Two-Stack Sliding-Window Aggregation

An aggregation is some kind of summary of a set of data. This can be the sum, length, minimum, etc. It is quite common to want to calculate such a summary repeatedly, e.g. “the maximum noise level in dB for the past 30 seconds” for a nuisance detector. In such a case we say there is a sliding window over our data, and we want to aggregate over our window. If our aggregation is a binary operator with an inverse, like integer sums, there is a very easy solution using a double-ended queue: from collections import deque class SlidingWindowSum: def __init__(self): self.sum = 0 self.elems = deque() def push(self, x): self.sum += x self.elems.append(x) def pop(self): self.sum -= self.elems.popleft() def eval(self): return self.sum But what if our operator has no inverse? This is actually the case for most interesting summaries such as minimum, quantile, approximate unique count (for example using HyperLogLog), etc. In fact, even something as simple as a floating-point sum suffers from the…