/* * Licensed to Elasticsearch under one or more contributor * license agreements. See the NOTICE file distributed with * this work for additional information regarding copyright * ownership. Elasticsearch licenses this file to you 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. */ package org.elasticsearch.search.aggregations.pipeline.movavg.models; import org.elasticsearch.common.Nullable; import org.elasticsearch.common.ParseField; import org.elasticsearch.common.ParseFieldMatcher; import org.elasticsearch.common.io.stream.StreamInput; import org.elasticsearch.common.io.stream.StreamOutput; import org.elasticsearch.common.xcontent.XContentBuilder; import org.elasticsearch.search.aggregations.pipeline.movavg.MovAvgParser; import java.io.IOException; import java.text.ParseException; import java.util.Arrays; import java.util.Collection; import java.util.Map; /** * Calculate a exponentially weighted moving average */ public class EwmaModel extends MovAvgModel { protected static final ParseField NAME_FIELD = new ParseField("ewma"); /** * Controls smoothing of data. Also known as "level" value. * Alpha = 1 retains no memory of past values * (e.g. random walk), while alpha = 0 retains infinite memory of past values (e.g. * mean of the series). */ private final double alpha; public EwmaModel(double alpha) { this.alpha = alpha; } @Override public boolean canBeMinimized() { return true; } @Override public MovAvgModel neighboringModel() { double alpha = Math.random(); return new EwmaModel(alpha); } @Override public MovAvgModel clone() { return new EwmaModel(this.alpha); } @Override protected <T extends Number> double[] doPredict(Collection<T> values, int numPredictions) { double[] predictions = new double[numPredictions]; // EWMA just emits the same final prediction repeatedly. Arrays.fill(predictions, next(values)); return predictions; } @Override public <T extends Number> double next(Collection<T> values) { double avg = 0; boolean first = true; for (T v : values) { if (first) { avg = v.doubleValue(); first = false; } else { avg = (v.doubleValue() * alpha) + (avg * (1 - alpha)); } } return avg; } public static final MovAvgModelStreams.Stream STREAM = new MovAvgModelStreams.Stream() { @Override public MovAvgModel readResult(StreamInput in) throws IOException { return new EwmaModel(in.readDouble()); } @Override public String getName() { return NAME_FIELD.getPreferredName(); } }; @Override public void writeTo(StreamOutput out) throws IOException { out.writeString(STREAM.getName()); out.writeDouble(alpha); } public static class SingleExpModelParser extends AbstractModelParser { @Override public String getName() { return NAME_FIELD.getPreferredName(); } @Override public MovAvgModel parse(@Nullable Map<String, Object> settings, String pipelineName, int windowSize, ParseFieldMatcher parseFieldMatcher) throws ParseException { double alpha = parseDoubleParam(settings, "alpha", 0.3); checkUnrecognizedParams(settings); return new EwmaModel(alpha); } } public static class EWMAModelBuilder implements MovAvgModelBuilder { private Double alpha; /** * Alpha controls the smoothing of the data. Alpha = 1 retains no memory of past values * (e.g. a random walk), while alpha = 0 retains infinite memory of past values (e.g. * the series mean). Useful values are somewhere in between. Defaults to 0.5. * * @param alpha A double between 0-1 inclusive, controls data smoothing * * @return The builder to continue chaining */ public EWMAModelBuilder alpha(double alpha) { this.alpha = alpha; return this; } @Override public XContentBuilder toXContent(XContentBuilder builder, Params params) throws IOException { builder.field(MovAvgParser.MODEL.getPreferredName(), NAME_FIELD.getPreferredName()); builder.startObject(MovAvgParser.SETTINGS.getPreferredName()); if (alpha != null) { builder.field("alpha", alpha); } builder.endObject(); return builder; } } }