io.deephaven.numerics.movingaverages.ExponentiallyDecayedSum Maven / Gradle / Ivy
/**
* Copyright (c) 2016-2022 Deephaven Data Labs and Patent Pending
*/
package io.deephaven.numerics.movingaverages;
import java.io.Serializable;
/**
* A sum where the values are decayed at an exponential rate to zero.
*/
public class ExponentiallyDecayedSum implements Serializable {
private static final long serialVersionUID = -4569122361884129319L;
private final double decayRate;
private final boolean enableTimestepOutOfOrderException;
private long lastTimestamp = Long.MIN_VALUE;
private double value = 0;
/**
* Creates a new exponentially decayed sum.
*
* @param decayRate rate in milliseconds to decay the sum.
* @param enableTimestepOutOfOrderException true to allow an exception to be thrown when timesteps are not
* sequential.
*/
public ExponentiallyDecayedSum(double decayRate, boolean enableTimestepOutOfOrderException) {
this.decayRate = decayRate;
this.enableTimestepOutOfOrderException = enableTimestepOutOfOrderException;
}
public void processDouble(long timestamp, double data) {
long dt = Math.max(timestamp - lastTimestamp, 0);
if (enableTimestepOutOfOrderException && lastTimestamp != Long.MIN_VALUE && dt < 0) {
throw new IllegalStateException(
"Timesteps are out of order: timestamps=" + lastTimestamp + "," + timestamp);
}
double weight = Math.exp(-dt / decayRate);
if (lastTimestamp == Long.MIN_VALUE) {
value = data;
} else {
value = data + weight * value;
}
lastTimestamp = timestamp;
}
public double getValue() {
return value;
}
public long getLastTimestamp() {
return lastTimestamp;
}
public void reset() {
lastTimestamp = Long.MIN_VALUE;
value = 0;
}
}