We present UDDSketch (Uniform DDSketch), a novel sketch for fast and accurate tracking of quantiles in data streams. This sketch is heavily inspired by the recently introduced DDSketch, and is based on a novel bucket collapsing procedure that allows overcoming the intrinsic limits of the corresponding DDSketch procedures. Indeed, the DDSketch bucket collapsing procedure does not allow the derivation of formal guarantees on the accuracy of quantile estimation for data which does not follow a sub-exponential distribution. On the contrary, UDDSketch is designed so that accuracy guarantees can be given over the full range of quantiles and for arbitrary distribution in input. Moreover, our algorithm fully exploits the budgeted memory adaptively in order to guarantee the best possible accuracy over the full range of quantiles. Extensive experimental results on synthetic datasets confirm the validity of our approach.
UDDSKETCH is a recent algorithm for accurate tracking of quantiles in data streams, derived from the DDSKETCH algorithm. UDDSKETCH provides accuracy guarantees covering the full range of quantiles independently of the input distribution and greatly improves the accuracy with regard to DDSKETCH. In this paper we show how to compress and fuse data streams (or datasets) by using UDDSKETCH data summaries that are fused into a new summary related to the union of the streams (or datasets) processed by the input summaries whilst preserving both the error and size guarantees provided by UDDSKETCH. Thi…
Modern applications require processing streams of data for estimating statistical quantities such as quantiles with small amount of memory. In many such applications, in fact, one needs to compute such statistical quantities for each of a large number of groups, which additionally restricts the amount of memory available for the stream for any particular group. We address this challenge and introduce frugal streaming, that is algorithms that work with tiny -- typically, sub-streaming -- amount of memory per group. We design a frugal algorithm that uses only one unit of memory per group to comp…
As data volume grows extensively, data profiling helps to extract metadata of large-scale data. However, one kind of metadata, order statistics, is difficult to be computed because they are not mergeable or incremental. Thus, the limitation of time and memory space does not support their computation on large-scale data. In this paper, we focus on an order statistic, quantiles, and present a comprehensive analysis of studies on approximate quantile computation. Both deterministic algorithms and randomized algorithms that compute approximate quantiles over streaming models or distributed models …
Approximating quantiles and distributions over streaming data has been studied for roughly two decades now. Recently, Karnin, Lang, and Liberty proposed the first asymptotically optimal algorithm for doing so. This manuscript complements their theoretical result by providing a practical variants of their algorithm with improved constants. For a given sketch size, our techniques provably reduce the upper bound on the sketch error by a factor of two. These improvements are verified experimentally. Our modified quantile sketch improves the latency as well by reducing the worst case update time fr…
We address the problem of estimating the running quantile of a data stream when the memory for storing observations is limited. We (i) highlight the limitations of approaches previously described in the literature which make them unsuitable for non-stationary streams, (ii) describe a novel principle for the utilization of the available storage space, and (iii) introduce two novel algorithms which exploit the proposed principle. Experiments on three large real-world data sets demonstrate that the proposed methods vastly outperform the existing alternatives.
This paper resolves one of the longest standing basic problems in the streaming computational model. Namely, optimal construction of quantile sketches. An $\varepsilon$ approximate quantile sketch receives a stream of items $x_1,\ldots,x_n$ and allows one to approximate the rank of any query up to additive error $\varepsilon n$ with probability at least $1-δ$. The rank of a query $x$ is the number of stream items such that $x_i \le x$. The minimal sketch size required for this task is trivially at least $1/\varepsilon$. Felber and Ostrovsky obtain a $O((1/\varepsilon)\log(1/\varepsilon))$ spac…
Summary statistics such as the mean and variance are easily maintained for large, distributed data streams, but order statistics (i.e., sample quantiles) can only be approximately summarized. There is extensive literature on maintaining quantile sketches where the emphasis has been on bounding the rank error of the sketch while using little memory. Unfortunately, rank error guarantees do not preclude arbitrarily large relative errors, and this often occurs in practice when the data is heavily skewed. Given the distributed nature of contemporary large-scale systems, another crucial property for…
Sketches are a family of streaming algorithms widely used in the world of big data to perform fast, real-time analytics. A popular sketch type is Quantiles, which estimates the data distribution of a large input stream. We present Quancurrent, a highly scalable concurrent Quantiles sketch. Quancurrent's throughput increases linearly with the number of available threads, and with $32$ threads, it reaches an update speedup of $12$x and a query speedup of $30$x over a sequential sketch. Quancurrent allows queries to occur concurrently with updates and achieves an order of magnitude better query f…
Stream monitoring is fundamental in many data stream applications, such as financial data trackers, security, anomaly detection, and load balancing. In that respect, quantiles are of particular interest, as they often capture the user's utility. For example, if a video connection has high tail latency, the perceived quality will suffer, even if the average and median latencies are low. In this work, we consider the problem of approximating the per-item quantiles. Elements in our stream are (ID, latency) tuples, and we wish to track the latency quantiles for each ID. Existing quantile sketches …
The need to estimate a particular quantile of a distribution is an important problem which frequently arises in many computer vision and signal processing applications. For example, our work was motivated by the requirements of many semi-automatic surveillance analytics systems which detect abnormalities in close-circuit television (CCTV) footage using statistical models of low-level motion features. In this paper we specifically address the problem of estimating the running quantile of a data stream when the memory for storing observations is limited. We make several major contributions: (i) …
Compressed Counting (CC) was recently proposed for very efficiently computing the (approximate) $α$th frequency moments of data streams, where $0<α<= 2$. Several estimators were reported including the geometric mean estimator, the harmonic mean estimator, the optimal power estimator, etc. The geometric mean estimator is particularly interesting for theoretical purposes. For example, when $α-> 1$, the complexity of CC (using the geometric mean estimator) is $O(1/ε)$, breaking the well-known large-deviation bound $O(1/ε^2)$. The case $α\approx 1$ has important applications, for example, computin…
The Shannon entropy is a widely used summary statistic, for example, network traffic measurement, anomaly detection, neural computations, spike trains, etc. This study focuses on estimating Shannon entropy of data streams. It is known that Shannon entropy can be approximated by Reenyi entropy or Tsallis entropy, which are both functions of the p-th frequency moments and approach Shannon entropy as p->1. Compressed Counting (CC) is a new method for approximating the p-th frequency moments of data streams. Our contributions include: 1) We prove that Renyi entropy is (much) better than Tsallis en…
The probabilistic-stream model was introduced by Jayram et al. \cite{JKV07}. It is a generalization of the data stream model that is suited to handling ``probabilistic'' data where each item of the stream represents a probability distribution over a set of possible events. Therefore, a probabilistic stream determines a distribution over potentially a very large number of classical "deterministic" streams where each item is deterministically one of the domain values. The probabilistic model is applicable for not only analyzing streams where the input has uncertainties (such as sensor data strea…
We present the \crprecis structure, that is a general-purpose, deterministic and sub-linear data structure for summarizing \emph{update} data streams. The \crprecis structure yields the \emph{first deterministic sub-linear space/time algorithms for update streams} for answering a variety of fundamental stream queries, such as, (a) point queries, (b) range queries, (c) finding approximate frequent items, (d) finding approximate quantiles, (e) finding approximate hierarchical heavy hitters, (f) estimating inner-products, (g) near-optimal $B$-bucket histograms, etc..
We consider the the problem of tracking heavy hitters and quantiles in the distributed streaming model. The heavy hitters and quantiles are two important statistics for characterizing a data distribution. Let $A$ be a multiset of elements, drawn from the universe $U=\{1,...,u\}$. For a given $0 \le ϕ\le 1$, the $ϕ$-heavy hitters are those elements of $A$ whose frequency in $A$ is at least $ϕ|A|$; the $ϕ$-quantile of $A$ is an element $x$ of $U$ such that at most $ϕ|A|$ elements of $A$ are smaller than $A$ and at most $(1-ϕ)|A|$ elements of $A$ are greater than $x$. Suppose the elements of $A$ …
The past decade has witnessed many interesting algorithms for maintaining statistics over a data stream. This paper initiates a theoretical study of algorithms for monitoring distributed data streams over a time-based sliding window (which contains a variable number of items and possibly out-of-order items). The concern is how to minimize the communication between individual streams and the root, while allowing the root, at any time, to be able to report the global statistics of all streams within a given error bound. This paper presents communication-efficient algorithms for three classical s…
