Calculating the running average and variance of streaming data using redis

by Kyriakos Chatzidimitriou | Apr 5, 2019 00:33 | tutorials

redispythononline outlier detectionrunning averagerunning variance

In our Big Data Management System, cenote, we wanted to calculate the running average and the running variance of numeric JSON properties from streaming data processed by Storm bolts. Before the bolts store the data in the database, we wanted to update these statistics for each numeric property in order to perform online outlier detection. The values of each numeric property can be processed by a different bolt and all these bolts have to update the same running statistic concurrently. Thus each update should be either an atomic operation or formed as a transaction, while at the same time be fast enough to achieve near-real time processing times end-to-end.

A system that supports quick writes and reads is redis, an in-memory, key-value store that has both atomic operations and transactions. So when a bolt receives a JSON document it should update the tripplet, {n, m, m2}, according to Welford's algorithm, with n being the number of sample, m the mean and m2 the squared distance from the mean.

Below there is example code (or here as a gist) that instantiates a pool of 100 threads, with each one processing a number, connecting to redis and updating the number of samples, their running average and their variance using transactions (or pipelines in the Python-redis language). It uses a lua script and the EVAL redis command.

from multiprocessing import Pool
import redis
import math
import json
from random import seed
from random import gauss

# Atomic operations
def sum(x):
r = redis.Redis(host='localhost', port=6379, db=0)
r.incrbyfloat('sum', x)

# transactional operations using EVAL
def welford(x):
r = redis.Redis(host='localhost', port=6379, db=0)
pipe = r.pipeline()
running(keys=['aggregate'], args=[x], client=pipe)
pipe.execute()

if __name__ == '__main__':
# create a sequence of numbers following a normal distribution
# of mean 0 and 1 standard deviation
seed(1)
sequence = [gauss(0,1) for i in range(1000)]
# connect to redis and initialize
rmain = redis.Redis(host='localhost', port=6379, db=0)
rmain.set('sum', 0)
rmain.set('aggregate', '{ "n": "0", "m": "0", "m2": "0" }')
# Welford's online algorithm
# https://en.wikipedia.org/wiki/Algorithms_for_calculating_variance#Welford's_online_algorithm
lua_script = """
local aggregate = redis.call('get',KEYS)
local decode = cjson.decode(aggregate)
local n = decode['n']
n = n + 1
local m = decode['m']
local m2 = decode['m2']
local delta = ARGV - m
m = m + delta/n
m2 = m2 + delta * (ARGV - m)
decode['n'] = n
decode['m'] = m
decode['m2'] = m2
local encoded = cjson.encode(decode)
redis.call('set', KEYS, encoded)
"""
running = rmain.register_script(lua_script)
p = Pool(100) # create a pool of 100 threads
p.map(sum, sequence) # calculate the sum
p.map(welford, sequence) # calculate running mean and variance or standard deviation
print('sum: ' + str(rmain.get('sum')))