[jira] [Created] (ARROW-11367) [C++] Implement approximante quantile utility

["Yibo Cai (Jira)" <ji...@apache.org>]

Yibo Cai created ARROW-11367:
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             Summary: [C++] Implement approximante quantile utility
                 Key: ARROW-11367
                 URL: https://issues.apache.org/jira/browse/ARROW-11367
             Project: Apache Arrow
          Issue Type: New Feature
          Components: C++
            Reporter: Yibo Cai
            Assignee: Yibo Cai


This utility is to approximate quantiles of arbitrary length inputs with constant space (not storing input data points) [1]. It will be used in implementing approximate quantile kernel and calculating latencies in flightrpc benchmark.

t-digest [2] is state-of-the-art algorithm for quantile approximation. It performs well on both edge (0.01, 0.99, etc)  and normal cases (0.3, 0.5, etc). And t-digest can run in parallel, which means multiple chunks can be processed at same time and combined later.

T-Digest author maintains an java implementation [3]. There are some open source c++ versions available, including facebook folly [4]. I planned to port one of them but finally came up with my own implementation, which (I suppose) is more efficient in space and time.

References
[1] A Survey of Approximate Quantile Computation on Large-scale Data
https://arxiv.org/abs/2004.08255v1
[2] Computing Extremely Accurate Quantiles Using t-Digests
https://arxiv.org/abs/1902.04023
[3] https://github.com/tdunning/t-digest/
[4] https://github.com/facebook/folly/blob/master/folly/stats/TDigest.h
https://github.com/derrickburns/tdigest
https://github.com/SpirentOrion/digestible



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