I like the closure approach suggested by stvn. It comes with a small performance penalty because of all the function calls (7-20% depending on the dataset and spread), but it makes the code much easier to read/maintain.

On a related note - it would be good to add some documentation that describes your strategy. It isn't immediately apparent, and I had to re-read the code a few times before it was clear.

Found one problem: the following line should test whether $last_key is defined, to avoid problems when your data contains an empty string or '0'.

if ( $last_key and ( $last_key ne $_->{ $key_name } ) ) {
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