feat: add CusumDetector, cumulative sum change detection for streams

src/main/java/com/thealgorithms/streaming/CusumDetector.java

@@ -0,0 +1,279 @@
+package com.thealgorithms.streaming;
+
+/**
+ * <b>CUSUM</b> (cumulative sum) change detection: it notices that the level of a stream has shifted,
+ * long before the shift is visible in a moving average.
+ *
+ * <p>A threshold on the raw samples can only catch a change that is large compared with the noise.
+ * CUSUM instead accumulates evidence. Every sample is normalised into
+ * {@code z = (x - target) / sigma} and pushed into two one-sided sums:
+ *
+ * <pre>
+ * upper &lt;- max(0, upper + z - allowance)
+ * lower &lt;- max(0, lower - z - allowance)
+ * </pre>
+ *
+ * <p>The <i>allowance</i> {@code k} is a toll paid on every step. While the stream sits at its
+ * target the toll exceeds the average evidence, both sums are pinned at zero and the detector stays
+ * quiet no matter how long it runs. As soon as the mean shifts by more than {@code k} standard
+ * deviations, the corresponding sum starts drifting upwards, and it keeps drifting: a small but
+ * persistent bias accumulates until it crosses the decision threshold {@code h}. That is the whole
+ * point of the method - a shift of half a standard deviation is invisible in any single sample, yet
+ * unmistakable after twenty of them.
+ *
+ * <p>The classic tuning is {@code k = delta / 2} for the shift size {@code delta} one wants to catch
+ * quickly, together with {@code h} between 4 and 5, which keeps false alarms rare while detecting a
+ * one sigma shift within roughly ten samples. Both sums are cleared whenever an alarm fires, so the
+ * detector immediately starts looking for the next change instead of latching.
+ *
+ * <h2>Usage</h2>
+ *
+ * <pre>{@code
+ * // Watch for a shift of one standard deviation around a target of 20.0.
+ * CusumDetector detector = new CusumDetector(20.0, 0.5, 0.5, 5.0);
+ * for (double sample : stream) {
+ *     ShiftSignal signal = detector.accept(sample);
+ *     if (signal.isAlarm()) {
+ *         alert(signal, detector.count());
+ *     }
+ * }
+ * }</pre>
+ *
+ * <p>Each sample costs O(1) time and the detector keeps O(1) state. This class is not thread-safe.
+ *
+ * @see <a href="https://en.wikipedia.org/wiki/CUSUM">CUSUM</a>
+ */
+public final class CusumDetector {
+
+    /** Allowance used when none is given; it targets shifts of one standard deviation. */
+    public static final double DEFAULT_ALLOWANCE = 0.5;
+
+    /** Decision threshold used when none is given. */
+    public static final double DEFAULT_THRESHOLD = 5.0;
+
+    private final double target;
+    private final double standardDeviation;
+    private final double allowance;
+    private final double threshold;
+
+    private double upperSum;
+    private double lowerSum;
+    private long count;
+    private long alarmCount;
+    private ShiftSignal lastSignal = ShiftSignal.NONE;
+
+    /**
+     * Creates a detector tuned for shifts of about one standard deviation.
+     *
+     * @param target the level the stream is expected to sit at
+     * @param standardDeviation the noise level of the stream, strictly positive
+     * @throws IllegalArgumentException if {@code target} is not finite or {@code standardDeviation} is not strictly positive
+     */
+    public CusumDetector(double target, double standardDeviation) {
+        this(target, standardDeviation, DEFAULT_ALLOWANCE, DEFAULT_THRESHOLD);
+    }
+
+    /**
+     * Creates a detector.
+     *
+     * @param target the level the stream is expected to sit at
+     * @param standardDeviation the noise level of the stream, strictly positive
+     * @param allowance the toll subtracted on every step, in standard deviations; half of the shift
+     *     size one wants to detect quickly
+     * @param threshold how much accumulated evidence raises an alarm, in standard deviations
+     * @throws IllegalArgumentException if any argument is not finite, if {@code standardDeviation} or
+     *     {@code threshold} is not strictly positive, or if {@code allowance} is negative
+     */
+    public CusumDetector(double target, double standardDeviation, double allowance, double threshold) {
+        requireFinite(target, "target");
+        if (!(standardDeviation > 0.0) || !Double.isFinite(standardDeviation)) {
+            throw new IllegalArgumentException("The standard deviation must be finite and strictly positive, but was " + standardDeviation);
+        }
+        if (!(allowance >= 0.0) || !Double.isFinite(allowance)) {
+            throw new IllegalArgumentException("The allowance must be finite and non-negative, but was " + allowance);
+        }
+        if (!(threshold > 0.0) || !Double.isFinite(threshold)) {
+            throw new IllegalArgumentException("The threshold must be finite and strictly positive, but was " + threshold);
+        }
+        this.target = target;
+        this.standardDeviation = standardDeviation;
+        this.allowance = allowance;
+        this.threshold = threshold;
+    }
+
+    /**
+     * Feeds one sample into the detector.
+     *
+     * @param value the incoming sample
+     * @return {@link ShiftSignal#NONE} while the stream stays in control, otherwise the direction of
+     *     the detected shift; the accumulated sums are cleared on an alarm
+     * @throws IllegalArgumentException if {@code value} is NaN or infinite
+     */
+    public ShiftSignal accept(double value) {
+        requireFinite(value, "sample");
+        count++;
+
+        double normalized = (value - target) / standardDeviation;
+        upperSum = Math.max(0.0, upperSum + normalized - allowance);
+        lowerSum = Math.max(0.0, lowerSum - normalized - allowance);
+
+        if (upperSum > threshold) {
+            lastSignal = ShiftSignal.UPWARD;
+        } else if (lowerSum > threshold) {
+            lastSignal = ShiftSignal.DOWNWARD;
+        } else {
+            lastSignal = ShiftSignal.NONE;
+        }
+
+        if (lastSignal.isAlarm()) {
+            alarmCount++;
+            upperSum = 0.0;
+            lowerSum = 0.0;
+        }
+        return lastSignal;
+    }
+
+    /**
+     * Runs the detector over a whole signal.
+     *
+     * @param signal the samples to inspect
+     * @return a new array of the same length holding the verdict for every sample
+     * @throws IllegalArgumentException if any sample is NaN or infinite
+     * @throws NullPointerException if {@code signal} is {@code null}
+     */
+    public ShiftSignal[] scan(double[] signal) {
+        ShiftSignal[] signals = new ShiftSignal[signal.length];
+        for (int i = 0; i < signal.length; i++) {
+            signals[i] = accept(signal[i]);
+        }
+        return signals;
+    }
+
+    /**
+     * Returns the evidence accumulated in favour of an upward shift.
+     *
+     * @return the one-sided upper sum, never negative
+     */
+    public double upperSum() {
+        return upperSum;
+    }
+
+    /**
+     * Returns the evidence accumulated in favour of a downward shift.
+     *
+     * @return the one-sided lower sum, never negative
+     */
+    public double lowerSum() {
+        return lowerSum;
+    }
+
+    /**
+     * Returns the verdict on the most recent sample.
+     *
+     * @return the last signal, {@link ShiftSignal#NONE} before the first sample
+     */
+    public ShiftSignal lastSignal() {
+        return lastSignal;
+    }
+
+    /**
+     * Returns how many samples have been inspected since the last reset.
+     *
+     * @return the sample count
+     */
+    public long count() {
+        return count;
+    }
+
+    /**
+     * Returns how many alarms have been raised since the last reset.
+     *
+     * @return the alarm count
+     */
+    public long alarmCount() {
+        return alarmCount;
+    }
+
+    /**
+     * Returns the expected level of the stream.
+     *
+     * @return the target given at construction time
+     */
+    public double target() {
+        return target;
+    }
+
+    /**
+     * Returns the assumed noise level.
+     *
+     * @return the standard deviation given at construction time
+     */
+    public double standardDeviation() {
+        return standardDeviation;
+    }
+
+    /**
+     * Returns the per-step allowance.
+     *
+     * @return the allowance given at construction time
+     */
+    public double allowance() {
+        return allowance;
+    }
+
+    /**
+     * Returns the decision threshold.
+     *
+     * @return the threshold given at construction time
+     */
+    public double threshold() {
+        return threshold;
+    }
+
+    /**
+     * Clears the accumulated evidence and the counters.
+     */
+    public void reset() {
+        upperSum = 0.0;
+        lowerSum = 0.0;
+        count = 0;
+        alarmCount = 0;
+        lastSignal = ShiftSignal.NONE;
+    }
+
+    @Override
+    public String toString() {
+        return "CusumDetector{target=" + target + ", upperSum=" + upperSum + ", lowerSum=" + lowerSum + ", alarms=" + alarmCount + '}';
+    }
+
+    private static void requireFinite(double value, String name) {
+        if (!Double.isFinite(value)) {
+            throw new IllegalArgumentException("The " + name + " must be finite, but was " + value);
+        }
+    }
+
+    /**
+     * What the detector reports after looking at one sample: either the stream still behaves as
+     * expected, or its level has shifted, in one direction or the other.
+     */
+    public enum ShiftSignal {
+
+        /** No evidence of a change; the stream is in control. */
+        NONE,
+
+        /** The level of the stream has moved above the target. */
+        UPWARD,
+
+        /** The level of the stream has moved below the target. */
+        DOWNWARD;
+
+        /**
+         * Tells whether this signal reports a change.
+         *
+         * @return {@code true} for {@link #UPWARD} and {@link #DOWNWARD}
+         */
+        public boolean isAlarm() {
+            return this != NONE;
+        }
+    }
+}