55 lines
1.4 KiB
Go
55 lines
1.4 KiB
Go
package onlinestats
|
|
|
|
import (
|
|
"math"
|
|
)
|
|
|
|
// http://www.drdobbs.com/tools/discontiguous-exponential-averaging/184410671
|
|
type DEA struct {
|
|
sumOfWeights float64
|
|
sumOfData float64
|
|
sumOfSquaredData float64
|
|
previousTime float64
|
|
alpha float64
|
|
newDataWeightUpperBound float64
|
|
}
|
|
|
|
func NewDEA(alpha float64, maxDt float64) *DEA {
|
|
return &DEA{
|
|
alpha: alpha,
|
|
newDataWeightUpperBound: 1 - math.Pow(alpha, maxDt),
|
|
}
|
|
}
|
|
|
|
func (ew *DEA) Update(newData float64, t float64) {
|
|
weightReductionFactor := math.Pow(ew.alpha, t-ew.previousTime)
|
|
newDataWeight := minf(1-weightReductionFactor, ew.newDataWeightUpperBound)
|
|
ew.sumOfWeights = weightReductionFactor*ew.sumOfWeights + newDataWeight
|
|
ew.sumOfData = weightReductionFactor*ew.sumOfData + newDataWeight*newData
|
|
ew.sumOfSquaredData = weightReductionFactor*ew.sumOfSquaredData + (newDataWeight * (newData * newData))
|
|
ew.previousTime = t
|
|
}
|
|
|
|
func (ew *DEA) CompletenessFraction(t float64) float64 {
|
|
return math.Pow(ew.alpha, t-ew.previousTime*ew.sumOfWeights)
|
|
}
|
|
func (ew *DEA) Mean() float64 {
|
|
return (ew.sumOfData / ew.sumOfWeights)
|
|
}
|
|
|
|
func (ew *DEA) Var() float64 {
|
|
m := ew.Mean()
|
|
return (ew.sumOfSquaredData/ew.sumOfWeights - m*m)
|
|
}
|
|
|
|
func (ew *DEA) Stddev() float64 {
|
|
return math.Sqrt(ew.Var())
|
|
}
|
|
|
|
func minf(a, b float64) float64 {
|
|
if a < b {
|
|
return a
|
|
}
|
|
return b
|
|
}
|