76 lines
2.6 KiB
JavaScript
76 lines
2.6 KiB
JavaScript
'use strict';
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var assert = require('assert-plus');
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/**
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* Compute the exponential weighted moving average of a series of values.
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* The time at which you insert the value into `Ewma` is used to compute a
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* weight (recent points are weighted higher).
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* The parameter for defining the convergence speed (like most decay process) is
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* the half-life.
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*
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* e.g. with a half-life of 10 unit, if you insert 100 at t=0 and 200 at t=10
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* the ewma will be equal to (200 - 100)/2 = 150 (half of the distance
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* between the new and the old value)
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*
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* @param {Number} halfLifeMs parameter representing the speed of convergence
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* @param {Number} initialValue initial value
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* @param {Object} clock clock object used to read time
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*
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* @returns {Ewma} the object computing the ewma average
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*/
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function Ewma(halfLifeMs, initialValue, clock) {
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assert.number(halfLifeMs, 'halfLifeMs');
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assert.ok(!Number.isNaN(halfLifeMs), 'halfLifeMs can not be NaN');
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assert.optionalNumber(initialValue, 'initialValue');
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assert.ok(!Number.isNaN(initialValue), 'initialValue can not be NaN');
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if (clock !== undefined) {
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assert.func(clock.now, 'clock.now');
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}
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this._decay = halfLifeMs;
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this._ewma = initialValue || 0;
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this._clock = clock || Date;
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this._stamp = (typeof initialValue === 'number') ? this._clock.now() : 0;
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}
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module.exports = Ewma;
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Ewma.prototype.insert = function insert(x) {
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assert.number(x, 'x');
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assert.ok(!Number.isNaN(x), 'x can not be NaN');
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var self = this;
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var now = self._clock.now();
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var elapsed = now - self._stamp;
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self._stamp = now;
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// This seemingly magic equation is derived from the fact that we are
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// defining a half life for each value. A half life is the amount of time
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// that it takes for a value V to decay to .5V or V/2. Elapsed is the time
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// delta between this value being reported and the previous value being
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// reported. Given the half life, and the amount of time since the last
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// reported value, this equation determines how much the new value should
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// be represented in the ewma.
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// For a detailed proof read:
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// A Framework for the Analysis of Unevenly Spaced Time Series Data
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// Eckner, 2014
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var w = Math.pow(2, -elapsed / self._decay);
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self._ewma = w * self._ewma + (1.0 - w) * x;
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};
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Ewma.prototype.reset = function reset(x) {
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assert.number(x, 'x');
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assert.ok(!Number.isNaN(x), 'x can not be NaN');
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var self = this;
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self._stamp = self._clock.now();
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self._ewma = x;
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};
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Ewma.prototype.value = function value() {
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var self = this;
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return self._ewma;
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};
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