Feature CORE-4717 - Aggregate statistical functions COVAR_SAMP, COVAR_POP and CORR - contributed by Hajime Nakagami.

doc/WhatsNew

@@ -291,6 +291,14 @@
       Contributor(s):
         Alex Peshkov <peshkoff at mail.ru>
 
+    * New feature CORE-4717
+        Aggregate statistical functions COVAR_SAMP, COVAR_POP and CORR
+      See also:
+        /doc/sql.extensions/README.statistical_functions.txt
+      Contributor(s):
+        Hajime Nakagami <nakagami at gmail.com>
+        Adriano dos Santos Fernandes <adrianosf at gmail.com>
+
     * New feature CORE-4714
         Aggregate statistical functions STDDEV_POP, STDDEV_SAMP, VAR_POP and VAR_SAMP
       See also:

doc/sql.extensions/README.statistical_functions.txt

@@ -5,22 +5,40 @@ Statistical Functions
 By the SQL specification, some statistical functions are defined.
 Function about variance and standard deviation are bellow.
 
-VAR_POP: return the population variance.
 VAR_SAMP: return  the sample variance.
-STDDEV_SAMP: return the sample standard deviation .
-STDDEV_POP: return the population standard deviation.
+  eq. (SUM(<expr> ^ 2) - SUM(<expr>) ^ 2 / COUNT(<expr>)) / (COUNT(<expr>) - 1)
 
-VAR_POP(<expr>) is equivalent to (SUM(<expr> ^ 2) - SUM(<expr>) ^ 2 / COUNT(<expr>)) / COUNT(<expr>).
-VAR_SAMP(<expr>) is equivalent to (SUM(<expr> ^ 2) - SUM(<expr>) ^ 2 / COUNT(<expr>)) / (COUNT(<expr>) - 1).
-STDDEV_POP(<expr>) is equivalent to SQRT(VAR_POP(<expr>)).
-STDDEV_SAMP(<expr>) is equivalent to SQRT(VAR_SAMP(<expr)).
+VAR_POP: return the population variance.
+  eq. (SUM(<expr> ^ 2) - SUM(<expr>) ^ 2 / COUNT(<expr>)) / COUNT(<expr>)
+
+STDDEV_SAMP: return the sample standard deviation.
+  eq. SQRT(VAR_SAMP(<expr))
+
+STDDEV_POP: return the population standard deviation.
+  eq. SQRT(VAR_POP(<expr>))
+
+COVAR_SAMP: return the sample population.
+  eq. (SUM(<expr1> * <expr2>) - SUM(<expr1>) * SUM(<expr2>) / COUNT(*)) / (COUNT(*) - 1)
+
+COVAR_POP: return the population covariance.
+  eq. (SUM(<expr1> * <expr2>) - SUM(<expr1>) * SUM(<expr2>) / COUNT(*)) / COUNT(*)
+
+CORR: returns the coefficient of correlation.
+  eq. COVAR_POP(<expr1>, <expr2>) / (STDDEV_POP(<expr2>) * STDDEV_POP(<expr1>))
 
 Author:
     Hajime Nakagami <nakagami@gmail.com>
 
 Syntax:
-    <statistical function> ::= <statistical function name>(<expr>)
-    <statistical function name> := { VAR_POP | VAR_SAMP | STDDEV_POP | STDDEV_SAMP }
+    <single param statistical function> ::= <single param statistical function name>(<expr>)
+    <single param statistical function name> := { VAR_POP | VAR_SAMP | STDDEV_POP | STDDEV_SAMP }
+
+    <dual param statistical function> ::= <dual param statistical function name>(<expr1>, <expr2>)
+    <dual param statistical function name> := { COVAR_POP | COVAR_SAMP | CORR }
+
+Note:
+    If VAR_SAMP, STDDEV_SAMP, COVAR_SAMP and result count is 0 or 1, return NULL.
+    If VAR_POP, STDDEV_POP, COVAR_POP, CORR and result count is 0, return NULL.
 
 Example:
     SELECT STDDEV_SAMP(salary) FROM employees;

src/dsql/AggNodes.cpp

@@ -1313,4 +1313,179 @@ AggNode* StdDevAggNode::dsqlCopy(DsqlCompilerScratch* dsqlScratch) /*const*/
 }
 
 
+//--------------------
+
+
+static AggNode::Register<CorrAggNode> coVarSampAggInfo("COVAR_SAMP", blr_agg_covar_samp);
+static AggNode::Register<CorrAggNode> coVarPopAggInfo("COVAR_POP", blr_agg_covar_pop);
+static AggNode::Register<CorrAggNode> corrAggInfo("CORR", blr_agg_corr);
+
+CorrAggNode::CorrAggNode(MemoryPool& pool, CorrType aType, ValueExprNode* aArg, ValueExprNode* aArg2)
+	: AggNode(pool,
+		(aType == CorrAggNode::TYPE_COVAR_SAMP ? coVarSampAggInfo :
+		 aType == CorrAggNode::TYPE_COVAR_POP ? coVarPopAggInfo :
+		 corrAggInfo),
+		false, false, aArg),
+	  type(aType),
+	  arg2(aArg2),
+	  impure2Offset(0)
+{
+	addChildNode(arg2, arg2);
+}
+
+void CorrAggNode::aggPostRse(thread_db* tdbb, CompilerScratch* csb)
+{
+	AggNode::aggPostRse(tdbb, csb);
+	impure2Offset = CMP_impure(csb, sizeof(CorrImpure));
+}
+
+DmlNode* CorrAggNode::parse(thread_db* tdbb, MemoryPool& pool, CompilerScratch* csb, const UCHAR blrOp)
+{
+	CorrType type;
+
+	switch (blrOp)
+	{
+		case blr_agg_covar_samp:
+			type = TYPE_COVAR_SAMP;
+			break;
+
+		case blr_agg_covar_pop:
+			type = TYPE_COVAR_POP;
+			break;
+
+		case blr_agg_corr:
+			type = TYPE_CORR;
+			break;
+
+		default:
+			fb_assert(false);
+	}
+
+	ValueExprNode* a1 = PAR_parse_value(tdbb, csb);
+	ValueExprNode* a2 = PAR_parse_value(tdbb, csb);
+	return FB_NEW(pool) CorrAggNode(pool, type, a1, a2);
+}
+
+void CorrAggNode::make(DsqlCompilerScratch* dsqlScratch, dsc* desc)
+{
+	desc->makeDouble();
+	desc->setNullable(true);
+}
+
+void CorrAggNode::getDesc(thread_db* tdbb, CompilerScratch* csb, dsc* desc)
+{
+	desc->makeDouble();
+}
+
+ValueExprNode* CorrAggNode::copy(thread_db* tdbb, NodeCopier& copier) const
+{
+	CorrAggNode* node = FB_NEW(*tdbb->getDefaultPool()) CorrAggNode(*tdbb->getDefaultPool(), type);
+	node->nodScale = nodScale;
+	node->arg = copier.copy(tdbb, arg);
+	node->arg2 = copier.copy(tdbb, arg2);
+	return node;
+}
+
+void CorrAggNode::aggInit(thread_db* tdbb, jrd_req* request) const
+{
+	AggNode::aggInit(tdbb, request);
+
+	impure_value_ex* impure = request->getImpure<impure_value_ex>(impureOffset);
+	impure->make_double(0);
+
+	CorrImpure* impure2 = request->getImpure<CorrImpure>(impure2Offset);
+	impure2->x = impure2->x2 = impure2->y = impure2->y2 = impure2->xy = 0.0;
+}
+
+bool CorrAggNode::aggPass(thread_db* tdbb, jrd_req* request) const
+{
+	dsc* desc = NULL;
+	dsc* desc2 = NULL;
+
+	desc = EVL_expr(tdbb, request, arg);
+	if (request->req_flags & req_null)
+		return false;
+
+	desc2 = EVL_expr(tdbb, request, arg2);
+	if (request->req_flags & req_null)
+		return false;
+
+	impure_value_ex* impure = request->getImpure<impure_value_ex>(impureOffset);
+	++impure->vlux_count;
+
+	const double y = MOV_get_double(desc);
+	const double x = MOV_get_double(desc2);
+
+	CorrImpure* impure2 = request->getImpure<CorrImpure>(impure2Offset);
+	impure2->x += x;
+	impure2->x2 += x * x;
+	impure2->y += y;
+	impure2->y2 += y * y;
+	impure2->xy += x * y;
+
+	return true;
+}
+
+void CorrAggNode::aggPass(thread_db* /*tdbb*/, jrd_req* /*request*/, dsc* /*desc*/) const
+{
+	fb_assert(false);
+}
+
+dsc* CorrAggNode::aggExecute(thread_db* tdbb, jrd_req* request) const
+{
+	impure_value_ex* impure = request->getImpure<impure_value_ex>(impureOffset);
+	CorrImpure* impure2 = request->getImpure<CorrImpure>(impure2Offset);
+	double d;
+
+	switch (type)
+	{
+		case TYPE_COVAR_SAMP:
+			if (impure->vlux_count < 2)
+				return NULL;
+			d = (impure2->xy - impure2->y * impure2->x / impure->vlux_count) / (impure->vlux_count - 1);
+			break;
+
+		case TYPE_COVAR_POP:
+			if (impure->vlux_count == 0)
+				return NULL;
+			d = (impure2->xy - impure2->y * impure2->x / impure->vlux_count) / impure->vlux_count;
+			break;
+
+		case TYPE_CORR:
+		{
+			// COVAR_POP(Y, X) / (STDDEV_POP(X) * STDDEV_POP(Y))
+			if (impure->vlux_count == 0)
+				return NULL;
+
+			const double covarPop = (impure2->xy - impure2->y * impure2->x / impure->vlux_count) /
+				impure->vlux_count;
+			const double varPopX = (impure2->x2 - impure2->x * impure2->x / impure->vlux_count) /
+				impure->vlux_count;
+			const double varPopY = (impure2->y2 - impure2->y * impure2->y / impure->vlux_count) /
+				impure->vlux_count;
+			const double divisor = sqrt(varPopX) * sqrt(varPopY);
+
+			if (divisor == 0.0)
+				return NULL;
+
+			d = covarPop / divisor;
+			break;
+		}
+	}
+
+	dsc temp;
+	temp.makeDouble(&d);
+
+	EVL_make_value(tdbb, &temp, impure);
+
+	return &impure->vlu_desc;
+}
+
+AggNode* CorrAggNode::dsqlCopy(DsqlCompilerScratch* dsqlScratch) /*const*/
+{
+	return FB_NEW(getPool()) CorrAggNode(getPool(), type,
+		doDsqlPass(dsqlScratch, arg), doDsqlPass(dsqlScratch, arg2));
+}
+
+
 }	// namespace Jrd

src/dsql/AggNodes.h

@@ -192,6 +192,48 @@ private:
 	ULONG impure2Offset;
 };
 
+class CorrAggNode : public AggNode
+{
+public:
+	enum CorrType
+	{
+		TYPE_COVAR_SAMP,
+		TYPE_COVAR_POP,
+		TYPE_CORR
+	};
+
+	struct CorrImpure
+	{
+		double x, x2, y, y2, xy;
+	};
+
+	explicit CorrAggNode(MemoryPool& pool, CorrType aType,
+		ValueExprNode* aArg = NULL, ValueExprNode* aArg2 = NULL);
+
+	virtual void aggPostRse(thread_db* tdbb, CompilerScratch* csb);
+
+	static DmlNode* parse(thread_db* tdbb, MemoryPool& pool, CompilerScratch* csb, const UCHAR blrOp);
+
+	virtual void make(DsqlCompilerScratch* dsqlScratch, dsc* desc);
+	virtual void getDesc(thread_db* tdbb, CompilerScratch* csb, dsc* desc);
+	virtual ValueExprNode* copy(thread_db* tdbb, NodeCopier& copier) const;
+
+	virtual void aggInit(thread_db* tdbb, jrd_req* request) const;
+	virtual bool aggPass(thread_db* tdbb, jrd_req* request) const;
+	virtual void aggPass(thread_db* tdbb, jrd_req* request, dsc* desc) const;
+	virtual dsc* aggExecute(thread_db* tdbb, jrd_req* request) const;
+
+protected:
+	virtual AggNode* dsqlCopy(DsqlCompilerScratch* dsqlScratch) /*const*/;
+
+public:
+	const CorrType type;
+	NestConst<ValueExprNode> arg2;
+
+private:
+	ULONG impure2Offset;
+};
+
 } // namespace
 
 #endif // DSQL_AGG_NODES_H

src/dsql/parse.y

@@ -576,6 +576,9 @@ using namespace Firebird;
 %token <metaNamePtr> STDDEV_POP
 %token <metaNamePtr> VAR_SAMP
 %token <metaNamePtr> VAR_POP
+%token <metaNamePtr> COVAR_SAMP
+%token <metaNamePtr> COVAR_POP
+%token <metaNamePtr> CORR
 
 // precedence declarations for expression evaluation
 
@@ -3814,6 +3817,9 @@ keyword_or_column
 	| START
 	| SIMILAR				// added in FB 2.5
 	| KW_BOOLEAN			// added in FB 3.0
+	| CORR
+	| COVAR_POP
+	| COVAR_SAMP
 	| DETERMINISTIC
 	| KW_FALSE
 	| OFFSET
@@ -6805,6 +6811,12 @@ aggregate_function
 		{ $$ = newNode<StdDevAggNode>(StdDevAggNode::TYPE_VAR_SAMP, $3); }
 	| VAR_POP '(' value ')'
 		{ $$ = newNode<StdDevAggNode>(StdDevAggNode::TYPE_VAR_POP, $3); }
+	| COVAR_SAMP '(' value ',' value ')'
+		{ $$ = newNode<CorrAggNode>(CorrAggNode::TYPE_COVAR_SAMP, $3, $5); }
+	| COVAR_POP '(' value ',' value ')'
+		{ $$ = newNode<CorrAggNode>(CorrAggNode::TYPE_COVAR_POP, $3, $5); }
+	| CORR '(' value ',' value ')'
+		{ $$ = newNode<CorrAggNode>(CorrAggNode::TYPE_CORR, $3, $5); }
 	;
 
 %type <aggNode> window_function

src/jrd/blp.h

@@ -245,5 +245,8 @@ static const struct
 	{"agg_stddev_pop", one},
 	{"agg_var_samp", one},
 	{"agg_var_pop", one},
+	{"agg_covar_samp", two},
+	{"agg_covar_pop", two},
+	{"agg_corr", two},
 	{0, 0}
 };

src/jrd/blr.h

@@ -411,5 +411,8 @@
 #define blr_agg_stddev_pop			(unsigned char) 212
 #define blr_agg_var_samp			(unsigned char) 213
 #define blr_agg_var_pop				(unsigned char) 214
+#define blr_agg_covar_samp			(unsigned char) 215
+#define blr_agg_covar_pop			(unsigned char) 216
+#define blr_agg_corr				(unsigned char) 217
 
 #endif // JRD_BLR_H

src/yvalve/keywords.cpp

@@ -129,10 +129,13 @@ static const TOK tokens[] =
 	{CONSTRAINT, "CONSTRAINT", 1, false},
 	{CONTAINING, "CONTAINING", 1, false},
 	{CONTINUE, "CONTINUE", 2, true},
+	{CORR, "CORR", 2, false},
 	{COS, "COS", 2, false},
 	{COSH, "COSH", 2, false},
 	{COT, "COT", 2, false},
 	{COUNT, "COUNT", 1, false},
+	{COVAR_POP, "COVAR_POP", 2, false},
+	{COVAR_SAMP, "COVAR_SAMP", 2, false},
 	{CREATE, "CREATE", 1, false},
 	{CROSS, "CROSS", 2, false},
 	{CSTRING, "CSTRING", 1, false},