Incremental variance

var.go

// Package main demos TAOCP, Vol. 2, p. 232 algorithm for incremental variance.
package main

import (
	"fmt"
	"math/rand"
)

type Var struct {
	N int
	M, S float64
}

func (v *Var) Add(x float64) {
	v.N++
	
	if v.N == 1 {
		v.M = x
		v.S = 0
	}
	
	m :=  v.M + (x - v.M)/float64(v.N)
	v.S += (x - v.M)*(x-m)
	v.M = m
}

func (v *Var) Variance() float64 {
	switch v.N {
	case 0, 1:
		return 0
	default:
		return v.S/float64(v.N-1)
	}
}

func main() {
	v := &Var{}
	for i := 0; i < 10; i++ {
		x := rand.Float64()
		fmt.Printf("%f ", x)
		v.Add(x)
	}
	fmt.Printf("\nv=%f\n", v.Variance())
}