Python Welford Algorithm

welford.py

import math
class Welford(object):
    """ Implements Welford's algorithm for computing a running mean
    and standard deviation as described at: 
        http://www.johndcook.com/standard_deviation.html

    can take single values or iterables

    Properties:
        mean    - returns the mean
        std     - returns the std
        meanfull- returns the mean and std of the mean

    Usage:
        >>> foo = Welford()
        >>> foo(range(100))
        >>> foo
        <Welford: 49.5 +- 29.0114919759>
        >>> foo([1]*1000)
        >>> foo
        <Welford: 5.40909090909 +- 16.4437417146>
        >>> foo.mean
        5.409090909090906
        >>> foo.std
        16.44374171455467
        >>> foo.meanfull
        (5.409090909090906, 0.4957974674244838)
    """

    def __init__(self,lst=None):
        self.k = 0
        self.M = 0
        self.S = 0
        
        self.__call__(lst)
    
    def update(self,x):
        if x is None:
            return
        self.k += 1
        newM = self.M + (x - self.M)*1./self.k
        newS = self.S + (x - self.M)*(x - newM)
        self.M, self.S = newM, newS

    def consume(self,lst):
        lst = iter(lst)
        for x in lst:
            self.update(x)
    
    def __call__(self,x):
        if hasattr(x,"__iter__"):
            self.consume(x)
        else:
            self.update(x)
            
    @property
    def mean(self):
        return self.M
    @property
    def meanfull(self):
        return self.mean, self.std/math.sqrt(self.k)
    @property
    def std(self):
        if self.k==1:
            return 0
        return math.sqrt(self.S/(self.k-1))
    def __repr__(self):
        return "<Welford: {} +- {}>".format(self.mean, self.std)

Works great and saved me a bit of time, thanks :)

Great gist! moving self.k += 1 until after newM and newS are calculated adds robustness for cases where someone tries to use this with strings or other non-numeric types....the function will then throw an error before incrementing k, thus preserving the accuracy of the data within their Welford instance.

Beautiful! You'd be surprised at how many incorrect versions of Welford are online, thanks!

Nice code! One minor thing: not sure if returning an std of 0 is appropriate in the case of k=1 though as this is confusing when k != 0 but std = 0?