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96e3b991da
Bug: webrtc:12338 Change-Id: I72fcb505a92f03b2ace7160ee33d555a977eddfd Reviewed-on: https://webrtc-review.googlesource.com/c/src/+/226955 Reviewed-by: Harald Alvestrand <hta@webrtc.org> Commit-Queue: Artem Titov <titovartem@webrtc.org> Cr-Commit-Position: refs/heads/master@{#34587}
70 lines
2.3 KiB
C++
70 lines
2.3 KiB
C++
/*
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* Copyright 2019 The WebRTC Project Authors. All rights reserved.
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*
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* Use of this source code is governed by a BSD-style license
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* that can be found in the LICENSE file in the root of the source
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* tree. An additional intellectual property rights grant can be found
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* in the file PATENTS. All contributing project authors may
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* be found in the AUTHORS file in the root of the source tree.
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*/
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#ifndef RTC_BASE_NUMERICS_EVENT_BASED_EXPONENTIAL_MOVING_AVERAGE_H_
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#define RTC_BASE_NUMERICS_EVENT_BASED_EXPONENTIAL_MOVING_AVERAGE_H_
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#include <cmath>
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#include <cstdint>
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#include <limits>
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#include "absl/types/optional.h"
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namespace rtc {
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/**
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* This class implements exponential moving average for time series
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* estimating both value, variance and variance of estimator based on
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* https://en.wikipedia.org/w/index.php?title=Moving_average§ion=9#Application_to_measuring_computer_performance
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* with the additions from nisse@ added to
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* https://en.wikipedia.org/wiki/Talk:Moving_average.
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*
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* A sample gets exponentially less weight so that it's 50%
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* after `half_time` time units.
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*/
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class EventBasedExponentialMovingAverage {
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public:
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// `half_time` specifies how much weight will be given to old samples,
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// see example above.
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explicit EventBasedExponentialMovingAverage(int half_time);
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void AddSample(int64_t now, int value);
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double GetAverage() const { return value_; }
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double GetVariance() const { return sample_variance_; }
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// Compute 95% confidence interval assuming that
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// - variance of samples are normal distributed.
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// - variance of estimator is normal distributed.
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//
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// The returned values specifies the distance from the average,
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// i.e if X = GetAverage(), m = GetConfidenceInterval()
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// then a there is 95% likelihood that the observed variables is inside
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// [ X +/- m ].
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double GetConfidenceInterval() const;
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// Reset
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void Reset();
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// Update the half_time.
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// NOTE: resets estimate too.
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void SetHalfTime(int half_time);
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private:
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double tau_;
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double value_ = std::nan("uninit");
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double sample_variance_ = std::numeric_limits<double>::infinity();
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// This is the ratio between variance of the estimate and variance of samples.
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double estimator_variance_ = 1;
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absl::optional<int64_t> last_observation_timestamp_;
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};
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} // namespace rtc
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#endif // RTC_BASE_NUMERICS_EVENT_BASED_EXPONENTIAL_MOVING_AVERAGE_H_
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