EWMA.java

/*
 * Copyright 2011 Proofpoint, Inc.
 *
 * Licensed under the Apache License, Version 2.0 (the "License");
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at
 *
 *     http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
 */
/*

Copyright (c) 2010-2011 Coda Hale

Permission is hereby granted, free of charge, to any person obtaining a copy of this software and associated
documentation files (the "Software"), to deal in the Software without restriction, including without limitation
the rights to use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of the Software,
and to permit persons to whom the Software is furnished to do so, subject to the following conditions:

The above copyright notice and this permission notice shall be included in all copies or substantial portions of the Software.

THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO
THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF
CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER
DEALINGS IN THE SOFTWARE.

Copied from https://github.com/codahale/metrics
*/
package com.proofpoint.event.monitor;

import com.google.common.annotations.VisibleForTesting;

import java.util.concurrent.TimeUnit;
import java.util.concurrent.atomic.AtomicLong;

import static java.lang.Math.exp;

/**
 * An exponentially-weighted moving average.
 *
 * @see <a href="http://www.teamquest.com/pdfs/whitepaper/ldavg1.pdf">UNIX Load Average Part 1: How It Works</a>
 * @see <a href="http://www.teamquest.com/pdfs/whitepaper/ldavg2.pdf">UNIX Load Average Part 2: Not Your Average Average</a>
 */
class EWMA {
    private static final double M1_ALPHA  = 1 - exp(-5 / 60.0);
    private static final double M5_ALPHA  = 1 - exp(-5 / 60.0 / 5);
    private static final double M15_ALPHA = 1 - exp(-5 / 60.0 / 15);

    private volatile boolean initialized = false;
    private volatile double rate = 0.0;

    private final AtomicLong uncounted = new AtomicLong();
    private final double alpha, interval;

    /**
     * Creates a new EWMA which is equivalent to the UNIX one minute load average and which expects to be ticked every
     * 5 seconds.
     *
     * @return a one-minute EWMA
     */
    public static EWMA oneMinuteEWMA() {
        return new EWMA(M1_ALPHA, 5, TimeUnit.SECONDS);
    }

    /**
     * Creates a new EWMA which is equivalent to the UNIX five minute load average and which expects to be ticked every
     * 5 seconds.
     *
     * @return a five-minute EWMA
     */
    public static EWMA fiveMinuteEWMA() {
        return new EWMA(M5_ALPHA, 5, TimeUnit.SECONDS);
    }

    /**
     * Creates a new EWMA which is equivalent to the UNIX fifteen minute load average and which expects to be ticked
     * every 5 seconds.
     *
     * @return a fifteen-minute EWMA
     */
    public static EWMA fifteenMinuteEWMA() {
        return new EWMA(M15_ALPHA, 5, TimeUnit.SECONDS);
    }

    /**
     * Create a new EWMA with a specific smoothing constant.
     *
     * @param alpha the smoothing constant
     * @param interval the expected tick interval
     * @param intervalUnit the time unit of the tick interval
     */
    public EWMA(double alpha, long interval, TimeUnit intervalUnit) {
        this.interval = intervalUnit.toNanos(interval);
        this.alpha = alpha;
    }

    /**
     * Update the moving average with a new value.
     *
     * @param n the new value
     */
    public void update(long n) {
        uncounted.addAndGet(n);
    }

    /**
     * Mark the passage of time and decay the current rate accordingly.
     */
    @VisibleForTesting
    public void tick() {
        final long count = uncounted.getAndSet(0);
        double instantRate = count / interval;
        if (initialized) {
            rate += (alpha * (instantRate - rate));
        } else {
            rate = instantRate;
            initialized = true;
        }
    }

    /**
     * Returns the rate in the given units of time.
     *
     * @param rateUnit the unit of time
     * @return the rate
     */
    public double rate(TimeUnit rateUnit) {
        return rate * (double) rateUnit.toNanos(1);
    }
}