.cpp

@@ -75,6 +75,32 @@ static double clamp(double v, double lo, double hi) {
   return v;
 }
 
+TDigest::TDigest(
+    std::vector<Centroid> centroids,
+    double sum,
+    double count,
+    double max_val,
+    double min_val,
+    size_t maxSize)
+    : maxSize_(maxSize),
+      sum_(sum),
+      count_(count),
+      max_(max_val),
+      min_(min_val) {
+  if (centroids.size() <= maxSize_) {
+    centroids_ = std::move(centroids);
+  } else {
+    // Number of centroids is greater than maxSize, we need to compress them
+    // When merging, resulting digest takes the maxSize of the first digest
+    auto sz = centroids.size();
+    std::array<TDigest, 2> digests{{
+        TDigest(maxSize_),
+        TDigest(std::move(centroids), sum_, count_, max_, min_, sz),
+    }};
+    *this = this->merge(digests);
+  }
+}
+
 TDigest TDigest::merge(Range<const double*> sortedValues) const {
   if (sortedValues.empty()) {
     return *this;

folly/stats/TDigest.h

@@ -48,9 +48,44 @@ namespace folly {
  */
 class TDigest {
  public:
+  class Centroid {
+   public:
+    explicit Centroid(double mean = 0.0, double weight = 1.0)
+        : mean_(mean), weight_(weight) {}
+
+    inline double mean() const {
+      return mean_;
+    }
+
+    inline double weight() const {
+      return weight_;
+    }
+
+    /*
+     * Adds the sum/weight to this centroid, and returns the new sum.
+     */
+    inline double add(double sum, double weight);
+
+    inline bool operator<(const Centroid& other) const {
+      return mean() < other.mean();
+    }
+
+   private:
+    double mean_;
+    double weight_;
+  };
+
   explicit TDigest(size_t maxSize = 100)
       : maxSize_(maxSize), sum_(0.0), count_(0.0), max_(NAN), min_(NAN) {}
 
+  explicit TDigest(
+      std::vector<Centroid> centroids,
+      double sum,
+      double count,
+      double max_val,
+      double min_val,
+      size_t maxSize = 100);
+
   /*
    * Returns a new TDigest constructed with values merged from the current
    * digest and the given sortedValues.
@@ -92,34 +127,11 @@ class TDigest {
     return centroids_.empty();
   }
 
- private:
-  struct Centroid {
-   public:
-    explicit Centroid(double mean = 0.0, double weight = 1.0)
-        : mean_(mean), weight_(weight) {}
-
-    inline double mean() const {
-      return mean_;
-    }
-
-    inline double weight() const {
-      return weight_;
-    }
-
-    /*
-     * Adds the sum/weight to this centroid, and returns the new sum.
-     */
-    inline double add(double sum, double weight);
-
-    inline bool operator<(const Centroid& other) const {
-      return mean() < other.mean();
+  const std::vector<Centroid>& getCentroids() const {
+    return centroids_;
   }
 
  private:
-    double mean_;
-    double weight_;
-  };
-
   std::vector<Centroid> centroids_;
   size_t maxSize_;
   double sum_;

folly/stats/test/TDigestTest.cpp

@@ -219,6 +219,46 @@ TEST(TDigest, NegativeValuesMergeDigests) {
   EXPECT_EQ(100, digest.estimateQuantile(1.0));
 }
 
+TEST(TDigest, ConstructFromCentroids) {
+  std::vector<TDigest::Centroid> centroids{};
+
+  TDigest digest(100);
+  std::vector<double> values;
+  for (int i = 1; i <= 100; ++i) {
+    values.push_back(i);
+  }
+  auto digest1 = digest.merge(values);
+
+  size_t centroid_count = digest1.getCentroids().size();
+
+  TDigest digest2(
+      digest1.getCentroids(),
+      digest1.sum(),
+      digest1.count(),
+      digest1.max(),
+      digest1.min(),
+      100);
+
+  EXPECT_EQ(digest1.sum(), digest2.sum());
+  EXPECT_EQ(digest1.count(), digest2.count());
+  EXPECT_EQ(digest1.min(), digest2.min());
+  EXPECT_EQ(digest1.max(), digest2.max());
+  EXPECT_EQ(digest1.getCentroids().size(), digest2.getCentroids().size());
+
+  TDigest digest3(
+      digest1.getCentroids(),
+      digest1.sum(),
+      digest1.count(),
+      digest1.max(),
+      digest1.min(),
+      centroid_count - 1);
+  EXPECT_EQ(digest1.sum(), digest3.sum());
+  EXPECT_EQ(digest1.count(), digest3.count());
+  EXPECT_EQ(digest1.min(), digest3.min());
+  EXPECT_EQ(digest1.max(), digest3.max());
+  EXPECT_NE(digest1.getCentroids().size(), digest3.getCentroids().size());
+}
+
 class DistributionTest
     : public ::testing::TestWithParam<
           std::tuple<std::pair<bool, size_t>, double, bool>> {};