zw-fast-quantile: Approximate Quantile for high-speed data stream in Rust

A couple of weeks ago I exchanged messages with ljw1004, where he was surveying fast quantiles implementation in rust. He conducted a thorough benchmark against the GK01 and CKMS algorithms in the postmates/quantiles crate, in order to understand the tradeoffs among the error rate, memory usage and the update/query time. He mentioned the Zhang Wang algorithm in a literature review, where I later found that it was actually adopted in the boosted tree implementation in Tensorflow. I got intrigued and decided to roll my sleeves and give it a shot to implement the algorithm in rust

I spent a few days to read the paper and read the reference implementation done by jasonge27 in C++. The C++ implementation only implemented the fixed size approach in the paper but lack the generalized approach to support the online streaming update. I read the paper carefully and implement the generalized algorithm and then we have zw-fast-quantile crate.

The naive benchmark with criterion shows that the update operation is 2.6x faster than GK01 implementation in postmates/quantiles

zw unbound quantile update
                        time:   [60.780 us 60.855 us 60.936 us]
                        change: [-1.4032% -0.9510% -0.5005%] (p = 0.00 < 0.05)
                        Change within noise threshold.
Found 8 outliers among 100 measurements (8.00%)
  2 (2.00%) high mild
  6 (6.00%) high severe
gk quantile update      time:   [156.84 us 157.02 us 157.24 us]
                        change: [-0.1907% -0.0503% +0.0969%] (p = 0.50 > 0.05)
                        No change in performance detected.
Found 11 outliers among 100 measurements (11.00%)
  6 (6.00%) high mild
  5 (5.00%) high severe

and query operation is 1.5x faster than GK01

zw unbound quantile query
                        time:   [229.62 ns 230.16 ns 230.77 ns]
                        change: [+1.3422% +1.8105% +2.2504%] (p = 0.00 < 0.05)
                        Performance has regressed.
Found 11 outliers among 100 measurements (11.00%)
  3 (3.00%) high mild
  8 (8.00%) high severe
gk quantile query       time:   [350.21 ns 350.48 ns 350.76 ns]
                        change: [-0.4638% -0.3109% -0.1670%] (p = 0.00 < 0.05)
                        Change within noise threshold.
Found 8 outliers among 100 measurements (8.00%)
  1 (1.00%) low severe
  2 (2.00%) high mild
  5 (5.00%) high severe

It matches with the emprical study from the paper that it is able to achieve 200-300x speedup over GK01.

To benchmark the memory usage, by storing complete 100M values in the Vec and calculating the quantiles is using up 7812k of heap, and with the error rate set to 0.01 the zw-fast-quantile is only using up 1947k of heap. It looks like it fulfills the goal of approximate quantile by saving the storage size without sacrificing the precision too much.

Implementing zw-fast-quantile is a lot of fun and I learned a lot. By reading the review paper now I understand we can categorize the approximate quantile algorithm by different use cases. They could be

  1. Streaming Model: Your data would arrive one by one and you might not know the size of your stream beforehand. You should be able to calculate the result in one pass without blowing up the memory. You might also improve the algorithm complexity if you know that you just gonna query the quantiles for the trailing N values.
  2. Distributed Model: where you have a network of nodes, each of them have some values. However, the communication cost is high and you would like to avoid the communication cost as much as possible.
  3. Update Time: In the real-time application like video/audio streaming, your data update would be very fast and it requires you the low latency on your update time. You would like to strike a balance between update time and the space complexity and accuracy.
  4. Data Skewness: The famous t-digest would leverage on the fact where the error percentage is more imporatnt to the 99th percentile than 50th percentile. By leveraging the data skewness you can invent another set of algorithms.

zw-fast-quantile is falling on the category 3, and it is good to know that it influenced the implementation in Tensorflow’s boosted trees. It could be another handy algorithm put in your toolbox and use it when the use case is right.