91 lines
2.8 KiB
Erlang
91 lines
2.8 KiB
Erlang
%%--------------------------------------------------------------------
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%% Copyright (c) 2021 EMQ Technologies Co., Ltd. All Rights Reserved.
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%%
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%% Licensed under the Apache License, Version 2.0 (the "License");
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%% you may not use this file except in compliance with the License.
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%% You may obtain a copy of the License at
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%%
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%% http://www.apache.org/licenses/LICENSE-2.0
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%%
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%% Unless required by applicable law or agreed to in writing, software
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%% distributed under the License is distributed on an "AS IS" BASIS,
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%% WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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%% See the License for the specific language governing permissions and
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%% limitations under the License.
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%%--------------------------------------------------------------------
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%% @see https://en.wikipedia.org/wiki/Moving_average
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-module(emqx_moving_average).
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%% API
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-export([new/0, new/1, new/2, update/2]).
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-type type() :: cumulative
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| exponential.
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-type ema() :: #{ type := exponential
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, average := 0 | float()
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, coefficient := float()
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}.
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-type cma() :: #{ type := cumulative
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, average := 0 | float()
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, count := non_neg_integer()
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}.
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-type moving_average() :: ema()
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| cma().
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-define(DEF_EMA_ARG, #{period => 10}).
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-define(DEF_AVG_TYPE, exponential).
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-export_type([type/0, moving_average/0, ema/0, cma/0]).
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%%--------------------------------------------------------------------
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%% API
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%%--------------------------------------------------------------------
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-spec new() -> moving_average().
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new() ->
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new(?DEF_AVG_TYPE, #{}).
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-spec new(type()) -> moving_average().
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new(Type) ->
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new(Type, #{}).
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-spec new(type(), Args :: map()) -> moving_average().
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new(cumulative, _) ->
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#{ type => cumulative
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, average => 0
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, count => 0
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};
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new(exponential, Arg) ->
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#{period := Period} = maps:merge(?DEF_EMA_ARG, Arg),
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#{ type => exponential
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, average => 0
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%% coefficient = 2/(N+1) is a common convention, see the wiki link for details
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, coefficient => 2 / (Period + 1)
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}.
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-spec update(number(), moving_average()) -> moving_average().
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update(Val, #{average := 0} = Avg) ->
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Avg#{average := Val};
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update(Val, #{ type := cumulative
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, average := Average
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, count := Count} = CMA) ->
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NewCount = Count + 1,
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CMA#{average := (Count * Average + Val) / NewCount,
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count := NewCount};
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update(Val, #{ type := exponential
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, average := Average
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, coefficient := Coefficient} = EMA) ->
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EMA#{average := Coefficient * Val + (1 - Coefficient) * Average}.
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%%--------------------------------------------------------------------
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%% Internal functions
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%%--------------------------------------------------------------------
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