An OCaml implementation of histogram-sketching algorithm described in
A Streaming Parallel Decision Tree
Algorithm
by Yael Ben-Haim and Elad Tom-Tov . Included is a command-line
utility bt, which can read a file (or stdin) containing numbers, one
per line, and output a representation of the approximated
distribution.

For example, to approximate 10 quantiles of 1M data in U(0,1):

echo "" | awk '{ for ( i=0 ; i < 1e6 ; i++ ) { print rand() } }' | bt -n 20 -u 10

In this example, the size of the approximating histogram is 20. For
additional details, bt --help .

To install:

opam install bentov