EWMA.java

package com.codahale.metrics;

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>
 * @see <a
 *      href="http://en.wikipedia.org/wiki/Moving_average#Exponential_moving_average">EMA</a>
 */
public class EWMA {
    private static final int INTERVAL = 5;
    private static final double SECONDS_PER_MINUTE = 60.0;
    private static final int ONE_MINUTE = 1;
    private static final int FIVE_MINUTES = 5;
    private static final int FIFTEEN_MINUTES = 15;
    private static final double M1_ALPHA = 1 - exp(-INTERVAL / SECONDS_PER_MINUTE / ONE_MINUTE);
    private static final double M5_ALPHA = 1 - exp(-INTERVAL / SECONDS_PER_MINUTE / FIVE_MINUTES);
    private static final double M15_ALPHA = 1 - exp(-INTERVAL / SECONDS_PER_MINUTE / FIFTEEN_MINUTES);

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

    private final LongAdder uncounted = new LongAdderGwt();
    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, INTERVAL, 1000000000/* 1s in ns */);
    }

    /**
     * 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, INTERVAL, 1000000000/* 1s in ns */);
    }

    /**
     * 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, INTERVAL, 1000000000/* 1s in ns */);
    }

    /**
     * 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(final double alpha, final long interval, final long nanos) {
        this.interval = nanos * (interval);

        this.alpha = alpha;
    }

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

    /**
     * Mark the passage of time and decay the current rate accordingly.
     */
    public void tick() {
        final long count = uncounted.sumThenReset();
        final 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 getRate(final long nanos) {
        return rate * nanos;
    }

    @Override
    public String toString() {
        return rate + "";
    }

}