mirror of
https://github.com/rocky-linux/peridot.git
synced 2024-12-18 17:08:29 +00:00
127 lines
4.3 KiB
Go
127 lines
4.3 KiB
Go
// Package ewma implements exponentially weighted moving averages.
|
|
package ewma
|
|
|
|
// Copyright (c) 2013 VividCortex, Inc. All rights reserved.
|
|
// Please see the LICENSE file for applicable license terms.
|
|
|
|
const (
|
|
// By default, we average over a one-minute period, which means the average
|
|
// age of the metrics in the period is 30 seconds.
|
|
AVG_METRIC_AGE float64 = 30.0
|
|
|
|
// The formula for computing the decay factor from the average age comes
|
|
// from "Production and Operations Analysis" by Steven Nahmias.
|
|
DECAY float64 = 2 / (float64(AVG_METRIC_AGE) + 1)
|
|
|
|
// For best results, the moving average should not be initialized to the
|
|
// samples it sees immediately. The book "Production and Operations
|
|
// Analysis" by Steven Nahmias suggests initializing the moving average to
|
|
// the mean of the first 10 samples. Until the VariableEwma has seen this
|
|
// many samples, it is not "ready" to be queried for the value of the
|
|
// moving average. This adds some memory cost.
|
|
WARMUP_SAMPLES uint8 = 10
|
|
)
|
|
|
|
// MovingAverage is the interface that computes a moving average over a time-
|
|
// series stream of numbers. The average may be over a window or exponentially
|
|
// decaying.
|
|
type MovingAverage interface {
|
|
Add(float64)
|
|
Value() float64
|
|
Set(float64)
|
|
}
|
|
|
|
// NewMovingAverage constructs a MovingAverage that computes an average with the
|
|
// desired characteristics in the moving window or exponential decay. If no
|
|
// age is given, it constructs a default exponentially weighted implementation
|
|
// that consumes minimal memory. The age is related to the decay factor alpha
|
|
// by the formula given for the DECAY constant. It signifies the average age
|
|
// of the samples as time goes to infinity.
|
|
func NewMovingAverage(age ...float64) MovingAverage {
|
|
if len(age) == 0 || age[0] == AVG_METRIC_AGE {
|
|
return new(SimpleEWMA)
|
|
}
|
|
return &VariableEWMA{
|
|
decay: 2 / (age[0] + 1),
|
|
}
|
|
}
|
|
|
|
// A SimpleEWMA represents the exponentially weighted moving average of a
|
|
// series of numbers. It WILL have different behavior than the VariableEWMA
|
|
// for multiple reasons. It has no warm-up period and it uses a constant
|
|
// decay. These properties let it use less memory. It will also behave
|
|
// differently when it's equal to zero, which is assumed to mean
|
|
// uninitialized, so if a value is likely to actually become zero over time,
|
|
// then any non-zero value will cause a sharp jump instead of a small change.
|
|
// However, note that this takes a long time, and the value may just
|
|
// decays to a stable value that's close to zero, but which won't be mistaken
|
|
// for uninitialized. See http://play.golang.org/p/litxBDr_RC for example.
|
|
type SimpleEWMA struct {
|
|
// The current value of the average. After adding with Add(), this is
|
|
// updated to reflect the average of all values seen thus far.
|
|
value float64
|
|
}
|
|
|
|
// Add adds a value to the series and updates the moving average.
|
|
func (e *SimpleEWMA) Add(value float64) {
|
|
if e.value == 0 { // this is a proxy for "uninitialized"
|
|
e.value = value
|
|
} else {
|
|
e.value = (value * DECAY) + (e.value * (1 - DECAY))
|
|
}
|
|
}
|
|
|
|
// Value returns the current value of the moving average.
|
|
func (e *SimpleEWMA) Value() float64 {
|
|
return e.value
|
|
}
|
|
|
|
// Set sets the EWMA's value.
|
|
func (e *SimpleEWMA) Set(value float64) {
|
|
e.value = value
|
|
}
|
|
|
|
// VariableEWMA represents the exponentially weighted moving average of a series of
|
|
// numbers. Unlike SimpleEWMA, it supports a custom age, and thus uses more memory.
|
|
type VariableEWMA struct {
|
|
// The multiplier factor by which the previous samples decay.
|
|
decay float64
|
|
// The current value of the average.
|
|
value float64
|
|
// The number of samples added to this instance.
|
|
count uint8
|
|
}
|
|
|
|
// Add adds a value to the series and updates the moving average.
|
|
func (e *VariableEWMA) Add(value float64) {
|
|
switch {
|
|
case e.count < WARMUP_SAMPLES:
|
|
e.count++
|
|
e.value += value
|
|
case e.count == WARMUP_SAMPLES:
|
|
e.count++
|
|
e.value = e.value / float64(WARMUP_SAMPLES)
|
|
e.value = (value * e.decay) + (e.value * (1 - e.decay))
|
|
default:
|
|
e.value = (value * e.decay) + (e.value * (1 - e.decay))
|
|
}
|
|
}
|
|
|
|
// Value returns the current value of the average, or 0.0 if the series hasn't
|
|
// warmed up yet.
|
|
func (e *VariableEWMA) Value() float64 {
|
|
if e.count <= WARMUP_SAMPLES {
|
|
return 0.0
|
|
}
|
|
|
|
return e.value
|
|
}
|
|
|
|
// Set sets the EWMA's value.
|
|
func (e *VariableEWMA) Set(value float64) {
|
|
e.value = value
|
|
if e.count <= WARMUP_SAMPLES {
|
|
e.count = WARMUP_SAMPLES + 1
|
|
}
|
|
}
|