/*
* Licensed to the Apache Software Foundation (ASF) under one or more
* contributor license agreements. See the NOTICE file distributed with
* this work for additional information regarding copyright ownership.
* The ASF 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.apache.mahout.math.stats;
/**
* Computes an online average that is exponentially weighted toward recent time-embedded samples.
*/
public class OnlineExponentialAverage {
private final double alpha;
private double lastT;
private double s;
private double w;
private double t;
/**
* Creates an averager that has a specified time constant for discounting old data. The time
* constant, alpha, is the time at which an older sample is discounted to 1/e relative to current
* data. Roughly speaking, data that is more than 3*alpha old doesn't matter any more and data
* that is more recent than alpha/3 is about as important as current data.
*
* See http://tdunning.blogspot.com/2011/03/exponential-weighted-averages-with.html for a
* derivation. See http://tdunning.blogspot.com/2011/03/exponentially-weighted-averaging-for.html
* for the rate method.
*
* @param alpha The time constant for discounting old data and state.
*/
public OnlineExponentialAverage(double alpha) {
this.alpha = alpha;
}
public void add(double t, double x) {
double pi = Math.exp(-(t - lastT) / alpha);
s = x + pi * s;
w = 1.0 + pi * w;
this.t = t - lastT + pi * this.t;
lastT = t;
}
public double mean() {
return s / w;
}
public double meanRate() {
return s / t;
}
}