Covstream - library publish version 0.1.3

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Hi everyone, I released covstream, a Rust library for fixed-dimension streaming covariance and Ledoit-Wolf shrinkage, with a Lean-backed specification in the same repository.

What covstream does:

  • maintains a fixed-dimension streaming covariance state in memory
  • updates covariance one aligned sample at a time without rebuilding from scratch
  • ingests flat row-major batches for research, backtests, or offline jobs
  • supports checked ingest paths that reject malformed input and non-finite values
  • supports faster trusted ingest paths when validation already happens upstream
  • extracts covariance in either dense row-major form or packed upper-triangle form
  • applies Ledoit-Wolf style shrinkage toward the scaled-identity target
  • includes a parallel batch ingest path for larger workloads

That makes it useful for tasks like:

  • online covariance estimation for return streams or telemetry vectors
  • research pipelines that need repeated covariance snapshots
  • downstream numerical code that prefers packed symmetric output
  • systems where you want the mathematical contract kept close to the implementation

I started this project because to learn both Rust and Lean/mathlib on a small problem because both seem interesting to me, formalizing the claims mathematically before you code it seems like it can be useful for a multitude of applications where making a backed up claim about the code can be critical

And rust feels like a natural extension of that paradigm with strong typing and memory correctness guarantees.

I’d be interested in feedback on the API shape, the docs, and whether the Rust/Lean boundary is explained clearly enough.

Here are some benchmark notes of the app:

  • Ryzen 5 5600 Linux desktop: observe/2 about 48.2 ns, observe/8 about 98.3 ns, observe/32 about 348 ns
  • Ryzen 5 5600 Linux desktop: observe_hot/trusted/256 about 8.25 µs
  • Apple M2 MacBook Air: observe_hot/trusted/256 about 11.4 µs
  • Ryzen 5 5600 Linux desktop: 1024x256 trusted batch ingest about 8.41 ms serial vs 1.82 ms parallel

Repo: GitHub - gratus00/Covstream: Covariance matrix estimator, with formalized welford's algorithm on Lean · GitHub
Crate: crates.io: Rust Package Registry
API notes: Covstream/docs/RUST_API.md at main · gratus00/Covstream · GitHub